Who Should Pay for Credit Ratings and How?

• 成果类型: Article
• 署名作者: Kashyap, Anil K.; Kovrijnykh, Natalia
• 署名单位: University of Chicago; Arizona State University; Arizona State University-Tempe
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv127
• 发表日期: 2016
• 页码: 420
• 关键词: Certification; ECONOMICS; agencies

摘要

We analyze a model where investors use a credit rating to decide whether to finance a firm. The rating quality depends on unobservable effort exerted by a credit rating agency (CRA). We study optimal compensation schemes for the CRA when a planner, the firm, or investors order the rating. Rating errors are larger when the firm orders it than when investors do (and both produce larger errors than is socially optimal). Investors overuse ratings relative to the firm or planner. Atrade-off in providing time-consistent incentives embedded in the optimal compensation structure makes the CRA slow to acknowledge mistakes. (JEL D82, D83, D86, G24)