| 讲座简介： | Abstract: After every major financial crisis, the question about the responsibility of the rating agencies -- especially the so called Big Three: Moody's, Standard&Poors and Fitch IBCA -- resurfaces. When a crisis happens, it is almost tautological to note that rating agencies fail to predict it. After all, if rating agencies had foreseen the high risk of specific assets, whether those are senior tranches of asset backed securities, credit default swaps or just sovereign bonds - the overinvestment in this specific asset class would probably have been avoided. However, in particular regarding government bonds (that are the main interest of this paper), the most frequently voiced concern is not the rating agencies' failure to predict, but "unreasonably" bad ratings that in turn cause capital flight, driving the risk premium up, thereby causing further problems that are sanctioned with another rating. When S&P downgraded the French rating from triple to double A on August 11, 2013, the first response of the French government (through minister of finance Pierre Moscovici) was to criticize the "critical and inexact" decision. It is obvious why politicians favor this view of a vicious cycle that can befall the best of us. However, this theory got the highest academical blessings, when supported by the seminal paper by Ferri, Liu and Stiglitz (1999) that tried to find empirical support for this hypothesis using data from the Asian Flu in the late 1990s. A lot of the literature revolving around this issue either focuses on explaining ratings and in particular in proving some arbitrariness of ratings, or on showing that ratings have an impact on capital markets even when the relevant structural explanatory variables are already considered. However, this is not sufficient to address the question whether there is indeed a vicious cycle between ratings and the risk premium that can drive a country from a good to a bad equilibrium. With the present paper, we aim at filling this gap in the literature. Contrary to most of the literature that tries to explain ratings in details, we deliberately employ a very parsimonious bivariate specification to focus on the interaction between the interest rate and ratings. We propose a model that is inspired by Pesaran type cointegration models. We allow for nonlinearities in a form that allows for both unique, multiple and an infinite number of equilibria. Even though not imposing a unique equilibrium through the model specification, our results strongly favor a model that yields a unique equilibrium. |
