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11月1日“双周论坛”预告-An Empirical Analysis of Credit Ratings Game in Subprime Mortgage-Backed Security Market 2013-10-29
 

【本期主题】 An Empirical Analysis of Credit Ratings Game in Subprime Mortgage-Backed Security Market

        We empirically quantify the importance of strategic interactions in the market of subprime mortgage-backed securities: credit shopping by bond issuers and peer effects among credit rating agencies (CRAs). We estimate a static game of incomplete information while explicitly accounting for the selection of CRAs by deal sponsors. Several findings emerge from our analysis. First, we find robust evidence of both credit shopping and peer effects, both of which lead to rating inflation. Second, ignoring selection in the estimation leads to upward bias of peer effects. Third, heterogeneity exists in that smaller agencies (Fitch and DBRS) are more susceptible to peer effects and peer effects have stronger impacts among bonds with less favorable ratings. Fourth, banning credit shopping by requiring bonds to be evaluated by all four agents reduces credit ratings.

【报告人】
       谭伟     (中国人民大学汉青研究院)
        中国人民大学汉青经济与金融高级研究院经济系主任,助理教授。他曾是美国纽约州立大学石溪分校经济系助理教授。1998年在武汉大学获得经济学学士学位,2000年在美国迈阿密大学获得经济学硕士学位,2006年在美国约翰霍普金斯大学获得博士学位。他的研究领域包括产业组织实证,计量经济学,反垄断经济学和消费者金融。他在类似Review of Industrial Organization, Eastern Economic Journal, Annals of Economics and Finance, Competition Policy International 等国际杂志上发表数篇论文。谭博士已经在类似American Economic Review, Econometrica, RAND Journal of Economics等主要国际杂志中担任匿名审稿人。他有广泛的信用卡行业和医药产业的咨询经验。
       
【时 间】11月1日(周五)中午12:30
  
【地 点】明德主楼0515教室
   
        诚邀您参加。如果您有兴趣,请于11月1日前发送邮件至 hanqing.seminar@gmail.com 或电话联系,我们将为老师预订工作餐。联系人:赵圣玉 010-62514479

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