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Impact of COVID-19 on European banks’ credit ratings

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dc.abstract.enThe aim of this paper is to analysis the impact of the COVID-19 pandemic on European banks’ default risks, as measured by foreign long-term issuer credit ratings published by the main credit rating agencies. Two hypotheses are put forward: (1) The macroeconomic situation has a stronger negative impact on banks’ financial conditions during COVID-19; (2) changes in the capital adequacy, assets, management, earnings, and liquidity indicators have a significant impact on changes in banks’ credit ratings. The analysis has been prepared for the 2000–2021 period for listed and unlisted banks on the European stock exchanges, that received long-term issuer credit ratings from the main credit rating agencies. To the analysis have been used the ordered logit panel data models and the research has been made on the first differences to analyse the impact of the changes of the financial and macroeconomic conditions on the credit ratings changes. The obtained results suggest a direct and significant impact of the COVID-19 pandemic on the credit rating changes, but a delayed reaction.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorCHODNICKA-JAWORSKA, PATRYCJA
dc.date.accessioned2024-01-25T03:44:54Z
dc.date.available2024-01-25T03:44:54Z
dc.date.issued2023
dc.description.financePublikacja bezkosztowa
dc.description.number3
dc.description.volume36
dc.identifier.doi10.1080/1331677X.2022.2153717
dc.identifier.issn1331-677X
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/108997
dc.identifier.weblinkhttps://www.tandfonline.com/doi/pdf/10.1080/1331677X.2022.2153717
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofEconomic Research-Ekonomska Istrazivanja
dc.relation.pages2153717 (1-20)
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.encredit ratings
dc.subject.encrisis
dc.subject.enCOVID-19
dc.subject.enCAMEL
dc.titleImpact of COVID-19 on European banks’ credit ratings
dc.typeJournalArticle
dspace.entity.typePublication