Replication data for: Competition and Strategic Incentives in the Market for Credit Ratings: Empirics of the Financial Crisis of 2007

Principal Investigator(s): View help for Principal Investigator(s) Chenghuan Sean Chu; Marc Rysman

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Project Citation:

Chu, Chenghuan Sean, and Rysman, Marc. Replication data for: Competition and Strategic Incentives in the Market for Credit Ratings: Empirics of the Financial Crisis of 2007. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116158V1

Project Description

Summary: We study the market for ratings agencies in the commercial mortgage backed securities sector leading up to and including the financial crisis of 2007–2008. Using a structural model adapted from the auctions literature, we characterize the incentives of ratings agencies to distort ratings in favor of issuers. We find an important equilibrium distortion, which decreased after the crisis. We study several counterfactual experiments motivated by recent policymaking in this industry.

Scope of Project

Subject Terms: Credit ratings; auctions

JEL Classification:
      D44 Auctions
      G01 Financial Crises
      G24 Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies

Geographic Coverage: United States

Time Period(s): 2000 – 2012

Universe: Commercial Mortgage Backed Secrurities (CMBS)

Data Type(s): event/transaction data

Methodology

Data Source: Morningstar, hand-collected pre-sale reports

Unit(s) of Observation: Security,

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Published Versions

V1 [2019-12-06]

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DDI 2.5

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