Moving toward the expected credit loss model under IFRS 9: capital transitional arrangement and bank systematic risk
研究了银行在IFRS 9强制实施下自愿选择资本过渡安排（CTA）的动因及其对系统性风险的影响，发现CTA采用者降低了系统性风险，但仅在银行监管权力强的国家显著。
This paper examines banks’ option to adopt the capital transitional arrangement (CTA) set out by the Basel Committee on Banking Supervision, in response to the introduction of the International Financial Reporting Standard 9 (IFRS 9), which requires the use of an expected credit loss model instead of an incurred loss model to estimate the impairment of financial assets. Using a sample of publicly listed European banks from 2016 to 2019, we find that bank CTA adoption choice is associated with neutral factors captured by bank-specific fundamental characteristics, and potential opportunistic factors related to regulatory constraints implied by the application of IFRS 9. We further find that banks that adopted the CTA (CTA adopters) decrease their exposure to systematic risk during the transitional period. However, this relationship is only significant in countries with powerful banking authorities. In those with less powerful banking authorities, CTA adopters tend to exercise more aggressively their accounting discretion. Our study is the first to address banks’ voluntary choice to adopt the CTA policy under the mandatory application of IFRS 9.