Information reliability and welfare: A theory of coarse credit ratings

• 成果类型: Article
• 署名作者: Goel, Anand M.; Thakor, Anjan V.
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.005
• 发表日期: 2015
• 页码: 541-557
• 关键词: credit ratings; Coarseness; cheap talk; Credit quality

摘要

An enduring puzzle is why credit rating agencies (CRAs) use a few categories to describe credit qualities lying in a continuum, even when ratings coarseness reduces welfare. We model a cheap-talk game in which a CRA assigns positive weights to the divergent goals of issuing firms and investors. The CRA wishes to inflate ratings but prefers an unbiased rating to one whose inflation exceeds a threshold. Ratings coarseness arises in equilibrium to preclude excessive rating inflation. We show that competition among CRAs can increase ratings coarseness. We also examine the welfare implications of regulatory initiatives. (C) 2015 Published by Elsevier B.V.