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Market dynamics associated with credit ratings: a literature review

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Cited by:

  1. Roma, Moreno & Janger, Jürgen & Gerritsen, Mathijs & Schivardi, Fabiano & O'Brien, Derry & Chauvin, Valérie & Lopez-Garcia, Paloma & Yusupová, Elena & Amador, João & Walch, Erik & van Riet, Ad & Nicol, 2006. "Competition, productivity and prices in the euro area services sector," Occasional Paper Series 44, European Central Bank.
  2. Antonio, DI Cesare, 2006. "Do Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(1), pages 121-150, February.
  3. Leena Mörttinen & Paolo Poloni & Patrick Sandars & Jukka Vesala, 2005. "Analysing banking sector conditions - how to use macro-prudential indicators," Occasional Paper Series 26, European Central Bank.
  4. Mehl, Arnaud & Geis, André & Wredenborg, Stefan, 2004. "The international role of the euro: evidence from bonds issued by non-euro area residents," Occasional Paper Series 18, European Central Bank.
  5. Mattarocci, Gianluca, 2005. "Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating," MPRA Paper 4295, University Library of Munich, Germany, revised Mar 2005.
  6. di Mauro, Filippo & Baumann, Ursel, 2007. "Globalisation and euro area trade - interactions and challenges," Occasional Paper Series 55, European Central Bank.
  7. Wolswijk, Guido & de Haan, Jakob, 2005. "Government debt management in the euro area - recent theoretical developments and changes in practices," Occasional Paper Series 25, European Central Bank.
  8. Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw, 2013. "The impact of credit rating announcements on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2011-2030.
  9. Henrik Enderlein & Johannes Lindner & Oscar Calvo-Gonzales & Raymond Ritter, 2006. "The EU Budget: How much Scope for Institutional Reform?," Contributions to Economic Analysis, in: Designing the New European Union, pages 129-159, Emerald Group Publishing Limited.
  10. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
  11. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  12. André Geis & Arnaud Mehl & Stefan Wredenborg, 2004. "The international role of the euro - evidence from bonds issued by non-euro area residents," Occasional Paper Series 18, European Central Bank.
  13. Maddaloni, Angela & Pain, Darren, 2004. "Corporate "excesses" and financial market dynamics," Occasional Paper Series 17, European Central Bank.
  14. Benalal, Nicholai & Diaz del Hoyo, Juan Luis & Pierluigi, Beatrice & Vidalis, Nick, 2006. "Output growth differentials across the euro area countries: some stylised facts," Occasional Paper Series 45, European Central Bank.
  15. Asta Klimaviciene, 2011. "Sovereign Credit Rating Announcements and Baltic Stock Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 2(1).
  16. Giammarioli, Nicola & Nickel, Christiane & Rother, Philipp & Vidal, Jean-Pierre, 2007. "Assessing fiscal soundness: theory and practice," Occasional Paper Series 56, European Central Bank.
  17. Russo, Daniela & Hart, Terry L. & Malaguti, Maria Chiara & Papathanassiou, Chryssa, 2004. "Governance of securities clearing and settlement systems," Occasional Paper Series 21, European Central Bank.
  18. Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021. "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series 201, University of Pavia, Department of Economics and Management.
  19. Sturm, Michael & Gurtner, François, 2007. "Fiscal policy in Mediterranean countries: developments, structures and implications for monetary policy," Occasional Paper Series 69, European Central Bank.
  20. Duff, Angus & Einig, Sandra, 2009. "Credit ratings quality: The perceptions of market participants and other interested parties," The British Accounting Review, Elsevier, vol. 41(3), pages 141-153.
  21. Vesala, Jukka & Poloni, Paolo & Mörttinen, Leena & Sandars, Patrick, 2005. "Analysing banking sector conditions - How to use macro-prudential indicators," Occasional Paper Series 26, European Central Bank.
  22. Henrik Enderlein & Johannes Lindner & Oscar Calvo-Gonzalez & Raymond Ritter, 2005. "The EU budget – how much scope for institutional reform?," Public Economics 0509005, EconWPA.
  23. Mizen, Paul & Tsoukas, Serafeim, 2012. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," International Journal of Forecasting, Elsevier, vol. 28(1), pages 273-287.
  24. Ehrmann, Michael & Smets, Frank & Altissimo, Filippo, 2006. "Inflation persistence and price-setting behaviour in the euro area: a summary of the IPN evidence," Occasional Paper Series 46, European Central Bank.
  25. John Watson & James Delaney & Michael Dempsey & J. Wickramanayake, 2016. "Australian superannuation (pension) fund product ratings and performance: A guide for fund managers," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 189-211, May.
