The Real Effects of Credit Ratings: The Sovereign Ceiling Channel

被引：140

作者：

Almeida, Heitor ^{[1
]}

Cunha, Igor ^{[2
]}

Ferreira, Miguel A. ^{[2
,3
,4
]}

Restrepo, Felipe ^{[5
]}

机构：

[1] Univ Illinois, Champaign, IL 61801 USA

[2] Nova Sch Business & Econ, Lisbon, Portugal

[3] CEPR, London, England

[4] ECGI, Brussels, Belgium

[5] Western Univ, Ivey Business Sch, London, ON, Canada

来源：

JOURNAL OF FINANCE | 2017年 / 72卷 / 01期

基金：

欧洲研究理事会;

关键词：

FIRM-LEVEL EVIDENCE; CAPITAL STRUCTURE; FINANCIAL CRISIS; MARKET ACCESS; STOCK RETURNS; DEBT; INVESTMENT; IMPACT; RISK;

D O I：

10.1111/jofi.12434

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that sovereign debt impairments can have a significant effect on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation in corporate ratings due to rating agencies' sovereign ceiling policies, which require that firms' ratings remain at or below the sovereign rating of their country of domicile.

引用

页码：249 / 290

页数：42

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