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Makroekonomiczne czynniki dotyczące not, nastawienia oraz trendów ratingów kredytowych krajów strefy euro

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  • Patrycja Chodnicka-Jaworska

    (Uniwersytet Warszawski)

Abstract

Celem artykułu jest analiza zmiennych makroekonomicznych ratingów kredytowych krajów strefy euro, ich nastawienia oraz trendów. Przeprowadzono badania literatury i przeanalizowano metodologię ratingów kredytowych prezentowaną przez agencję Standard & Poor oraz Moody Investor Service. Postawiono hipotezę badawczą: wysoki poziom rozwoju gospodarczego, stabilna gospodarka oraz rynek finansowy korzystnie wpływają na credit rating kraju. Analiza została przygotowana na danych dla lat 2000–2015. Do badania wykorzystywano długoterminowe ratingi kredytowe emitenta sporządzane przez agencję Standard & Poor Investor Service, które pozyskano z bazy danych Thomson Reuters. Ratingi kredytowe zdekodowano liniowo na zmienne liczbowe. Jako zmienne zależne wykorzystano dane makroekonomiczne, tj.: PKB per capita, wzrost PKB, stopę inflacji, deficyt budżetowy, saldo na rachunku obrotów bieżących, poziom zadłużenia zagranicznego do PKB oraz rezerwy walutowe. Aby zweryfikować hipotezę, zastosowano statyczne i dynamiczne modele panelowe.

Suggested Citation

  • Patrycja Chodnicka-Jaworska, 2016. "Makroekonomiczne czynniki dotyczące not, nastawienia oraz trendów ratingów kredytowych krajów strefy euro," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 41, pages 109-126.
    • Handle: RePEc:sgh:annals:i:41:y:2016:p:109-126
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    References listed on IDEAS

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    2. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
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    More about this item

    Keywords

    credit rating; ryzyko upadłości; modele panelowe;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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