dc.contributor.author | Holden, Steinar | |
dc.contributor.author | Natvik, Gisle James | |
dc.contributor.author | Vigier, Adrien | |
dc.date.accessioned | 2018-05-02T13:46:24Z | |
dc.date.available | 2018-05-02T13:46:24Z | |
dc.date.issued | 2012 | |
dc.identifier.isbn | 978-82-7553-711-7 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2496816 | |
dc.description.abstract | We develop a model of credit rating agencies (CRAs) based on reputation concerns. Ratings affect investors' choice and, thereby, also issuers' access to funding and default risk. We show that - in equilibrium - the informational content of credit ratings is inferior to that of CRAs' private information. We find that CRAs have a pro-cyclical impact on default risk: in a liquidity boom CRAs help resolve investors' coordination problem, and lower the probability of default; in a liquidity crunch CRAs raise the probability of default. Furthermore, rating standards tend to be pro-cyclical, while biased CRA-incentives will ultimately be self-defeating. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;23/2012 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: G24 | nb_NO |
dc.subject | JEL: G33 | nb_NO |
dc.subject | JEL: D82 | nb_NO |
dc.subject | JEL: C72 | nb_NO |
dc.subject | CRA | nb_NO |
dc.subject | credit rating agencies | nb_NO |
dc.subject | global games | nb_NO |
dc.subject | coordination failure | nb_NO |
dc.title | An Equilibrium Model of Credit Rating Agencies | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 31 | nb_NO |