은행의 대손충당금 추정 변경과 경기순응성

This study attempts to analyze whether the recognition of loan loss provision under IFRS has a procyclicality based on the methodology used in each IAS 39 and IFRS 9. To this end, we in this study use the quarterly data for eight years from the first quarter 2014 to the third quarter 2021 for the fourteen domestic banks. Domestic banks introduced the International Accounting Standards in 2011 and have recorded the loan loss provisions applying the concept of incurred loss model according to the IAS 39 since 2011 and have expected the credit loss model according to IFRS 9 since 2018. IFRS 9, based on the expected credit model, was introduced to achieve a less effect on the bank’s loan loss expense and allowance, and eventually have a less effect on the amount of loans under the fluctuating economic circumstances. In this study, no evidence is found as to whether banks implementing IFRS 9 using the expected credit loss model have a less procyclicality. Our regressions on EBT, GDP growth rate, employment rate, substandard-and-below growth rate and loan loss provision sometimes show a significant procyclical relationship. Following the sample periods of this study, the economic environment is expected to fluctuate significantly due to interest rate hikes and economic recession. It would be a good avenue for a future study to examine whether the banks' recognition of loan loss provisions are procyclical.