Iannotta, Giuliano; Nocera, Giacomo; Resti, Andrea - In: Journal of Financial Stability 9 (2013) 4, pp. 545-555
We investigate how the credit cycle affects the link between bond spreads and credit ratings. Using a simple model of the credit assessment process, we show that when the debt market is more opaque, the information content of ratings deteriorates, creating an incentive for investors to increase...
