The activity of Credit Rating Agencies (CRAs) can lead to Excessive Volatility Risk (EVR), adversely affecting issuances of debt by sovereign governments. By EVR, we mean the risk of effects on bond yields, caused by ratings which are independent from the supply of new information (information discovery effect). EVR may depend on two factors: the fact that ratings are embodied into regulation (rating-based regulation effect); the communication policies adopted by CRAs (communication effect). If EVR is to be reduced, on one side it is necessary to eliminate rating-based regulation, and on the other to introduce forms of liability in the communication policies of CRAs.

What If Credit Rating Agencies Were Downgraded? Ratings, Sovereign Debt and Financial Market Volatility

MASCIANDARO, DONATO
2011

Abstract

The activity of Credit Rating Agencies (CRAs) can lead to Excessive Volatility Risk (EVR), adversely affecting issuances of debt by sovereign governments. By EVR, we mean the risk of effects on bond yields, caused by ratings which are independent from the supply of new information (information discovery effect). EVR may depend on two factors: the fact that ratings are embodied into regulation (rating-based regulation effect); the communication policies adopted by CRAs (communication effect). If EVR is to be reduced, on one side it is necessary to eliminate rating-based regulation, and on the other to introduce forms of liability in the communication policies of CRAs.
2011
Masciandaro, Donato
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3733235
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 2
  • ???jsp.display-item.citation.isi??? ND
social impact