信息不精确是否有价值?信用评级案例

IF 3.1 1区 经济学 Q2 BUSINESS, FINANCE Journal of Financial Intermediation Pub Date : 2024-10-01 DOI:10.1016/j.jfi.2024.101114
Sonny Biswas , Kostas Koufopoulos , Anjan V. Thakor
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引用次数: 0

摘要

我们建立了一个模型,在这个模型中,信用评级相对于基本违约概率而言是内生性的,评级精度是反周期的。评级的粗略性源于评级机构的利润最大化行为,即使可以不计成本地获得更高的评级精度,粗略性也可能使福利最大化。由于私人结果可能不同于社会期望的结果,如果期望的结果是粗糙度(精确度),社会规划者可以通过为评级机构的收费设定上限(下限)来提高福利。令人吃惊的是,当信息生产无成本时,评级的粗略性是社会最优的,但在自由放任的均衡中却不会出现,因此需要监管干预。
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Can information imprecision be valuable? The case of credit ratings
We develop a model in which credit ratings are endogenously coarse relative to the underlying default probabilities, and ratings precision is countercyclical. Ratings coarseness arises from the profit-maximizing behavior of rating agencies, and coarseness may maximize welfare even when greater ratings precision is costlessly available. Because the private outcome may differ from the socially desirable outcome, a social planner can improve welfare by putting a ceiling (floor) on the rating agency’s fee if the desired outcome is coarseness (precision). Strikingly, when information production is costless, ratings coarseness is socially optimal, but it does not arise in the laissez-faire equilibrium, thus inviting regulatory intervention.
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来源期刊
CiteScore
8.60
自引率
7.70%
发文量
45
期刊介绍: The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.
期刊最新文献
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