Is mark-to-market accounting destabilizing? Analysis and implications for policy

• 成果类型: Article; Proceedings Paper
• 署名作者: Heaton, John C.; Lucas, Deborah; McDonald, Robert L.
• 署名单位: University of Chicago; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); Northwestern University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.11.005
• 发表日期: 2010
• 页码: 64-75
• 关键词: Mark-to-market accounting; Price of risk

摘要

Fundamental economic principles provide a rationale for requiring financial institutions to use mark-to-market, or fair value, accounting for financial reporting. The recent turmoil in financial markets, however, has raised questions about whether fair value accounting is exacerbating the problems. In this paper, we review the history and practice of fair value accounting, and summarize the literature on the channels through which it can adversely affect the real economy. We propose a new model to study the interaction of accounting rules with regulatory capital requirements, and show that even when market prices always reflect fundamental values, the interaction of fair value accounting rules and a simple capital requirement can create inefficiencies that are absent when capital is measured by adjusted book value. These distortions can be avoided, however, by redefining capital requirements to be procyclical rather than by abandoning fair value accounting and the other benefits that it provides. (C) 2009 Elsevier B.V. All rights reserved.