Inflacja ratingów kredytowych banków
Patrycja Chodnicka-Jaworska
Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania, Uniwersytet WarszawskiAbstrakt
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)
Słowa kluczowe:
rating kredytowy banków, inflacja ratingów kredytowych, wskaźniki finansowe, panelowe modele probitoweBibliografia
Amato J., Furfine C. 2004. Are credit ratings pro-cyclical?. Journal of Banking and Finance, 28: 2641-2677.
BAE K.H., Kang J.K., Wang J. 2010. Credit rating inflation or deflation? Tests of two competing views on credit rating standard changes. Working paper, New-York University.
Baghai R., Servaes H., Tamayo A. 2010. Have rating agencies become more conservative?. Working paper, London Business school.
Bannier C., Behr P., Guttler A. 2010. Rating opaque borrowers: why are unsolicited ratings lower?. Review of Finance, 14: 263-294.
Bar-Issac H., Shapiro J. 2010. Rating quality over the business cycle. Working paper, New-York University.
Becker B., Milbourn T.T. 2011. How did increased competition affect credit ratings?. Journal of Financial Economics, 101(3): 493-514.
Benmelech E., Długosz J. 2010. The credit rating crisis. Working paper, Harvard University.
Blume M., Lim F., Craig Mackinlay A. 1998. The declining credit quality of U.S. corporate debt: myth or reality?. Journal of Finance, 53: 1389-1413.
Bolton P., Freixas X., Shapiro J. 2012. The Credit Ratings Game. Journal of Finance, 67: 85- 112.
Bongaerts D. 2014. Alternatives for issuer-paid credit rating agencies. EBC Working Papers, 1703.
Bongaerts D., Cremers M., Goetzmann W.N. 2012. Tiebreaker: Certification and multiple credit ratings. Journal of Finance, 67: 113-152.
Bouvard M., Levy R. 2012. Two-Sided Reputation in Certification Markets. Working Paper.
Camanho N., Deb P., Liu Z. 2012. Credit rating and competition. Working Paper.
Chen Y., Gu D., Yao Z. 2013. Rating Inflation versus Deflation: On Procyclical Credit Ratings. Working paper.
Chodnicka-Jaworska P. 2016. Market Pricing of European Banks Credit Rating Changes. International Business and Global Economy (forthcoming).
Chodnicka-Jaworska P. 2016. Zarządzanie agencjami ratingowymi - modele emitent i inwestor płaci. Folia Oeconomica (forthcoming).
Cohen A. 2011. Rating Shopping in the CMBS Market. Working paper, Federal Reserve.
Cohn J., Rayan U., Strobl G. 2016. Credit Ratings: Strategic Issuer Disclosure and Optimal Screening. Working papers.
Cornaggia J., Cornaggia K.J. 2013. Estimating the Cost of Issuer-Paid Credit Ratings. Review of Financial Studies, 26(9): 2229-2269.
Deb P., Murphy G. 2009. Credit Rating Agencies: An Alternative Model. Working paper.
Doherty N. A., Kartasheva A., Phillips R.A. 2012. Information effect of entry into credit ratings market: The case of insurers' ratings. Journal of Financial Economics, 106: 308-330.
Faure-Grimaud A., Peyrache E., Quesada L. 2009. The ownership of ratings. The RAND Journal of Economics, 40(2): 234-257.
Ferri G., LiuL.G., Stiglitz J.E. 1999. The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis. Economic Notes, 28(3): 333-355.
Flynn S., Ghent A. 2014. When Low Standards are a Winning Strategy: How Credit Rating Agencies Compete. Working paper.
Frenkel S. 2013. Repeated Interaction and Rating Inflation: A Model of Double Reputation. Working Paper.
Fulghieri P., Strobel G., Xia H. 2013. The economics of unsolicited credit ratings. Review of Financial Studies, 27(2): 484-518.
Goel A.M., Thakor A.V. 2015. Information reliability and welfare: A theory of coarse credit ratings. Journal of Financial Economics, 115: 541-557.
Gu Z., Zhao J. 2006. Accruals, income smoothing and bond ratings. Working paper. Carnegie Mellon university.
Hartman-Glaser B. 2013. Reputation and Signalling in Asset Sales. UCLA working paper.
He J., Qian J., Strahan P.E. 2011. Credit ratings and the evolution of the mortgage-backed securities market. American Economic Review: Papers & Proceedings, 101: 131-135.
Hirth S. 2013. Credit Rating Dynamics and Competition. Working Paper.
Jiang J., Stanford M.H., Xie Y. 2012. Does it Matter Who Pays for Bond Ratings? Historical Evidence. Journal of Financial Economics, 105: 607-621.
Jorion P., Shi C., Zhang S. 2009. Tightening credit standards: the role of accounting quality. Review of Accounting Studies, 14: 123- 160.
Josephson J., Shapiro J. 2015. Credit Ratings and Structured Finance. University of Oxford Working Paper.
