Does the disclosure of unsolicited sovereign rating status affect bank ratings?

Patrycja Klusak, Rasha Alsakka and Owain ap Gwilym

The British Accounting Review, 2017, vol. 49, issue 2, 194-210

Abstract: This paper integrates three themes on regulation, unsolicited credit ratings, and the sovereign-bank rating ceiling. We reveal an unintended consequence of the EU rating agency disclosure rules upon rating changes, using data for S&P-rated banks in 42 countries between 2006 and 2013. The disclosure of sovereign rating solicitation status for 13 countries in February 2011 has an adverse effect on the ratings of intermediaries operating in these countries. Conversion to unsolicited sovereign rating status transmits risk to banks via the rating channel. The results suggest that banks bear a penalty if their host sovereign does not solicit its ratings.

Keywords: Bank ratings; Rating agency regulation; Unsolicited ratings; Sovereign-bank rating channel (search for similar items in EconPapers)
JEL-codes: G15 G24 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:bracre:v:49:y:2017:i:2:p:194-210

DOI: 10.1016/j.bar.2016.08.004

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