经济周期波动下的评级调整行为——基于中外比较分析的视角  

Rating Adjustment Behavior under Economic Cycle Fluctuations——A Perspective Based on Comparative Analysis between China and Foreign Countries

作　　者：刘东坡 Liu Dongpo(Post-doctoral Scientific Research Station,China Lianhe Credit Rating Co.Ltd.,Beijing 100022,China;Post-doctoral Mobile Station of Applied Economics,School of Banking and Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]联合资信评估股份有限公司博士后科研工作站,北京100022 [2]对外经济贸易大学金融学院应用经济学博士后流动站,北京100029

出　　处：《金融发展研究》2022年第11期52-57,共6页Journal Of Financial Development Research

摘　　要：本文基于标普、穆迪、惠誉等国际三大评级机构和中国发行人付费评级机构的评级调整历史数据,对企业主体评级调整与经济周期波动之间的相关性和一致性进行分析,以考察经济周期波动下国内外评级机构的评级调整行为。研究结果表明,国际三大评级机构和中国评级机构的评级调整行为均具有显著的顺周期性;总体而言,与中国评级机构相比,国际三大评级机构评级调整行为的顺周期性更强;国际三大评级机构评级调整行为的顺周期性在2008年国际金融危机之后和全球经济紧缩时期明显增强,但中国评级机构没有表现出类似特点。在此基础上,本文对导致评级机构顺周期评级调整行为的原因进行简要分析,并给出了相应的对策建议。This paper analyzes the correlation and consistency between rating adjustments of corporate entities and economic cycle fluctuations based on the historical data of rating adjustments of the three major international rating agencies such as S&P,Moody’s and Fitch and Chinese issuer-paid rating agencies to examine the rating adjustment behavior of domestic and foreign rating agencies under economic cycle fluctuations.The results of the study indicate that the rating adjustment behaviors of the three major international rating agencies and Chinese rating agencies are significantly pro-cyclical;in general,the rating adjustment behavior of the three major international rating agencies is more pro-cyclical than that of the Chinese rating agencies;the pro-cyclicality of the rating adjustment behavior of the three major international rating agencies increased significantly in the aftermath of the 2008 international financial crisis and during the global economic crunch,but the Chinese rating agencies did not exhibit similar characteristics.On this basis,this paper briefly analyzes the reasons leading to the pro-cyclical rating adjustment behavior of rating agencies and gives corresponding countermeasure suggestions.

关 键 词：经济周期 评级调整 跨周期评级 时点评级 顺周期 

分 类 号：F832.5[经济管理—金融学]