The economic consequences of extending the use of fair value accounting in regulatory capital calculations

• 成果类型: Article
• 署名作者: Chircop, Justin; Novotny-Farkas, Zoltan
• 署名单位: Lancaster University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2016.10.004
• 发表日期: 2016
• 关键词: FINANCIAL CRISIS; to-market; COMMERCIAL-BANKS; pandora box; returns; panacea

摘要

We investigate the economic consequences of the Basel III requirement to include unrealized fair value gains and losses on available-for-sale (AFS) securities in regulatory capital. Using data for U.S. banks we find negative market reactions around news indicating an increased likelihood of this regulatory change being implemented, consistent with increased regulatory costs. We also find that banks affected by this regulation reduce their investment in risky AFS securities relative to unaffected banks. This result suggests that extending. the use of fair values for regulatory purposes reduces ex ante risk taking. (C) 2016 Elsevier B.V. All rights reserved.