CREDIT RATING AND BANK BEHAVIOUR IN INDIA: POSSIBLE IMPLICATIONS OF THE NEW BASEL ACCORD

D. M. Nachane and Saibal Ghosh
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D. M. Nachane: Indira Gandhi Institute of Development Research, Gen. A. K. Vaidya Marg, Goregaon (E), Mumbai 400 065, India

The Singapore Economic Review (SER), 2004, vol. 49, issue 01, 37-54

Abstract: The paper examines the impact of credit rating on capital adequacy ratios of Indian state-owned banks using quarterly data for the period 1997:1 to 2002:4. To this end, a multinomial logit model with multi credit rating indicators as dependent variable is estimated. The variables that can impinge upon capital adequacy ratio have been used as explanatory variables. Two separate models — one for long-term credit rating and another for short-term credit rating — have been estimated. The paper concludes that, both for short-term as well as for long-term ratings, capital adequacy ratios are an important factor impinging on credit rating of Indian state-owned banks.

Keywords: Capital adequacy; Credit rating; Multinomial logit model (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Working Paper: Credit rating and bank behavior in India: Possible implications of the new Basel accord (2004)
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DOI: 10.1142/S0217590804000780

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