סמינר במימון חשבונאות

Abstract

We provide a model in which a credit rating agency (CRA) chooses the screening intensity on an issuer's asset. The issuer in turn chooses whether to manipulate the information it discloses to the CRA. An honest issuer always discloses truthfully, whereas an opportunistic issuer manipulates its reports as needed to increase its own payoff. In a single-period game, the CRA chooses a positive screening intensity and the opportunistic issuer always manipulates the information reported to the CRA. However, when the issuer's reputation carries over to a two-period setting, there are sometimes equilibria in which better screening by the CRA directly leads to more manipulation by an opportunistic issuer. The added manipulation unwinds the effect of better screening, with the result that it is optimal for the CRA to completely abandon screening in the first period. As a result, credit ratings are completely uninformative about asset quality in that period. In the second period, the CRA screens and provides an informative rating. When the proportion of honest issuers is either sufficiently low or sufficiently high, the CRA screens in period 1 as well.

_