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Banks’ Credit Ratings Inflation

100%

Chodnicka-Jaworska P.

Olsztyn Economic Journal

2017

tom 12

nr 1

99-114

The aim of the paper is to verify the significance of the credit ratings’ inflation phenomenon of banks’ notes. First, a literature review was prepared. The following hypotheses were then put: Banks’ credit rating inflation has been observed. There are differences between the impact of the financial factors on banks’ credit ratings between notes that are given by one or more credit rating agencies to the same entity. The analysis was prepared by using probit panel data models. Data has been collected from the Thomson Reuters database. Long term issuer credit ratings proposed by S&P, Fitch and Moody were used as a dependent variable. As independent factors the financial indicators and macroeconomic variables were measured. The comparison of notes given by credit rating agencies suggests that notes that are given by all CRAs are similar. The same results were received when the notes given by two agencies were compared. Differences are observed only in the case of ratings given by one institution. If a CRA is bigger, notes proposed by them are higher. A list of variables that are taken by a particular credit rating agency can be created regardless of whether the evaluation is one or more CRAs. The strength of impact of the described factors is differentiated.

Istotność wskaźników finansowych a credit rating banku w czasie kryzysu

63%

Chodnicka-Jaworska P.

tom 1

nr 333

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.

Głównym celem artykułu jest analiza zachowania credit ratingu banku w czasie koniunktury i dekoniunktury gospodarczej, przy uwzględnieniu wskaźników finansowych. Na podstawie przeglądu literaturowego postawiono następujące hipotezy badawcze: „Podczas kryzysu w sektorze bankowym występuje silniejszy wpływ wskaźników adekwatności kapitałowej” oraz „Noty ratingowe banków podczas dekoniunktury są niższe niż w okresie prosperity”. Do badania wykorzystano dane kwartalne z lat 1998–2016 dla europejskich banków. Postawione hipotezy zostały zweryfikowane przy użyciu panelowych uporządkowanych modeli probitowych dla długoterminowych credit ratingów banków. Przeprowadzone badania dowodzą, że w momencie kryzysu rating nadawany przez Fitch i Moody bankom jest niższy niż w okresie koniunktury w sektorze bankowym. Ponadto zauważono, iż noty S&P są niewrażliwe na analizowane zmiany.