公允价值在我国应用现状及问题分析—毕业论文外文资料翻译.doc

毕业论文外文资料翻译题 目 公允价值在我国应用现状及问题分析 学 院 管理学院 专 业 会计学 班 级 会计0903 学 生 学 号 指导教师 二一 三 年 四 月十五日National Bureau of Economic Research,2009,11.DID FAIR-VALUE ACCOUNTING CONTRIBUTE TO THE FINANCIAL CRISIS?ABSTRACT：The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we assess these arguments and examine the role of fair-value accounting in the financial crisis using descriptive data and empirical evidence. Based on our analysis, it is unlikely that fair-value accounting added to the severity of the current financial crisis in a major way. While there may have been downward spirals or asset-fire sales in certain markets, we find little evidence that these effects are the result of fair-value accounting.We also find little support for claims that fair-value accounting leads to excessive write-downs of banks assets. If anything, empirical evidence to date points in the opposite direction, that is, towards overvaluation of bank assets.Keywords: fair value; financial crisis; application of fair value; ProcyclicalityIn its pure form, fair-value accounting involves reporting assets and liabilities on the balance sheet at fair value and recognizing changes in fair value as gains and losses in the income statement. When market prices are used to determine fair value, fair-value accounting is also called mark-to-market accounting. Critics argue that fair-value accounting has exacerbated the severity of the 2008 financial crisis. In this paper, we evaluate the merits of this claim.The main allegations are that fair-value accounting contributes to excessive leverage in boom periods and leads to excessive write-downs in busts. The write-downs deplete bank capital and can set off a downward spiral, as banks are forced to sell assets at “fire sale” prices, which in turn can lead to contagion as prices from asset-fire sales become relevant for other banks.1 In much of the debate, these arguments are taken for granted and specific evidence of how fair-value accounting has created problems during the crisis is rarely provided.We discuss these arguments and examine descriptive and empirical evidence that sheds light on the role of fair-value accounting in the crisis. While it is clear that large losses can cause problems for banks, the relevant question for our article is whether reporting these losses under fair-value accounting creates additional problems. Similarly, it is clear that determining fair values for illiquid assets in a crisis is difficult, but did reporting fair values of illiquid assets make matters worse? Would the market have reacted differently if banks had not reported their losses or used a different set of accounting rules, for instance, historical-cost accounting? If not, it is difficult to argue that fair-value accounting per se contributed to the crisisFurthermore, downward spirals can arise because contracts (e.g., margin and collateral requirements, haircuts) are based on market values or because banks use market values to manage their business (e.g., Value at Risk techniques). It is easy to confuse problems that stem from using market prices in private arrangements with problems from using market values in accounting. Thus, it is important to be specific about the links through which write-downs under fair-value accounting can create problems, be it capital regulation, contracts, a fixation on accounting numbers by managers or investors, or inefficient markets.We begin our analysis by explaining in more detail how pure mark-to-market accounting can cause problems in a crisis. We then