期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2004
出版社：European Central Bank
摘要：This paper summarises the work conducted by a group of economists from various European central banks over the summer of 2003. It is intended to add to the ongoing debate on major rating agencies and their methodologies. The analysis and policy considerations proposed are based on a review of the literature and are those of the authors; they do not necessarily reflect the positions of their respective institutions. The paper is aimed at contributing to the current debate on this topic in two ways: first, by providing a factual exposition of the significance and evolving use of credit ratings in the financial markets and, second, by identifying the possible impacts that such evolving use may have on market dynamics (i.e. the timing and path of asset price adjustments, the dynamics of credit spreads, the potential magnifying effects that rating changes can trigger) and analysing how credit rating agencies (CRAs) have responded to the increasing, and sometimes conflicting, demands that market participants put on credit ratings. In doing so, the paper also provides a comprehensive review of literature on credit ratings and CRAs. The paper is organised as follows: Section 3 explains how the role of ratings has evolved in financial markets; Section 4 examines different channels through which ratings and rating changes may impact on market dynamics and contribute to asset price movements; Section 5 discusses rating methodology and the meaning of some recent developments in this field; Section 6 considers the accuracy, stability and the relative procyclicality of ratings; and Section 7 concludes by pointing to some policy implications and issues derived from the preceding developments. An appendix (Section 8) surveys some key issues in credit risk measurement.
