Η επίδραση της πιστοληπτικής αξιολόγησης μιας χώρας στο κόστος των δανείων
KeywordsΑξιολόγηση πιστοληπτικής ικανότητας ; Επιτόκια τραπεζικών δανείων ; Οίκοι αξιολόγησης ; Πιστωτικός κίνδυνος ; Sovereign ceiling ; GMM
The goal of this paper is to analyze the impact of sovereign rating changes on the cost of bank loans to domestic firms. The analysis uses the 19 countries of euro area from 2003 to 2020 and also includes the use of other explanatory variables from the literature in order for the results to be more representative. The generalized method of moments(GMM) on the panel data is used to estimate the equation. The result is that the sovereign rating affects the cost of borrowing for domestic firms because the coefficient is negative and statistical significant, a result which is consistent with the literature. The chapter on empirical analysis also includes the granger causality test where the two-way causality relationship between the two variables is ascertained. Finally, it is important to reduce the reliance on rating agencies because they can cause many problems to domestic firms independently from their financial statements as we discovered with the present thesis.