Credit rating downgrades and systemic risk
研究了三大评级机构的发行人信用评级变化如何影响银行系统性风险，发现评级下调会增加系统性风险，而盈利能力等稳定因素可缓解此效应，主权评级下调则加剧影响。
We examine whether changes in issuer credit ratings by the three main providers are associated with changes in systemic risk. First, we find that rating downgrades result in an increase in bank systemic risk, whereas upgrades do not proportionally reduce systemic risk. Second, we document that the positive relationship between rating downgrades and systemic risk can be mitigated by accounting-based stability factors, such as profitability and capital, but also enhanced by sovereign rating downgrades. Finally, we show that sovereign rating downgrades have a greater effect on bound banks’ systemic risk compared to non-bound banks.