2018 | 6(978) | 23-39
Article title

Analiza wpływu utrzymania i zmian ocen ratingowych na wysokość spreadu kredytowego na przykładzie polskiego rynku obligacji przedsiębiorstw w latach 2010-2017

Title variants
Analysis of the Impact of Maintaining and Changing Credit Ratings on the Credit Spread on the Polish Corporate Bond Market in the Period 2010–2017
Languages of publication
Celem artykułu jest określenie wpływu utrzymania i zmian ratingów kredytowych formułowanych przez agencję ratingową Moody’s na wysokość spreadu kredytowego na polskim rynku długu przedsiębiorstw w latach 2010–2017. Podstawowym powodem podejmowanych działań jest próba oceny, czy polski rynek długu jest efektywny w sensie informacyjnym w odniesieniu do wiadomości rynkowych, takich jak podniesienie, utrzymanie lub obniżenie ratingu. Wykorzystywana metodyka opiera się na standardowej procedurze analizy zdarzeń. Wyniki przeprowadzonych badań nie są jednoznaczne, gdyż z jednej strony wskazują na poprawną reakcję wysokości spreadu kredytowego na zmiany ocen ratingowych, z drugiej zaś otrzymane rezultaty nie znajdują potwierdzenia w testach istotności statystycznej.
The purpose of the article is to determine the impact of maintaining and changing credit ratings formulated by the Moody’s rating agency on the credit spread on the Polish debt market in the period 2010–2017. It seeks to draw conclusions on the efficiency of the Polish debt market with respect factors including raising, maintaining at the current level or lowering the rating. The methodology used in the paper is based on the standard procedure for studying events. The results of the conducted research are not unequivocal. While they indicate a correct response of the credit spread to changes in the credit ratings, the results obtained are not confirmed by statistical significance tests.
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