ABSTRACT

This paper analyses bank rating dynamics in Europe and the United States from 2000 to 2016. In particular, two questions are addressed: (i) whether the rating agencies replicate prior changes in ratings made by other agencies (the lead-lag strategy) and (ii) whether previous rating signals (changes in ratings and in watchlist status) issued by an agency influence the likelihood of that agency making further rating changes (rating momentum). The results obtained constitute further evidence of the interdependence between the downgrades and upgrades issued by pairs of agencies. This interdependence increased significantly since the onset of the global financial crisis, when banks experienced a significant deterioration in their financial situation and the rating agencies were in the spotlight. The results also provide evidence that rating momentum is an important factor in predicting future rating actions and that, following the onset of the crisis, agencies are more likely to conduct subsequent downgrades than upgrades. Therefore, the findings suggest that rating dynamics are good predictors of upcoming rating actions, and that CRAs adopted more conservative behaviour since the onset of the crisis.

摘要

本文分析了 2000 年至 2016 年欧洲和美国的银行评级动态。特别是解决了两个问题：( i ) 评级机构是否复制了其他机构之前所做的评级变化（领先滞后策略）和（ii ) 机构发布的先前评级信号（评级变化和观察名单状态）是否会影响该机构做出进一步评级变化的可能性（评级动量））。获得的结果进一步证明了由成对机构发布的降级和升级之间的相互依存关系。自全球金融危机爆发以来，这种相互依存关系显着增加，当时银行的财务状况显着恶化，评级机构成为人们关注的焦点。结果还提供证据表明，评级动力是预测未来评级行动的一个重要因素，并且在危机爆发后，机构更有可能进行后续降级而不是升级。因此，调查结果表明，评级动态是即将到来的评级行动的良好预测指标，自危机爆发以来，信用评级机构采取了更加保守的行为。