The Role of economic variables and credit portfolio attributes for estimating discretionary loan loss provisions in Brazilian banks
The study assesses whether incorporating macroeconomic variables and attributes of the loan portfolio improves the specification of models designed to identify management discretion in making loan loss provisions by banks, considering the standards issued by regulatory agencies. The empirical tests confirm the consistency of the proposed model based on the expected signs of the explanatory variableâ€™s parameters and their statistical significance. These results were confronted with those of other models found in the literature by comparing the modelsâ€™ adjusted R2s, by applying Vuongâ€™s (1989) model selection test, by using an F test for nested models, and by analyzing the persistence of the non-discretionary components of loan loss provisions, which shows that the incorporation of macroeconomic variables and attributes of the loan portfolio improves the empirical investigation of discretion practiced by banks.
Volume (Year): 10 (2013)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: |
Phone: +55 27 4009-4423
Fax: +55 27 4009-4422
Web page: http://www.bbronline.com.br/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dechow, Patricia M., 1994. "Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals," Journal of Accounting and Economics, Elsevier, vol. 18(1), pages 3-42, July.
- Stephanou, Constantinos, 2010. "Rethinking market discipline in banking : lessons from the financial crisis," Policy Research Working Paper Series 5227, The World Bank.
- Kanagaretnam, Kiridaran & Lim, Chee Yeow & Lobo, Gerald J., 2010. "Auditor reputation and earnings management: International evidence from the banking industry," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2318-2327, October.
- Robert P. Gray & Frank L. Clarke, 2004. "A Methodology for Calculating the Allowance for Loan Losses in Commercial Banks," Abacus, Accounting Foundation, University of Sydney, vol. 40(3), pages 321-341.
- Ahmed, Anwer S. & Takeda, Carolyn & Thomas, Shawn, 1999. "Bank loan loss provisions: a reexamination of capital management, earnings management and signaling effects," Journal of Accounting and Economics, Elsevier, vol. 28(1), pages 1-25, November.
- Kanagaretnam, Kiridaran & Krishnan, Gopal V. & Lobo, Gerald J., 2009. "Is the market valuation of banks' loan loss provision conditional on auditor reputation?," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1039-1047, June.
- Shrieves, Ronald E. & Dahl, Drew, 2003. "Discretionary accounting and the behavior of Japanese banks under financial duress," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1219-1243, July.
- Subramanyam, K. R., 1996. "The pricing of discretionary accruals," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 249-281, October.
- McNichols, Maureen F., 2000. "Research design issues in earnings management studies," Journal of Accounting and Public Policy, Elsevier, vol. 19(4-5), pages 313-345.
- Kanagaretnam, Kiridaran & Lobo, Gerald J & Mathieu, Robert, 2003. " Managerial Incentives for Income Smoothing through Bank Loan Loss Provisions," Review of Quantitative Finance and Accounting, Springer, vol. 20(1), pages 63-80, January.
When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:10:y:2013:i:4:p:65-90. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sarah Lasso)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.