Abstract:
Using data of city commercial banks in China from 2005 to 2013, this study analyzes the influence of real estate price fluctuation on city commercial banks' loan loss provisions. This study finds that real estate price increasing has a significant positive correlation with city commercial banks' loan loss provisions. This study also finds that banks audited by “Big-Four” audit firms and state-owned banks tend to reserve greater loan loss provisions when real estate price increases. Further analysis shows that banks tend to reserve greater loan loss provisions when they have branches in area with higher real estate growth rate. These findings help city commercial banks to avoid operating risks and financial risks caused by real estate price fluctuation.
祝继高, 李天时, 尤可畅. 房地产价格波动与商业银行贷款损失准备——基于中国城市商业银行的实证研究[J]. 金融研究, 2017, 447(9): 83-98.
ZHU Jigao, LI Tianshi, YOU Kechang. Real Estate Price Fluctuation and Loan Loss Provisions of Commercial Banks: Empirical Research Based on the City Commercial Banks in China. Journal of Financial Research, 2017, 447(9): 83-98.
Acharya, V., T. Philippon, M. Richardson, and N. Roubini, 2009, “The Financial Crisis of 2007-2009: Causes and Remedies,” Financial Markets, Institutions and Instruments, 18(2):89~137.
Acharya, V., T. Philippon, M. Richardson, and N. Roubini, 2009, “The Financial Crisis of 2007-2009: Causes and Remedies,” Financial Markets, Institutions and Instruments, 18(2):89~137.
[17]
Aharony, J., C. J. Lee, and T. J. Wong, 2000, “Financial Packaging of IPO Firms in China,” Journal of Accounting Research, 38(1):103~126.
Aharony, J., C. J. Lee, and T. J. Wong, 2000, “Financial Packaging of IPO Firms in China,” Journal of Accounting Research, 38(1):103~126.
[18]
Beatty, A. and S. Liao, 2011, “Do Delays in Expected Loss Recognition Affect Banks' Willingness to Lend？” Journal of Accounting and Economics, 52(1):1~20.
Beatty, A. and S. Liao, 2011, “Do Delays in Expected Loss Recognition Affect Banks' Willingness to Lend？” Journal of Accounting and Economics, 52(1):1~20.
[19]
Beatty, A. and S. Liao, 2014, “Financial Accounting in the Banking Industry: A Review of the Empirical Literature,” Journal of Accounting and Economics, 58(2):339~383.
Beatty, A. and S. Liao, 2014, “Financial Accounting in the Banking Industry: A Review of the Empirical Literature,” Journal of Accounting and Economics, 58(2):339~383.
[20]
Beaver, W., C. Eger, S. Ryan, and M. Wolfson, 1989, “Financial Reporting, Supplemental Disclosures, and Bank Share Prices,” Journal of Accounting Research, 27(2):157~178.
Beaver, W., C. Eger, S. Ryan, and M. Wolfson, 1989, “Financial Reporting, Supplemental Disclosures, and Bank Share Prices,” Journal of Accounting Research, 27(2):157~178.
[21]
Brandt, L. and H. Li, 2003, “Bank Discrimination in Transition Economics∶Ideology, Information or Incentives？” Journal of Comparative Economics, 31(3):387~413.
Brandt, L. and H. Li, 2003, “Bank Discrimination in Transition Economics∶Ideology, Information or Incentives？” Journal of Comparative Economics, 31(3):387~413.
[22]
Bushman, R. and C. Williams, 2012,“Accounting Discretion, Loan Loss Provisioning, and Discipline of Banks' Risk Taking,” Journal of Accounting and Economics, 54(1):1~18.
Bushman, R. and C. Williams, 2012,“Accounting Discretion, Loan Loss Provisioning, and Discipline of Banks' Risk Taking,” Journal of Accounting and Economics, 54(1):1~18.
[23]
Bushman, R., and C. Williams, 2015, “Delayed Expected Loss Recognition and the Risk Profile of Banks,” Journal of Accounting Research, 53(3):511~553.
Bushman, R., and C. Williams, 2015, “Delayed Expected Loss Recognition and the Risk Profile of Banks,” Journal of Accounting Research, 53(3):511~553.
