 Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigationIrfan Ullah Sahibzada, Muhammad Suhail Rizwan and Anum Qureshi Journal of Banking & Finance, 2022, vol. 145, issue C Abstract: This paper investigates the association between systemic risk and sovereign credit ratings issued by the three credit rating agencies (CRAs), i.e., Moody's, S&P, and Fitch, for 65 countries from Jan-2000 to Dec-2020. Results show that a positive (negative) sovereign rating action (SRA) is associated with a significant decline (increase) in the systemic risk. However, variations exist among the three CRAs as Moody's actions are associated with a larger impact, followed by S&P and Fitch. Furthermore, results show an asymmetric response of systemic risk towards negative rating signals. Analyzing the effect of regulatory reforms to reduce the shock element in the announcement of sovereign rating signals provides mixed results. After the regulatory reforms, only S&P's overall rating actions impact the systemic risk, but the asymmetrical response persists for all CRAs. These results have certain policy implications for regulators, bank managers, and other stakeholders of financial systems. Keywords: Sovereign ratings; Systemic risk; Credit rating agencies; Regulatory reforms (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002345 DOI: 10.1016/j.jbankfin.2022.106654 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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