Interaction between Accounting Standards and Monetary Policy: The Effect of SFAS 115
研究了SFAS 115下证券分类对货币政策传导的影响，发现持有至到期证券会加剧而非缓解货币紧缩对银行贷款的负面作用，且对小银行影响更大。
ABSTRACT I examine the effect of marketable security holdings on monetary policy when those securities are classified under SFAS 115. Prior research has shown that loan growth is negatively related to monetary contractions, and that marketable security holdings mitigate that negative relationship. Those studies consider the securities in aggregate; I am the first to consider the securities classification in conjunction with monetary policy. I ask whether held-to-maturity securities, relative to non-held-to-maturity securities, are negatively related to loan growth. I find that the held-to-maturity securities are more negatively related to loan growth, relative to non-held-to-maturity securities. I also find that held-to-maturity securities are incrementally more negatively related to loan growth during monetary tightening, relative to non-tightening times. Finally, I find that both of these effects are stronger for small banks, relative to large banks. Given the findings, I conclude that held-to-maturity securities actually enhance, not mitigate, the effect of monetary tightening on bank lending.