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Credit Ratings Inflation Phenomenon – Are There Any Diffrences in the Credit Ratings Determinants? (Zjawisko inflacji credit ratingow – czy wystepuja roznice w determinantach credit ratingow?)

Patrycja Chodnicka-Jaworska ()
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Patrycja Chodnicka-Jaworska: Wydzial Zarzadzania, Uniwersytet Warszawski

Research Reports, 2016, vol. 2, issue 22, 48-59

Abstract: The aim of the paper was to verify the differences in the estimation of the factors affecting the banks’ credit ratings given the same issuers by two different rating agencies. The literature about the credit ratings’ inflation phenomenon and the credit ratings shopping has been reviewed. The following hypotheses have been put forward: Banks’ credit ratings assigned by the two rating agencies determined the significance of various financial ratios. The bigger the rating agency, the more optimistic assessment. For the purposes of the study, data have been collectedon banks’ credit ratings and their financial indicators for the years 1998–2015 on a quarterly basis and results have been compared for individual groups of credit rating agencies. The sample has been divided into three sub-samples, namely notes broadcast simultaneously by S&P and Moody, S&P and Fitch, and Moody and Fitch. In the study, the ordinary probit panel data models have been used.

Keywords: credit rating; default risk; credit risk. (search for similar items in EconPapers)
JEL-codes: O13 O38 (search for similar items in EconPapers)
Date: 2016
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