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Bank ratings: what determines their quality?

Hau, Harald; Langfield, Sam; Marqués-Ibáñez, David - European Central Bank - 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/10010686746

The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal

Santis, Roberto A. De - European Central Bank - 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 characterised 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/10010686751

Sovereign credit ratings and financial markets linkages: application to European data

Afonso, António; Furceri, Davide; Gomes, Pedro - European Central Bank - 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/10009643617

What “hides” behind sovereign debt ratings?

Afonso, António; Gomes, Pedro; Rother, Philipp - European Central Bank - 2007

In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several...

Persistent link: https://www.econbiz.de/10005530691

Market pricing of credit rating signals

Grothe, Magdalena - European Central Bank - 2013

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/10010753738

Aggregate loans to the euro area private sector

Calza, Alessandro; Manrique, Marta; Sousa, João - European Central Bank - 2003

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample … covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic … variables is found. Besides real GDP and prices, this set includes a new measure of the cost of loans obtained as a weighted …

Persistent link: https://www.econbiz.de/10005344909

On some fiscal effects on mortgage debt growth in the EU

Wolswijk, Guido - European Central Bank - 2005

This paper analyses some fiscal aspects of mortgage debt in the EU. It first describes the main fiscal instruments that governments use to affect mortgage-financed home-ownership. In the empirical part, real mortgage debt growth is analysed for 15 EU countries using pooled regressions. Fiscal...

Persistent link: https://www.econbiz.de/10005222354