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Quantitative easing and credit rating agencies

Nordine Abidi, Matteo Falagiarda and Ixart Miquel-Flores

International Review of Financial Analysis, 2023, vol. 86, issue C

Abstract: This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. We exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright purchases. We show that after the launch of the policy, rating activity was concentrated precisely on the territory where the incentives of market participants are expected to be more sensitive to the policy design. Our findings contribute to better assessing the consequences of the explicit reliance on CRAs ratings by central banks when designing monetary policy.

Keywords: Credit rating agencies; Monetary policy; Quantitative easing; Corporate finance (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G24 G30 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000054

DOI: 10.1016/j.irfa.2023.102489

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