中国评级机构评级质量检验研究-基于公司债的视角  

A Study on the Rating Quality Test of China′s Rating Agencies:Based on the Corporate Bonds Perspective

作　　者：安辉[1] 王昊[1] 唐红 AN Hui;WANG Hao;TANG Hong(School of Economics and Management,Dalian University of Technology,Dalian 116024,China;Bond Business Management Department,Kaiyuan Securities Co.Ltd.,Xi′an 710065,China)

机构地区：[1]大连理工大学经济管理学院,辽宁大连116024 [2]开源证券股份有限公司债券业务管理部,西安710065

出　　处：《管理科学》2022年第5期144-158,共15页Journal of Management Science

基　　金：国家社会科学基金(20BJY236)。

摘　　要：随着中国债券市场的迅猛发展和刚性兑付的打破,信用评级的重要性日益凸显;与此同时,评级行业暴露出的评级分布过于集中和债券违约风险累积等问题使其评级质量不断遭到市场质疑,引起监管部门的高度重视。因此,检验评级机构债券评级质量进而建立有效的评级体系具有重要意义。分别从评级的一致性和稳定性双视角对中国评级机构的债券评级质量进行研究。首先,选取信用利差作为检验指标构建指标体系,以2008年至2018年6 226只公司债券为样本,进行多元OLS回归分析,并检验整体9家评级机构评级的一致性和4家评级机构的异质性;其次,依据马尔科夫链原理和Cohort群类法构建等级迁移矩阵,选取2014年至2018年9家评级机构对14 617家发行公司债券的主体公司评级样本进行跨期限1年期迁移矩阵与多年期迁移矩阵的对比分析,检验评级机构的债券评级短期和中长期的稳定性。研究结果表明,从一致性检验结果看,债项评级和发行主体评级与信用利差均存在显著的反向关系,中国评级机构的债券评级整体上具有一致性。但由于债项评级分布区间偏高,且债项评级变量对模型的解释力度较弱,因此可能存在评级虚高的风险;同时,债项评级对债券融资成本的作用受到发行主体评级的影响,发行主体评级越高,债项评级对债券融资成本的影响越小;4家评级机构的债券评级质量均具有整体上的一致性,声誉相对较高的联合资信和中诚信的评级一致性较好。从稳定性检验结果看,高信用等级基本呈现信用等级越高评级稳定性越高的特征,AA-是评级稳定性的分水岭;评级级别短期稳定性表现较好,中长期稳定性表现较差,并且存在一定的评级虚高现象。建议相关监管部门建立评级行业惩罚机制,发挥声誉约束机制的作用;进一步打破刚性兑付,加强评级行业数据库建设;完善等级迁移With the rapid development of China′s bond market and the break of “rigid redemption”, the importance of credit ratings has become increasingly prominent. Meanwhile, a series of problems such as the excessive concentration of ratings and the accumulation of bond default risks exposed by the rating industry have caused the quality of the rating to continue to be questioned by the market, which has aroused great concern of the related regulatory authorities. Therefore, it is of great significance to test the quality of bond rating of rating agencies and establish an effective bond rating system.This study examines the bond rating quality of China′s rating agencies from the perspectives of both rating consistency and stability. First, we use the credit spread as a test indicator to construct an indicator system, and conduct a multivariate OLS regression analysis with 6 226 corporate bonds from year 2008 to 2018 as a sample, and then test the rating consistency of the overall 9 rating agencies and the rating difference of the four major rating agencies. Secondly, we construct a grade migration matrix based on the Markov chain principle and the Cohort group classification method, and select 9 rating agencies′ rating data on the 14 617 bond-issued companies from year 2014 to 2018 as samples to conduct a comparative analysis of the crossterm one-year and multi-year migration matrix, with the purpose of testing the short-term and mid-to long-term bond rating stability of the rating agencies.The consistency test results show that there is a significant inverse relationship between bond rating as well as issuer rating and credit spread, indicating that the bond rating of China′s rating agencies are generally consistent. However, due to the relatively high distribution range of debt ratings and the weak interpretation of the model by the debt rating variables, there may be a risk of an inflated rating. Meanwhile, the effect of bond rating on bond financing costs is affected by the issuer rating,which indicates t

关 键 词：债券评级 质量检验 公司债券 信用利差 等级迁移矩阵 

分 类 号：F832[经济管理—金融学]