Feedback effects of credit ratings

• 成果类型: Article
• 署名作者: Manso, Gustavo
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.03.007
• 发表日期: 2013
• 页码: 535-548
• 关键词: Credit rating agencies; Performance-sensitive debt; Financial regulation; Credit-cliff dynamic

摘要

Rating agencies are often criticized for being biased in favor of borrowers, for being too slow to downgrade following credit quality deterioration, and for being oligopolists. Based on a model that takes into account the feedback effects of credit ratings, I show that: (i) rating agencies should focus not only on the accuracy of their ratings but also on the effects of their ratings on the probability of survival of the borrower; (ii) even when rating agencies pursue an accurate rating policy, multi-notch downgrades or immediate default may occur in response to small shocks to fundamentals; (iii) increased competition between rating agencies can lead to rating downgrades, increasing default frequency and reducing welfare. (C) 2013 Published by Elsevier B.V.