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Bank Ratings : What Determines Their Quality?
Hau, Harald - 2012
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...
Persistent link: https://www.econbiz.de/10013099611
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The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal
De Santis, Roberto A. - 2012
Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to the German Bund have been characterized by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September...
Persistent link: https://www.econbiz.de/10013111942
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Alternatives for Issuer-Paid Credit Rating Agencies
Bongaerts, Dion - 2014
This paper investigates the economic viability and welfare contribution of alternatives to issuer-paid credit rating agencies (CRAs). To this end, it introduces a heterogeneous competition model for credit and ratings markets. Frictions among issuers or investors induce rating inflation from...
Persistent link: https://www.econbiz.de/10013051165
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Market Pricing of Credit Rating Signals
Grothe, Magdalena - 2014
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences...
Persistent link: https://www.econbiz.de/10013061797
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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data
Afonso, António - 2011
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...
Persistent link: https://www.econbiz.de/10013124928
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Do Bank Loans and Credit Standards Have an Effect on Output? A Panel Approach for the Euro Area
Cappiello, Lorenzo - 2010
Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast to recent findings for the US, we find that in...
Persistent link: https://www.econbiz.de/10013149067
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Bank ratings: what determines their quality?
Hau, Harald; Langfield, Sam; Marqués-Ibáñez, David - 2012
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...
Persistent link: https://www.econbiz.de/10011605529
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Limited Liability, Strategic Default and Bargaining Power
Balatti, Mirco; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on … liability plays a key role in agents' strategies. We then use Fannie Mae loan performance data to test the predictions of the … in regulation around the borders of States. As predicted by the model, we find that limited liability results in higher …
Persistent link: https://www.econbiz.de/10013243789
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Conditional and Joint Credit Risk
Lucas, Andre - 2013
We propose an empirical framework to assess joint and conditional probabilities of credit events from CDS prices observed in the market. Our model is based on a dynamic skewed-t distribution that captures many salient features of CDS data, including skewed and heavy-tailed changes in the price...
Persistent link: https://www.econbiz.de/10013072036
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Credit Rating Dynamics : Evidence from a Natural Experiment
Abidi, Nordine - 2019
This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. Specifically, we exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming...
Persistent link: https://www.econbiz.de/10012871486