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

Version:  View help for Version V1

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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:  View help for 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:  View help for Subject Terms Credit ratings; auctions
JEL Classification:  View help for JEL Classification
      D44 Auctions
      G01 Financial Crises
      G24 Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 2000 – 2012
Universe:  View help for Universe Commercial Mortgage Backed Secrurities (CMBS)
Data Type(s):  View help for Data Type(s) event/transaction data

Methodology

Data Source:  View help for Data Source Morningstar, hand-collected pre-sale reports
Unit(s) of Observation:  View help for Unit(s) of Observation Security,

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Published Versions

V1 [2019-12-06]

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