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Η επίδραση των επιτοκίων στην πιστοληπτική ικανότητα των επιχειρήσεων – οδηγεί η άνοδος των επιτοκίων σε υποβάθμιση της βαθμολογίας της πιστοληπτικής τους ικανότητας των επιχειρήσεων (Master thesis)

Χρόνη, Αναστασία/ Chroni, Anastasia/ Σύγχρονες Ευρωπαϊκές Σπουδές: Δίκαιο, Οικονομία, Πολιτική

The purpose of this thesis is to examine the relationship between interest rate changes and corporate creditworthiness, with a focus on the US economy and Standard & Poor's credit ratings. More specifically, the study examines whether and to what extent increases in interest rates are associated with credit rating downgrade. The empirical analysis is based on a panel dataset of 48,216 monthly observations covering 287 firms over the period 2011-2024. A mixed – effects regression model is employed, incorporating interest rates of different maturities along with key macroeconomic indicators. The results indicate that increases in short – and medium – term interest rates are statistically significantly associated with a deterioration in corporate credit ratings, highlighting the role of monetary tightening in shaping corporate credit risk. In contrast, long-term interest rates exhibit a differentiated effect, potentially reflecting market expectations and broader macroeconomic conditions. The contribution of this thesis lies in providing firm-level empirical evidence on link between monetary policy and corporate credit ratings, using an extensive panel dataset and modern econometric framework. The findings contribute to the existing literature by shedding light on the transmission mechanism through which interest rate changes affect corporate credit risk.