outline extant accounting rules for banks key assets. It is important to recognize that fair-value accounting as stipulated by the accounting rules is different from pure mark-to-market accounting. Extant rules allow banks to deviate from market prices under certain circumstances. Moreover, not all fair value changes enter the computation of banks regulatory capital. These provisions should act as safeguards, making downward spirals and contagion less likely to occur as compared to pure mark-to-market accounting.After this background information on how fair-value accounting actually works, we examine possible mechanisms through which fair-value accounting could have contributed to the financial crisis. We consider several questions: Did fair-value accounting contribute to the problems of investment funds that invested in mortgage-backed securities, and thus contributed to the demise of financial institutions like investment banks that issued those funds? Did fair-value accounting weaken bank holding companies or investment banks in other ways? Is there evidence that banks made use of the safeguards and discretion in fair-value accounting rules and deviated from potentially distorted market prices? Is there evidence that fair-value accounting led to excessive write-downs of financial assets?Based on our analysis and the available evidence, it is unlikely that fair-value accounting added to the severity of the financial crisis. The crisis started when housing prices declined and delinquency and default rates increased. Uncertainty and information asymmetry dried up the refinancing and repo markets, which were crucial for investment funds, investment banks, and several large bank holding companies. Clearly, these events and the severe illiquidity of many markets posed serious challenges in determining fair values of financial assets. But while there likely have been downward spirals and asset-fire sales, there is little evidence that spirals or fire sales occurred as a direct result of fair-value accounting or that fair-value accounting led to widespread contagion. The business model of investment funds and investment banks is based on market values and hence fair-value accounting is not an option, it is a necessity. More importantly, investors would have been concerned about investment banks (or funds) with substantial (subprime) mortgage exposure, even if they had not written down mortgage-related assets and simply reported them at historical cost. We therefore have little reason to believe that problems would have been less severe under historical cost accounting, which is generally viewed as the primary alternative to fair-value accounting. If anything, less transparency would have made matters worse. For bank holding companies, the concerns about fair-value accounting have more merit because they do not rely on investors (or managers) reactions to the disclosure of fair-value information, but instead can be based on the use of accounting numbers for regulatory capital requirements. But even considering this link, it is unlikely that fair-value accounting exaggerated banks problems in the crisis. First, the impact of fair value changes on bank income and regulatory capital is much more limited than often claimed, perhaps with the exception of a few banks with large trading positions. Second, we provide evidence that bank holding companies (aswell as investment banks) made ample use of the safeguards and discretion built into fair-value accounting. For instance, many banks with substantial real-estate exposure and large