PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2017 | nr 3 (68) | 39--58
Tytuł artykułu

Wpływ credit ratingu inwestorów na rating banków europejskich

Warianty tytułu
Impact of Investors Credit Ratings on Credit Ratings of European Banks
Języki publikacji
PL
Abstrakty
Celem pracy stało się zbadanie wpływu determinant finansowych, w tym wpływu credit ratingu inwestorów, na credit ratingi banków. Dokonano przeglądu literaturowego i na jego podstawie postawiono następującą hipotezę: credit rating banków uzależniony jest od kondycji finansowej ocenianego podmiotu oraz credit ratingu głównych inwestorów. Do zweryfikowania postawionej hipotezy badawczej wykorzystano uporządkowane logitowe modele panelowe. Badanie przeprowadzono na bankach europejskich, które miały nadany rating długoterminowy przez trzy największe agencje, tj. Fitch, Moody i S&P. Do analizy wykorzystano dane kwartalne dla lat 1998-2016. Okazało się, że credit rating banku determinowany jest przede wszystkim wskaźnikami adekwatności kapitałowej i jakości aktywów. Istotny statystycznie wpływ wywiera credit rating kraju, w jakim dany bank funkcjonuje. Credit rating banku determinowany jest obecnością rządu jako jednego z inwestorów (rating Moody ulega obniżce, podczas gdy S&P się poprawia) oraz ratingiem akcjonariuszy. (abstrakt oryginalny)
EN
The aim of the study is to examine the impact of financial determinants, including the impact of the investors credit ratings, on banks credit ratings. Having made a literature review and the following hypothesis has been put: The bank's credit rating depends on the financial condition of the rated entity and the credit ratings of the major investors. The logit panel data models were used to verify the hypothesis. The study was conducted at European banks, which have received the long-term ratings by the three largest agencies, Fitch, Moody, and S&P. The analysis used the quarterly data for the years 1998-2016. It turned out that the bank's credit rating was determined by capital adequacy ratios and asset quality. The credit rating of the country, where the bank operates, is significant. The bank's credit rating is determined by the presence of the government as one of investors (Moody's rating downgrades while S&P is improving) and shareholder. (original abstract)
Czasopismo
Rocznik
Numer
Strony
39--58
Opis fizyczny
Twórcy
  • Uniwersytet Warszawski
Bibliografia
  • Anginer D., Cerutti E., Martinez Peria M.S., Foreign Bank Subsidiaries' Default Risk during the Global Crisis: What Factors Help Insulate Affiliates from their Parents?, "IMF Working Paper" 2016, nr WP/16/109.
  • Auh J.K., Procyclical Credit Rating Policy, "World Bank Working Papers" 2013.
  • Bar-Isaac H., Shapiro J., Ratings quality over the business cycle, "Journal of Financial Economics" 2013, nr 108(1).
  • Barth J., Caprio G., Levine R., Bank regulation and supervision: what works best?, "Journal of Financial Intermediation" 2004, nr 13(2).
  • Bellotti T., Matousek R., Stewart C., A note comparing support vector machines and ordered choice models' predictions of international banks' rating, "Decision Support Systems"2011, nr 51(3), June, 682-678.
  • Bellotti T., Matousek R., Stewart C., Are rating agencies' assignments opaque? Evidence from international banks, "Expert Systems with Applications" 2011, nr 38(4), April, 4206-4214.
  • Bissoondoyal-Bheenick E., Treepongkaruna S., An analysis of the determinants of bank ratings: comparison across ratings agencies, "Australian Journal of Management" 2011, nr 36(3).
  • Cerutti E., Claessens S., The Great Cross-Border Bank Deleveraging: Supply Side Characteristics and Intra-Group Frictions, "Review of Finance" 2016.
  • Cetorelli N., Golberg L., Liquidity management of U.S. global banks: Internal capital markets in the Great Recession, "Journal of International Economics" 2012, nr 88(2).
  • Chodnicka-Jaworska P., Banks credit ratings - is the size of the credit rating agency important?, 2016.
  • Chodnicka-Jaworska P., Zjawisko inflacji credit ratingów - czy występują różnice w determinantach credit ratingów?, "Studia i Materia􀃯y" 2016.
  • Chodnicka-Jaworska P., Zarządzanie agencjami ratingowymi - zmodyfikowany model emitent płaci, "Folia Oeconomica" [w druku].
  • Choi M., Martinez Peria M.S., Gutierrez E., Dissecting foreign bank lending behaviour during the 2008-2009 Crisis, "World Bank Policy Research Working Paper" 2013, nr 6674.
