Abstract WPS 3/2024
The aim of the paper is to analyze the impact of the spillover effect between long-term issuer credit ratings changes of non-financial companies and bank credit ratings (i.e., the corporate-to-bank spillover effect) in Europe and America by taking into consideration the stage of the business cycle and the regional reaction. A literature review was prepared and, as a result, the following hypothesis is proposed. A stronger corporate-to-bank spillover effect was noticed in Europe than in the U.S. An analysis was conducted for the 2000–2023 period for listed banks and non-financial companies on the European and U.S. stock exchanges which received long-term issuer credit ratings from the main credit rating agencies. For the analysis, panel data models were used.
Keywords: machine learning, ESG, energy sector
JEL Classification: Q47, Q56, C58
Abstract WPS 2/2024
The aim of this paper is to analyze the impact of ESG measures on the rates of return in the energy sector. The main hypothesis is as follows: The ESG measures have a significant impact on the energy sector’s rates of return, especially in the context of the COVID-19 crisis. An analysis was conducted using the rates on return on stock prices companies listed on stock exchanges all over the world. For the analysis, data from the Refinitiv database were used. To verify the abovementioned hypothesis, quarterly data from financial statements, macroeconomic data, and ESG measures for all companies that have been listed on the stock exchanges worldwide were collected for 2010–2021 period. The sample was divided into sub-samples according to the type of sector and the period of the COVID-19 crisis. In the analysis, the significance of the size of the company, the value of capitalization, political indicators, and the level of the economy divisions was assessed.
Keywords: energy sector, rates of return, ESG, COVID-19, crisis
JEL Classification: G10, F44, O13, P18, Q40
Abstract WPS 1/2024
The aim of this study is to analyze the impact of the COVID-19 crisis on the spillover effect between European and American banks and the long-term issuer credit ratings of non-financial companies. A literature review was prepared and, as a result, three hypotheses are proposed: During the COVID-19 crisis, the long-term issuer credit ratings of non-financial companies presented high volatility, which increased during the later period of the crisis; higher volatility of the credit ratings of non-financial companies was noticed in Europe than in the U.S.; and a stronger spillover effect was noticed in Europe than in the U.S. An analysis was prepared for the period of 2000–2022 for listed non-financial companies on the European and U.S. stock exchanges that had received long-term issuer credit ratings from the main credit rating agencies. For the analysis, panel data models were used.
Keywords: spillover effect, credit ratings, default risk, contagion effect
JEL Classification: G24, G21, G33
Abstract WPS 1/2023
The aim of this paper is to analyze the current impact of the implementation of the European Union sanctions related to the Ukrainian War on the abnormal rates of return on the stock prices of companies listed on the stock exchanges. It was hypothesized that the implementation of the European Union sanctions related to the Ukrainian War is causing the varied abnormal rates of return on the stock prices of companies listed on the stock exchanges, taking into consideration the type of sector and the geographical location of the military conflict. The analysis used panel data event studies prepared using the daily rates of return on the stock prices of companies listed on the stock exchanges. Data were collected from the Refinitiv Eikon database. The models included divisions according to the type of sector and the geographical location of the military conflict. The results show that the reactions of subsectors varied. The significant impact was in the vicinity of Russia and Ukraine.
Keywords: abnormal stock prices, sanctions, Ukrainian War
JEL Classification: G14, G15, E50, F51
Abstract WPS 1/2022
The aim of this paper is to analysis the impact of the COVID-19 pandemic on European banks’ default risks, as measured by foreign long-term issuer credit ratings published by the main credit rating agencies. Two hypotheses are put forward: (1) The macroeconomic situation has a stronger negative impact on banks’ financial conditions during COVID-19; (2) changes in the capital adequacy, assets, management, earnings, and liquidity indicators have a significant impact on changes in banks’ credit ratings. The analysis has been prepared for the 2000–2021 period for listed and unlisted banks on the European stock exchanges, that received long-term issuer credit ratings from the main credit rating agencies. To the analysis have been used the ordered logit panel data models and the research has been made on the first differences to analyse the impact of the changes of the financial and macroeconomic conditions on the credit ratings changes. The obtained results suggest a direct and significant impact of the COVID-19 pandemic on the credit rating changes, but a delayed reaction. Credit ratings are especially significant during a crisis in relation to the basic interest rates published by central banks, bond interest rates, price purchasing parity, and the government debt ratio. Another significant impact occurs with regard to capital adequacy and the quality of assets. A raising effect has also been noted in relation to earnings and liquidity indicators. This relationship occurs based on a few reasons. The first is the decreased value of the central banks’ interest rates, which has a direct impact on the banks’ interest revenues, especially in developing countries and those outside the Eurozone. The decreasing value of the interest accrued on deposits has a direct impact on the withdrawal of money by depositors and their investment of these deposits, such as on the real estate or capital markets. As a result, the stability of the deposit base is important during the first stage of a crisis. Furthermore, another, less significant impact on the quality of assets and capital adequacy indicators in relation to banks’ credit rating changes relates to the relaxing of the Basel III requirements by the national regulators. The direct financial support provided by governments reduces companies’ default risks in the first stage of a crisis. The impact of the quality of assets and, in particular, increased loan loss provisions and non-performing loans has a delayed impact.
Keywords: credit ratings; crisis; COVID-19; CAMEL
JEL Classification: G23, G15, G21
Abstract WPS 2/2021
Competition is an inherent and natural environment under which banks operate and extend loans. Despite the extensive debate on the impact of bank competition on risk-taking and procyclicality, there is no evidence of its role in the effects of macroprudential policy on loans’ growth and on the sensitivity of lending to the business cycle. Using over 70,000 bank-level observations in 109 countries in 2004-2015 we find that increased competition strengthens the countercyclical effects of MPI in terms of reduced loans’ growth. Bank lending is procyclical in perfectly competitive industry. However, any decrease in the intensity of competition in countries not applying macroprudential policy instruments is related with increased procyclicality of lending. Sensitivity of lending to business cycle in countries implementing macroprudential policy depends on the type of macroprudential policy instrument and on the length of the use of instruments. We show that extended duration of use of cyclical macroprudential instruments is associated with increased procyclicality of lending. In a perfectly competitive environment we find increased procyclicality of credit in countries using cyclical instruments and decreased procyclicality of credit in countries applying balance-sheet oriented instruments. Under imperfectly competitive banking sector we find the opposite effects of macroprudential instruments on procyclicality of credit.
Keywords: loans growth, macroprudential policy, competition intensity, procyclicality of lending
JEL Classification: E32, G21, G28, G32
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