EU banks rating assignments: Is there heterogeneity between new and old member countries?

Arbeitspapier

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether 'old' and 'new' EU countries are rated differently and to determine whether 'new' ones are assigned lower ratings, ceteris paribus, than 'old' ones. We find that country-specific factors (in the form of heterogeneous intercepts) are a crucial determinant of ratings. Whilst 'new' EU countries typically have lower ratings than 'old' ones, after controlling for financial variables we also discover that all countries have significantly different intercepts, confirming our prior belief. This intercept heterogeneity suggests that each country's rating is assigned uniquely, after controlling for differences in financial factors, which may reflect differences in country risk and the legal and regulatory framework that banks face (such as foreclosure laws). In addition, we find that ratings may respond differently to the liquidity and operating expenses to operating income variables across countries. Typically ratings are more responsive to the former and less sensitive to the latter for 'new' EU countries compared with 'old' EU countries.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 3074

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: EU countries ; banks ; ratings ; ordered probit models ; index of indicator variables ; Bank ; Kreditrisiko ; Bewertung ; Ratingagentur ; Regression ; Modell-Spezifikation ; EU-Staaten (Osteuropa) ; EU-Staaten

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Matousek, Roman ; Stewart, Chris
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/39029
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