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Are credit ratings procyclical?

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Author Info
Amato, Jeffery D.
Furfine, Craig H.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-4D1R4RJ-2/2/82e95fd5e79a75e57fde5127948eeaac
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 11 (November)
Pages: 2641-2677
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:11:p:2641-2677

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  2. Stolz, Stephanie & Wedow, Michael, 2005. "Banks’ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks," Discussion Paper Series 2: Banking and Financial Studies 2005,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
  3. Pesaran, M.H. & Schuermann, T. & Treutler, B-J., 2005. "The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification," Cambridge Working Papers in Economics 0529, Faculty of Economics, University of Cambridge. [Downloadable!]
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  4. Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
  5. Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
  6. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  7. Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Banco de España Working Papers 0712, Banco de España. [Downloadable!]
  8. Nikola A. Tarashev, 2008. "An Empirical Evaluation of Structural Credit-Risk Models," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 1-53, March. [Downloadable!]
  9. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management. [Downloadable!]
  10. André Güttler & Mark Wahrenburg, 2007. "The Adjustment of Credit Ratings in Advance of Defaults," Working Paper Series: Finance and Accounting 155, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
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