銀行提列呆帳準備費用之研究：來自跨國數據之比較分析

本篇以55個國家(12393家銀行)的資料，探討影響銀行提列呆帳準備費用與經濟景氣、銀行獲利的關連性。理論上說，銀行應根據「未來」的「總體經濟景氣」或「個體銀行盈餘狀況」提撥呆帳準備，當預期未來總體景氣較佳時，因為經濟景氣擴張使得銀行的授信標準降低，將造成經濟衰退時資產品質的降低，所以銀行會提撥減少(文獻稱為「逆景氣循環」假說)；再者，銀行當其獲利情況較差時，將會增加LLP提列，而其盈餘將有更差表現。如此將可以於下一期輕易地有顯著的盈餘成長表現(文獻稱為「沖大澡」假說)；反之，則分別稱為「順景氣循環」假說與「盈餘平穩」假說。本篇除了檢定總體與個體不同觀點的假說外，同時亦針對討論銀行提列備抵呆帳的行為，是理論預期的前瞻(forward looking)，或是實務上財報反應已發生事件的觀點，即為後顧(backward looking)。主要的實證結果發現：（1）國家整體景氣方面，觀察到當期GDP成長率有負向顯著水準，支持「逆景氣循環假說」（2）當期的銀行盈餘呈現顯著為負向影響，支持「沖大澡」假說。（3）後一期的GDP成長率有顯著情況，支持「前瞻」的提列決策觀點，銀行考量未來所預期的整體景氣情況進行LLP的提列。（4）前後期盈餘變數的實證結果發現兩變數皆有顯著，可知銀行進行LLP的提列時，同時考量過去、未來的銀行獲利情況，即同時支持「前瞻（forward looking）」與「後顧（backward looking）」的提列決策觀點。

關鍵字

呆帳準備費用（LLP）；國家景氣；政府治理；「沖大澡」假說

並列摘要

We use the data of 55 countries which include 12393banks to investigate the relation between banks’ loan-loss provisions（LLP）and economic conditions or banks’ profitability. In theory, banks’ loan-loss provisioning closely related with future economic conditions or banks’earnings.We hypothesize that loan-loss provisions are generally very low during most of a boom phase, and then rise dramatically during the downturn. Credit expansion typically leads to a relaxation of a credit atandards, which eventually deteriorates assets quality during a subsequent economic downturn（anti-cyclical provisioning）. More than, we hypothesize that loan-loss provisons increases in low-income years, in order to dramatically grow in future .（take big bath provisioning）. This study examines different aspects through economic conditions and banks’ profitability, and discuess loan-loss provisioning behaviors: forward looking behaviors in theory or backward looking behaviors in practices.Evidence results indicate the (1) GDP growth is negative relationship with LLP provisioning, supporing anti-cyclical hypothesis. (2) negative relationship between LLP and banks’ earning in pariicular year, supporing take big bath hypothesis. (3) The contury economic conditions variables supports backward forward provisioning behaviors like as past reaserch. LLP provisioning of banks consider future economic condition. (4) there are relationship between LLP and banks’ earning in the past and following year, supporing forward looking and backward looking provisioning behaviors.