The impact of regulatory changes on rating behaviour
Nodirbek Karimov,
Alper Kara,
Gareth Downing and
David Marques-Ibanez
No 2920, Working Paper Series from European Central Bank
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. JEL Classification: G21, G28
Keywords: asset-backed securities; credit rating agencies; Europe; rating catering; rating inflation; rating shopping; securitisation (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-eec, nep-reg and nep-rmg
Note: 328790
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2920~f44cdd68b2.en.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20242920
Access Statistics for this paper
More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications (officialpublications@ecb.int).