Impact of the EBA stress tests on the credit ratings of European banks
- Supporting institution: Deutsche Bundesbank (Hauptverwaltung in Bayern)
- Project duration: 01.04.2021 - 30.03.2023 (24 months)
- Project contributors: Prof. Dr. Hanna Hottenrott, Christoph Gschnaidtner
The project "Impact of the EBA stress tests on the credit ratings of European banks" examines, using theoretical and empirical methods, the question of whether bank stress tests also increase financial market stability through the channel of credit ratings.
The research project is divided into two main parts. In the theoretical part, the effects of a (rating) signal generated by a state institution - for example by a state rating agency or alternatively in the form of the implementation of stress tests - on the market for credit ratings is scrutinized. In order to be able to confirm the theoretical results empirically, the second part of the project examines the effects of the EBA stress tests on the allocation of credit ratings to European banks. The aim is to find out whether the existence of a government (rating) signal limits the phenomenon of rating catering and thus, whether the hypothesis derived from the theory can be confirmed. With the findings obtained, the project contributes to research on financial market stability in the euro area.