A Tale of Two Banks: When Credit Loss Models Meet Economic Crises
利用中国贷款和企业层面数据，研究发现采用预期信用损失模型的银行在新冠疫情后比采用已发生损失模型的银行更谨慎放贷，信贷收缩更明显，可能加剧顺周期性。
ABSTRACT Policy makers and researchers are concerned that the expected credit loss (ECL) approach may exacerbate procyclicality. Using administrative loan‐level and firm‐level data in China, we find that banks adopting the ECL model reduced their credit supply and became more prudent in lending decisions after the onset of the COVID‐19 pandemic, compared to banks using the incurred credit loss (ICL) approach. Our findings are more pronounced for banks that experienced greater loan loss provisions induced by ECL and for firms with higher credit risk. The credit contraction persisted throughout our sample period. We further document that firms more exposed to ECL banks experienced larger reductions in loans, assets, liabilities, and revenue after the pandemic began than those more exposed to ICL banks. These findings support the conjecture that the ECL approach may exacerbate procyclicality.