本研究以實證模型探討公允價值會計是否產生沉淪性循環 (Downward Spiral)，並使金融危機惡化。Laux and Leuz (2009) 敘述公允價值會計產生沉淪性循環，需具備兩條件：一為資產公允價值下跌將迫使銀行快速出售資產，一為較低之出售價格再行誘發同業快速出售資產，進而對整體市場價格造成影響，本研究依循此架構進行實證。研究結果發現，未區分證券之風險特性下，銀行因證券公允價值變動而產生之交易行為未符合沉淪性循環效果之第一條件；但以風險加權衡量後，銀行調整高風險權重證券持有部位之行為與沉淪性循環效果之第一條件一致；即使資本適足率較高、公允價值變動對其較不具威脅性之銀行，亦具有此行為。

本研究亦追蹤銀行所持有之證券公允價值變動及其產生之行為，對於市場波動之影響，惟統計顯著性受限於銀行所持有證券之公允價值變動以及其行為，僅能從季財務報表中獲得，未能取得更密集之資料。研究結果顯示公允價值變動與市場隱含波動率及實際波動率呈負相關，顯示當公允價值提高，市場波動率下降，資產價格上升，反之亦然。呼應第一階段研究結果，未區分證券風險特性下，銀行之交易行為對於市場之波動無一致之影響，但調整高風險權重證券持有部位之行為與市場隱含波動率及實際波動率亦一致呈負相關，顯示銀行面臨證券公允價值變動之狀況下，正向調整其高風險權重證券持有部位之行為，對市場造成之影響與沉淪性循環相符。

This study developed empirical models to test whether fair value accounting created the downward spiral that aggravates the financial crisis. The research framework followed the two tide-up for downward spiral summarized by Laux and Leuz (2009): First, fair value decrease would force banks to offload assets. Second, the low selling prices are contagious to other banks, which further creates more offloading and affects market price of capital assets. The results suggest that banks’ transaction adjustment behavior responding to fair value changes corresponds less to the first tide-up, but the risk-taking behavior does. Even well-capitalized banks have risk-taking behavior that potentially creates the downward spiral.

We also pursue market consequences of fair value changes and banks’ behavior, although the statistical significances were quite limited by the quarterly data, which is not frequent enough to evaluate the volatility changes. We find fair value changes are negatively related to the implied and actual volatilities, which suggests that fair value increase is followed by volatility decrease and further boosts up market prices of capital assets, and vice versa. Corresponding to the finding in stage 1, transaction adjustment behavior is less possible to create downward spiral, instead, banks’ risk-taking behavior is negatively related with market volatility. This gives some evidences that when banks adjust risk-taking among securities positively with fair value changes, the effects to the market are consistent with the downward spiral.

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