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The Informational Value of Corporate Credit Ratings

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Figure

Table 3. One Step Ahead Estimation of CDS using lagged ratings
Table 6. Moody’s VAR Variance Decomposition (Continued)
Table 10. Moody’s VEC Variance Decomposition (Continued)  8 period avgs.  Mean  55.174  98.574  1.426  0.160  2.447  97.553  SE(mean)  10.656  0.544  0.544  0.014  1.262  1.262  p-value  0.00  0.00  0.01  0.00  0.06  0.00  9 period avgs
Table 12. Fitch VEC Variance Decomposition (Continued)

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