Abstract
ABSTRACTThis article investigates whether agencies’ rating policy varies over macroeconomic cycle. We develop a novel two-stage estimation procedure to find that the rating policy becomes more strict after economic downturn than expansion, consistent with theoretical predictions. Moreover, from the horse race between various macroeconomic indicators, we find that the default spread serves as the strongest indicator for the time variation of rating standard.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have