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Alternative Sources of the Lag Dynamics of Inflation

  • Peter Tinsley
  • Sharon Kozicki

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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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 92.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:92
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