آیا آژانس های اعتباری ارائه اطلاعات ارزشمند در ارزیابی بازار از خطر به طور پیش فرض مستقل؟

We assess the marginal information value of credit rating announcements on market pricing of sovereign risk as measured by CDS spreads. We demonstrate that accurate assessment of the effect of credit rating changes must be conditioned on relevant information known prior to the rating change. To this end, we include macroeconomic conditions and the watch or outlook status of the bond immediately prior to the rating change in our information set. The empirical work employs a dynamic panel macroeconomic model with 56 countries using monthly data from January 2004 through August 2012. We find that watch/outlook status plays a critical role in accurately determining the information value of credit rating changes, with point estimates in some cases changing by a factor of eight. CDS spreads respond most strongly to credit rating changes when bonds are on stable status, but also respond significantly when bonds are on outlook status. The least response is found for bonds on watch status at the time of the downgrade—the downgrades in these cases are largely anticipated, and the information value incorporated at the time of the negative watch announcements.