ABSTRACT

In this paper, we investigate the impact of IFRS 9 – Financial instruments on bank risk. Using a sample of 666 banks across 61 countries for the period 2016–2019, we find a decrease in bank risk following the implementation of IFRS 9. This implies that the forward-looking loan loss provisioning, mandated under IFRS 9, facilitates a reduction in bank risk. We find this effect to be more pronounced for riskier banks, suggesting that the implementation of IFRS 9 is a sign of effective regulation for banks rather than a manifestation of regulatory overreach. We also find the effect to be greater for banks in countries with stronger accounting regulatory enforcement and high banking supervision intensity. Overall, our results, which are robust to different estimation techniques, including multi-level hierarchical regressions and entropy balancing estimations, show that increased transparency and timely recognition under IFRS 9 reduce bank risk.

摘要

在本文中，我们研究了 IFRS 9 –金融工具的影响关于银行风险。使用 2016-2019 年期间 61 个国家的 666 家银行的样本，我们发现实施 IFRS 9 后银行风险有所下降。这意味着 IFRS 9 规定的前瞻性贷款损失准备金有助于减少银行风险。我们发现这种影响对于风险较高的银行更为明显，这表明 IFRS 9 的实施是对银行进行有效监管的标志，而不是监管过度的表现。我们还发现，对于会计监管执行力度较强、银行监管强度较高的国家的银行来说，这种影响更大。总体而言，我们的结果对不同的估计技术（包括多级分层回归和熵平衡估计）具有鲁棒性，