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Chodnicka-Jaworska Patrycja (Uniwersytet Warszawski)
Zjawisko inflacji credit ratingów - czy występują różnice w determinantach credit ratingów
Credit Ratings Inflation Phenomenon - Are There Any Diffrences in the Credit Ratings Determinants?
Studia i Materiały / Wydział Zarządzania. Uniwersytet Warszawski, 2016, nr 2, cz. 2, s. 48-59, tab., bibliogr. 51 poz.
Ocena zdolności kredytowej, Ryzyko kredytowe, Inflacja, Wyniki badań
Credit rating, Credit risk, Inflation, Research results
streszcz., summ.
Celem pracy stało się zweryfikowanie różnic w estymacji czynników wpływających na credit rating banków nadawanych tym samym podmiotom przez dwie agencje ratingowe. Dokonano przeglądu literaturowego na temat zjawiska inflacji credit ratingów oraz zakupu not przez emitentów. Postawiono następujące hipotezy badawcze: 1) Credit rating banków nadawany przez dwie agencje ratingowe determinowany jest istotnością statystyczną różnych wskaźników finansowych banków. 2) Im większa agencja ratingowa, tym bardziej optymistyczne oceny. Do badania zebrano dane dotyczące credit ratingów banków oraz wskaźników finansowych dla lat 1998-2015 w ujęciu kwartalnym i porównano wyniki dla poszczególnych grup agencji ratingowych. Próbę podzielono na trzy pod próby, mianowicie na noty nadawane jednocześnie przez S&P i Moody, S&P i Fitch oraz Moody i Fitch. Do badania wykorzystano uogólnione modele panelowe. (abstrakt oryginalny)

The aim of the paper was to verify the differences in the estimation of the factors affecting the banks' credit ratings given the same issuers by two different rating agencies. The literature about the credit ratings' inflation phenomenon and the credit ratings shopping has been reviewed. The following hypotheses have been put forward: Banks' credit ratings assigned by the two rating agencies determined the significance of various financial ratios. The bigger the rating agency, the more optimistic assessment. For the purposes of the study, data have been collectedon banks' credit ratings and their financial indicators for the years 1998-2015 on a quarterly basis and results have been compared for individual groups of credit rating agencies. The sample has been divided into three sub-samples, namely notes broadcast simultaneously by S&P and Moody, S&P and Fitch, and Moody and Fitch. In the study, the ordinary probit panel data models have been used. (original abstract)
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