Expected Losses, Unexpected Costs? Evidence from SME Credit Access under IFRS 9
研究了欧洲银行采用IFRS 9预期信用损失模型后，对中小企业贷款的影响，发现贷款减少超10%，且疫情期间持续，银行财务报告目标和实施困难是主因。
ABSTRACT This paper examines lending effects of European banks switching to an expected credit loss (ECL) model under IFRS 9. I find evidence that ECL transition deteriorates the credit landscape for SMEs—as risky, opaque, and bank-dependent borrowers. Post-ECL, affected banks reduced SME lending by over 10 percent, and these effects persisted during the most recent downturn during the COVID-19 pandemic. Banks’ financial reporting objectives and implementation difficulties seem to explain these findings. Additional tests at the borrower and loan-contract levels indicate rising loan rejection rates, interest spreads, and collateral requirements, as well as declining loan amounts, maturities, and subsequent capital investments, for SMEs that do business with affected banks. JEL Classifications: G21; G28; G38; M41.