Ratings bancarios y política monetaria

  1. Juan Fernández de Guevara 1
  2. Carlos Salvador 2
  1. 1 Universitat de València e Ivie
  2. 2 Colegio Universitario de Estudios Financieros (CUNEF)
Revista:
Cuadernos económicos de ICE

ISSN: 0210-2633

Año de publicación: 2016

Título del ejemplar: Una panorámica del sector bancario despues de la crisis

Número: 92

Páginas: 53-80

Tipo: Artículo

DOI: 10.32796/CICE.2016.92.6135 DIALNET GOOGLE SCHOLAR lock_openAcceso abierto editor

Otras publicaciones en: Cuadernos económicos de ICE

Resumen

Este trabajo analiza el impacto que la política monetaria expansiva mantenida por los bancos centrales a raíz de la crisis financiera ha producido en los ratings de los bancos de la Unión Europea, los Estados Unidos y Japón durante los años 2004-2013. Los reducidos tipos de interés y las escasas diferencias entre los tipos de interés a corto y a largo plazo suponen una amenaza de futuro para el sector bancario. Los resultados obtenidos muestran que el efecto tanto en los tipos de interés, como en la curva de tipos sobre los ratings bancarios tiene forma de U invertida en las tres grandes agencias de calificación Fitch, Moody’s y Standard and Poor’s. Por tanto, una subida de los tipos de interés, y/o un incremento de la pendiente de la curva de tipos tendría efectos beneficiosos sobre los ratings cuando estos son bajos, pero ulteriores subidas tendrían un efecto menor, agotándose su impacto e incluso pudiendo llegar a ser negativo. Las simulaciones realizadas indican que el efecto máximo de los tipos de interés que se obtiene en niveles del entorno del 2,5 por 100 en Standard and Poor’s y del 4,5 por 100 en Moody’s y Fitch.

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Fuente de los datos: Dialnet