Are Credit Ratings Procyclical

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Asymmetric benchmarking in bank credit rating (2012, neutral): “…975), logit and probit (Altman and Katz 1976; Jackson and Boyd 1988) ordered logit and ordered probit (Kamstra et al. 2001; Altman and Rijken 2004; Amato and Furfine 2004; Alejandro and Analía 2008; Bellotti et al. 2011b), artifical intelligence techniques (Dutta and Shekhar 1988; Surkan and…”
Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism? (2008, neutral): “Similarly, for the directional nature of equity correlations, see Longin and Solnik (1995) and Ang and Joe (2002) (equities) and Borio and McCauley (1996) (bonds). 11 For a detailed discussion of these studies, see Taylor and Goodhart (2004). See also Kashyap and Stein (2004), table 3, for a list of”
Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, positive): “…risk assessments are sometimes characterised as “through-the-cycle” and contrasted with the “point-in-time” nature of banks’ internal credit rating systems or model-based measures; see in particular, Amato and Furfine (2003) for an empirical examination of the degree of procyclicality in ratings.”