trading portfolios used cash-flow-based models to value their mortgage-related securities by the third or fourth quarter of 2007. The notion that marking to market prices was widespread among U.S. banks is simply a myth as far as mortgage-related securities are concerned.Finally, we examine banks reported values relative to various benchmarks, including share prices and loss estimates by external parties. We find little empirical evidence that banks reported fair values suffer from excessive write-downs or undervaluation in 2008, which in turn could have contributed to downward spirals and contagion. If anything, the evidence points in the opposite direction, that is, towards overvaluation, in particular, for assets for which banks have more discretion in determining fair value.In the conclusion, we point out that, while the claim that fair-value accounting exacerbated the financial crisis appears to be largely unfounded, our study should be interpreted cautiously and not be viewed as advocating an extended use of fair values. It is possible that the role of fair value accounting was limited precisely because its use on banks balance sheets and its relevance for capital requirements were limited. Thus, we need more research on fair-value accounting and, in particular, more empirical evidence to guide regulatory actions or reforms of the accounting rules. Moreover, it is important to recognize that standard setters and bank regulators face many subtle tradeoffs. For instance, even if fair-value accounting were to cause downward spirals and contagion, these negative effects during a crisis have to be weighed against positive effects that fair-value accounting and timely loss recognition likely have, by forcing banks to take prompt corrective actions and by limiting imprudent lending ex ante. ConclusionMany have called for a suspension or substantial reform of fair-value accounting because it is perceived to have contributed to the severity of the 2008 financial crisis. This criticism and the ensuing political interference by the European Commission and U.S. congress have put considerable pressure on the accounting standard setters to relax the rules.Based on existing evidence, we have little reason to believe that fair-value accounting contributed to banks problems in the financial crisis. Fair values play only a limited role for banks income statements and regulatory capital ratios, except for a few banks with large trading positions. For these banks, investors would have worried about exposures to subprime mortgages and made their own judgments, even in the absence of fair-value disclosures. Moreover, extant rules have various safeguards and offer substantial discretion to banks, which allows them to avoid marking to distorted market prices. Banks used this flexibility during the crisis. There is also little evidence that prices were in fact distorted due to asset-fire sales or that banks were forced to take excessive write-downs during the crisis.AcknowledgementsWe appreciate helpful comments from David Autor,Chad Jones,Hal Scott,Andrei Shleifer,Doug Skinner,Timothy Taylor,workshop participants at the University of Chicago as well as helpful conversations with Jacob Goldfield,Peter Goldschmidt (PwC),Timothy Schott (KPMG),and Timo Willershausen.We thank Denis Echtchenko,Frank Li and,in particular,Ashish Shenoy for their excellent research assistance.Christian Laux gratefully acknowledges the hospitality at the University of Chicago Booth School of Business, which he visited while the paper was written,and research funding provided by the Center for Financial Studies (CFS) at the Goethe-University Frankfurt.Christian Leuz gratefully acknowledges the support by the Neubauer Family Faculty Fellowship and the Initiative on Global Markets (IGM) at the University of Chicago Booth School of Business.