The Credit Ratings Game

• 成果类型: Article
• 署名作者: Bolton, Patrick; Freixas, Xavier; Shapiro, Joel
• 署名单位: Columbia University; Pompeu Fabra University; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01708.x
• 发表日期: 2012
• 页码: 85-111
• 关键词: information; certification; MARKETS

摘要

The collapse of AAA-rated structured finance products in 2007 to 2008 has brought renewed attention to conflicts of interest in credit rating agencies (CRAs). We model competition among CRAs with three sources of conflicts: (1) CRAs conflict of understating risk to attract business, (2) issuers ability to purchase only the most favorable ratings, and (3) the trusting nature of some investor clienteles. These conflicts create two distortions. First, competition can reduce efficiency, as it facilitates ratings shopping. Second, ratings are more likely to be inflated during booms and when investors are more trusting. We also discuss efficiency-enhancing regulatory interventions.