Do credit ratings help enforce market discipline on banks? Analyzing a uniquely comprehensive data set consisting of 1,081 rating change announcements for 154 international financial institutions between January 2004 and December 2015, we find that rating downgrades for internal reasons, such as adverse changes in the operating performance or capital structure of banks, are associated with a significant credit default swap spread widening. However, this widening only occurs for banks that are not perceived as to be Too‐Big‐to‐Fail (TBTF). Our findings question the reliability of credit ratings as a tool to discipline TBTF banks and suggest that regulatory monitoring should remain the main mechanism for disciplining these banks.

中文翻译：

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通过信用评级和银行业务过大倒闭的市场纪律

信用评级是否有助于对银行实施市场纪律？通过分析一个独特的综合数据集，其中包括2004年1月至2015年12月间154家国际金融机构的1,081份评级变更公告，我们发现，由于内部原因（例如银行经营业绩或资本结构的不利变化）而导致的评级下调与大量的信用违约掉期利差扩大。但是，这种扩大仅发生在那些没有被认为过大倒闭（TBTF）的银行中。我们的研究结果质疑信用评级作为对TBTF银行进行纪律管理的工具的可靠性，并建议监管监控应仍然是约束这些银行的主要机制。