Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie

• Autorzy: Marcin Borsuk , Błażej Lepczyński

Warianty tytułu

Market-Implied Rating and Bank Funding Costs for Warsaw Stock Exchange-Listed Banks

• Języki publikacji: PL

Abstrakty

Problematyka badania dotyczy wpływu oceny ratingowej na koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie. W artykule posłużono się tzw. ratingiem implikowanym oszacowanym na podstawie cen rynkowych, który traktuje się w kategoriach substytutu dla oceny nadawanej przez agencje ratingowe. Charakterystyczną cechą ratingu implikowanego jest silne powiązanie uzyskiwanych ocen z krótkookresową kondycją finansową banku, co niewątpliwie stanowi jego zaletę. Na podstawie modelu regresji panelowej banków notowanych na Giełdzie Papierów Wartościowych w Warszawie w okresie od drugiego kwartału 2007 r. do czwartego kwartału 2018 r. pokazano, że istnieje statystycznie istotna negatywna zależność między ratingiem implikowanym a kosztem finansowania banków. Związek ten ma charakter nieliniowy i jego siła różni się w zależności od struktury kapitałowej banku.(abstrakt oryginalny)

EN

The objective of this study is to investigate the impact of ratings on the funding costs of banks listed on the Warsaw Stock Exchange. We use the so-called implied rating, which can be treated as a substitute for ratings assigned by rating agencies. A characteristic feature of the implied rating is that it is calculated on the basis of equity market prices, making it suitable for linking the current market assessment with the financial soundness of banks. Based on a panel regression model of banks listed on the Warsaw Stock Exchange in 2007-2018, we show that there is a statistically significant negative relationship between the implied rating and the cost of financing a bank. Moreover, this relationship is non-linear and its strength varies depending on the bank's ownership structure. (original abstract)

Słowa kluczowe

PL

Ryzyko kredytowe; Banki; Rating

EN

Credit risk; Banks; Rating

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2021
• Numer: nr 1
• Strony: 87-109

Twórcy

autor

Marcin Borsuk

• Instytut Nauk Ekonomicznych PAN, Polska

autor

Błażej Lepczyński

• Wydział Zarządzania, Uniwersytet Gdański, Polska

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Identyfikatory

DOI

10.33119/GN/132487