Credit Rating Agencies (CRAs) adjust preliminary bond ratings with knowledge beyond publicly available information. These unobserved “soft adjustments” may reflect material nonpublic information and rating biases due to conflicts of interest, making certain bond characteristics endogenous. We model and quantify soft adjustments as bond-specific thresholds in a semiparametric ordered-response model and exploit ownership structures of bond-issuers to control for endogeneity. Relying on the shift restrictions, we develop a location estimator for models of ordered choices with correlated heterogenous thresholds. Using Moody’s initial ratings from 2000 to 2016, we find a significant reduction of soft adjustment after the Dodd–Frank reform.

中文翻译：

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估计信用评级模型中未观察到的软调整：多德-弗兰克法案前后

信用评级机构 (CRA) 根据公开信息之外的知识调整初步债券评级。这些未观察到的“软调整”可能反映了由于利益冲突导致的重大非公开信息和评级偏差，从而使某些债券特征具有内生性。我们将软调整建模和量化为半参数有序响应模型中的债券特定阈值，并利用债券发行人的所有权结构来控制内生性。依靠班次限制，我们为具有相关异质阈值的有序选择模型开发了一个位置估计器。使用穆迪 2000 年至 2016 年的初始评级，我们发现多德-弗兰克改革后软调整显着减少。