Are credit ratings procyclical?

被引：145

作者：

Amato, JD ^{[1
]}

Furfine, CH

机构：

[1] Bank Int Settlements, CH-4002 Basel, Switzerland

[2] Fed Reserve Bank Chicago, Chicago, IL 60604 USA

来源：

JOURNAL OF BANKING & FINANCE | 2004年 / 28卷 / 11期

关键词：

rating agencies; business cycles; credit risk;

D O I：

10.1016/j.jbankfin.2004.06.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the influence of the state of the business cycle on credit ratings. In particular, we assess whether rating agencies are excessively procyclical in their assignment of ratings. Our analysis is based on a model of ratings determination that takes into account factors that measure the business and financial risks of firms, in addition to indicators of macroeconomic conditions. Utilizing annual data on all US firms rated by Standard & Poor's, we find that ratings do not generally exhibit excess sensitivity to the business cycle. In addition, we document that previously reported findings of a secular tightening of ratings standards are not robust to a more complete accounting of systematic changes to measures of risk. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：2641 / 2677

页数：37

共 23 条

[11]

Darrell D, 2003, PRINC SER FINANC, P1

[12] RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].

DIMSON, E .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226

[13] Analyzing rating transitions and rating drift with continuous observations [J].

Lando, D ;

Skodeberg, TM .

JOURNAL OF BANKING & FINANCE, 2002, 26 (2-3) :423-444

[14]

LOFFLER G, 2003, IN PRESS J BANKING F

[15]

LOFFLER G, 2002, 97 GOETH U FRANKF

[16]

LOWE P, 2002, 116 IBIS

[17]

Lown C. S., 2000, EC POLICY REV, V6, P1

[18]

LUCAS D, 1992, J FIXED INCOME MAR, P7

[19]

Mann C., 2003, MOODYS SPECIAL C OCT

[20] Stability of rating transitions [J].

Nickell, P ;

Perraudin, W ;

Varotto, S .

JOURNAL OF BANKING & FINANCE, 2000, 24 (1-2) :203-227

← 1 2 3 →