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Evaluation of the Impact of Credit Rating Agencies Decisions on the Market of Treasury Debt Securities

In: Global Versus Local Perspectives on Finance and Accounting

Author

Listed:
  • Anna Szelągowska

    (Warsaw School of Economics)

  • Piotr Staszkiewicz

    (Warsaw School of Economics)

Abstract

The aim of the chapter entitled ‘Evaluation of the impact of credit rating agencies decisions on the market of treasury debt securities’ is to evaluate the impact of the Standard&Poor’s, Moody’s and Fitch key decisions on the market of treasury debt securities in selected 14 EU member states. The research problem which the paper deals with comes down to the issue of establishing the impact of the rating agency decisions regarding downgrade or upgrade rating for 10-year treasury bond yields in the countries examined. To this purpose, the following research hypotheses were verified: (i) The higher the rating is, the greater the convergence of time series for 10-year treasury bond yields is, (ii) Decisions of Standard&Poor’s rating agency have the greatest impact on 10-year treasury bond yields. Verification of the above hypotheses was carried out with the use of literature-based discussion and the classical linear regression model where 10-year treasury bond yield was the dependent variable and the rating agency decision was the independent variable. Moreover, ANOVA analysis of variance was applied.

Suggested Citation

  • Anna Szelągowska & Piotr Staszkiewicz, 2019. "Evaluation of the Impact of Credit Rating Agencies Decisions on the Market of Treasury Debt Securities," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Global Versus Local Perspectives on Finance and Accounting, pages 143-151, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-11851-8_14
    DOI: 10.1007/978-3-030-11851-8_14
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