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Banks and shareholders credit ratings – evidence from the European market

Author

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  • Patrycja Chodnicka -Jaworska

    (Faculty of Management, University of Warsaw)

Abstract

The aim of this paper is to analyse the factors influencing banks’ credit ratings, taking into consideration shareholders’ credit ratings. A literature review has been prepared, and as a result the following hypotheses have been put: Firstly, banks’ credit ratings are determined by the financial factors measured by CAMEL and macroeconomic determinants. Secondly, countries’ and shareholders’ credit ratings influence banks’ notes statistically significantly. Long-term issuer credit ratings proposed by smaller and bigger credit rating agencies have been used for the analysis. To verify the presented hypotheses ordered logit panel data models have been used. The research has been prepared based on quarterly data for the assessed European banks listed on the stock market. The data collected comes from the Thomson Reuters Database for the period between 1998 and 2016.

Suggested Citation

  • Patrycja Chodnicka -Jaworska, 2019. "Banks and shareholders credit ratings – evidence from the European market," Faculty of Management Working Paper Series 32019, University of Warsaw, Faculty of Management.
    • Handle: RePEc:sgm:fmuwwp:32019
    as

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    File URL: http://www.wz.uw.edu.pl/portaleFiles/5630-Faculty%20of%20M/WP/WPS_3_2019_Patrycja_Chodnicka_-Jaworska.pdf
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    References listed on IDEAS

    as
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    4. Nakamura, Leonard I. & Roszbach, Kasper, 2018. "Credit ratings, private information, and bank monitoring ability," Journal of Financial Intermediation, Elsevier, vol. 36(C), pages 58-73.
    5. Grunert, Jens & Norden, Lars & Weber, Martin, 2005. "The role of non-financial factors in internal credit ratings," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 509-531, February.
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    8. Arjana Brezigar-Masten & Igor Masten & Matjaž Volk, 2015. "Discretionary Credit Rating and Bank Stability in a Financial Crisis," Eastern European Economics, Taylor & Francis Journals, vol. 53(5), pages 377-402, September.
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    More about this item

    Keywords

    credit rating; CAMEL; type of ownership; panel data models;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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