公允价值会计的顺周期效应研究
发布时间：2018-11-28 17:49
【摘要】：公允价值会计由于其顺周期效应而备受关注，本文对公允价值会计顺周期效应的传导机制进行验证，主要针对资本监管传导机制。由于2007-2008年的金融市场经历了比较大的市场波动，对验证公允价值会计的顺周期行为提供了数据。因此本文利用我国上市银行2007-2008年的数据分析公允价值会计处理对核心资本的影响及在危机条件下公允价值会计是否导致银行的着火性抛售行为，以此验证公允价值会计的顺周期效应。 通过分析我们发现：（1）交易性金融资产、可供出售金融资产及持有到期投资的会计处理（包括公允价值变动与资产减值损失）对核心资本的影响程度很小；（2）在四类金融资产中，贷款减值准备对核心资本的影响最大，但是贷款减值准备并不是以公允价值计量，而是依据于管理层的估计与判断；（3）在危机条件下，公允价值会计并没有导致银行的着火性抛售。数据显示大多数银行可供出售金融资产与持有到期投资两项资产的投资额为正值，即购入相关的资产。并且在所出售的资产中，大多数银行的两项金融资产的投资收益为正值。由此我们得出结论：在我国上市银行中，公允价值会计并没有通过资本监管机制传导其顺周期效应。 最后，我们认为：由于会计的目标与银行监管的目标不一致，会计的目标在于为投资者、债权人等其他信息使用者提供决策有用信息，而银行监管的目标在于维护金融系统的稳定性。虽然对于二者的目标的协调很重要，，但是要强调的是，维护金融系统的稳定性是银行监管当局的责任而不是准则制定机构的责任。
[Abstract]:Fair value accounting has attracted much attention because of its pro-cyclical effect. This paper verifies the transmission mechanism of the pro-cycle effect of fair value accounting, mainly aiming at the transmission mechanism of capital supervision. The financial market experienced relatively large market fluctuations in 2007-2008, which provides data for verifying the pro-cyclical behavior of fair value accounting. Therefore, this paper analyzes the impact of fair value accounting on core capital and whether fair value accounting leads to the fire selling behavior of banks under the crisis condition by using the data of Chinese listed banks in 2007-2008. In order to verify the pro-cyclical effect of fair value accounting. Through the analysis, we find that: (1) transaction financial assets, which can be sold financial assets and hold maturing investment accounting treatment (including fair value changes and loss of assets impairment) have little impact on core capital; (2) among the four types of financial assets, the loan impairment provision has the greatest impact on the core capital, but the loan impairment provision is not measured by fair value, but based on the estimation and judgment of the management; (3) under the condition of crisis, fair value accounting did not lead to fire selling. The data show that most banks have a positive investment in selling financial assets and holding maturing investments, that is, buying related assets. And of the assets sold, most banks had positive investment returns on two financial assets. Therefore, we conclude that fair value accounting does not transmit its pro-cyclical effect through capital supervision mechanism in Chinese listed banks. Finally, we believe that because accounting objectives are inconsistent with those of bank regulation, the goal of accounting is to provide useful information for other information users, such as investors, creditors, and so on. The aim of bank supervision is to maintain the stability of the financial system. While it is important to coordinate the two goals, it is important to stress that maintaining the stability of the financial system is the responsibility of banking regulators and not of standard-setting agencies.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F233
本文编号：2363751
[Abstract]:Fair value accounting has attracted much attention because of its pro-cyclical effect. This paper verifies the transmission mechanism of the pro-cycle effect of fair value accounting, mainly aiming at the transmission mechanism of capital supervision. The financial market experienced relatively large market fluctuations in 2007-2008, which provides data for verifying the pro-cyclical behavior of fair value accounting. Therefore, this paper analyzes the impact of fair value accounting on core capital and whether fair value accounting leads to the fire selling behavior of banks under the crisis condition by using the data of Chinese listed banks in 2007-2008. In order to verify the pro-cyclical effect of fair value accounting. Through the analysis, we find that: (1) transaction financial assets, which can be sold financial assets and hold maturing investment accounting treatment (including fair value changes and loss of assets impairment) have little impact on core capital; (2) among the four types of financial assets, the loan impairment provision has the greatest impact on the core capital, but the loan impairment provision is not measured by fair value, but based on the estimation and judgment of the management; (3) under the condition of crisis, fair value accounting did not lead to fire selling. The data show that most banks have a positive investment in selling financial assets and holding maturing investments, that is, buying related assets. And of the assets sold, most banks had positive investment returns on two financial assets. Therefore, we conclude that fair value accounting does not transmit its pro-cyclical effect through capital supervision mechanism in Chinese listed banks. Finally, we believe that because accounting objectives are inconsistent with those of bank regulation, the goal of accounting is to provide useful information for other information users, such as investors, creditors, and so on. The aim of bank supervision is to maintain the stability of the financial system. While it is important to coordinate the two goals, it is important to stress that maintaining the stability of the financial system is the responsibility of banking regulators and not of standard-setting agencies.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F233
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