公允价值会计会导致金融危机?美国经济研究局摘要：最近的金融危机已导致有关公允价值会计的大辩论。许多评论家认为，公允价值会计，通常也被称为市场核算，已大大促进金融危机，或者至少加剧其严重性。在本文中，我们评估这些论点和研究使用描述性的数据和实证公允价值会计在金融危机中的作用。根据我们的分析，这是不可能的。公允价值会计的主要方式目前在金融危机的严重性，虽然有可能已经在某些市场上的引起恶性循环或资产销售。但是，我们发现几乎没有证据表明，这些公允价值的负面影响。结果还可以找到一点支持的理由，公允价值会计导致过度冲减银行的资产。如果有的话，迄今在向相反的方向，那就是对高估银行资产的经验证据。关键词：公允价值；金融危机；公允价值应用；顺周期效应在一般的形式下，公允价值会计涉及以公允价值在资产负债表上确认的资产，在利润表中确认公允价值变动收益和损失。当市场价格用于确定公允价值，公允价值会计也被称为市场会计。批评者认为，公允价值会计加剧了2008年金融危机的严重性。在本文中，我们评估这一说法。主要指控的是，公允价值会计在经济繁荣时期的过度杠杆作用，在经济萧条中，冲减消耗银行的资本和可以掀起了螺旋式下降，银行被以“甩卖”的价格迫出售资产，这反过来又可以导致作为资产销售价格成为传染其他银行。在有关辩论中，很少提供公允价值导致金融危机的理所当然的参数和具体的证据证明。我们讨论这些论点和研究公平价值会计在危机中的作用，揭示光的描述和实证。虽然这是大的损失，可能会导致银行的问题，我们的文章相关的问题是会计报告根据这些公允价值损失是否造成其他问题。同样的，它是明确的，非流动性资产的公允价值确定在危机中是很难的，但没有报告非流动性资产的公允价值使事情变得更糟吗？市场有不同的反应，如果银行没有报道他们的损失，或使用不同的会计规则集，例如，历史成本会计？如果不是，它是很难说，公允价值会计本身危机作出了贡献。我们讨论了这些参数，检验描述性和实证证据，表明了公允价值会计在危机中发挥的作用。显而易见，大量的资产减值导致金融界的危机，我们文章提及的问题是在公允价值会计下是否披露这些减值造成了附加问题。同样的，在金融危机中以公允价值确认流动资产，显然是困难的，但是以公允价值确认流动资产会导致时态更加严重吗？如果银行没有报道他们的损失，或使用不同的会计规则，市场有不同的反应。比如，历史成本会计？如果不是，很难说公允价值本身在金融危机中做出了贡献。此外,因为合同能产生向下的螺旋(例如,边缘和抵押要求)是基于市场价值或由于银行使用的市场价值来处理他们的业务(例如,风险值技术)。很容易混淆的问题,利用市场价格，这些源于私人安排使用市场价值问题的会计师。因此,它是最重要的环节,通过具体的关于资产公允价值会计可以创建问题下,资本监管、合同、固定在会计数字或被管理者的投资者,或者没有有效的市场。我们开始我们的分析，更详细的解释，纯市场会计如何导致危机的问题。然后，我们勾勒出银行的主要资产现存的会计规则。最重要的是要认识到公允价值会计的会计准则规定的不同于纯以市值计价会计。现存的规则允许银行在某些情况下，市场价格偏离。此外，并非所有的公允价值变动进入银行的监管资本计算。这些规定应作为保障，使向下螺旋和蔓延相比纯市场会计不太可能发生。在公允价值会计实际工作的背景资料下，我们审视公允价值会计可能导致金融危机的可能机制。我们考虑几个问题：公允价值会计对投资基金，投资于抵押贷款支持证券的问题，从而导致发出这些资金的投资银行等金融机构的消亡吗？公允价值会计削弱银行控股公司或投资银行，在其他方面呢？是否有证据证明银行保障和公允价值会计准则的自由裁量权的使用，从潜在的扭曲市场价格的偏离？有证据证明导致过度的金融资产冲减的公允价值会计吗？基于我们的分析，现有的证据是不可能证明公允价值会计在金融危机中的严重性的。危机开始时，住房价格下跌以及拖欠和违约率增加，信息不确定性不对称性，导致企业再融资和回购市场，投资基金、投资银行和几家大型银行控股公司，是至关重要的。显然，这些事件和许多市场严重缺乏流动性金融资产的公允价值确定构成严重的挑战。但同时有可能一直向下螺旋和消防资产销售，很少有证据证明螺旋下降或火灾销售作为作为公允价值的会计或导致公允价值会计黑洞广泛蔓延直接发生的原因。商务模式的投资基金和投资银行是基于市场价值,因此公允价值会计不是一个选择,它是非常必要的。更重要的是,投资者可能开始担心投资银行(或资金)有坚实的次级抵押暴露,即使他们还没有写下来与抵押贷款相关的资产和简单的报道他们在历史成本计价。所以我们几乎没有理由相信会一直不太严重的问题在历史成本核算,这是通常视为公允价值会计的基本选择。如果有什么区别的话,不透明度会使事情变得更糟。银行控股公司有关公允价值会计的关注，有更多的好处，因为他们不依赖于投资者（或经理）的公允价值信息披露的反应，而是可以根据使用的会计数字监管资本要求。但是，即使考虑这个环节，也是不可能的，公允价值会计夸张银行在危机中的问题。首先，银行的收入和监管资本的公允价值变动的影响比通常声称有限得多，除少数银行与大型交易位置。第二，我们提供的证据表明，银行控股公司（投资银行aswell）内置到公允价值会计的保障和自由裁量权的大量使用。例如，许多银行有大量的房地产曝光组合和使用由2007年的第三或第四季度的现金流为基础的模型，珍惜他们的抵押贷款相关证券的大宗交易。标记，以市场价格为美国银行之间的广泛的概念仅仅是尽可能抵押贷款相关证券有关的神话。最后，我们考察银行的报告各项指标，包括股票价格和外部各方的损失估计的相对值。我们找到一点实证，银行的公允价值在2008年遭受过度冲减或低估，进而可能导致恶性循环和蔓延。如果有任何证据指向相反的方向，也就是说，对资产的高估，特别是银行在确定公允价值有更多的自由裁量权的资产。在结论中，我们指出，公允价值会计的说法，加剧了金融危机而出现，很大程度上是毫无根据的，我们的研究应谨慎解释，而不是被提倡使用公允价值的扩展浏览。这是可能的，公允价值会计的作用是有限的，正是因为其对银行的资产负债表及其相关资本要求使用受到限制。因此，我们需要更多的研究，特别是更多的经验证据来指导监管行为或会计规则的改革和公允价值会计。此外，重要的是要认识到，标准的制定者和银行监管机构面临着许多微妙的权衡。例如，即使是公允价值会计，造成恶性循环和蔓延，在危机期间这些负面影响，必须对损失公允价值会计和及时识别可能有积极的影响权衡，迫使银行迅速采取纠正措施并通过限制不谨慎的贷款事前。结论许多人呼吁暂停或公允价值会计的重大改革，因为它被认为促成了2008年金融危机的严重性。这个由欧洲委员会和美国国会的批评和随之而来的政治干预，把相当大的压力，放松对会计准则制定规则基于现有证据，我们有什么理由相信，公平价值会计，银行在金融危机问题作出了贡献。公允价值只能发挥银行的收入报表和监管资本比率的作用有限，除少数银行与大型交易头寸。对于这些银行，投资者会担心次级抵押贷款的风险，并作出自己的判断，甚至在没有公允价值的披露。此外，现存的规则有不同的保障，并提供大量的自由裁量权，以银行，这使得他们能够避免标记，以扭曲的市场价格。银行在金融危机期间使用了这种灵活性。还有价格，由于火资产销售或银行歪曲的事实没有证据被迫在危机期间采取的过度冲减。致谢我们对此表示赞赏，安德烈·施莱弗，哈尔·斯科特大卫，乍得琼斯，道格·斯金纳，蒂莫西·泰勒，在美国芝加哥大学研讨会的与会者以及有益的对话与金丰雅各，彼得·施密特（PWC），蒂莫西·肖特（KPMG）的有益的意见，和蒂莫的（PWC）。我们感谢丹尼斯，弗兰克·李，特别是其优秀的科研援助ASHISH谢诺伊。基督教LAUX感谢在芝加哥布斯商学院，并在法兰克福歌德大学金融研究中心（中心）提供的研究经费的大学的热情好客。基督教Leuz感激承认由纽鲍尔家庭教师联谊会和在芝加哥大学布斯商学院（IGM）在全球市场上的倡议的支持。待添加的隐藏文字内容3