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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/28663
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dc.contributor.authorKarimov, N-
dc.contributor.authorKara, A-
dc.contributor.authorDowning, G-
dc.contributor.authorMarques-Ibanez, D-
dc.date.accessioned2024-03-30T18:51:03Z-
dc.date.available2024-03-30T18:51:03Z-
dc.date.issued2024-03-21-
dc.identifierORCiD: Kara Alper https://orcid.org/0000-0002-8560-0501-
dc.identifierQB-AR-24-037-EN-N-
dc.identifier.citationKarimov, N. et al. (2024) 'The impact of regulatory changes on rating behaviour', European Central Bank (ECB), Working Paper Series., 2024, pp. 1 - 31. doi: 10.2866/23087en_US
dc.identifier.isbn978-92-899-6400-5-
dc.identifier.issn1561-0810-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/28663-
dc.descriptionJEL classification: G21; G28.en_US
dc.description.abstractWe 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.en_US
dc.description.sponsorshipThe authors declare that they have no conflict of interest or competing interests.en_US
dc.format.extent1 - 31-
dc.format.mediumPrint-Electronic-
dc.language.isoenen_US
dc.publisherEuropean Central Banken_US
dc.relation.ispartofseriesECB Working Paper Series;2920-
dc.relation.urihttps://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2920~f44cdd68b2.en.pdf?3f7a106987edd79d024308a464339e95-
dc.rightsCopyright © 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 .-
dc.rights.urihttps://www.ecb.europa.eu/services/using-our-site/disclaimer/html/index.en.html-
dc.subjectsecuritisationen_US
dc.subjectasset-backed securitiesen_US
dc.subjectcredit rating agenciesen_US
dc.subjectrating shoppingen_US
dc.subjectrating cateringen_US
dc.subjectrating inflationen_US
dc.subjectEuropeen_US
dc.titleThe impact of regulatory changes on rating behaviouren_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.2866/23087-
dc.relation.isPartOfEuropean Central Bank (ECB), Working Paper Series.-
pubs.publication-statusPublished-
dc.identifier.eissn1725-2806-
dc.rights.holderEuropean Central Bank-
Appears in Collections:Dept of Economics and Finance Research Papers

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