经济政策不确定性、声誉机制与信用评级  

Economic Policy Uncertainty, Reputation Mechanism and Credit Rating

作　　者：石娟[1] SHI Juan(School of Economics and Finance,South China University of Technology)

机构地区：[1]华南理工大学经济与金融学院,广东广州510006

出　　处：《当代金融研究》2022年第3期20-31,共12页Journal of Contemporary Financial Research

基　　金：国家社会科学基金项目“大数据背景下金融市场信用违约预测和违约风险补偿研究”(15BJY149);广东省软科学研究计划项目“基于大数据的广东省绿色经济发展评价与对策研究”(2018A070712007);中央高校基本科研业务费专项资金项目“外部冲击下中国制造业的信用风险及溢出效应研究”(ZKXM202108)。

摘　　要：本文以2007-2019年我国企业债券为样本,采用有序Probit回归模型探讨经济政策不确定性对信用评级的影响,研究结果表明:(1)经济政策不确定性的增加会促使评级机构显著降低信用评级,这种影响因产权性质存在显著差异,而且在债券市场刚性兑付被打破后更为显著;(2)声誉机制对上述影响产生积极的调节效应,声誉受损或声誉水平较高的评级机构会更加谨慎地评估经济政策不确定性的影响效应。基于此,政府应合理管控政策的出台和调整以增强社会预期,监管机构要不断强化对评级机构的监管,促使评级机构提高信用评级的质量。Taking the corporate bonds of China from 2007 to 2019 as a sample,this paper uses the ordered probit regression model to explore the impact of economic policy uncertainty on credit rating.The results show that:(1)The increase of economic policy uncertainty will lead the rating agencies to reduce the credit rating significantly,which has significant difference due to the nature of property rights.And it is even more remarkable when the rigid payment of the bond market is broken.(2)Reputation mechanisms have a positive regulation effect on this impact,and rating agencies with damaged or high reputation levels are more cautious in assessing the impact of economic policy uncertainty.Therefore,the government should reasonably control the introduction and adjustment of policies to enhance social expectations.Regulators should constantly strengthen the supervision of rating agencies and urge rating agencies to improve the quality of credit rating.

关 键 词：经济政策不确定性 信用评级 声誉机制 

分 类 号：F832.5[经济管理—金融学]