Stability of Rating Transitions：（稳定性评级转换）.pdfVIP

Stability of ratings transitions Pamela Nickell∗ ∗∗ William Perraudin and Simone Varotto∗∗∗ ∗ Bank of England. ∗∗ Birkbeck College, Bank of England and CEPR. ∗∗∗ Birkbeck College. The views expressed are those of the authors and do not necessarily reflect those of the Bank of England. We thank Angus Guyatt for outstanding research support. We thank Reza Bahar, Patricia Jackson and other Bank of England colleagues for valuable comments and Angus Guyatt and Steve Grice for research assistance. Copies of working papers may be obtained from Publications Group, Bank of England, Threadneedle Street, London, EC2R 8AH; telephone 020-7601 4030, fax 020-7601 3298, e-mail mapublications@bankofengland.co.uk. Working papers are also available at www.bankofengland.co.uk/workingpapers/index.htm. The Bank of England’s working paper series is externally refereed. Bank of England 2001 ISSN 1368-5562 Contents Abstract 5 Summary 7 1 Introduction 9 2 Multinomial modelling of rating changes 11 2.1 The data 11 2.2 Unconditional transition matrices 13 2.3 Industry and domicile effects 15 2.4 Business cycle effects 17 3 An ordered probit model of ratings changes 18 3.1 Analysi