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Alternative sources of the lag dynamics of inflation

Author

Listed:
  • Sharon Kozicki
  • Peter A. Tinsley
Abstract
Data on credit ratings by the agencies with the legal status of Nationally-Recognized Statistical Rating Organizations (NRSROs) show some tendency for one-day downgrades that start from the lowest investment grade, BBB-, to travel more grades than those from neighboring grades. This would be consistent with the lower threshold of the NRSROs? grade BBB- being at a substantial default probability, but also could occur simply because downgrades to junk severely impair some firms? operations. A comparison of data from a non-NRSRO agency and an NRSRO shows that the latter?s regrades from BBB moved in the direction of the non-NRSRO?s earlier ratings. This suggests the non-NRSRO defines its grade BBB- more narrowly than the NRSRO.

Suggested Citation

  • Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    • Handle: RePEc:fip:fedkrw:rwp02-12
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    File URL: https://www.kansascityfed.org/documents/5396/pdf-RWP02-12.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Inflation (Finance);

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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