摘要：The current debate on the possible procyclicality of the new Basel Accord pays little attention to
the procyclicality created by unsound loan loss provisioning. This paper investigates how bank
provisioning behaviour is related to the business cycle, using 8,000 bank-year observations from
29 OECD countries over the past decade. Provisioning turns out to be substantially higher when
GDP growth is lower, reflecting increased riskiness of the credit portfolio when the business
cycle turns downwards, which also increases the risk of a credit crunch. This effect is mitigated
somewhat as provisions rise in times when earnings are higher, suggesting income smoothing,
and loan growth is higher, indicating increased riskiness.
关键词：banks, loan loss provisioning, lending, credit crunch, business cycle, procyclicality,
income smoothing, capital management;
