Competition and Strategic Incentives in the Market for Credit Ratings: Empirics of the Financial Crisis of 2007

• 成果类型: Article
• 署名作者: Chu, Chenghuan Sean; Rysman, Marc
• 署名单位: Boston University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20140773
• 发表日期: 2019
• 页码: 3514-3555
• 关键词: models; identification; auctions

摘要

We study the market for ratings agencies in the commercial mortgage backed securities sector leading up to and including the financial crisis of 2007-2008. Using a structural model adapted from the auctions literature, we characterize the incentives of ratings agencies to distort ratings in favor of issuers. We find an important equilibrium distortion, which decreased after the crisis. We study several counterfactual experiments motivated by recent policymaking in this industry.