  26. Johannes Hörner & Nicolas S Lambert, 2021. "Motivational Ratings [Toward the Next Generation of Recommender Systems: A Survey of the State-of-the-Art and Possible Extensions]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1892-1935.
  27. Reiner Martin & Moreno Roma & Isabel Vansteenkiste, 2005. "Regulatory reforms in selected EU network industries," Occasional Paper Series 28, European Central Bank.
  28. Thimann, Christian & Skala, Martin & Wölfinger, Regine, 2007. "The search for Columbus' egg: finding a new formula to determine quotas at the IMF," Occasional Paper Series 70, European Central Bank.
  29. Elif Korkmaz & Ersin Firat Akg¨¹l & Secil Sigali, 2017. "Determinants of Credit Rating Actions: Evidence from International Maritime Companies," Business and Management Horizons, Macrothink Institute, vol. 5(2), pages 60-83, December.
  30. Siegfried Utzig, 2010. "The Financial Crisis and the Regulation of Credit Rating Agencies : A European Banking Perspective," Finance Working Papers 21990, East Asian Bureau of Economic Research.
  31. Sturm, Michael & Siegfried, Nikolaus, 2005. "Regional monetary integration in the member states of the Gulf Cooperation Council," Occasional Paper Series 31, European Central Bank.
  32. Bindseil, Ulrich & Papadia, Francesco, 2006. "Credit risk mitigation in central bank operations and its effects on financial markets: the case of the Eurosystem," Occasional Paper Series 49, European Central Bank.
  33. Ferri, Giovanni & Lacitignola, Punziana & Lee, Jeong Yeon, 2013. "Foreign ownership and the credibility of national rating agencies: Evidence from Korea," Journal of Comparative Economics, Elsevier, vol. 41(3), pages 762-776.
  34. Huong Dang & Graham Partington, 2014. "Rating Migrations: The Effect of History and Time," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 174-202, June.
  35. Reinhard Petschnigg, 2005. "The institutional framework for financial market policy in the USA seen from an EU perspective," Occasional Paper Series 35, European Central Bank.
  36. Schuknecht, Ludger & Morris, Richard & Ongena, Hedwig, 2006. "The reform and implementation of the Stability and Growth Pact," Occasional Paper Series 47, European Central Bank.
  37. Krishna Reddy & Rudi Bosman & Nawazish Mirza, 2019. "Impact Of Credit Ratings On Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 1-24, January.
  38. Picón Aguilar, Carmen & Damia, Violetta, 2006. "Quantitative quality indicators for statistics: an application to euro area balance of payment," Occasional Paper Series 54, European Central Bank.
  39. Anderton, Robert & Melyn, Wim & Jochem, Alex & Pakinezou, N M & Torres, Javier & Lecat, Remy & Tedeschi, Roberto & Eggelte, Jurriann & Abreu, Ildeberta & Kinnunen, Helvi & Oliveira-Soares, Rodrigo & N, 2005. "Competitiveness and the export performance of the euro area," Occasional Paper Series 30, European Central Bank.
  40. Winkler, Adalbert & Geisler, Klaus-Dieter & del Río, Pedro & Pouvelle, Cyril & Golden, Brian & Vasjukova, Marina & Szalai, Zoltán & Dijkman, Miquel & Gǎlǎţescu, Anca Adriana & Noč, Matjaž & de-Alessi,, 2006. "Macroeconomic and financial stability challenges for acceding and candidate countries," Occasional Paper Series 48, European Central Bank.
  41. Karl Whelan & Filippo Altissimo & Evaggelia Georgiou & Teresa Sastre & Maria Teresa Valderrama & Gabriel Sterne & Marc Stocker & Mark Weth & Alpo Willman, 2005. "Wealth and asset price effects on economic activity," Open Access publications 10197/210, School of Economics, University College Dublin.
  42. Christian Thimann & Regine Wölfinger & Thierry Bracke & Rita Bessone Basto & Ole Hollensen & Stephan von Stenglin & Santiago Fernández de Lis & Pierre-François Weber & Marco Committeri & Rolf Pauli & , 2005. "Managing financial crises in emerging market economies - experience with the involvement of private sector creditors," Occasional Paper Series 32, European Central Bank.
  43. Mongelli, Francesco Paolo & Dorrucci, Ettore & Agur, Itai, 2005. "What does European institutional integration tell us about trade integration?," Occasional Paper Series 40, European Central Bank.
  44. Maria Gabriella Briotti, 2005. "Economic reactions to public finance consolidation - a survey of the literature," Occasional Paper Series 38, European Central Bank.