  • Claessens S., Van Horen N., Impact of foreign banks, "Journal of Financial Perspectives" 2013, nr 1(1).
  • Cole R.A., White L.J., Déjà Vu all over again: The causes of U.S. commercial bank failures this time around, "Journal of Financial Services Research" 2012, nr 42.
  • Cordella T., Yeyati E., Bank bailouts: moral hazard vs. value effect, "Journal of Financial Intermediation" 2003, nr 12.
  • De Haas R., Van Horen N., Running for the exit? International bank lending during a financial crisis, "Review of Financial Studies" 2013, nr 26(1).
  • De Haas R., Van Lelyveld I., Internal capital market and lending by multinational bank subsidiaries, "Journal of Financial Intermediation" 2010, nr 19.
  • De Haas R., Van Lelyveld I., Multinational Banks and the Global Financial Crisis: Weathering the Perfect Storm?, "Journal of Money, Credit and Banking" 2014, nr 46.
  • Duchin R., Sosyura D., Safer ratios, riskier portfolios: Banks' response to government aid, "Journal of Financial Economics" 2014, nr 113(1).
  • English W.B., Nelson W.R., Bank Risk Rating of Business Loan, "Federal Reserve System Working Paper" 1998.
  • Ferri G., Liu L.G., Stiglitz J.E., The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, "Economic Notes" 1999, 28(3).
  • Estrella A., Park S., Peristiani S., Capital Ratios as Predictors of Bank Failure, "FRBNY Economic Policy Review", 2000, nr July.
  • Freitag L., Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe, "Economic Notes" 2015, 44(2).
  • Goodhart C., Huang H., A model of the lender of last resort, "IMF Paper" 1999, nr 99/29.
  • Hassan O.A.G., Barrell R., Accounting for the determinants of banks' credit ratings, "Brunel University of London Economics and Finance Working Paper Series" 2013, nr 13-02.
  • Hau H., Langfield S., Marques-Ibanez D., Bank ratings what determines their quality?, "EBC Working Paper Series" 2012, nr 1484, October.
  • Jacobson T., Lindé J., Roszbach K., Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies, "Journal of Banking & Finance", 2006, nr 30(7).
  • Karminsky A.M., Khromova E., Extended Modeling of Banks' Credit Ratings, "Procedia Computer Science" 2016, nr 91.
  • Kiff J., Kisser M., Schumacher L., Rating Through-the-Cycle: What does the Concept Imply for Rating Stability and Accuracy?, "IMF Working Paper" 2013, nr WP/13/64.
  • La Porta R., Lopez-De-Silanes F., Shleifer A., Government Ownership of Banks, "Journal of Finance" 2002, nr 57(1).
  • Levine R., The governance of financial regulation: reform lessons from the recent crisis, "International Review of Finance" 2012, nr 12.
  • Loffer G., Can rating agencies look through the cycle?, "Review of Quantitative Finance and Accounting" 2013, nr 40(4).
  • Mailath G., Mester L., A positive analysis of bank closure, "Journal of Financial Intermediation" 1994, nr 3.
  • Nakamura L.I., Roszbach K., Credit Ratings, Private Information, and Bank Monitoring Ability, "Working paper" 2016.
  • Nicolo De G., Kwast M.L., Systemic risk and financial consolidation: are they related?, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.), nr 2001-33.
  • Öğüt H., Doğanay M.M., Ceylan N.B., Aktaş R., Prediction of bank financial strength ratings: The case of Turkey, "Economic Modelling" 2012, nr 29.
  • Pagratis S., Stringa M., Modelling bank credit ratings: A structural approach to Moody's credit risk assessment, Working paper 2007.
  • Penati A., Protopapadakis A., The effect of implicit deposit insurance on banks' portfolio choices with an application to international 'overexposure', "Journal of Monetary Economics" 1988, nr 21(1).
  • Poon W.P.H., Firth M., Fung H., A multivariate analysis of the determinants of Moody's bank financial strength ratings, "Journal of International Financial Markets, Institutions and Money" 1999, nr 9(3).
  • Poon W., Lee J., Gup B.E., Do solicitations matter in bank credit ratings? Results from a study of 72 countries, "Journal of Money, Credit and Banking" 2009, nr 41.
  • Shen C., Huang Y., Hasan I., Asymmetric benchmarking in bank credit rating, Journal of International Financial Markets, "Institutions & Money" 2012, nr 22.
  • Treacy W.F., Carey M., Credit risk rating systems at large US banks, "Journal of Banking & Finance" 2000, nr 24.
  • Veronesi P., Zingales L., Paulson's gift, "Journal of Financial Economics" 2010, nr 97.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171498313

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.