حسابداری و مقررات بانکی: برخی از اثرات واگرایی

هنگامی که دارایی های بانک ها برای اهداف نظارتی بر اساس ارزش بازار مشخص می شوند، نه بر اساس اهداف حسابداری. در این مقاله یک مدل برای بررسی واگرایی در رابطه با ریسک مدیریت بانک ها طراحی شده است. این مدل نشان می دهد که واگرایی منجر به کاهش ریسک مدیریت میشود-(با  استفاده از مشتقات مصونیت از مزایای قانونی به جز هزینه های حسابداری).بنابراین بانک ها مصونیت کمتری دارند. از این رو، احتمال بیشتری دارد که شوک منفی بتواند بانک ها را ورشکسته کند. به طور کلی، مدل یک راهکار را مشخص می کند که از طریق آن واگرایی می تواند “اثرات واقعی” نامطلوب داشته باشد.

Abstract

This paper examines the impact of divergence between accounting standards and banking regulation – for example, when banks’ assets are marked-to-market for regulatory purposes but not for accounting purposes. I build a model that examines divergence in connection with risk-management by banks. The model shows that divergence results in a risk-management trade-off – using derivatives to hedge has regulatory benefits but accounting costs, or vice versa. Banks thus hedge to a lesser extent. Hence, a negative shock is more likely to make banks insolvent. More generally, the model identifies a mechanism by which divergence can have undesirable “real effects.”

Keywords: Banks,Banking regulation,Accounting standards,Risk-management,Derivatives

Introduction

After the 2007–۸ financial crisis, banking regulators voiced concerns that certain accounting standards might have exacerbated the crisis and might be unsuitable for regulatory purposes more generally (e.g., Bernanke, 2009). However, Laux and Leuz, 2009, Laux and Leuz, 2010 and Barth and Landsman (2010) point out that to the extent that accounting standards do have effects that are undesirable from a regulatory point of view, banking regulators can and do modify banks’ accounting numbers for regulatory purposes – for example, when determining regulatory capital. Such adjustments appear to have become more common following the 2007–۸ crisis and could become even more important going forward. For example, in the United Kingdom, the Prudential Regulatory Authority is thinking about requiring banks to maintain a separate set of regulatory accounts in addition to their IFRS-based accounts (The Select Committee on Economic Affairs, 2015).

The aim of this paper is to examine some effects of regulatory adjustments that result in “divergence” between the banking regulations and accounting standards banks face. Prior studies show how accounting standards such as fair-value accounting can affect banks’ investment decisions – for example, by leading to asset sales in financial crises (e.g., Cifuentes et al., 2005, Allen and Carletti, 2008, Plantin et al., 2008). Other studies show how banking regulations such as capital requirements can affect banks’ investment decisions – for example, by reducing lending in recessions (e.g., Hancock and Wilcox, 1995, Peek and Rosengren, 1995, Gambacorta and Mistrulli, 2004). However, to the best of my knowledge, no studies focus on the impact on banks of divergence between accounting standards and banking regulation. As a consequence, in this paper, I attempt to take a first step toward a better understanding of divergence.