中国债券市场信用评级制度有效性研究  

A Study on the Validity of Credit Rating in Chinese Bond Market

作　　者：杨国超[1,2] 刘琪 YANG Guochao;LIU Qi(New Institutional Accounting Research Center,Schooling of Accounting,Zhongnan University of Economics and Law;Innovation and Talent Base for Income Distribution and Public Finance,Zhongnan University of Economics and Law;School of Accounting,Nanjing Audit University)

机构地区：[1]中南财经政法大学会计学院新制度会计学研究中心,430073 [2]中南财经政法大学收入分配与现代财政学科创新引智基地,430073 [3]南京审计大学会计学院,211815

出　　处：《经济研究》2022年第10期191-208,共18页Economic Research Journal

基　　金：国家社科基金重点项目(22AGL013);国家社科基金重大项目(22ZDA031);国家自然科学基金青年项目(71702192);高等学校学科创新引智基地(B20084,B21038)的支持

摘　　要：我国债券市场信用评级制度的有效性备受质疑,突出问题在于评级机构可能调高债券评级。然而,评级机构调高评级既可能是评级机构和发行人共谋的结果,也可能是评级机构基于对发行人私有信息的有效解读而做出的理性选择。鉴于此,本文研究信用评级机构的评级调整是否影响债券信用利差,以评估我国债券信用评级制度的有效性。研究发现,信用评级机构调高(调低)评级能显著降低(抬高)债券信用利差,该发现在考虑了各种稳健性检验后依然成立;本文还利用“大公国际被罚”事件进行安慰剂检验,并利用新冠疫情这一突发事件构建私有信息的外生冲击。结果表明,评级机构调高评级更多是基于对发行人私有信息的有效解读而做出的理性选择,即我国债券信用评级总体上是有效的。但进一步研究还发现,评级分析师的专业能力、债券市场的“刚性兑付”环境以及评级机构的付费模式竞争会影响我国债券信用评级制度的有效性。Credit rating,as a fundamental institutional arrangement,is essential to the bond market,but the quality of credit rating in Chinese bond market has been questioned by the media and academia,and one prominent problem is that credit ratings may be inflated.However,a high rating does not necessarily mean an invalid one.Credit rating is only a relative ranking of issuers’credit risk,not an absolute measurement.Besides,the fact that the government implicitly guarantees most bonds in China,or the bonds themselves are of high quality,may explain the overall high credit rating of bonds in China.Therefore,it is necessary to conduct a comprehensive assessment of the quality of China’s credit ratings to answer whether the credit rating system in China is valid.This paper is vital,especially in the context of big countries competing during the profound changes unseen in a century,to enhance the credibility and voice of local credit rating agencies and stabilize the“credit anchor”in economic activities.Existing literature mainly assesses validity of credit ratings by examining the impact of public information on credit ratings.However,in determining credit ratings,rating agencies do not only rely on public information but also obtain private information through field research or interviews and adjust the initial rating results accordingly.In fact,the fundamental purpose of using private information to adjust the rating results is to increase the information content of credit ratings and enhance the validity of the rating results,which is the key to the difficulty of replicating credit rating results by other market participants at a low cost.However,the processing of private information significantly entails the subjective judgment of rating analysts.In addition,the general adoption of the issuer-pay model makes the conflict of interest between rating agencies and issuers inevitable.So,rating agencies may intentionally distort private information to cater to issuers,thus undermining the rating quality.Therefore,it is

关 键 词：债券信用评级 评级质量 私有信息 刚性兑付 评级分析师 

分 类 号：F832.51[经济管理—金融学]