Post-crisis Banking Regulation and Credit Rating Adjustments. How Did the Bail-In Affect Eurozone Banks’ Credit Rating?

L. Franco
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Abstract

This paper looks at the credit rating adjustments on Eurozone banks that followed the post-crisis regulation of bank resolution in Europe in 2014. The empirical assessment analyses within-bank variation using the credit ratings of the major Eurozone banks. The analysis shows that with the introduction of the bail-in: 1) the ratings of Eurozone banks, as expected, were subject to downward pressures; 2) however, credit rating agencies (CRAs) reacted in a variety of ways, moving to post bail-in ratings for Eurozone banks that were more homogenous across CRAs than pre bail-in ratings. While the credit rating adjustments are rightly justified by the rating methodologies used, the convergence among CRAs suggests some degree of discretion in assigning the rating. These results are consistent with herding behaviour among CRAs.
危机后银行业监管和信用评级调整。纾困如何影响欧元区银行信用评级?
本文考察了2014年欧洲银行处置后危机监管对欧元区银行信用评级的调整。实证评估使用欧元区主要银行的信用评级来分析银行内部的变化。分析表明,引入“内部纾困”后:1)欧元区银行评级如预期的那样面临下行压力;2)然而,信用评级机构(CRAs)以各种方式作出反应,开始对欧元区银行发布纾困评级,这些评级机构之间的评级比纾困前的评级更为一致。虽然信用评级调整是正确的,使用的评级方法,信用评级机构之间的趋同表明,在分配评级有一定程度的自由裁量权。这些结果与cra的羊群行为一致。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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