Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?
研究了基于公允价值计算的杠杆率是否比传统杠杆率更能解释银行的信用风险，发现公允价值杠杆率对债券利差和银行倒闭的解释力更强，其中贷款和存款的公允价值是主要增量来源。
ABSTRACT Many have argued that financial statements created under an accounting model that measures financial instruments at fair value would not fairly represent a bank's business model. In this study we examine whether financial statements using fair values for financial instruments better describe banks' credit risk than less fair-value-based financial statements. Specifically, we assess the extent to which various leverage ratios, which are calculated using financial instruments measured along a fair value continuum, are associated with various measures of credit risk. Our leverage ratios include financial instruments measured at (1) fair value; (2) U.S. GAAP mixed-attribute values; and (3) Tier 1 regulatory capital values. The credit risk measures we consider are bond yield spreads and future bank failure. We find that leverage measured using the fair values of financial instruments explains significantly more variation in bond yield spreads and bank failure than the other less fair-value-based leverage ratios in both univariate and multivariate analyses. We also find that the fair value of loans and deposits appear to be the primary sources of incremental explanatory power. Data Availability: All data are publicly available from the sources indicated in the paper.