Structural Shifts in Credit Rating Standards
研究了1985至2007年间公司信用评级标准的时间变化，发现投资级与投机级标准在2002年前呈现分化，2002年后整体收紧，导致企业评级平均下降1.5个等级，且评级标准变化影响信用利差和违约率。
ABSTRACT I examine the time‐series variation in corporate credit rating standards from 1985 to 2007. A divergent pattern exists between investment‐grade and speculative‐grade rating standards from 1985 to 2002 as investment‐grade standards tighten and speculative‐grade loosen. In 2002, a structural shift occurs toward more stringent ratings. Holding characteristics constant, firms experience a drop of 1.5 notches in ratings due to tightened standards from 2002 to 2007. Credit spread tests suggest that the variation in standards is not completely due to changes in the economic climate. Rating standards affect credit spreads. Loose ratings are associated with higher default rates.