| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8156 |
| 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 |
| URL | https://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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