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The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis

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The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. / ap Gwilym, O.M.; Alsakka, R.; Ap Gwilym, O. et al.
In: Journal of International Money and Finance, Vol. 49, No. part B, 13.04.2014, p. 235-257.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

ap Gwilym, OM, Alsakka, R, Ap Gwilym, O & Vu, TN 2014, 'The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis', Journal of International Money and Finance, vol. 49, no. part B, pp. 235-257. https://doi.org/10.1016/j.jimonfin.2014.03.012

APA

ap Gwilym, O. M., Alsakka, R., Ap Gwilym, O., & Vu, T. N. (2014). The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. Journal of International Money and Finance, 49(part B), 235-257. https://doi.org/10.1016/j.jimonfin.2014.03.012

CBE

ap Gwilym OM, Alsakka R, Ap Gwilym O, Vu TN. 2014. The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. Journal of International Money and Finance. 49(part B):235-257. https://doi.org/10.1016/j.jimonfin.2014.03.012

MLA

ap Gwilym, O.M. et al. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis". Journal of International Money and Finance. 2014, 49(part B). 235-257. https://doi.org/10.1016/j.jimonfin.2014.03.012

VancouverVancouver

ap Gwilym OM, Alsakka R, Ap Gwilym O, Vu TN. The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. Journal of International Money and Finance. 2014 Apr 13;49(part B):235-257. doi: 10.1016/j.jimonfin.2014.03.012

Author

ap Gwilym, O.M. ; Alsakka, R. ; Ap Gwilym, O. et al. / The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. In: Journal of International Money and Finance. 2014 ; Vol. 49, No. part B. pp. 235-257.

RIS

TY - JOUR

T1 - The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis

AU - ap Gwilym, O.M.

AU - Alsakka, R.

AU - Ap Gwilym, O.

AU - Vu, T.N.

PY - 2014/4/13

Y1 - 2014/4/13

N2 - We investigate the rating channel for the transmission of changes in sovereign risk to the banking sector, analysing data from Moody's, SandP and Fitch before and during the European debt crisis. Sovereign rating downgrades and negative watch signals have strong effects on bank rating downgrades in the crisis period. The impact is stronger for multiple-notch sovereign rating downgrades, and more pronounced in PIIGS countries. Secondly, we investigate rating agencies' competition in the banking sector during the same periods, finding significant differences in rating policies across the agencies. SandP credit actions tend to be the more independent ones, while Moody's appears to be more cautious, although it is by far the most likely to assign multiple-notch downgrades. In the pre-crisis period, we find no evidence that bank rating actions are linked to sovereign rating signals (nor vice versa) nor to prior bank rating changes by a competing agency.

AB - We investigate the rating channel for the transmission of changes in sovereign risk to the banking sector, analysing data from Moody's, SandP and Fitch before and during the European debt crisis. Sovereign rating downgrades and negative watch signals have strong effects on bank rating downgrades in the crisis period. The impact is stronger for multiple-notch sovereign rating downgrades, and more pronounced in PIIGS countries. Secondly, we investigate rating agencies' competition in the banking sector during the same periods, finding significant differences in rating policies across the agencies. SandP credit actions tend to be the more independent ones, while Moody's appears to be more cautious, although it is by far the most likely to assign multiple-notch downgrades. In the pre-crisis period, we find no evidence that bank rating actions are linked to sovereign rating signals (nor vice versa) nor to prior bank rating changes by a competing agency.

U2 - 10.1016/j.jimonfin.2014.03.012

DO - 10.1016/j.jimonfin.2014.03.012

M3 - Article

VL - 49

SP - 235

EP - 257

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

IS - part B

ER -