主权信用评级调整、经济增长与国际资本流动“突然停止”  

Sovereign Credit Rating Adjustment,Economic Growth and "Sudden Stops"

作　　者：陈奉先[1] 贾丽丹 Chen Fengxian;Jia Lidan

机构地区：[1]首都经济贸易大学金融学院

出　　处：《世界经济研究》2021年第6期62-76,M0003,共16页World Economy Studies

基　　金：国家社会科学基金青年项目“金砖国家应急储备安排的风险分担、收益分配与治理优化问题研究”(项目编号:15CJY081);北京市属高校高水平教师队伍建设支持计划青年拔尖人才培育计划项目(项目编号:CIT&TCD201704100)的资助。

摘　　要：文章基于1985~2018年间68个国家年度面板数据,采用面板Logit模型研究了国家主权信用评级调整对国际资本流动"突然停止"影响的作用机制。研究发现,主权信用评级调整能够显著影响经济体国际资本流动"突然停止"的发生概率,当主权信用评级上调时,"突然停止"的发生概率下降;反之亦然。中介效应机制分析表明,在主权信用评级调整对"突然停止"的作用过程中,一国经济增长发挥着重要的中介作用,其中介程度可达24.8%。异质性分析表明,主权信用评级上调、中等主权信用风险经济体和主权信用评级在BBB级以上的投资级经济体、实行有管理的汇率制度经济体,其经济增长的中介作用更大。各个经济体应密切关注信用评级变动冲击,尤其是评级下调带来的"次生灾害",进而采取积极的财政货币政策稳增长,防冲击。This article is based on1985 ~ 2018 panel data from 68 countries,using panel Logit model to study the adjustment of national sovereign credit rating of the influence of international capital flows " Sudden Stops" mechanism. The research finds that the adjustment of sovereign credit rating can significantly affect the probability of " Sudden Stops" of international capital flows in economies. When the sovereign credit rating is upgraded,the probability of " Sudden Stops" decreases,and vice versa. The analysis of the mediating effect model shows that the adjustment of sovereign credit rating plays an important mediating role in the process of the " Sudden Stops" of a country’s economic growth,with the mediating degree up to 24. 8%. At the same time,the heterogeneity analysis shows that the intermediation role of economic growth is greater for economies with upgraded sovereign credit rating,medium sovereign credit risk economies,investment grade economies with sovereign credit rating above BBB,and economies with managed exchange rate system. Therefore,the economy should pay close attention to the impact of credit rating changes,especially the " secondary disasters" caused by the downgrade,and adopt proactive fiscal and monetary policies to stabilize growth and prevent the impact.

关 键 词：国家主权信用评级 经济增长 国际资本流动“突然停止” 中介效应 

分 类 号：F113[经济管理—国际贸易]