Dokument: Financial Markets, Sovereign Default and Credit Rating Agencies

Titel:	Financial Markets, Sovereign Default and Credit Rating Agencies
URL für Lesezeichen:	https://docserv.uni-duesseldorf.de/servlets/DocumentServlet?id=39723
URN (NBN):	urn:nbn:de:hbz:061-20160926-085702-5
Kollektion:	Dissertationen
Sprache:	Englisch
Dokumententyp:	Wissenschaftliche Abschlussarbeiten » Dissertation
Medientyp:	Text
Autor:	Cüppers, Laura Natalie [Autor]
Dateien:	[Dateien anzeigen] Adobe PDF [Details] 6,95 MB in einer Datei [ZIP-Datei erzeugen] Dateien vom 23.09.2016 / geändert 23.09.2016
Beitragende:	Prof. Dr. Smeets, Heinz-Dieter [Gutachter] Prof. Dr. Neyer, Ulrike [Gutachter]
Dewey Dezimal-Klassifikation:	300 Sozialwissenschaften, Soziologie » 330 Wirtschaft
Beschreibung:	This dissertation comprises five essays in financial markets, sovereign defaults and the role of Credit Rating Agencies during the European sovereign debt crisis. Four of these essays examine the particularly controversial debate (even among economists) about Credit Rating Agencies with respect to their assessment of default risks in the market of sovereign debt, both in general and regarding to the European debt crisis in particular. Following the introduction in chapter one, Chapter 2 analyzes the necessity of and justification for regulation of Credit Rating Agencies with regard to sovereign credit ratings. The Chapter is jointly written with Heinz-Dieter Smeets and has the title “The Informational Role and Regulation of Credit Rating Agencies”. Our analysis of the informational role of issuer credit ratings in the market for corporate and sovereign bonds shows that credit ratings are able to reduce the information asymmetry in financial markets, and thus that a regulation of Credit Rating Agencies could not be justified by the correction of market failures in the rating process. The problem with credit ratings, both in the financial and in the sovereign debt crisis instead arose from the fact that credit ratings are widely used in regulation of financial markets. As long as regulatory measures do not reduce the mechanistic reliance on credit ratings, they will not reduce the effects of credit rating changes. In chapter 3, entitled “A Theoretical Approach to Probability of Sovereign Default”, a model of sovereign debt crises is used to analyze the determinants of the probability of sovereign default. In contrast to a corporate default, the default of a sovereign is more complicated to assess, because a sovereign debt problem can be caused both by lack of ability and or lack of willingness to pay. The strategic decision about the default is based on a cost-benefit analysis, which depends on the preferences of the government. While the focus of the existing literature on sovereign defaults lies on the role of the ability to pay in sovereign debt crises, little is known about the role of willingness to pay itself as well as its relevance for the default probability during the European debt crisis. The theoretical model of sovereign debt crises presented in chapter 3 allows us to explicitly model the willingness to pay as a government's strategic decision. The results show that a change in the cost or benefits of a default, and thus a change in the willingness to pay, influences the probability of sovereign default. This is also valid under circumstances in which the fundamental economic situation remains unchanged. Chapter 4, “Rating Determinants during the European Debt Crisis”, is an empirical analysis of the determinants of sovereign credit ratings by Standard and Poor's. In order to obtain a deeper understanding of the rating assignments during the crisis and to determine whether or not the downgrades of the so called PIIGS countries were comprehensible, this chapter empirically analyzes the quantitative determinants of sovereign credit ratings in Europe, using a dataset of 41 European countries between 2005 and 2013. By applying both linear and non-linear panel data techniques, we are able to account for the discrete and ordered nature of the sovereign credit rating variable. The main finding of this paper is that basic economic indicators such as debt, GDP per capita and inflation explain large parts of sovereign credit ratings. We also find evidence for a change in the rating approach during the crisis which now acquires a stronger focus on growth and debt as well as an additional negative effect for the crisis countries beyond the economic fundamentals. Our results suggest that with respect to the accusations towards the CRAs, that most rating changes during the European debt crisis were in accordance with the development of the economic situation in the affected countries or can alternatively be explained by changes in the Credit Rating Agencies' evaluations of the willingness to pay. In chapter 4, entitled “Sovereign Rating Channel and Sovereign Ceiling”, we analyze the impact of sovereign rating changes on the real economy by examining their influence on corporate ratings. Using a panel data set of 145 non-financial corporations in 27 European Countries between 2008 and 2013 we estimate the impact of sovereign on corporate credit ratings. In a first step, we find strong empirical evidence for a sovereign rating channel by estimating a corporate linear model: a change in sovereign credit rating by four notches leads to a change in corporate rating by one notch. Secondly, we identify a strong sovereign ceiling effect by applying both a linear panel model and a Difference in Difference estimation: corporations at or above the sovereign ceiling are downgraded disproportionately stronger than corporations in the control group. Thirdly, our results point towards a shift in the assessment of the role of sovereign risk for corporate risk since the beginning of the sovereign debt crisis: Credit Rating Agencies now discriminate stronger between the different countries in the EMU regarding their sovereign risk and its impact on the corporate credit rating. In general, our results show that the downgradings of sovereign credit ratings during the crisis had a substantial influence on the corporate credit ratings in Europe, accompanying a rise in the cost of financing for the corporations in the crisis affected countries. The final chapter, chapter 5, focuses on the German stock market instead of on the European sovereign bond market. The title of the chapter is “How Do Oil Price Changes Affect German Stock Returns?” and it is co-authored by Heinz-Dieter Smeets. In this contribution, we analyze the effects of oil price changes on the stock return of 17 German DAX companies between 1982 and 2007 by applying both, linear panel data estimations and Granger causality tests. In contrast to previous studies, our focus is not only on analyzing the general effects of changes in oil prices but also to identify the channels of transmission through which the oil prices affect the stock returns. To begin, we identify a non-linear and asymmetric relationship between oil prices quoted in US dollars and the German stock market by estimating a fixed effects model for the different DAX companies on a monthly database. The fact that the oil prices quoted in US dollars and not in euros affect the stock return strongly points towards the existence of a signalling (transmission) channel. The market participants form their expectations on (future) profits based on oil prices quoted in US dollars because they are readily available. Additionally, further evidence is provided for the signalling channel on a disaggregated and daily database by applying Granger (non-)causality tests. The results reveal, however, that only certain industries are affected by oil price shocks, whereas others remain unaffected. We show that these varying effects of oil price shocks mainly result from the cost- and demand-side dependence on oil that different companies are exposed to.
Lizenz:	Urheberrechtsschutz
Fachbereich / Einrichtung:	Wirtschaftswissenschaftliche Fakultät » Volkswirtschaftslehre
Dokument erstellt am:	26.09.2016
Dateien geändert am:	26.09.2016
Promotionsantrag am:	01.04.2016
Datum der Promotion:	20.06.2016