证监会警示函处罚与评级机构应对  

Warning Letter of the CSRC on Rating Agencies and Their Responses

作　　者：解学竟 麻志明[2] 张海燕[3] Xie Xuejing;Ma Zhiming;Zhang Haiyan(School of Accounting,Capital University of Economics and Business;Guanghua School of Management,Peking University;School of Economics and Management,Tsinghua University)

机构地区：[1]首都经济贸易大学会计学院 [2]北京大学光华管理学院 [3]清华大学经济管理学院

出　　处：《经济科学》2024年第1期188-207,共20页Economic Science

基　　金：首都经济贸易大学新入职青年教师科研启动基金项目“信用评级影响因素分析--评级机构视角”(项目编号:XRZ2023039)的阶段性成果。

摘　　要：本文分析了中国证监会对评级机构的警示函处罚带来的影响和评级机构的应对。研究发现,受处罚的评级机构会显著上调债券发行人的主体信用评级,并获得更高的评级市场份额。在采用熵平衡匹配等方法进行稳健性检验后,结果仍然存在。进一步分析发现,上调发行人评级的动作在发行人与评级机构之间存在利益关联,或者发行人自身违约风险较低时更为明显。本文系统地分析了警示函处罚对评级机构行为的影响,为我国评级机构监管的发展提供了实证依据。This paper examines the consequence of the warning letter issued by the China Securi-ties Regulatory Commission(CSRC)on rating agencies and their responses.We find that pun-ished rating agencies significantly increase the current clientscredit ratings to gain a higher mar-ket share.The results hold under different robustness tests,such as entropy balancing matching.Further analysis shows that the effect is stronger for issuers with important interests and low de-fault risk.This paper systematically analyzes the influence of the CSRCs warning letter on the behavior of rating agencies,which provides empirical evidence for rating agency supervisions in China.

关 键 词：警示函处罚 信用评级机构 信用评级 声誉 

分 类 号：F832[经济管理—金融学]