Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39029
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorMatousek, Romanen_US
dc.contributor.authorStewart, Chrisen_US
dc.date.accessioned2010-06-18en_US
dc.date.accessioned2010-08-18T11:21:57Z-
dc.date.available2010-08-18T11:21:57Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39029-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper Monetary Policy and International Finance |x3074en_US
dc.subject.jelC25en_US
dc.subject.jelC51en_US
dc.subject.jelC52en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordEU countriesen_US
dc.subject.keywordbanksen_US
dc.subject.keywordratingsen_US
dc.subject.keywordordered probit modelsen_US
dc.subject.keywordindex of indicator variablesen_US
dc.subject.stwBanken_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwBewertungen_US
dc.subject.stwRatingagenturen_US
dc.subject.stwRegressionen_US
dc.subject.stwModell-Spezifikationen_US
dc.subject.stwEU-Staaten (Osteuropa)en_US
dc.subject.stwEU-Staatenen_US
dc.titleEU banks rating assignments: Is there heterogeneity between new and old member countries?en_US
dc.type|aWorking Paperen_US
dc.identifier.ppn629643938en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
183.4 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.