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Author
Chodnicka-Jaworska Patrycja (Uniwersytet Warszawski)
Title
Cykl koniunkturalny a zmiany na rynku finansowym - ratingi kredytowe
Business Cycle and Changes on the Financial Market - Credit Ratings
Source
Studia i Prace WNEiZ US, 2017, nr 49 T. 2., s. 219-232, rys., tab., bibliogr. 21 poz.
Issue title
Gospodarka regionalna i międzynarodowa
Keyword
Ocena zdolności kredytowej, Rating, Cykl koniunkturalny
Credit rating, Rating, Business cycles
Note
JEL Classification: E32, G24
streszcz., summ.
Abstract
W artykule podjęto kwestie związane ze zmianami ratingów kredytowych (credit ratings) podczas wahań cyklu koniunkturalnego. Celem pracy jest analiza wpływu zmian cyklu koniunkturalnego na ratingi kredytowe prezentowane przez trzy największe agencje ratingowe w Europie, tj S&P, Fitch i Moody. Dokonano przeglądu literaturowego, na podstawie którego postawiono hipotezę badawczą: Częstotliwość zmian credit ratings ma charakter procykliczny. Do badania wykorzystano dane z lat 2000-2016 dla podmiotów z krajów europejskich. Zastosowano zmiany długoterminowych ratingów nadanych podmiotom finansowym, jak i niefinansowym. Analiza danych wskazuje, iż zmiana ratingu nie ma charakteru procyklicznego, a bardziej antycykliczny. Noty zmieniają się po zakończeniu kryzysu.(abstrakt oryginalny)

In the paper there have been presented issues connected with credit ratings changes during the fluctuations of the business cycle. The aim of this study was the analysis of the impact of changes in the business cycle on credit ratings presented by the three major credit rating agencies in Europe, i.e. S&P, Fitch and Moody. It has been made a literature review, and it has been put the hypothesis: Credit ratings are pro-cyclical. To the study there have been used data for years 2000-2016 for entities from European countries. There have been taken long term issuer credit ratings changes given to financial and non-financial entities. The analysis of the data indicates that a rating changes are not pro-cyclical, and more countercyclical. Notes are changed after the crisis.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library
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Bibliography
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ISSN
2450-7733
Language
pol
URI / DOI
http://dx.doi.org/10.18276/sip.2017.49/2-17
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