  45. Arratibel, Olga & Heinz, Frigyes Ferdinand & Martin, Reiner & Przybyla, Marcin & Rawdanowicz, Lukasz & Serafini, Roberta & Zumer, Tina, 2007. "Determinants of growth in the central and eastern European EU member states - a production function approach," Occasional Paper Series 61, European Central Bank.
  46. Frank Dierick & Fatima Pires & Martin Scheicher & Kai Gereon Spitzer, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
  47. Stiegert, Roger & Leiner-Killinger, Nadine & López Pérez, Víctor & Vitale, Giovanni, 2007. "Structural reforms in EMU and the role of monetary policy: a survey of the literature," Occasional Paper Series 66, European Central Bank.
  48. Eleimon Gonis & Salima Paul & Jon Tucker, 2012. "Rating or no rating? That is the question: an empirical examination of UK companies," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 709-735, September.
  49. Martin Sullivan, 2009. "Credit Ratings and UK Defined Pension Fund Portfolio Values," Working Papers 0909, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  50. Bindseil, Ulrich & Sotamaa, Kai & Amado, Ricardo & Honings, Noëlle & Chiappa, Gigliola & Boux, Bérénice & Föttinger, Wolfgang & Ledoyen, Pierre & Schwartzlose, Henrik & van der Hoorn, Han & Monar, Fer, 2007. "The use of portfolio credit risk models in central banks," Occasional Paper Series 64, European Central Bank.
  51. Hartmann, Philipp & Papaioannou, Elias & Lo Duca, Marco & Heider, Florian, 2007. "The role of financial markets and innovation in productivity and growth in Europe," Occasional Paper Series 72, European Central Bank.
  52. Annenkov, Anatoli & Madaschi, Christophe, 2005. "Labour productivity in the Nordic EU countries: a comparative overview and explanatory factors 1980-2004," Occasional Paper Series 39, European Central Bank.
  53. Martin, Reiner & Roma, Moreno & Vansteenkiste, Isabel, 2005. "Regulatory reforms in selected EU network industries," Occasional Paper Series 28, European Central Bank.
  54. Véronique Genre & Daphne Momferatou & Gilles Mourre, 2005. "Wage diversity in the euro area - an overview of labour cost differentials across industries," Occasional Paper Series 24, European Central Bank.
  55. Turunen, Jarkko & Musso, Alberto & Stocker, Marc & Gómez-Salvador, Ramón, 2006. "Labour productivity developments in the euro area," Occasional Paper Series 53, European Central Bank.
  56. Genre, Véronique & Momferatou, Daphne & Mourre, Gilles, 2005. "Wage diversity in the euro area - an overview of labour cost differentials across industries," Occasional Paper Series 24, European Central Bank.
  57. Thimann, Christian & Drage, John & Nikitin, Minna & Just, Christian & Pauli, Rolf & Committeri, Marco & Weber, Pierre-François & Fernández de Lis, Santiago & von Stenglin, Stephan & Hollensen, Ole & B, 2005. "Managing financial crises in emerging market economies - experience with the involvement of private sector creditors," Occasional Paper Series 32, European Central Bank.
  58. Schönenberger, Andreas & Schmiedel, Heiko, 2005. "Integration of securities market infrastructure in the euro area," Occasional Paper Series 33, European Central Bank.
  59. Schmiedel, Heiko, 2007. "The economic impact of the Single Euro Payments Area," Occasional Paper Series 71, European Central Bank.
  60. Dalila Boughaci & Abdullah A. K. Alkhawaldeh & Jamil J. Jaber & Nawaf Hamadneh, 2021. "Classification with segmentation for credit scoring and bankruptcy prediction," Empirical Economics, Springer, vol. 61(3), pages 1281-1309, September.
  61. González, Fernando & Coppens, François & Winkler, Gerhard, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Occasional Paper Series 65, European Central Bank.
  62. Kenny, Geoff & Genre, Véronique & Bowles, Carlos & Friz, Roberta & Meyler, Aidan & Rautanen, Tuomas, 2007. "The ECB survey of professional forecasters (SPF) - A review after eight years' experience," Occasional Paper Series 59, European Central Bank.
  63. Heiko Schmiedel & Andreas Schönenberger, 2005. "Integration of securities market infrastructures in the euro area," Occasional Paper Series 33, European Central Bank.
  64. Jesper Berg & Annalisa Ferrando & Gabe de Bondt & Silvia Scopel, 2005. "The bank lending survey for the euro area," Occasional Paper Series 23, European Central Bank.
  65. Van Rixtel, Adrian & Garcí­a, Juan Angel, 2007. "Inflation-linked bonds from a Central Bank perspective," Occasional Paper Series 62, European Central Bank.
