格付け情報がマーケットに与える影響～人工市場を用いた分析～

抄録

In this paper, we tested the effect of the rating system (e.g. S&P) on the price fluctuation of the market by an agent-based model. The information of rating is defined as a discrete version of fundamental value. In addition to the investment strategies that are modeled in earlier studies (noise trader, fundamentalist, trend predictor, and contrarian), we modeled an agent called "rating user ", who uses rating information as an index of fundamental value of an asset. The result indicates that the market becomes unstable if investors make use of the rating rather than fundamental value itself.