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http://bura.brunel.ac.uk/handle/2438/28663| Title: | The impact of regulatory changes on rating behaviour |
| Authors: | Karimov, N Kara, A Downing, G Marques-Ibanez, D |
| Keywords: | securitisation;asset-backed securities;credit rating agencies;rating shopping;rating catering;rating inflation;Europe |
| Issue Date: | 21-Mar-2024 |
| Publisher: | European Central Bank |
| Citation: | Karimov, N. et al. (2024) 'The impact of regulatory changes on rating behaviour', European Central Bank (ECB), Working Paper Series., 2024, pp. 1 - 31. doi: 10.2866/23087 |
| Series/Report no.: | ECB Working Paper Series;2920 |
| Abstract: | We examine rating behaviour after the introduction of new regulations regarding Credit Rating Agencies (CRAs) in the European securitisation market. Employing a large sample of 12,469 ABS tranches issued between 1998 and 2018, we examine the information content of yield spreads of ABS at the issuance and compare the pre- and post-GFC periods. We find that the regulatory changes have been effective in tackling conflicts of interest between issuers and CRAs in securitisation. Rating catering seems to have disappeared in the post-GFC period. Yet we see limited effectiveness on rating shopping. It follows that rating over-reliance might be an issue, especially for investors of higher-quality ABS. |
| Description: | JEL classification: G21; G28. |
| URI: | https://bura.brunel.ac.uk/handle/2438/28663 |
| DOI: | https://doi.org/10.2866/23087 |
| ISBN: | 978-92-899-6400-5 |
| ISSN: | 1561-0810 |
| Other Identifiers: | ORCiD: Kara Alper https://orcid.org/0000-0002-8560-0501 QB-AR-24-037-EN-N |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © European Central Bank, 2024 All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. This paper can be downloaded without charge from www.ecb.europa.eu, from the Social Science Research Network electronic library (https://ssrn.com/) or from RePEc: Research Papers in Economics (https://ideas.repec.org/s/ecb/ecbwps.html). Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website (https://www.ecb.europa.eu/pub/research/working-papers/html/index.en.html). See: https://www.ecb.europa.eu/services/using-our-site/disclaimer/html/index.en.html . | 1.36 MB | Adobe PDF | View/Open |
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