  66. Eleimon Gonis & Peter Taylor, 2009. "Changing credit rating standards in the UK: empirical evidence from 1999 to 2004," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 213-225.
  67. Daniela Russo & Terry L. Hart & Chryssa Papathanassiou, 2004. "Governance of securities clearing and settlement systems," Occasional Paper Series 21, European Central Bank.
  68. Adalbert Winkler & Roland Beck, 2006. "Macroeconomic and financial stability challenges for acceding and candidate countries," Occasional Paper Series 48, European Central Bank.
  69. Dierick, Frank & Pires, Fatima & Scheicher, Martin & Spitzer, Kai Gereon, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
  70. Frederick DUBE & Brian BARNARD, 2019. "Equity Valuation based on a Random Process Modelling of Earnings and Equity Growth," Expert Journal of Economics, Sprint Investify, vol. 7(1), pages 1-31.
  71. Kaveri Krishnan & Sankarshan Basu & Ashok Thampy, 2020. "Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(1), pages 7-32, April.
  72. de Bondt, Gabe & Ferrando, Annalisa & Berg, Jesper & Van Rixtel, Adrian & Scopel, Silvia, 2005. "The bank lending survey for the euro area," Occasional Paper Series 23, European Central Bank.
  73. Karl Whelan & Filippo Altissimo & Evaggelia Georgiou & Teresa Sastre & Maria Teresa Valderrama & Gabriel Sterne & Marc Stocker & Mark Weth & Alpo Willman, 2005. "Wealth and asset price effects on economic activity," Open Access publications 10197/210, School of Economics, University College Dublin.
  74. Winkler, Adalbert & Geis, André & Böwer, Uwe, 2007. "Commodity price fluctuations and their impact on monetary and fiscal policies in Western and Central Africa," Occasional Paper Series 60, European Central Bank.
  75. Russo, Daniela & Rosati, Simonetta & Chan, Diana & Fontan, Florence, 2007. "The securities custody industry," Occasional Paper Series 68, European Central Bank.
  76. Angela Maddaloni & Darren Pain, 2004. "Corporate ‘excesses’ and financial market dynamics," Occasional Paper Series 17, European Central Bank.
  77. Petschnigg, Reinhard, 2005. "The institutional framework for financial market policy in the USA seen from an EU perspective," Occasional Paper Series 35, European Central Bank.
  78. Apergis, Nicholas & Payne, James E. & Tsoumas, Chris, 2011. "Credit rating changes’ impact on banks: evidence from the US banking industry," MPRA Paper 35647, University Library of Munich, Germany.
  79. Dorrucci, Ettore & Gavilá, Sergio & Kreye, Antje & Rautava, Jouko & Balcao Reis, Teresa & Ghirga, Maurizio & Levy-Rueff, Guy & González-Mota, Emiliano & Leichtlein, Gudrun & Lagerblom, Angelika & Come, 2006. "The accumulation of foreign reserves," Occasional Paper Series 43, European Central Bank.
  80. Russo, Daniela & Caviglia, Giacomo & Papathanassiou, Chryssa & Rosati, Simonetta, 2007. "Prudential and oversight requirements for securities settlement," Occasional Paper Series 76, European Central Bank.
  81. Beck, Roland & Kamps, Annette & Mileva, Elitza, 2007. "Long-term growth prospects for the Russian economy," Occasional Paper Series 58, European Central Bank.
  82. Agoraki, Maria-Eleni & Gounopoulos, Dimitrios & Kouretas, Georgios P., 2021. "Market expectations and the impact of credit rating on the IPOs of U.S. banks," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 587-610.
  83. Angeloni, Ignazio & Flad, Michael & Mongelli, Francesco Paolo, 2005. "Economic and monetary integration of New Member States - helping to chart the route," Occasional Paper Series 36, European Central Bank.
  84. de Beaufort Wijnholds, Johannes Onno & Søndergaard, Lars, 2007. "Reserve accumulation: objective or by-product?," Occasional Paper Series 73, European Central Bank.
  85. Sánchez Muñoz, Carlos & Israël, Jean-Marc, 2007. "Towards harmonised balance of payments and international investment position statistics - the experience of the European compilers," Occasional Paper Series 67, European Central Bank.
  86. González, Fernando & Triandafil, Cristina Morar, 2023. "The European significant risk transfer securitisation market," ESRB Occasional Paper Series 23, European Systemic Risk Board.
  87. Guido Wolswijk & Jakob de Haan, 2005. "Government debt management in the euro area - recent theoretical developments and changes in practices," Occasional Paper Series 25, European Central Bank.
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