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2018 | nr 2 | 171--182
Tytuł artykułu

Credit rating a ryzyko kredytowe emitenta

Treść / Zawartość
Warianty tytułu
Credit rating and issuers' credit risk
Języki publikacji
PL
Abstrakty
Istnieje wiele badań na temat istotności wpływu credit ratingu na funkcjonowanie rynku finansowego. Głównie dotyczą one zachowania cen akcji, CDS-ów, kursów walut czy też stóp procentowych. Analizom poddawany jest również rynek obligacji. W prezentowanym artykule postanowiono podjąć kwestie dotyczące ostatniego z wymienionych instrumentów finansowych.(fragment tekstu)
EN
The purpose of this paper is to analyse the impact of country's credit rating on issuers' credit risk measured by the difference between bond yields and IRS spreads. Based on literature review, the following hypothesis has been proposed: the decrease and increase of credit ratings have a statistically significant impact on the issuers' credit risk. The study was conducted using event study methodology, Thomson Reuters Database data for the period 1990-2016 and S&P, Fitch and Moody foreign long-term issuer credit ratings. Ten-year treasury bonds and IRS spreads were used to verify the hypothesis.(original abstract)
Twórcy
  • Uniwersytet Warszawski
  • Uniwersytet Warszawski
Bibliografia
  • Baum C. F., Karpava M., Schäfer D., Stephan A., Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises, "Boston College Working Papers in Economics" Vol. 841, 2013.
  • Böninghausen B., Zabel M., Credit ratings and cross-border bond market spillovers, "European Central Bank Working Paper Series" Vol. 1831, July 2015.
  • Cossin D., Pirotte H., Swap credit risk: an empirical investigation on transaction data, "Journal of Banking & Finance" No. 21, 1997, s. 1351-1373.
  • Duffie D., Singleton K. J., An Econometric Model of the Term Structure of Interest Rate SwapYields, "The Journal of Finance" No. 52 (4), 1997, s. 1287-1321.
  • Ferri G., Liu L.-G., Stiglitz J. E., The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, "Economic Notes" Vol. 28 (3), 1999, s. 335-355.
  • Flavell J. H., Miller P. H., Miller S. A., Cognitive Development, Prentice Hall, London 2002.
  • Furfine C. H., Remolona E. M., What's behind the liquidity spread? On-the-run and off- -the-run US Treasuries in autumn 1998, "BIS Quarterly Review" June 2002, s. 51-58.
  • Gantenbein P., Harasta B., Cross-Market Analysis: The Effect of Rating Events on Bonds, CD Sand Equities, University of Basel, Basel 2012.
  • Grier P., Katz S., The Differential Effects of Bond Rating Changes among Industrial and PublicUtility Bonds by Maturity, "Journal of Business" Vol. 49, 1976, s. 226-239.
  • Hand J. R., Holthausen R. W., Leftwich R. W., The Effect of Bond Rating Agency Announcements on Bond and Stock Prices, "Journal of Finance" Vol. 47, 1992, s. 733-752.
  • Hettenhouse G. W., Sartoris W. L., An Analysis of the Information Value of Bond-Ratingchanges, "Quarterly Review of Economics and Business" Vol. 16, 1976, s. 65-78.
  • Hite G., Warga A., The Effect of Bond-Rating Changes on Bond Price Performance, "Financial Analysts Journal" Vol. 53, May/June 1997, s. 35-51.
  • Katz S., The Price Adjustment Process of Bonds to Rating Reclassifications: A Test of Bond Market Efficiency, "Journal of Finance" Vol. 29, 1974, s. 551-559.
  • Kraussl R., Sovereign Ratings and Their Impact on Recent Financial Crises, "CFS Working Paper Series" Vol. 2000/04, 2000.
  • Lang L. H. P., Lizenberger R. H., Liu L. A., Determinants of interest rate swap spreads, "Journal of Banking and Finance" No. 22, 1998, s. 1507-1532.
  • Larrain G., Reisen H., von Maltzan J., Emerging market risk and sovereign credit ratings, "OECD Development Centre Working Paper" Vol. 124, 1997.
  • Lekkos I., Milas C., Identifying the factors that affect interest rate swap spreads: some evidence from the United States and the United Kingdom, "Journal of Futures Markets" No. 21, 2001, s. 737-768.
  • Mathieson D. J., Schinasi G. J., International capital markets. Development, prospects and key policy issues, International Monetary Fund, Washington 2002.
  • Reisen H., von Maltzan J., Boom and Bust and Sovereign Ratings, "International Finance" Vol. 2 (2), 1999, s. 273-293.
  • Steiner M., Heinke V. G., Event Study Concerning International Bond Price Effects on Credit Rating Actions, "International Journal of Finance and Economics" No. 6, 2001, s. 139-157.
  • Wansley J. W., Clauretie T. M., The Impact of Creditwatch Placement on Equity Returns and Bond Prices, "The Journal of Financial Research" Vol. 8 (1), 1985, s. 31-42.
  • Wansley J. W., Glascock J. L., Clauretie T. M., Institutional Bond Pricing and Information Arrival: The Case of Bond Rating Changes, "Journal of Business Finance and Accounting" Vol. 19, 1992, s. 733-750.
  • Weinstein M., The effect of a rating change announcement on bond price, "Journal of Financial Economics" Vol. 5, 1997, s. 329-350.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171526795

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