Electronic Resource
Berkeley, Calif.
:
Berkeley Electronic Press (now: De Gruyter)
Topics in macroeconomics
6.2006, 2, art8
ISSN:
1534-5998
Source:
Berkeley Electronic Press Academic Journals
Topics:
Economics
Notes:
In order to explore how credit ratings may affect financial markets, we analyze a global game model of debt roll-over in which heterogeneous investors act strategically. We find that the addition of the rating agency has a non-monotonic effect on the probability of default and the magnitude of the response of capital flows to changes in fundamentals. We also establish that introducing a rating agency can bring multiple equilibria to a market that otherwise would have a unique equilibrium.
Type of Medium:
Electronic Resource
URL:
http://www.bepress.com/bejm/topics/vol6/iss2/art8
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