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Author:Cantor, Richard 

Report
Multiple ratings and credit standards: differences of opinion in the credit rating industry

This paper tests whether the tendency of third rating agencies to assign higher ratings than Moody's and Standard & Poor's results from more lenient standards or sample selection bias. More lenient standards might result from incentives to satisfy issuers who are, in fact, the purchasers of the ratings. Selection bias might be important because issuers that expect a low rating from a third agency are unlikely to request one. Our analysis of a broad sample of corporate bond ratings at year-end 1993 reveals that, although sample selection bias appears important, it explains less than half the ...
Research Paper , Paper 9527

Report
Price limits and volatility in soybean meal futures markets

Research Paper , Paper 8904

Report
Can a fiscal contraction strengthen a currency?: Some doubts about conventional Mundell-Fleming results

This article demonstrates that a fiscal expansion can induce both a short- and long-run depreciation of a currency and, by parallel arguments, fiscal contraction can induce short- and long-run appreciation. This possibility hinges on a country being a debtor with at least some of its debt servicing costs reset periodically in response to changes in its domestic interest rates. In the simpler version of our model, we show that a fiscal expansion can lead to an instantaneous depreciation and a current account deficit, causing the currency to continue to depreciate over time. The current account ...
Research Paper , Paper 9629

Journal Article
Interest rates, household cash flow, and consumer expenditures

Quarterly Review , Volume 14 , Issue Sum , Pages 59-67

Report
Determinants and impacts of sovereign credit ratings

In this article, we present the first systematic analysis of the sovereign credit ratings of the two leading agencies, Moody's and Standard & Poor's (S&P). We find that the ordering of risks they imply is broadly consistent with macroeconomic fundamentals. While the agencies cite a large number of criteria in their assignment of sovereign ratings, a regression using only eight factors explains more than 90 percent of the cross-sectional variation in the ratings. In particular, a country's rating appears largely determined by its per capita income, external debt burden, inflation experience, ...
Research Paper , Paper 9608

Journal Article
Bank capital ratios, asset growth, and the stock market

In recent quarters, the capital strength of the U.S. banking system has been improving rapidly in response to both regulatory pressures and business incentives. This article examines the different methods by which individual bank holding companies have increased their capital ratios and the relative rewards garnered by these strategies in the stock market.
Quarterly Review , Volume 17 , Issue Aut , Pages 10-24

Journal Article
The credit rating industry

Investors and regulators have been increasing their reliance on the opinions of the credit rating agencies. This article shows that although the ratings provide accurate rank-orderings of default risk, the meaning of specific letter grades varies over time and across agencies. Noting that current regulations do not explicitly adjust for agency differences, the authors argue that a reassessment of the use of ratings and the adequacy of public oversight is overdue.
Quarterly Review , Volume 19 , Issue Sum , Pages 1-26

Report
Increased price flexibility and output stability

Research Paper , Paper 8803

Monograph
Nonbank lenders and the credit slowdown

Monograph

Journal Article
Effects of leverage on corporate investment and hiring decisions

Quarterly Review , Volume 15 , Issue Sum , Pages 31-41

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