Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208308
Authors: 
Abidi, Nordine
Falagiarda, Matteo
Miquel-Flores, Ixart
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper 2274
Abstract: 
This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. Specifically, we exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright purchases. We show that after the launch of the policy, rating upgrades were mostly noticeable for bonds initially located below, but close to, the eligibility frontier. In line with the theory, rating activity is concentrated precisely on the territory where the incentives of market participants are expected to be more sensitive to the policy design. Complementing the evidence on the effectiveness of non-standard measures, our findings contribute to better assessing the consequences of the explicit (but not exclusive) reliance on CRAs ratings by central banks when designing monetary policy.
Subjects: 
Credit Rating Agencies
Monetary Policy
JEL: 
E44
E52
E58
G24
G30
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3536-4
Document Type: 
Working Paper

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