Inflacja ratingów kredytowych banków
Patrycja Chodnicka-Jaworska
Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania, Uniwersytet WarszawskiResumen
Celem pracy była weryfikacja występowania zjawiska inflacji ratingów kredytowych. Przygotowano przegląd literatury. Postawiono następujące hipotezy: "istnieje inflacja ratingów kredytowych banków"; "obserwuje się różnice między wpływem poszczególnych wskaźników finansowych na ratingi kredytowe banków, które są nadawane przez jedną lub więcej agencji ratingowych temu samemu podmiotowi". Do weryfikacji hipotez zastosowano probitowe modele panelowe. Dane zebrano z bazy Thomson Reuters. Zmienną zależną wykorzystaną do badania były długoterminowe ratingi kredytowe emitenta proponowane przez S&P, Fitch i Moody. Jako zmienne niezależne zastosowano wskaźniki finansowe poszczególnych banków i zmienne makroekonomiczne wpływające na sytuację i stabilność finansową banku. Porównanie not ratingowych nadawanych przez agencje sugeruje, że ratingi są podobne. Te same wnioski otrzymano po porównaniu ratingów dwóch agencji. Różnice występują tylko w przypadku not nadawanych przez jedną agencję. Jeżeli agencja jest większa, proponowane noty są wyższe. Lista zmiennych wykorzystywanych przez poszczególne agencje zależy od tego, czy noty są proponowane przez jeden podmiot czy kilka podmiotów. Siła wpływu opisanych czynników jest zróżnicowana. (abstrakt oryginalny)
Palabras clave:
rating kredytowy banków, inflacja ratingów kredytowych, wskaźniki finansowe, panelowe modele probitoweCitas
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Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania, Uniwersytet Warszawski
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