CREDIT RATING AND DEBT CRISES

• 成果类型: Article
• 署名作者: Holden, Steinar; Natvik, Gisle James; Vigier, Adrien
• 署名单位: University of Oslo; BI Norwegian Business School
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12293
• 发表日期: 2018
• 页码: 973-987
• 关键词: catalytic finance; COORDINATION; multiplicity; INFORMATION; prices; MODEL; game

摘要

We develop an equilibrium theory of credit rating in the presence of rollover risk. By influencing rational creditors, ratings affect sovereigns' probability of default, which in turn affects ratings. Our analysis reveals a pro-cyclical impact of credit rating: In equilibrium the presence of a rating agency increases default risk when it is high and decreases default risk when it is low.