Makroekonomiczne czynniki dotyczące not, nastawienia oraz trendów ratingów kredytowych krajów strefy euro

• Autorzy: Patrycja Chodnicka-Jaworska

Warianty tytułu

Macroeconomic factors of notes, watch lists and trends of credit ratings Eurozone countries

• Języki publikacji: PL

Abstrakty

Celem artykułu jest analiza zmiennych makroekonomicznych ratingów kredytowych krajów strefy euro, ich nastawienia oraz trendów. Przeprowadzono badania literatury i przeanalizowano metodologię ratingów kredytowych prezentowaną przez agencję Standard & Poor oraz Moody Investor Service. Postawiono hipotezę badawczą: wysoki poziom rozwoju gospodarczego, stabilna gospodarka oraz rynek finansowy korzystnie wpływają na credit rating kraju. Analiza została przygotowana na danych dla lat 2000-2015. Do badania wykorzystywano długoterminowe ratingi kredytowe emitenta sporządzane przez agencję Standard & Poor Investor Service, które pozyskano z bazy danych Thomson Reuters. Ratingi kredytowe zdekodowano liniowo na zmienne liczbowe. Jako zmienne zależne wykorzystano dane makroekonomiczne, tj.: PKB per capita, wzrost PKB, stopę inflacji, deficyt budżetowy, saldo na rachunku obrotów bieżących, poziom zadłużenia zagranicznego do PKB oraz rezerwy walutowe. Aby zweryfikować hipotezę, zastosowano statyczne i dynamiczne modele panelowe(abstrakt oryginalny)

EN

The goal of the article is to analyze the macroeconomic variables of credit ratings, their watch lists and adjustments given the Eurozone countries. There are prepared literature researches and analyzed the credit ratings methodology presented by Standard & Poor's and Moody's Investor Service. It has been put a hypothesis: The high level of development and stable of the economy and financial markets have a positive effect on the country's credit rating. The analysis has been prepared for 2000-2015 period of time. To the research are used long term issuer credit ratings proposed by Standard & Poor's Investor Service, collected form the Thomson Reuters database. Credit ratings are decomposed linearly on numerical variables. As a dependent variables are used macroeconomic data, for example: GDP per capita, GDP growth, inflation rate, budget deficit, balance on current account, external debt to GDP and foreign exchange reserves. To verify the hypothesis are used static and dynamic panel data models(original abstract)

Słowa kluczowe

PL

Strefa euro; Makroekonomia; Produkt krajowy brutto (PKB); Modele panelowe

EN

Eurozone; Macroeconomics; Gross domestic product (GDP); Panel model

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2016
• Numer: nr 41
• Strony: 109--126

Twórcy

autor

Patrycja Chodnicka-Jaworska

• Uniwersytet Warszawski

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