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Alternative Sources of the Lag Dynamics of Inflation

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  • Peter Tinsley
  • Sharon Kozicki

Abstract

Data on credit ratings by the agencies with the legal status of Nationally-Recognized Statistical Rating Organizations (NRSROs) show some tendency for one-day downgrades that start from the lowest investment grade, BBB-, to travel more grades than those from neighboring grades. This would be consistent with the lower threshold of the NRSROs? grade BBB- being at a substantial default probability, but also could occur simply because downgrades to junk severely impair some firms? operations. A comparison of data from a non-NRSRO agency and an NRSRO shows that the latter?s regrades from BBB moved in the direction of the non-NRSRO?s earlier ratings. This suggests the non-NRSRO defines its grade BBB- more narrowly than the NRSRO.
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  • Peter Tinsley & Sharon Kozicki, 2003. "Alternative Sources of the Lag Dynamics of Inflation," Computing in Economics and Finance 2003 92, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:92
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    More about this item

    Keywords

    policy credibility; new Keynesian Phillips curve; price adjustment;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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