IDEAS home Printed from https://ideas.repec.org/a/ids/injbaf/v11y2020i2p254-280.html
   My bibliography  Save this article

Split credit ratings of banks in times of crisis

Author

Listed:
  • Surraya Rowe

Abstract

This paper analyses whether opacity of bank creditworthiness increases during crisis periods and if the conservativeness of CRAs changes through business cycles. Univariate and multivariate methodologies are used: data from Moody's and S%P on credit ratings and watch status for 133 commercial banks across 17 developed countries from 2007 to 2015 is employed. The univariate analysis is a unique technique that provides a new perspective to assess whether splits between CRAs are defined as permanent or temporary. The evidence demonstrates that Moody's and S%P frequently disagree. S%P is shown to be the more conservative CRA overall, however, the extent to which Moody's issues higher ratings decreases over time until it becomes the more conservative CRA. The paper is the first of its kind to establish that the conservativeness of Moody's and S%P changes throughout business cycles, which should impact on the strategic decision making of investors.

Suggested Citation

  • Surraya Rowe, 2020. "Split credit ratings of banks in times of crisis," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 11(2), pages 254-280.
    • Handle: RePEc:ids:injbaf:v:11:y:2020:i:2:p:254-280
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=106716
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:injbaf:v:11:y:2020:i:2:p:254-280. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=277 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.