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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorMatousek, Romanen
dc.contributor.authorStewart, Chrisen
dc.date.accessioned2010-06-18-
dc.date.accessioned2010-08-18T11:21:57Z-
dc.date.available2010-08-18T11:21:57Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3074en
dc.subject.jelC25en
dc.subject.jelC51en
dc.subject.jelC52en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordEU countriesen
dc.subject.keywordbanksen
dc.subject.keywordratingsen
dc.subject.keywordordered probit modelsen
dc.subject.keywordindex of indicator variablesen
dc.subject.stwBanken
dc.subject.stwKreditrisikoen
dc.subject.stwBewertungen
dc.subject.stwRatingagenturen
dc.subject.stwRegressionen
dc.subject.stwModell-Spezifikationen
dc.subject.stwEU-Staaten (Osteuropa)en
dc.subject.stwEU-Staatenen
dc.titleEU banks rating assignments: Is there heterogeneity between new and old member countries?-
dc.typeWorking Paperen
dc.identifier.ppn629643938en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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