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.

中文翻译：

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信用评级下调与系统性风险

我们研究了三大主要提供商发行人信用评级的变化是否与系统性风险的变化相关。首先，我们发现评级下调会导致银行系统性风险增加，而评级上调并不能成比例地降低系统性风险。其次，我们记录了评级下调与系统性风险之间的正向关系可以通过基于会计的稳定因素（例如盈利能力和资本）来缓解，但也可以通过主权评级下调来增强。最后，我们表明，与非约束银行相比，主权评级下调对约束银行的系统性风险有更大的影响。