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Are Credit Ratings Procyclical?

Jeffery D. Amato

出版	SSRN, 2013
URL	http://books.google.com.hk/books?id=BajBzgEACAAJ&hl=&source=gbs_api

註釋

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 amp; Poor's, we find little evidence of procyclicality in ratings. By contrast, we find that initial ratings and rating changes exhibit excess sensitivity to the business cycle. The paper offers two explanations of these results.