The relation between sovereign credit rating revisions and economic growth

Chen, Sheng‐Syan; Chen, Hsien-Yi; Chang, Chong-Chuo; Yang, Shu-Ling

doi:10.1016/j.jbankfin.2015.10.012

Cited by 58 publications

(47 citation statements)

References 54 publications

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“…In many cases, it turned out that the qualitative methodology (CAMEL) with only specific indicators explained the majority of bank's rating (Chodnicka-Jaworska, 2019;Shen et al, 2012;Pagratis, Stringa, 2007;Karminsky, Khromova, 2016;Cole, White, 2012). On the other side, banks located in the sovereign regions are strongly influenced by support factors and sovereign variability (Drago, Gallo, 2017;Chen et al, 2016). Moreover, some authors point out the bank's size as essential indicators; however, not too much literacy analyzed this claim (Hassan, Barrell, 2013;Pagratis, Stringa, 2007), which do not diminish the significance of this argument.…”

Section: Resultsmentioning

confidence: 99%

“…For banks in the international market, this may mean a downgrade in rating. For example, increasing sovereign debts and borrowing costs in international markets will influence the lending supply of banks from sovereign countries and their investment decision (Drago, Gallo, 2017;Chen et al, 2016). Of course, the central role is again playing rating agencies calculating all these factors and assessing banks' position after changing market situation.…”

Section: A Methodological Review Of Rating Assessmentmentioning

confidence: 99%

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Assessing methodology of banks' ratings and their competitive positions: overview of main rating agencies

Grigorieva

Михайловна²,

Vuković

et al. 2020

Vestn. Ross. univ. družby nar., Ser. Èkon.

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This paper analyzes methodologies of credit rating assessment of major rating agencies, with the focus on Fitch Ratings (Fitch). The methodology data were collected from Fitch Ratings. Also, the article review international literacy for factors and indicators adequacy in rating assessments. The purpose of this research is to overview literacy for the primary methodologies of banks' credit rating assessment. It was explained that ratios from financial indicators are most important for credit rating assessment. In some cases, in sovereign countries, support and macroeconomic factors are significant. We concluded that this area is still not enough researched and that in the future, the number of studies will appear with different methodological proposals and improvements.

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Section: Resultsmentioning

confidence: 99%

Section: A Methodological Review Of Rating Assessmentmentioning

confidence: 99%

Assessing methodology of banks' ratings and their competitive positions: overview of main rating agencies

Grigorieva

Михайловна²,

Vuković

et al. 2020

Vestn. Ross. univ. družby nar., Ser. Èkon.

View full text Add to dashboard Cite

show abstract

“…GDP growth impacts positively on sovereign ratings and vice versa (see e.g. Chen et al, 2016 andReusens andCroux, 2017, and references therein). An increase in investments triggers sovereign rating upgrades as they enhance the country's economic prospects.…”

Section: Data Descriptionmentioning

confidence: 99%

“…An increase in investments triggers sovereign rating upgrades as they enhance the country's economic prospects. On the other hand, a rating downgrade reduces investments by affecting the cost of capital and changing the net present value of some projects from positive to negative (see Chen et al, 2016 andChen et al, 2013). An increase in government debt triggers sovereign rating downgrades because a high stock of government debt implies higher interest rates to service it.…”

Section: Data Descriptionmentioning

confidence: 99%

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Non-performing loans and sovereign credit ratings

Boumparis

Milas

Panagiotidis

2019

International Review of Financial Analysis

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This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely uncertainty, GDP growth, government debt-to-GDP ratio, investment-to-GDP ratio and the fiscal balance-to-GDP ratio) in a multivariate Panel Vector Autoregressive (PVAR) framework. We reveal another channel of interconnection between sovereign and banking credit risk by identifying a two-way relationship between non-performing loans (NPLs) and sovereign ratings. Generalized impulse response functions (GIRFs) provide evidence of significant effects from NPLs on sovereign rating decisions over and above the effects of the remaining economic/financial variables. At the same time, sovereign rating decisions impact on NPLs and all other variables.

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Sovereign ratings, foreign direct investment and contagion in emerging markets: Does being a BRICS country matter?

Emara

Said

2020

Int. J Fin Econ

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Using dynamic panel System GMM for 24 EMs over the period 1990-2018, we analyze how changes in sovereign ratings affect FDI inflows to EMs. The study also estimates the contagion effect of a ratings change among any of the BRICS countries on three regions, Europe, the Middle East, and Africa (EMEA) and Latin America and Asia. Third, we estimate the impact of a ratings change on FDI inflows in the presence of two types of crises, the 2007-2009 global financial crisis as well as country-specific crises. The results suggest that sovereign ratings have a statistically significant impact on the flow of FDI to EMs and that the BRICS countries as a bloc exert a statistically significant contagion impact on the FDI inflows into the three regions examined. We also find that the impact of sovereign ratings change on FDI inflows increases in crisis times, both country-specific, as well as the global financial crisis.

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The relation between sovereign credit rating revisions and economic growth

Cited by 58 publications

References 54 publications

Assessing methodology of banks' ratings and their competitive positions: overview of main rating agencies

Assessing methodology of banks' ratings and their competitive positions: overview of main rating agencies

Non-performing loans and sovereign credit ratings

Sovereign ratings, foreign direct investment and contagion in emerging markets: Does being a BRICS country matter?

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