Wpływ COVID-19 na nastawienie i credit ratingi krajów
cytuj
pobierz pliki
RIS BIB ENDNOTEWybierz format
RIS BIB ENDNOTEWpływ COVID-19 na nastawienie i credit ratingi krajów
Data publikacji: 23.12.2020
Zarządzanie Mediami, 2020, Tom 8, Numer 4, s. 535 - 564
https://doi.org/10.4467/23540214ZM.20.050.12654Autorzy
Wpływ COVID-19 na nastawienie i credit ratingi krajów
Covid-19 Impact on Countires’ Outlooks and Credit Ratings
The aim of the study is to examine the impact of the financial crisis caused by COVID-19 on changes in outlooks and credit ratings of major rating agencies. The research hypothesis was as follows: the financial crisis caused by COVID-19 negatively affected the change in outlooks and credit ratings of countries. The study used long-term and short-term credit ratings and outlooks collected from the Thomson Reuters / Refinitiv database regarding liabilities expressed in foreign currency and macroeconomic data from the International Monetary Fund databases, for 2010–2021. The analysis was carried out using ordered logit panel models. The presented results showed a weak significant impact of the COVID-19 pandemic on credit rating. The agency that changed its notes in connection with this situation is Standard & Poor’s (S&P). However, the attitude responded to the situation under investigation. During the crisis, country ratings have become less sensitive to growing debt, which may be dictated by widespread loosening of fiscal policy. The rate of GDP growth has a particular impact during the COVID-19 period in the event of a change of outlook. Rising inflation is particularly dangerous in the age of pandemics. It may be related to monetary policy easing.
Ades A., Kaune F., Leme P., Masih R., Tenengauzer D. (2000). Introducing GS-eSS: A New Framework for Assessing Fair Value in Emerging Markets Hard-Currency Debt. „Global Economic Paper”, No. 45.
Afonso A. (2003). Understanding the Determinants of Sovereign Debt Ratings: Evidence for the Two Leading Agencies. „Journal of Economics and Finance”, Vol. 27, s. 56–74.
Afonso A., Furceri D., Gomes P. (2012). Sovereign credit ratings and financial markets linkages: Application to European data. „Journal of International Money and Finance”, Vol. 31(3), s. 606–638.
Afonso A., Gomes P., Rother P. (2010). What hides behind sovereign debt ratings? „ECB Working Paper Series”, No. 711.
Alesina A., Roubini N. (1992). Political cycles in OECD economies. „Review of Economic Studies”, Vol. 59(4), s. 663–688. DOI: 10.2307/2297992.
Allen F., Carletti E., Gale D. (2009). Interbank Market Liquidity and Central Bank Intervention. „Journal of Monetary Economics”, Vol. 56(5), s. 639–652. DOI: 10.1016/j.jmoneco.2009.04.003.
Altman E., Rijken H. (2004). How Rating Agencies Achieve Rating Stability. „Journal of Banking and Finance”, Vol. 28(11), s. 2679–2714. DOI: 10.1016/j.jbankfin.2004.06.006.
Altman E., Rijken H. (2009). The Added Value of Rating Outlooks and Rating Reviews to Corporate Bond Ratings. Barcelona: Financial Management Association Meeting.
Amato J., Furfine C. (2004). Are credit ratings procyclical? „Journal of Banking and Finance”, Vol. 28(11), s. 2641–2677. DOI: 10.1016/j.jbankfin.2004.06.005.
Ashbaugh-Skaife H., Collins D., LaFond R. (2006). The Effects of Corporate Governance on Firms Credit Ratings. „Journal of Accounting and Economics”, Vol. 42(1–2), s. 203–243. DOI: 10.1016/j.jacceco.2006.02.003.
Auh J.K. (2013). Procyclical Credit Rating Policy. „Georgetown McDonough School of Business Research Paper”, No. 2581738. DOI: 10.2139/ssrn.2581738.
Bar-Isaac H., Shapiro J. (2013). Ratings quality over the business cycle. „Journal of Financial Economics”, Vol. 108(1), s. 62–78. DOI: 10.1016/j.jfineco.2012.11.004.
Bissoondoyal-Bheenick E. (2005). An analysis of the determinants of sovereign ratings. „Global Finance Journal”, Vol. 15(3), s. 251–280. DOI: 10.1016/j.gfj.2004.03.004.
Bissoondoyal-Bheenick E., Brooks R., Yip A.Y.N. (2006). Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches. „Global Finance Journal”, Vol. 17(1), s. 136–154. DOI: 10.1016/j.gfj.2006.06.001.
Blume M., Lim F., MacKinlay A. (1998). The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? „Journal of Finance”, Vol. 53(4), s. 1389–1413. DOI: 10.1111/0022-1082.00057.
Borcuch A. (2009). Globalny system pieniężny. Warszawa: CeDeWu.
