The adjustment of bank ratings in the financial crisis: International evidence
Juan Fernández de Guevara and
José Manuel Pastor
Authors registered in the RePEc Author Service: Juan Fernández-de-Guevara ()
The North American Journal of Economics and Finance, 2018, vol. 44, issue C, 289-313
This paper analyses the adjustment of bank ratings which occurred in the United States, some European countries and Japan as a result of the financial crisis. We use a methodology which allows us to decompose the observed change in the rating into an effect associated with the change in agency rating policies (understood in a broad sense) and into another effect associated with the situation of bank assets. The results obtained show that with the crisis there was a generalised fall in the ratings, caused by both a worsening of the bank asset situation and the hardening of rating policies. Specifically, we find that 39.95% and 19.25% of the fall in ratings in the United States and European countries are due to a hardening of rating policies in Fitch and Standard and Poor’s, respectively. Although the relevance of the change in the rating policy is lower in Moody’s (15.83%), which suggests that has a less procyclical behaviour, this agency adjust their rating to a greater extent (15.94%) than Fitch (8.75%) and Standard and Poor’s (8.17%) when the rating action is taken.
Keywords: Rating; Financial crisis; Asset situation; Rating criteria; Too-Big-to-Fail; Through-The-Cycle strategy (search for similar items in EconPapers)
JEL-codes: G21 G33 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:44:y:2018:i:c:p:289-313
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().