Significance of Financial Indicators and Banks’ Credit Ratings During Crisis
DOI:
https://doi.org/10.18778/0208-6018.333.11Keywords:
bank’s credit, business cycle, probit panel data modelsAbstract
The main aim of the paper is analysis of behaviour of banks’ credit ratings during the boom and economic downturns by taking account the financial indicators. It has been made a literaturę review, and there have been put the following hypotheses: During the financial crisis it has been observed the stronger impact of the financial indicators. Banks’ notes during the economic downturns are lower than during boom period. To the analysis there have been used quarterly data for 1998–2016 period of time for European banks. To the analysis there have been used quarterly data from 1998–2016. Hypotheses were verified by using the ordered panel probit models for long term issuer credit ratings. The studies show that, during the crisis, Fitch and Moody’s banks’ credit ratings are lower than during the boom. Furthermore, it was noted that S&P’s notes are insensitive to the analysed changes.
Downloads
References
Amato J.D., Furfine C.H. (2003), Are credit ratings procyclical?, „BIS Working Papers”, nr 129.
Google Scholar
Auh J.K. (2013), Procyclical Credit Rating Policy, „World Bank Working Papers”.
Google Scholar
Bangia A., Diebold F.X., Schuermann T. (1999), Ratings Migration and the Business Cycle, with Applications to Credit Portfolio Stress Testing, „Wharton Working Paper”, nr 00–26.
Google Scholar
Bar‑Isaac H., Shapiro J. (2013), Ratings quality over the business cycle, “Journal of Financial Economics”, t. 1, nr 108, s. 62–78.
Google Scholar
Bellotti T., Matousek R., Stewart C. (2011a), A note comparing support vector machines and ordered choice models’ predictions of international banks’ rating, „Decision Support Systems”, t. 3, nr 51, s. 682–687.
Google Scholar
Bellotti T., Matousek R., Stewart C. (2011b), Are rating agencies’ assignments opaque? Evidence from international banks, „Expert Systems with Applications”, t. 4, nr 38, s. 4206–4214.
Google Scholar
Bissoondoyal‑Bheenick E., Treepongkaruna S. (2011), An analysis of the determinants of bank ratings: comparison across ratings agencies, „Australian Journal of Management”, t. 3, nr 36, s. 405–424.
Google Scholar
Cantor R., Packer F. (1996), Determinants and Impact of Sovereign Credit Ratings, „The Journal of Fixed Income”, nr 6(3), s. 76–91.
Google Scholar
Cesaroni T. (2015), Procyclicality of credit rating systems: How to manage it, „Journal of Economics and Business”, nr 82, s. 62–83.
Google Scholar
Chodnicka‑Jaworska P. (2016), Banks credit ratings – is the size of the credit rating agency important?, „Working papers”.
Google Scholar
Čihák M., Demirgüç‑Kunt A., Feyen E., Levine R. (2012), Benchmarking Financial Development Around the World, „World Bank Policy Research Working Paper”, nr 6175.
Google Scholar
deHaan E. (2016), The Financial Crisis and Corporate Credit Ratings, „University of Washington Working Papers”.
Google Scholar
De Saints R.A. (2012), The Euro area sovereign debt crisis safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal, „EBC Working Paper Series”, nr 1419.
Google Scholar
Estrella A., Guerchonovitch P., Liebig T., Foglia A., Hideshima H., Jacobson T., Logan A., Ammer J., Packer F., Szarkowitz S., Greely D., Hanc G., Reidhill J., Nebhut D., Nigro P., Furfine C., Cohen W. (2000), Credit Ratings and Complementary Sources of Credit Quality Information, „Basel Committee on Banking Supervision Report”.
Google Scholar
Fei F., Fuertes A.M., Kalotychou E. (2012), Credit Rating Migration Risk and Business Cycles, „Journal of Business Finance and Accounting”, t. 1–2, nr 39, s. 229–263.
Google Scholar
Ferri G., Liu L.‑G., Stiglitz J.E. (1999), The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, „Economic Notes”, t. 3, nr 28, s. 335–355.
Google Scholar
Freitag L. (2015), Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe, „Economic Notes”, t. 2, nr 44, s. 309–332.
Google Scholar
Giacomino P. (2013), Are Sovereign Credit Ratings Pro‑Cyclical? A Controversial Issue Revisited in Light of the Current Financial Crisis, „Rivista di Politica Economica”, nr 4, s. 79–111.
Google Scholar
Hassan O.A.G, Barrell R. (2013), Accounting for the determinants of banks’ credit ratings, „Brunel University of London Economics and Finance Working Paper Series”, nr 13–02.
Google Scholar
Iannotta G., Nocera G., Resti A. (2013), Do investors care about credit ratings? An analysis through the cycle, „Journal of Financial Stability”, t. 4, nr 9, s. 545–555.
Google Scholar
Isakin M., David A. (2015), Bayesian Persuasion in Credit Ratings, the Credit Cycle, and the Riskiness of Structured Debt. Working Papers from Department of Economics, „University of Calgary Working Papers”, nr 13.
Google Scholar
Kiff J., Kisser M., Schumacher L. (2013), Rating Through‑the‑Cycle: What does the Concept Imply for Rating Stability and Accuracy?, „IMF Working Paper”, nr WP/13/64.
Google Scholar
Kräussl R. (2003), Sovereign Ratings and Their Impact on Recent Financial Crises, „CFS Working Paper”, nr 00–04.
Google Scholar
Loffer G. (2013), Can rating agencies look through the cycle?, „Review of Quantitative Finance and Accounting”, t. 4, nr 40, s. 623–646.
Google Scholar
Öğüt H., Doğanay M.M., Ceylan N.B., Aktaş R. (2012), Prediction of bank financial strength ratings: The case of Turkey, „Economic Modelling”, nr 29, s. 632–640.
Google Scholar
Pagratis S., Stringa M. (2007), Modelling bank credit ratings: A structural approach to Moody’s credit risk assessment, „Working paper”.
Google Scholar
Poon W.P.H., Firth M., Fung H. (1999), A multivariate analysis of the determinants of Moody’s bank financial strength ratings, „Journal of International Financial Markets, Institutions and Money”, t. 3, nr 9, s. 267–283.
Google Scholar
Shen C., Huang Y., Hasan I. (2012), Asymmetric benchmarking in bank credit rating, „Journal of International Financial Markets, Institutions & Money”, nr 22, s. 171–193.
Google Scholar
Trouillet J. (2015), Credit rating agencies, shock and public expectations, „Working papers”.
Google Scholar
Downloads
Published
How to Cite
Issue
Section
