کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7243888 | 1471680 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Time to change. Rating changes and policy implications
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
⺠I examine the timeliness of rating changes and identify factors influencing the stickiness of rating actions, i.e. situations where ratings remain unaffected by a large change of market-based default probability measures. ⺠Introducing an econometric extension to friction models I estimate thresholds of those measures which trigger rating migration. ⺠On average a change of more than two notches leads to a rating adjustment. ⺠Changes are more timely during recessions and for lower credit quality firms. ⺠These findings help in addressing lessons learned from the recent financial crisis in which rating agencies played a crucial role.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 80, Issue 3, December 2011, Pages 641-656
Journal: Journal of Economic Behavior & Organization - Volume 80, Issue 3, December 2011, Pages 641-656
نویسندگان
Peter N. Posch,