G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8156
DP8156 Ratings Quality over the Business Cycle
Joel Shapiro; Heski Bar-Isaac
发表日期2010-12-01
出版年2010
语种英语
摘要The reduced accuracy of credit ratings on structured finance products in the boom just preceding the financial crisis has prompted investigation into the business of Credit Rating Agencies (CRAs). While CRAs have long held that their behavior is disciplined by reputational concerns, the value of reputation depends on economic fundamentals that vary over the business cycle. These include income from fees, default probabilities for the securities rated, competition in the labor market for analysts, and expectations about the future. We analyze a dynamic model of ratings where reputation is endogenous and the market environment may vary over time. We find that a CRA is more likely to issue less accurate ratings in boom times than during recessionary periods. Persistence in economic conditions can diminish our results, while mean reversion exacerbates them. Finally, we demonstrate that competition among CRAs yields similar qualitative results.
主题Financial Economics ; Industrial Organization
关键词Credit rating agencies Ratings accuracy Reputation
URLhttps://cepr.org/publications/dp8156
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536993
推荐引用方式
GB/T 7714
Joel Shapiro,Heski Bar-Isaac. DP8156 Ratings Quality over the Business Cycle. 2010.
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