[24]
Chaney, T., D. Sraer, and D. Thesmar, 2012, “The Collateral Channel: How Real Estate Shocks Affect Corporate Investment,” American Economic Review, 102(6):2381~2409.
Chaney, T., D. Sraer, and D. Thesmar, 2012, “The Collateral Channel: How Real Estate Shocks Affect Corporate Investment,” American Economic Review, 102(6):2381~2409.
[25]
Collyns, C., and A. Senhadji, 2002, “Lending Boom, Real Estate Bubbles and the Asian Crisis,” IMF Working Paper.
Collyns, C., and A. Senhadji, 2002, “Lending Boom, Real Estate Bubbles and the Asian Crisis,” IMF Working Paper.
[26]
DeAngelo, L., 1981, “Auditor Size and Audit Quality,” Journal of Accounting and Economics, 3(12):183~199.
DeAngelo, L., 1981, “Auditor Size and Audit Quality,” Journal of Accounting and Economics, 3(12):183~199.
[27]
Flanney, M. J. and L. Lin, 2014, “House Prices, Bank Balance Sheets, and Bank Credit Supply,” Working Paper.
Flanney, M. J. and L. Lin, 2014, “House Prices, Bank Balance Sheets, and Bank Credit Supply,” Working Paper.
[28]
Gorton, G., and A. Metrick, 2012, “Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide,” Journal of Economic Literature, 50(1):128~50.
Gorton, G., and A. Metrick, 2012, “Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide,” Journal of Economic Literature, 50(1):128~50.
[29]
Griffin, P., A. Wallch, and J. Samoa, 1991, “Latin American Lending by Major U.S. Banks: the Effects of Disclosures about Nonaccrual: Loans and Loan Loss Provisions,” The Accounting Review, 66(4):830~846.
Griffin, P., A. Wallch, and J. Samoa, 1991, “Latin American Lending by Major U.S. Banks: the Effects of Disclosures about Nonaccrual: Loans and Loan Loss Provisions,” The Accounting Review, 66(4):830~846.
[30]
Herring, R. J. and S. Wachter, 1999, “Real Estate Booms and Banking Busts,” Working Paper.
Herring, R. J. and S. Wachter, 1999, “Real Estate Booms and Banking Busts,” Working Paper.
[31]
Kanagaretnam, K., G. J. Lobo, and D. Yang, 2004, “Joint Tests of Signaling and Income Smoothing through Bank Loan Loss Provisions”, Contemporary Accounting Research, 21(4):843~884.
Kanagaretnam, K., G. J. Lobo, and D. Yang, 2004, “Joint Tests of Signaling and Income Smoothing through Bank Loan Loss Provisions”, Contemporary Accounting Research, 21(4):843~884.
[32]
Kato, T. and C. Long, 2006, “Executive Turnover and Firm Performance in China,” American Economic Review, 96(2):363~367.
Kato, T. and C. Long, 2006, “Executive Turnover and Firm Performance in China,” American Economic Review, 96(2):363~367.
[33]
Li, L. and X. Wu, 2014, “Housing Price and Entrepreneurship in China,” Journal of Comparative Economics, 42(2):436~449.
Li, L. and X. Wu, 2014, “Housing Price and Entrepreneurship in China,” Journal of Comparative Economics, 42(2):436~449.
[34]
Nichols, C., M. Wieland, and J. Whalen, 2009, “Publicly-traded versus Privately-held: Implications for Conditional Conservatism in Bank Accounting,” Review of Accounting Studies, 14(1):88~12.
Nichols, C., M. Wieland, and J. Whalen, 2009, “Publicly-traded versus Privately-held: Implications for Conditional Conservatism in Bank Accounting,” Review of Accounting Studies, 14(1):88~12.
[35]
Ryan, S., J. Tucker, and P. Zarowin, 2006, “Classification and Market Pricing of the Cash Flows and Accruals on Trading Positions,” The Accounting Review, 81(2):443~47.
Ryan, S., J. Tucker, and P. Zarowin, 2006, “Classification and Market Pricing of the Cash Flows and Accruals on Trading Positions,” The Accounting Review, 81(2):443~47.
