Purpose

This paper investigates which loan loss provision (LLP) model [International Accounting Standards39 (IAS39) based on incurred losses and Brazilian Central Bank Generally Accepted Accounting Principles (GAAP) based on a mixed model] presents higher quality in terms of predictability, and which model is less susceptible to earnings management practices using LLP.

Design/methodology/approach

To test the difference between the explanatory power of the mixed model and incurred loss model in explaining the LLP, this paper runs a two-stage fixed-effect panel regression model to evaluate the association between LLP of each model and variables representatives of non-discretionary aspects related to the quality of the loan portfolio, business cycles and qualitative evidence indicated in each GAAP. Then, this paper tests the relationship between the errors generated in each regression and the discretion of bank managers and banks’ characteristics.

Findings

This paper finds that the mixed model results in higher R2 demonstrating that the number produced under this regime is more related to observable variables than the number produced under the incurred losses model. Further, this paper finds no evidence that there is a difference in earnings management between the two standards and this paper does not find that banks manage earnings through regulatory capital. Nevertheless, this paper finds that earnings management is higher in private than in listed banks.

Originality/value

This paper takes advantage of the unique feature of the Brazilian Central Bank regulation to investigate the impact of two different accounting standards on LLP in a perfect setting.

中文翻译：

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巴西银行的贷款损失准备金模型

目的

本文研究哪种贷款损失准备（LLP）模型[基于已发生损失的国际会计准则39（IAS39）和基于混合模型的巴西中央银行普遍接受的会计原则（GAAP）]在可预测性方面表现出更高的质量，以及哪种模型不太容易受到使用LLP进行收入管理的影响。

设计/方法/方法

为了检验混合模型和实际损失模型在解释LLP方面的解释能力之间的差异，本文运行了一个两阶段固定效应面板回归模型，以评估每个模型的LLP与代表非随意性变量的变量之间的关联。每个GAAP中指出的与贷款组合质量，业务周期和定性证据有关的方面。然后，本文测试了每次回归中产生的误差与银行经理的自由裁量权和银行特征之间的关系。

发现

本文发现，混合模型会导致R2更高，这表明在此制度下产生的数字与可观察变量相比与在发生损失模型下产生的数字更多地与可观察变量相关。此外，本文没有发现两种标准之间的盈余管理存在差异的证据，并且本文也没有发现银行通过监管资本来管理盈余。尽管如此，本文发现私人企业的收益管理要高于上市银行。

创意/价值

本文利用巴西中央银行法规的独特功能，在完美的环境中研究了两种不同会计准则对有限责任合伙企业的影响。