Wpływ credit ratingu inwestorów na rating banków europejskich

Patrycja  Chodnicka-Jaworska

doi:10.26354/bb.4.3.68.2017

Published : 2017-12-15

Vol. 68 No. 3 (2017)

Impact of investors credit ratings on credit ratings of European banks

Patrycja Chodnicka-Jaworska

DOI: https://doi.org/10.26354/bb.4.3.68.2017

Abstract

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.

Keywords:

credit rating, uporządkowane panelowe modele logitowe, shareholders, default risk

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Chodnicka-Jaworska, P. . (2017). Impact of investors credit ratings on credit ratings of European banks. Safe Bank, 68(3), 39–58. https://doi.org/10.26354/bb.4.3.68.2017

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