Исследование взаимосвязи кредитных циклов с изменениями кредитных рейтингов

Журнал Новой экономической ассоциации. 2020. Т. 48. № 4. С. 138–160.

Karminsky A. M., Dyachkova N.

The purpose of this study is to identify relationships between
changes in ratings and the impact of credit cycles on them. The following methodology
was used: we built up an applied statistical probit-model of multiple-choice to
determine ratings changes. Our model includes a credit gap indicator for assessing the
impact of the credit cycle. Our empirical research also includes a review of the time
changes in the ratings during a ten-year period for developed and developing countries.
The results of our study show that credit ratings are not only affected by cyclical
changes within the credit cycle, but also are delayed in its relation to the cycle. From a
practical point of view, these results indicate the practical need to take into account various
macroeconomic factors because of the impact of credit cycles for forecasting and
risk management in financial markets.

Keywords: кредитные рейтинги, коммерческие банки, кредитный цикл