| 公允价值会计能否放大银行体系的系统性风险 |
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| 引用本文： | 刘红忠,赵玉洁,周冬华.公允价值会计能否放大银行体系的系统性风险[J].金融研究,2011(4). |
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| 作者姓名： | 刘红忠 赵玉洁 周冬华 |
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| 作者单位： | 复旦大学经济学院国际金融系;江西财经大学会计学院; |
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| 基金项目： | 国家自然科学基金课题“公开信息冲击下的投资者交易策略高阶期望模型及其实证分析”(项目批准号:70671027)资助 |
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| 摘 要： | 宏观审慎监管框架下公允价值会计被认为是顺周期机制,放大了银行体系的系统性风险而广受诟病。本文尝试从正向冲击和逆向冲击角度研究公允价值是否存在放大作用。研究发现两类冲击下系统性风险均存在;公允价值会计作用不对称,逆向冲击下放大了系统性风险,正向冲击下作用不明显;进一步分析逆向冲击的作用渠道时发现,市场流动性不足是放大作用的显著原因,银行以公允价值计价的风险敞口和资本充足率对放大作用没有显著影响。
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| 关 键 词： | 宏观审慎监管 系统性风险 公允价值会计 |
On the Fair Value Accounting and the Systemic Risk of Banking Industry |
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| LIU Hongzhong ZHAO Yujie ZHOU Donghua.On the Fair Value Accounting and the Systemic Risk of Banking Industry[J].Journal of Financial Research,2011(4). |
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| Authors: | LIU Hongzhong ZHAO Yujie ZHOU Donghua |
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| Institution: | LIU Hongzhong ZHAO Yujie ZHOU Donghua |
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| Abstract: | Under the framework of macro prudential regulation,fair value accounting is criticized as a procyclical mechanism amplifies systemic risk of banking system.We investigate the impact of fair value accounting under positive and negative shocks.And it is found out the existence of systemic risk under both shocks,but the extent of fair value accounting has asymmetric effects,which significantly strengthens risk under negative shock while does not for positive shock.Moreover,strengthening effect is more severe d... |
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| Keywords: | macro prudential regulation systemic risk fair value accounting |
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