Sobre os ratings das agencias

Osborne's AAA fetish, por Chris Dillow:

[A] AAA rating is neither a necessary nor a sufficient condition for the maintenance of this confidence.

The collapse in the market for credit derivatives shows that AAA ratings aren’t a sufficient condition for the maintenance of market confidence. Nor are they a necessary condition. Spain and Japan have credit ratings of AA, a notch below the UK, but 10 year Spanish government bonds yield just 4.1%, only 0.1 percentage points more than UK gilts, whilst 10 year Japanese government bonds yield only 1.4%.

A top credit rating, then, is no guarantee of continued market confidence, whilst the lack of this rating doesn’t mean confidence will disappear.

There’s a simple reason for this. Credit ratings measure only the risk of default (possible badly). But this is only one of many risks to bonds. And at the higher levels, it is a small risk. S&P, for example, says that an AA rating differs from an AAA one “only to a small degree.”

Instead, bond yields depend upon other risks. One, which hit credit derivatives, is liquidity risk - the danger that you’ll not be able to sell quickly the asset. For government bonds, though, there are two other, bigger, dangers.

One is inflation. In Japan, this is a minimal danger, so investors are happy to buy low-yielding JGBs, despite their second-rank rating.

The other is currency risk. Spanish yields are low because investors believe (rightly or wrongly) that there is only a small danger of Spain leaving the euro and having its currency devalued. With this risk small, yields are tied down by German yields.