Bordo M., Eichengreen B., Klingiebiel D., Martinez-Peira M.S. (2000). Is Crisis Problem Growing More Severe? „Economic Policy: A European Forum”, Vol. 16(32), s. 52–82. DOI: 10.1111/1468-0327.00070.
Borio C., Packer F. (2004). Assessing new perspectives on country risk. „BIS Quarterly Review”, 6th December, s. 47–65. Pobrane z: https://www.bis.org/publ/qtrpdf/r_qt0412e.pdf.
Bozic V., Magazzino C. (2013). Credit Rating Agencies: The Importance of Fundamentals in the Assessment of Sovereign Ratings. „Economic Analysis and Policy”, Vol. 43(2) s. 157–176. DOI: 10.1016/S0313-5926(13)50016-6.
Butler A.W., Larry F. (2006). Institutional environment and Sovereign Credit Ratings. „Financial Management”, Vol. 35(3), s. 53–79. DOI: 10.1111/j.1755-053X.2006.tb00147.x.
Caceres C., Guzzo V., Segoviano M. (2010). Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? „IMF Working Paper”, No. 10/120. Pobrane z: https://ssrn.com/abstract=1612590.
Cantor R., Packer F. (1995). Sovereign Credit Ratings. „FRBNY Current Issues in Economics and Finance”, Vol. 1(3), s. 1–6.
Cantor R., Packer F. (1996). Determinants and Impact of Sovereign Credit Ratings. „The Journal of Fixed Income”, Vol. 6(3), s. 76–91.
Chee S.W., Fah C.F., Nassir A.M. (2015). Macroeconomics Determinants of Sovereign Credit Ratings. „International Business Research”, Vol. 8(2), s. 42–50.
Chodnicka-Jaworska P. (2015). Credit rating determinants for European countries. „Global Journal of Management and Business Research. Finance”, Vol. 15(9), s. 6–18.
Chodnicka-Jaworska P. (2017). Macroeconomic aspects of banks’ credit ratings. „Equilibrium. Quarterly Journal of Economics and Economic Policy”, Vol. 12(1), s. 101–120.
Chodnicka-Jaworska P. (2019). Determinanty credit ratingów oraz ich wpływ na rynek finansowy. Warszawa: Polskie Wydawnictwo Ekonomiczne.
Chrabonszczewska W. (2005). Międzynarodowe organizacje finansowe. Warszawa: Szkoła Głowna Handlowa. Oficyna wydawnicza.
deHaan E. (2017). The Financial Crisis and Corporate Credit Ratings. „The Accounting Review”, Vol. 92(4), s. 161–189. DOI: 10.2308/accr-51659.
Depken C.A., Lafountain C.L., Butters B.B. (2011). Corruption and Creditworthiness: Evidence from Sovereign Credit Ratings. W: R.W. Kolb (ed.), Sovereign Debt: From Safety to Default. New York: John Wiley & Sons.
De Santis R.A. (2012). The Euro Area Sovereign Debt Crisis Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal. „ECB Working Paper Series”, No. 1419.
Feng D., Gourieroux C., Jasiak J. (2008). The Ordered Qualitative Model for Rating Transitions. „Journal of Empirical Finance”, Vol. 15, s. 111–130.
Ferri G., Liu L.G., Stiglitz J.E. (1999). The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis. „Economic Notes”, Vol. 28(3), s. 335–355. DOI: 10.1111/1468-0300.00016.
Freitag L. (2015). Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe. „Economic Notes”, Vol. 44(2), s. 309–332. DOI: 10.1111/ecno.12032.
Giacomino P. (2013). Are Sovereign Credit Ratings Pro‑Cyclical? A Controversial Issue Revisited in Light of the Current Financial Crisis. „Rivista di Politica Economica”, Issue 4, s. 79–111.
Guttler A., Raupach P. (2010). The Impact of Downward Rating Momentum. „Journal of Financial Services Research”, Vol. 37, s. 1–23.
Guttler A., Wahrenburg M. (2007). The Adjustment of Credit Ratings in Advance of Defaults. „Journal of Banking and Finance”, Vol. 31(3), s. 751–767. DOI: 10.1016/j.jbankfin.2006.05.014.
Haque N.U., Kumar M., Mathieson D., Mark N. (1996). The Economic Content of Indicators of Developing Country Creditworthiness. „IMF Staff Papers”, Vol. 43(4), s. 688–724.
Hill P., Brooks R., Faff R. (2010). Variations in Sovereign Credit Quality Assessments Across Rating Agencies. „Journal of Banking and Finance”, Vol. 34(6), s. 1327–1343. DOI: 10.1016/j.jbankfin.2009.11.028.
Hilscher J., Nosbusch Y. (2010). Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt. „Review of Finance”, Vol. 14(2), s. 235–262.
