Abstract This study examines the association between fair value measurements and banks' discretionary loan loss provisions using regulatory financial data from 2009 to 2016 for a sample of U.S. public bank holding companies. I find that banks recognizing larger proportions of fair value assets and liabilities based on level 2 and level 3 inputs are associated with lower discretionary loan loss provisions. However, there is no significant association between level 1 fair value assets and liabilities and discretionary loan loss provisions. When pre-managed earnings are lower, banks with larger proportions of level 2 and level 3 fair value assets and liabilities report smaller discretionary loan loss provisions to inflate earnings. Banks reporting larger proportions of level 2 and level 3 fair value assets and liabilities are more likely to use discretionary loan loss provisions to beat earnings benchmarks and manage tier one capital ratios. Overall, the results support the proposition that fair value assets and liabilities based on level 2 and level 3 inputs are less transparent and are subject to more discretion regarding loan loss provisions.

中文翻译：

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公允价值计量与银行的酌处会计选择之间的关联

摘要这项研究使用2009年至2016年的监管财务数据，对美国公共银行控股公司的样本，研究了公允价值计量与银行的酌处贷款损失准备之间的关联。我发现，基于第2级和第3级投入而认可公允价值资产和负债比例较大的银行，其可自由支配的贷款损失准备金较低。但是，第1级公允价值资产和负债与全权委托贷款损失准备之间没有重大关联。如果预管理收入较低，则具有较高比例的第二级和第三级公允价值资产和负债的银行将报告较小的可自由支配的贷款损失准备金，以充实收益。报告公允价值二级和三级资产和负债比例较大的银行更有可能使用可自由支配的贷款损失准备金来超过收益基准并管理一级资本比率。总体而言，这些结果支持这样的主张，即基于第2级和第3级输入的公允价值资产和负债的透明度较低，并且在贷款损失准备金方面应有更大的自由度。