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:
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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:
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Credit ratings;
auctions
JEL Classification:
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D44 Auctions
G01 Financial Crises
G24 Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
D44 Auctions
G01 Financial Crises
G24 Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Geographic Coverage:
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United States
Time Period(s):
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2000 – 2012
Universe:
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Commercial Mortgage Backed Secrurities (CMBS)
Data Type(s):
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event/transaction data
Methodology
Data Source:
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Morningstar, hand-collected pre-sale reports
Unit(s) of Observation:
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Security,
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