Kartasheva A., Yilmaz B. 2012. Precision of Ratings. Working paper, University of Pennsylvania.
Kim S., Park S. 2016. Credit rating inflation during the 2000s: lessons from the U.S. State Governments. International Journal of Economics and Financial Issues, 6(1): 13-19.
King M.R., Ongena S., Tarashev N. 2016. Bank standalone credit ratings. BIS Working Papers, 542.
Kronlund M. 2011. Best Face Forward: Does Rating Shopping Distort Observed Bond Ratings?. Working paper.
Livingston M., Wei J.D., Zhou L. 2010. Moody's and S&P ratings: are they equivalent? conservative ratings and split rated bond yields. Journal of Money, Credit and Banking, 42: 1267- 1293.
Mahlmann T. 2011. Is there a relationship benefit in credit ratings?. Review of Finance, 15: 475-510.
Manso G. 2013. Feedback effects of credit ratings. Journal of Financial Economics, 109(2): 535-548.
Mathis J., Mcandrews J., Rochet J.C. 2009. Rating the raters: Are reputational concerns powerful enough to discipline rating agencies?. Journal of Monetary Economics, 56: 657-674.
Morgan D.P. 2002. Rating banks: risk and uncertainty in an opaque industry. American Economic Review, 92: 874-88.
Opp C.C., Opp M.M., Harris M. 2010. Rating agencies in the face of regulation: rating inflation and regulatory arbitrage. Working paper, University of Chicago.
Pagano M., Volpin P. 2012. Securitization, Disclosure, and Liquidity. Review of Financial Studies, 25: 2417-2453.
Sangiorgi F., Sokobin J., Spatt C. 2009. Credit-rating shopping, selection and the equilibrium structure of ratings. Working paper, Carnegie Mellon.
Sangiorgi F., Spatt C.S. 2015. Opacity, Credit Rating Shopping and Bias. Management Science (forthcoming).
Skreta V., Veldkamp L. 2009. Rating shopping and asset complexity: a theory of ratings inflation. Journal of Monetary Economics, 56(5): 678-695.
Strobl G., Xia H. 2012. The Issuer-Pays Rating Model and Ratings Inflation: Evidence from Corporate Credit Ratings. Working Paper.
Xia H. 2010. The issuer-pay rating model and rating inflation: evidence from corporate credit ratings. Working paper, University of North Carolina at Chapel Hill.
Xia H. 2012. Can competition improve the information quality of credit ratings?. Working Paper.
BAE K.H., Kang J.K., Wang J. 2010. Credit rating inflation or deflation? Tests of two competing views on credit rating standard changes. Working paper, New-York University.
Baghai R., Servaes H., Tamayo A. 2010. Have rating agencies become more conservative?. Working paper, London Business school.
Bannier C., Behr P., Guttler A. 2010. Rating opaque borrowers: why are unsolicited ratings lower?. Review of Finance, 14: 263-294.
Bar-Issac H., Shapiro J. 2010. Rating quality over the business cycle. Working paper, New-York University.
Becker B., Milbourn T.T. 2011. How did increased competition affect credit ratings?. Journal of Financial Economics, 101(3): 493-514.
Benmelech E., Długosz J. 2010. The credit rating crisis. Working paper, Harvard University.
Blume M., Lim F., Craig Mackinlay A. 1998. The declining credit quality of U.S. corporate debt: myth or reality?. Journal of Finance, 53: 1389-1413.
Bolton P., Freixas X., Shapiro J. 2012. The Credit Ratings Game. Journal of Finance, 67: 85- 112.
Bongaerts D. 2014. Alternatives for issuer-paid credit rating agencies. EBC Working Papers, 1703.
Bongaerts D., Cremers M., Goetzmann W.N. 2012. Tiebreaker: Certification and multiple credit ratings. Journal of Finance, 67: 113-152.
Bouvard M., Levy R. 2012. Two-Sided Reputation in Certification Markets. Working Paper.
Camanho N., Deb P., Liu Z. 2012. Credit rating and competition. Working Paper.
Chen Y., Gu D., Yao Z. 2013. Rating Inflation versus Deflation: On Procyclical Credit Ratings. Working paper.
Chodnicka-Jaworska P. 2016. Market Pricing of European Banks Credit Rating Changes. International Business and Global Economy (forthcoming).
Chodnicka-Jaworska P. 2016. Zarządzanie agencjami ratingowymi - modele emitent i inwestor płaci. Folia Oeconomica (forthcoming).
Cohen A. 2011. Rating Shopping in the CMBS Market. Working paper, Federal Reserve.
Cohn J., Rayan U., Strobl G. 2016. Credit Ratings: Strategic Issuer Disclosure and Optimal Screening. Working papers.
Cornaggia J., Cornaggia K.J. 2013. Estimating the Cost of Issuer-Paid Credit Ratings. Review of Financial Studies, 26(9): 2229-2269.
