全球智库信息集成服务系统(G2TT): DP10450 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10450
	DP10450 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
	Andrew Ellul; Christian T Lundblad; Chotibhak Jotikasthira
发表日期	2015-03-01
出版年	2015
语种	英语
摘要	We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions? trading behavior. The insurance industry provides a natural laboratory to explore these interactions since significant differences exist in regulatory accounting rules: (1) life insurers have greater flexibility to hold speculative-grade assets under HCA than property and casualty insurers, which are required to use MTM, and (2) the degree to which life insurers have to recognize market value through impairment differs across U.S. states. In the context of the sizeable downgrades of asset-backed securities (ABS) during the 2007-2009 financial crisis, we show that insurers facing MTM are more likely to sell the downgraded ABS than insurers holding these assets under HCA. To improve their capital positions, insurers facing HCA disproportionately resort to gains trading, selectively selling their corporate and government bond holdings with the highest unrealized gains. This trading behavior transmits shocks across otherwise unrelated markets.
主题	Financial Economics
关键词	Regulation Mark to market Historical cost accounting Gains trading Fire sales Asset-backed securities (abs) Corporate bonds Insurance companies
URL	https://cepr.org/publications/dp10450
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539282
推荐引用方式 GB/T 7714	Andrew Ellul,Christian T Lundblad,Chotibhak Jotikasthira. DP10450 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading. 2015.