本篇研究以2009第一季至2012年第二季，215家美國商業銀行之追蹤資料 (panel data)為樣本，並利用固定效果之動態追蹤資料模型及時間序列模型分析檢視美國兩個重要的金融市場:債券市場及信貸市場，兩者之間是否有違約風險資訊傳遞關係。研究結果顯示，銀行盈餘顯著負相關影響呆帳費用金額，代表銀行經理人並無使用呆帳費用平穩化銀行盈餘，而此結果與先前文獻研究不一致，不一致原因是近期會計法規已更加嚴格審視公允價值衡量之準則，用以減少公司盈餘管理程度，使得財務報表更趨允當表達。
此外，公司債債券市場利差顯著正相關影響經理人提列呆帳費用、淨打銷呆帳費用以及銀行不良貸款金額。更深入的解釋，且債券市場利差領先不良貸款四期(四個季度)。不過此結果並未顯示在小規模銀行中，這代表小規模銀行與債券市場連結性較差，所以，一般而言，信貸市場確實隱含債券市場的違約風險資訊。

This study examines 215 commercial banks in U.S. during the period of 2009Q1-2012Q2. This study uses dynamic panel data regression models and time series models to analyze the influence of bond market default risk information on loan market. This study finds that the loan loss provision is negatively impacted by earnings before tax and provision, but positively impacted by spread in the high yield corporate bond market. Moreover, this study finds non-performing loans and net charge-offs of large banks are positively related to changes in spreads in the high yield corporate bond market.
Our major findings are as follows: (1) there is no evidence of earnings management via the loan loss provision/loan loss reserve. (2) As it turns out, large banks executives recognize loan loss provision/loan loss reserve based on default risk of bond market, but not for small banks.

Ahmed, A.S., Takeda, C. and Thomas, S., 1999. Bank loan loss provisions: a reexamination of capital management, earnings management and signaling effects. Journal of Accounting and Economics, 28, 1-25.

Anderson, T., and C. Hsiao., 1981. Estimation of dynamic models with error components. Journal of the American Statistical Association, 76, 598-606.

Angbazo, L.A., Mei, J. and Saunders, A., 1998. Credit spreads in the market for highly leveraged transaction loans, Journal of Banking and Finance, 22, 1249-1282.

Balla, E. and McKenna, A., 2009. Dynamic provisioning: a countercyclical tool for loan loss reserves. Economic Quarterly, 95, 383-418.

Balla, E., Rose, M.J. and Romero, J., 2012. Loan loss reserve accounting and bank behavior. The Federal Reserve Bank of Richmond, EB12-03.

Beatty, A. and Liao, S., 2010. Do delays in expected loss recognition affect bank’s willingness to lend? Journal of Accounting and Economics, 52, 1-20.

Beaver, W.H. and Engel, E.E., 1996. Discretionary behavior with respect to allowances for loan losses and the behavior of security prices. Journal of Accounting and Economics, 22, 177-206.

Blundell, R. and Bond, S., 1998, Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 115-143.

Bruche, M. and González-Aguado, C., 2009. Recovery rates, default probabilities, and the credit cycle. Journal of Banking and Finance, 34, 754-764.

Coudert, V. and Gex, M., 2010. Credit default swap and bond markets: which leads the other? Financial Stability Review, 14, 161-167.

Cohen, L.J., Cornett, M.M, Marcus, A.J. and Tehranian, H., 2012. Bank earnings management and tail risk during the financial crisis. Journal of Money, Credit and Banking, 46, 171-197.

D’Agostino, A. and Ehrmann,M., 2012. The pricing of G7 sovereign bond spreads the times, they are a-changin. European Central Bank, Working Paper Series, No.1520.

Dermine, J. and Carvalho, C.N., 2006. Bank loan losses-given-default: A case study. Journal of Banking and Finance, 30, 1219-1243.

Diamond, D.W., 1984. Financial intermediation and delegated monitoring. The Review of Economic Studies, 51, 393-414.

Elliott, J.A., Hanna, J.D. and Shaw, W.H., 1991. The evaluation by the financial markets of changes in bank loan loss reserve levels. The Accounting Review, 66, 847-861.

Gertler, M. and Lown, C.S., 1999. The Information in the high-yield bond spread for the business cycle: evidence and some implications. Oxford Review of Economic Policy, 15, 132-150.

Grammatikos, T. and Ssunders, A., 1990. Additions to bank loan-loss reserves: good news or bad news? Journal of Monetary Economics, 25, 289-304.

Hasan, I. and Wall, J.D., 2004. Determinants of the loan loss allowance: some cross-country comparisons. The Financial Review, 39, 129-152.

Huang, J.Z. and Huang, M., 2002. How much of the corporate-treasury yield spread is due to credit risk? Review of Asset Pricing Studies, 2, 153-202.

Kanagaretnam, K., Krishnan, G.V. and Lobo, G.J., 2009. Is the market valuation of banks’ loan loss provision conditional on auditor reputation? Journal of Banking and Finance, 33, 1039-1047.

Laeven, L. and Majnoni, G., 2003. Loan loss provisioning and economic slowdowns: too much, too late? Journal of Financial Intermediation, 12, 178-197.

Liu, C.C., Ryan, S.G. and Wahlen, J.M., 1997. Differential valuation implications of loan loss provisions across banks and fiscal quarters. The Accounting Review, 72, 133-146.

Lobo, G.J., and Yang, D.H., 2001. Bank Managers’ heterogeneous decisions on discretionary loan loss provisions. Review of Quantitative Finance and Accounting, 16, 223-250.

Longstaff, F.A., Mithal, S. and Neis, e., 2005. Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60, 2213-2253.

Molenaar, J.A., 2010. Accounting conservatism and earnings management in the banking industry. Master's Thesis, Erasmus School of Economics, Dept. Accounting Auditing & Control.

Saurina, J. and Jimenez, G., 2006. Credit cycles, credit risk, and prudential regulation.International Journal of Central Banking, 2, 65-98.

Saurina, J., 2009. Loan loss provisions in Spain. A working macroprudential tool. Revista de Estabilidad Financiera, 17, 10-26.

Walter, J.R., 1991. Loan loss reserve. Economic Review, 77, 20-30.

Wang, Alan T., 2014. The information content of loan loss reserves for U.S. commercial banks. Working paper, National Cheng Kung University.