Abstract WPS 2/2019
The aim of the paper is to analyse the impact of the changes in credit ratings on the stock market, comparing the Chinese and the American Big Three agencies. A literature review has been made and as a result the following three hypotheses have been put. The first one seems as follows: Changes in credit ratings have influence in the case of both upgrades and downgrades of stock prices. The second one is: A stronger reaction of the stock market is observed as an effect of credit rating changes presented by the Chinese and not the American agencies. The third one seems as follows: The impact of credit rating changes is stronger for non-financial institutions and larger companies. Daily observation of the rates of returns on the stock prices and long-term issuer credit ratings proposed by the Chinese and the biggest three rating agencies (S&P’s, Moody’s and Fitch) have been taken for the analysis. Data has been collected from the Thomson Reuters Database from the period between 1990 and 2016. Event study methods have been used to verify the mentioned hypotheses.
Keywords: stock prices, abnormal rates of return, credit rating
JEL Classification: G14, G15, G21
Abstract WPS 1/2019
This paper shows theoretical and empirical research on the connection between financial system development and economic growth. Despite the fact that empirical studies provide a correlation between these two concepts, the results interpretation is still under scientific discussion. The theoretical part of the paper shows how other researchers describe this relationship – mostly in Europe and United States of America. The main conclusion coming from the theoretical part of the study is that the financial sector actually affects economic growth. Most of the researchers confirm that fact, however, they interpret it in few different ways. The empirical part of the paper uses Europe cross-country data from banks (taking the time frame from 2000 to 2016) to do econometric research which confirm the thesis of connection between financial system and economic growth. The results indicate which components of the financial sector affects most to economic growth. The paper also highlights areas that need additional research.
Keywords: financial markets, economic development, financial institutions, banks, financial sector
JEL Classification: G20; G32; O16; O40
Abstract WPS 3/2018
The basic goal of the article was to analyse macroeconomic and financial factors influencing the European banks’ credit ratings. A research question has been put as follows: Do, both small and big, credit rating agencies use the same methods for estimation of default risk? In the paper are put three hypotheses. The first one is: Countries’ risk has a significant influence on banks’ credit ratings changes. The second one seems as follows: A significant influence on banks’ credit ratings is the banks’ capital adequacy, profitability, liquidity and management quality. The last one is: The determinants of credit ratings assigned by major rating agencies are similar to those considered by the small agencies. For verification of these hypothesis the quarterly data form the Thomson Reuters database were collected. As dependent variables, the long term issuer credit ratings proposed European banks by the recognizable and smaller CRAs from 1998 to 2015 period of time are used. The analysis has been prepared in the sub-samples according to: the type of credit rating, the domestic and foreign notes and the political division.
Keywords: credit rating, macroeconomic variables, CAMEL factors
JEL Classification: C23, G15, G21
Abstract WPS 2/2018
The basic goal of the article is to analyse the impact of credit rating changes on the rates of return of banks’ shares taking into account the level of economy development and the political divisions. The following hypothesis is proposed: The banks’ share prices have stronger reaction to the credit rating changes in developed economies. The strongest impact of the banks’ credit rating changes is observed for a downgrade, both in developed and developing economies. The analysis has been prepared on Thomson Reuters Database. As a dependent variable are taken into consideration daily differences between the logarithmized rates of return of banks’ shares. Independent variables are the threat of long term issuer credit rating changes proposed by small and big recognizable credit rating agencies. The analysis has been prepared on data through years 1980 to 2015 for 24 countries by using event study methods.
Keywords: credit rating, rates of return, political divisions, economy development
JEL Classification: G14, G15, G21
Abstract WPS 1/2018
The aim of the paper is an analysis of the determinants of banks’ credit ratings by taking into account the support from the government. A literature review has been prepared and the ensuing hypothesis seems as follows: Banks with the government capital receive higher credit ratings than institutions with private capital if financial factors are taken into account. The mentioned hypothesis has been verified with ordinary logit panel data models. Long-term issuer credit ratings proposed by three biggest credit rating agencies for banks from Europe have been used as dependent variables. The sample has been divided into subsamples according to the investor type, the bank size and the moment of a financial crisis.
Keywords: credit rating, logit models, private banks, public banks
JEL Classification: C23, G21, G24
Abstract WPS 2/2017
This paper examines the impact of bank capital ratios on bank lending by comparing differences in loan growth to differences in capital ratios at sets of banks that are clustered based on loan-loss provisioning practices. Applying fixed-effects estimator to sample of all commercial banks operating in Poland and using a unique quarterly dataset covering the period of 1999:4-2012:4 we find that loans growth is particularly capital constrained in poorly-capitalized banks, during both non-recessionary and recessionary periods. Lending of banks with low procyclicality of loan-loss provisions (LLP) is not affected by capital ratio in recessionary periods. Low-procyclicality of LLPs does not make poorly- capitalized banks’ lending immune to recessionary capital crunch. In contrast to common view, profit stabilizing practices achieved through income-smoothing do not make banks’ lending resilient to capital constraints during recession, as we find that high income-smoothing banks seem to suffer from increased capital pressures in their lending. This effect is also present in well-capitalized banks. The implication of our research is that decision-makers implementing new accounting standards for loan-loss allowance (the Expected Credit Loss approach) may not be effective in reducing procyclicality of capital regulation, if they will attempt to reduce recessionary capital constraints solely through profit-stabilizing income-smoothing.
Keywords: lending, capital ratio, procyclicality, earnings management, income-smoothing, capital management
JEL Classification: G21, G28, G32, M41
© Copyright: Wydział Zarządzania Uniwersytetu Warszawskiego
ul. Szturmowa 1/3, 02-678 Warszawa
tel: +48 22 55 34 002, fax: +48 22 55 34 001; mail: wz@wz.uw.edu.pl
NIP: 525-001-12-66
Administratorem strony jest Sekcja Informacji i Promocji WZ UW
