資本適足性管制變革對銀行壞帳提列暨沖銷決策之影響

The Impact of the 1998 Changes in Bank Capital Adequacy Regulations on the Discretionary Decisions of Loan Loss Provisions and Write-offs

本研究旨在探討資本適足性管制變革是否影響銀行之壞帳裁量決策。1996年國際清算銀行頒布新版資本適足性規定用以修正1988年舊制之缺失，我國亦於民國87年底比照實施（以下稱為新制）。新制修正重點有二：一是納入市場風險於風險性資產的計算中；二是明確規範特定損失準備不得計入備抵壞帳以充當第二類資本。上述變革使得銀行運用壞帳遂其策略目的之誘因產生差異，從而影響銀行提列壞帳及沖銷壞帳的行為。在控制民國88年金融業營業稅率調降對壞帳的可能影響之下，實證結果發現：一、新制實施後，銀行策略性提列壞帳以操控資本的情況較舊制期間為強。另外，在舊制期間，銀行存有利用壞帳提列進行損益平穩之行為，而新制實施後則無此種操弄盈餘之行為。二、整體而言，新制實施後，加速銀行沖銷壞帳；換言之，新制降低了銀行以裁量性壞帳沖銷決策從事資本管理的誘因。三、在新制之下，特定損失準備較高的銀行其壞帳提列的額度相較於特定損失準備較少的銀行為大；但壞帳沖銷的額度並未較特定損失準備較低的銀行為大。

The rapid evolution of financial innovations has provided many opportunities for profit and in other side, more risk exposures for banks. Famous financial disasters in 1990s led bank supervisors to develop extensive risk disclosures requirements. From a regulatory perspective, preventing disruptions in financial systems due to crisis from overall economy posing a wider systematic risk is a rationale for government intervention in banking. The Basel Committee in the Bank for International Settlements modified the 1988 accord in 1996. There are two major changes in the 1996 version of Basel accord (its Taiwanese version is issued in 1998 which we refer to as the new regime) to modify the 1988 old version (its Taiwanese version is issued in 1992 which we refer to as the old regime). First, the new version requires banks to measure their market risk exposures. Second, specific loss reserves do not count as part of Tier 2 capital. Previous research shows that banks have incentives to manage accounting numbers for regulatory capital or earnings. Loan loss provisions and write-offs are relatively lager discretionary accruals for banks and have significant impact on banks’ regulatory capital or earnings. This paper investigates the 1998 changes in capital adequacy regulations to construct more powerful tests of capital and earnings management effect on loan loss provisions or write-offs. The contribution of this paper lies in the examination of whether the changes in regulations caused changes in bank managers’ estimate of the loan loss provisions and write-offs. This paper expects that the 1998 regulatory changes create (remove) incentives to use loan loss provisions for capital management (earnings management). Second, this paper expects these changes remove incentives to use write-offs for capital management. Overall, these changes substantially alter banks’ incentives to manage capital via loan loss provisions/write-offs. After controlling the impact of the decrease in the sales tax rate for financial institutions in 1999, the main empirical findings are as follows. (1) These regulatory changes create stronger incentives to increase loan loss provisions for capital management under the new regime. (2) There is no evidence of earnings smoothing behavior via loan loss provisions under the new regime. (4) These changes remove incentives to depress write-offs before 1998. (5) Within the new regime, the loan loss provisions are larger for banks with higher specific loss reserves than those with lower specific loss reserves.