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Impact of COVID-19 on European banks’ credit ratings

Patrycja Chodnicka-Jaworska

Puni tekst: engleski pdf 1.822 Kb

preuzimanja: 9



The 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.

Ključne riječi

Credit ratings, crisis, COVID- 19, CAMEL

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