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The Role of Non-financial Factors in Internal Credit Ratings

Grunert, Jens; Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2002

capital adequacy and banks’ increasing focus on the risk-return profile in commercial lending. Therefore, the components of … file data from four major German banks we find evidence that the combined use of financial and non-financial factors leads …

Persistent link: https://www.econbiz.de/10005067587

Credit Ratings as Coordination Mechanism

Boot, Arnoud W A; Milbourn, Todd - C.E.P.R. Discussion Papers - 2002

In this Paper, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings can serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a ‘focal point’ for firms and their investors. We...

Persistent link: https://www.econbiz.de/10005504472

Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing

Baghai, Ramin; Servaes, Henri; Tamayo, Ane - C.E.P.R. Discussion Papers - 2011

We document that rating agencies have become more conservative in assigning ratings to corporate bonds over the period 1985 to 2009. Holding firm characteristics constant, average ratings have dropped by 3 notches (e.g., from A+ to BBB+) over time. This increased stringency has affected both...

Persistent link: https://www.econbiz.de/10009147400

Bank ratings: What determines their quality?

Hau, Harald; Langfield, Sam; Marqués Ibañez, David - C.E.P.R. Discussion Papers - 2012

This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three …, and define a new ordinal metric of rating error based on banks’ expected default frequencies. Our results suggest that … rating agencies assign more positive ratings to large banks and to those institutions more likely to provide the rating …

Persistent link: https://www.econbiz.de/10011083326

Structured Debt Ratings: Evidence on Conflicts of Interest

Efing, Matthias; Hau, Harald - C.E.P.R. Discussion Papers - 2013

large issuer banks. …

Persistent link: https://www.econbiz.de/10011083647

How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013

This paper argues that the crisis was an outcome of EMU: setting a common monetary policy for countries with different initial inflation rates. The crisis countries were those with high inflation rates which then had negative real interest rates and consequently over-borrowed. Current policy...

Persistent link: https://www.econbiz.de/10011084346

Is the UK triple-A?

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013

The immediate background to this paper is the downgrade of the U.K.'s credit rating in February 2013, the market's view that this should have occurred earlier and the emphasis in fiscal policy on reducing debt rather than recovery from recession. We propose a measure of the U.K. sovereign credit...

Persistent link: https://www.econbiz.de/10011084436

The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades

Karam, Philippe; Merrouche, Ouarda; Souissi, Moez; … - C.E.P.R. Discussion Papers - 2014

effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away …

Persistent link: https://www.econbiz.de/10011084686

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements

Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004

This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-02. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnormal...

Persistent link: https://www.econbiz.de/10005656462

Credit, Financial Stability, and the Macroeconomy

Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015

Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...

Persistent link: https://www.econbiz.de/10011213304