Peer Effects in Credit Ratings
The recent financial crisis has brought renewed attention to the failure of the credit rating mechanism and the strategic nature of credit ratings. In this paper, we conduct a structural analysis of strategic credit rating behavior in the Commercial Mortgage-Backed Security (CMBS) market, using a model of CMBS credit ratings where every rating agency's ratings reflect peer effects from other rating agencies. We establish semiparametric identification of the model by exploiting an exogenous equilibrium shift due to the financial crisis and incorporate the peer effects through the estimation of market "beliefs" on the ratings. Our estimation of the model using Bloomberg data on CMBS deals suggests that there is strong evidence of positive peer effects in ratings. We also find that including peer effects improves the fitness of our model of credit ratings.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||18 Nov 2016|
|Contact details of provider:|| Postal: 150 St. George Street, Toronto, Ontario|
Phone: (416) 978-5283
When requesting a correction, please mention this item's handle: RePEc:tor:tecipa:tecipa-569. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePEc Maintainer)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.