Alternative sources of the lag dynamics of inflation

Sharon Kozicki and Peter Tinsley

No RWP 02-12, Research Working Paper from Federal Reserve Bank of Kansas City

Abstract: Data on credit ratings by the agencies with the legal status of Nationally-Recognized Statistical Rating Organizations (NRSROs) show some tendency for one-day downgrades that start from the lowest investment grade, BBB-, to travel more grades than those from neighboring grades. This would be consistent with the lower threshold of the NRSROs? grade BBB- being at a substantial default probability, but also could occur simply because downgrades to junk severely impair some firms? operations. A comparison of data from a non-NRSRO agency and an NRSRO shows that the latter?s regrades from BBB moved in the direction of the non-NRSRO?s earlier ratings. This suggests the non-NRSRO defines its grade BBB- more narrowly than the NRSRO.

Keywords: Inflation; (Finance) (search for similar items in EconPapers)
Date: 2002
New Economics Papers: this item is included in nep-mac
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Working Paper: Alternative Sources of the Lag Dynamics of Inflation (2003)
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