Hu Y., Kiesel R., Perraudin W. (2002). The Estimation of Transition Matrices for Sovereign Credit Ratings. „Journal of Banking and Finance”, Vol. 26, s. 1383–1406.
Jaramillo L., Tejada C.M. (2011). Sovereign Credit Ratings and Spreads in Emerging Markets: Does Investment Grade Matter? „IMF Working Paper”, No. 11/44, s. 1–18. DOI: 10.5089/9781455218981.001.
Isakin M., David A. (2015). Bayesian Persuasion in Credit Ratings, the Credit Cycle, and the Riskiness of Structured Debt. „Department of Economics, University of Calgary. Working Papers”, No. 13.
Kaminsky G. (2003). Varities of Currency Crises. „NBER Working Paper”, No. 10193.
Kim Y., Sohn S. (2008). Random Effects Model for Credit Rating Transitions. „European Journal of Operational Research”, Vol. 184(2), s. 561–573. DOI: 10.1016/j.ejor.2006.12.007.
Kraussl R. (2003). Sovereign Ratings and Their Impact on Recent Financial Crises. „CFS Working Paper”, No. 2000/04.
Li C., Pervaiz K., Khan M., Rehman F., Olah J. (2019). On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region. „Sustainability”, Vol. 11(23), s. 1–14. DOI: 10.3390/su11236636.
Loffler G. (2004). An anatomy of rating through the cycle. „Journal of Banking and Finance”, Vol. 28(11), s. 695–720. DOI: 10.1016/S0378-4266(03)00041-4.
Luitel P., Vanpee R. (2018). How do Sovereign Credit Ratings Help to Financially Develop Low-developed Countries? „ECMI Working Paper”, No. 8.
Mennillo G., Sinclair T. (2019). A hard nut to crack: Regulatory failure shows how rating really works. „Competition & Change”, Vol. 23(3), s. 266–286. DOI: 10.1177/1024529419833870.
Miklaszewski S. (2003). Międzynarodowe stosunki gospodarcze u progu XXI wieku. Warszawa: Difin.
Min H.G. (1998). Determinants of Emerging Market Bond Spread: Do Economic Fundamentals
Matter? „World Bank Policy Research Working Paper”, No. 1899.
Minsky H. (1986). Stabilizing an Unstable Economy. London: Yale University Press.
Monfort B., Mulder C. (2000). Using Credit Ratings for Capital Requirements on Lending to Emerging Markets on Lending Economies: Possible Impact of a New Basel Accord. „IMF Working Paper”, No. WP/00/69.
Nierenberg B. (2011). Zarządzanie mediami. Ujęcie systemowe. Kraków: Wydawnictwo Uniwersytetu Jagiellońskiego.
Nogues J., Grandes M. (2001). Country Risk: Economic Policy, Contagion Effect or Political Noise? „Journal of Applied Economics”, Vol. 4, s. 125–162.
Oliveira L., Curto J.D., Nunes J.P. (2012). The determinants of sovereign credit spread changes in the Euro-zone. „Journal of International Financial Markets, Institutions and Money”, Vol. 22(2), s. 278–304. DOI: 10.1016/j.intfin.2011.09.007.
Reisen H., von Maltzan J. (1999). Boom and Bust and Sovereign Ratings. „International Finance”, Vol. 2(2), s. 273–293. DOI: 10.1111/1468-2362.00028.
Remolona E., Scatigna M., Wu E. (2008). A Ratings-based Approach to Measuring Sovereign Risk. „International Journal of Finance and Economics”, Vol. 13(1), s. 26–39. DOI: doi.org/10.1002/ijfe.357.
Rowland P., Torres J.L. (2004). Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt: A Panel Data Study. „Borradores de Economia, Banco de la Republica”. DOI: 10.32468/be.295.
Teker D., Pala A., Kent O. (2012). Determinants of Sovereign Rating: Factor Based Ordered Probit Models for Panel Data Analysis Modeling Framework. „International Journal of Economics and Financial Issues”, Vol. 3(1), s. 122–132.
Trouillet J. (2015). Credit rating agencies, shock and public expectations. Working Papers.
Yalta A., Yalta Y. (2018). Are the Credit Rating Agencies Biased Against MENA Countries? „Economic Research Forum Working Paper”, No. 1274.
Informacje: Zarządzanie Mediami, 2020, Tom 8, Numer 4, s. 535 - 564
Typ artykułu: Oryginalny artykuł naukowy
Tytuły:
Wpływ COVID-19 na nastawienie i credit ratingi krajów
Covid-19 Impact on Countires’ Outlooks and Credit Ratings
Uniwersytet Warszawski, ul. Krakowskie Przedmieście 30, 00-927 Warszawa, Polska
Publikacja: 23.12.2020
Status artykułu: Otwarte
Licencja: CC BY
Udział procentowy autorów:
Korekty artykułu:
-Języki publikacji:
PolskiLiczba wyświetleń: 1316
Liczba pobrań: 844