Deb P., Murphy G. 2009. Credit Rating Agencies: An Alternative Model. Working paper.
Doherty N. A., Kartasheva A., Phillips R.A. 2012. Information effect of entry into credit ratings market: The case of insurers' ratings. Journal of Financial Economics, 106: 308-330.
Faure-Grimaud A., Peyrache E., Quesada L. 2009. The ownership of ratings. The RAND Journal of Economics, 40(2): 234-257.
Ferri G., LiuL.G., Stiglitz J.E. 1999. The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis. Economic Notes, 28(3): 333-355.
Flynn S., Ghent A. 2014. When Low Standards are a Winning Strategy: How Credit Rating Agencies Compete. Working paper.
Frenkel S. 2013. Repeated Interaction and Rating Inflation: A Model of Double Reputation. Working Paper.
Fulghieri P., Strobel G., Xia H. 2013. The economics of unsolicited credit ratings. Review of Financial Studies, 27(2): 484-518.
Goel A.M., Thakor A.V. 2015. Information reliability and welfare: A theory of coarse credit ratings. Journal of Financial Economics, 115: 541-557.
Gu Z., Zhao J. 2006. Accruals, income smoothing and bond ratings. Working paper. Carnegie Mellon university.
Hartman-Glaser B. 2013. Reputation and Signalling in Asset Sales. UCLA working paper.
He J., Qian J., Strahan P.E. 2011. Credit ratings and the evolution of the mortgage-backed securities market. American Economic Review: Papers & Proceedings, 101: 131-135.
Hirth S. 2013. Credit Rating Dynamics and Competition. Working Paper.
Jiang J., Stanford M.H., Xie Y. 2012. Does it Matter Who Pays for Bond Ratings? Historical Evidence. Journal of Financial Economics, 105: 607-621.
Jorion P., Shi C., Zhang S. 2009. Tightening credit standards: the role of accounting quality. Review of Accounting Studies, 14: 123- 160.
Josephson J., Shapiro J. 2015. Credit Ratings and Structured Finance. University of Oxford Working Paper.
Kartasheva A., Yilmaz B. 2012. Precision of Ratings. Working paper, University of Pennsylvania.
Kim S., Park S. 2016. Credit rating inflation during the 2000s: lessons from the U.S. State Governments. International Journal of Economics and Financial Issues, 6(1): 13-19.
King M.R., Ongena S., Tarashev N. 2016. Bank standalone credit ratings. BIS Working Papers, 542.
Kronlund M. 2011. Best Face Forward: Does Rating Shopping Distort Observed Bond Ratings?. Working paper.
Livingston M., Wei J.D., Zhou L. 2010. Moody's and S&P ratings: are they equivalent? conservative ratings and split rated bond yields. Journal of Money, Credit and Banking, 42: 1267- 1293.
Mahlmann T. 2011. Is there a relationship benefit in credit ratings?. Review of Finance, 15: 475-510.
Manso G. 2013. Feedback effects of credit ratings. Journal of Financial Economics, 109(2): 535-548.
Mathis J., Mcandrews J., Rochet J.C. 2009. Rating the raters: Are reputational concerns powerful enough to discipline rating agencies?. Journal of Monetary Economics, 56: 657-674.
Morgan D.P. 2002. Rating banks: risk and uncertainty in an opaque industry. American Economic Review, 92: 874-88.
Opp C.C., Opp M.M., Harris M. 2010. Rating agencies in the face of regulation: rating inflation and regulatory arbitrage. Working paper, University of Chicago.
Pagano M., Volpin P. 2012. Securitization, Disclosure, and Liquidity. Review of Financial Studies, 25: 2417-2453.
Sangiorgi F., Sokobin J., Spatt C. 2009. Credit-rating shopping, selection and the equilibrium structure of ratings. Working paper, Carnegie Mellon.
Sangiorgi F., Spatt C.S. 2015. Opacity, Credit Rating Shopping and Bias. Management Science (forthcoming).
Skreta V., Veldkamp L. 2009. Rating shopping and asset complexity: a theory of ratings inflation. Journal of Monetary Economics, 56(5): 678-695.
Strobl G., Xia H. 2012. The Issuer-Pays Rating Model and Ratings Inflation: Evidence from Corporate Credit Ratings. Working Paper.
Xia H. 2010. The issuer-pay rating model and rating inflation: evidence from corporate credit ratings. Working paper, University of North Carolina at Chapel Hill.
Xia H. 2012. Can competition improve the information quality of credit ratings?. Working Paper.
Chodnicka-Jaworska, P. (2017). Inflacja ratingów kredytowych banków. Olsztyn Economic Journal, 12(1), 99–114. https://doi.org/10.31648/oej.2787
Patrycja Chodnicka-Jaworska
Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania, Uniwersytet Warszawski
Zakład Bankowości i Rynków Pieniężnych, Wydział Zarządzania, Uniwersytet Warszawski
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