Ballis, Antonis, Ioannidis, Christos and Sifodaskalakis, Emmanouil (2024). Structural Shifts in Bank Credit Ratings. Journal of Financial Stability, 73 ,
Abstract
We investigate the time variation in credit rating standards awarded to financial institutions of commercial bank credit ratings awarded by the three principal CRAs from 1990 to 2015 in a world-wide context by testing for well-defined structural shifts. We focus on the part of the ratings that cannot be accounted using publicly available information. We test whether major financial events are conditioning, ex-post such changes Distinctively in this paper’s timespan our analysis covers four periods: (i) before and (ii) after the 2001-2 corporate collapses, followed by (iii) before the global financial crisis and (iv) after the global financial crisis. We find substantial differences in the assignment of bank credit ratings among the three major agencies, Moody’s, Fitch, and S&P. Agencies differ both in terms of re-adjustment of ratings but also on the speed of response to the evens. All three agencies tightened ratings during the 2008 crisis and kept reducing them in its aftermath.
Publication DOI: | https://doi.org/10.1016/j.jfs.2024.101272 |
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Divisions: | College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship College of Business and Social Sciences > Aston Business School |
Additional Information: | Copyright © 2024 The Author(s). Published by Elsevier B.V. This is an open access article distributed under the terms of the Creative Commons Attribution License CC BY [https://creativecommons.org/licenses/by/4.0/], which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
Uncontrolled Keywords: | Bank Ratings,Credit Rating Agencies,Ordered Logit,Structural Breaks,Economics, Econometrics and Finance(all),Finance |
Publication ISSN: | 1572-3089 |
Last Modified: | 15 Aug 2024 07:10 |
Date Deposited: | 21 May 2024 09:46 |
Full Text Link: | |
Related URLs: |
https://linking ... 572308924000573
(Publisher URL) http://www.scop ... tnerID=8YFLogxK (Scopus URL) |
PURE Output Type: | Article |
Published Date: | 2024-08 |
Published Online Date: | 2024-05-21 |
Accepted Date: | 2024-05-16 |
Authors: |
Ballis, Antonis
(![]() Ioannidis, Christos Sifodaskalakis, Emmanouil |