Wpływ credit ratingu inwestorów na rating banków europejskich

• Authors: Chodnicka-Jaworska Patrycja

Title variants

Impact of investors credit ratings on credit ratings of European banks

Abstracts

PL

Celem pracy stało się zbadanie wpływu determinant finansowych, w tym wpływu credit ratingu inwestorów, na credit ratingi banków. Dokonano przeglądu literaturowego i na jego podstawie postawiono następującą hipotezę: credit rating banków uzależniony jest od kondycji finansowej ocenianego podmiotu oraz credit ratingu głównych inwestorów. Do zweryfikowania postawionej hipotezy badawczej wykorzystano uporządkowane logitowe modele panelowe. Badanie przeprowadzono na bankach europejskich, które miały nadany rating długoterminowy przez trzy największe agencje, tj. Fitch, Moody i S&P. Do analizy wykorzystano dane kwartalne dla lat 1998–2016. Okazało się, że credit rating banku determinowany jest przede wszystkim wskaźnikami adekwatności kapitałowej i jakości aktywów. Istotny statystycznie wpływ wywiera credit rating kraju, w jakim dany bank funkcjonuje. Credit rating banku determinowany jest obecnością rządu jako jednego z inwestorów (rating Moody ulega obniżce, podczas gdy S&P się poprawia) oraz ratingiem akcjonariuszy.

EN

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

PL

credit rating; uporządkowane panelowe modele logitowe; udziałowcy; ryzyko upadłości

EN

credit rating; ordered panel logit data models; shareholders; default risk

• Publisher: Bankowy Fundusz Gwarancyjny
• Journal: Bezpieczny Bank
• Year: 2017
• Issue: 3 (68)
• Pages: 39-58

Contributors

author

Chodnicka-Jaworska Patrycja

• Katedra Systemów Finansowych Gospodarki, Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania Uniwersytet Warszawski

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Identifiers

DOI

10.26354/bb.4.3.68.2017