The Real Effects of Credit Ratings: The Sovereign Ceiling Channel

• 成果类型: Article
• 署名作者: Almeida, Heitor; Cunha, Igor; Ferreira, Miguel A.; Restrepo, Felipe
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Universidade Nova de Lisboa; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Western University (University of Western Ontario)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12434
• 发表日期: 2017
• 页码: 249-290
• 关键词: firm-level evidence; capital structure; Financial crisis; Market access; stock returns; debt; INVESTMENT; IMPACT; RISK

摘要

We show that sovereign debt impairments can have a significant effect on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation in corporate ratings due to rating agencies' sovereign ceiling policies, which require that firms' ratings remain at or below the sovereign rating of their country of domicile.