监管处罚的威慑效应研究:来自债券评级机构的经验证据  

The Deterrent Effects of Regulatory Penalties: Empirical Evidence from Rating Agencies

作　　者：张新民[1,2] 丁璇 杨道广[1] Zhang Xinmin;Ding Xuan;Yang Daoguang(International Business School,University of International Business and Economics,Beijing 100029;Beijing Enterprises'Global Management Research Centre,University of International Business and Economics,Beijing 100029)

机构地区：[1]对外经济贸易大学国际商学院,北京100029 [2]对外经济贸易大学北京企业国际化经营研究基地,北京100029

出　　处：《管理评论》2025年第3期17-27,共11页Management Review

基　　金：国家自然科学基金重大项目(71790604);教育部人文社会科学研究青年基金项目(21YJC790141)。

摘　　要：中国债券市场中,政府监管是维护债券市场有序发展的基础力量,是诸多债券市场发展影响因素背后的顶层基础。本文利用2014—2021年中国上市公司所发行的中期票据、公司债、企业债样本,考察了监管处罚事件对信用评级机构债券评级行为的影响。研究发现:信用评级机构经历监管处罚事件后,债券信用评级水平显著下降,即监管处罚存在“威慑效应”;进一步,该效应对非国有信用评级机构、信息环境较差的发债企业更为显著,而警告处罚和银行间交易商协会处罚并不会产生“威慑效应”。考察“威慑效应”的经济后果,发现监管处罚虽增加了信用评级机构的第二类错误,但减少了第一类错误和总体评级误差,表明“威慑效应”虽导致评级机构过于谨慎,但总体上提高了评级准确性;此外,监管处罚显著增加了债券信用评级信息含量,并改善了债券信用评级与企业违约风险之间的错配性。动态检验结果表明,监管处罚的“威慑效应”的确存在,但并不持续,是短期的。本文对信用评级机构改善债券评级行为和债券市场监管机构完善监管治理措施具有重要启示意义。In China’s bond market,government regulation is the basic force to maintain the orderly development of the bond market,and is the top-level foundation behind many factors affecting the bond market.Using samples of medium-term notes,corporate bonds and enterprise bonds issued by Chinese listed companies from 2014 to 2021,this paper examines the impact of regulatory penalties on credit rating agencies.The results show that the credit rating level decreases significantly after the regulatory punishment event,as the regulatory punishment has“deterrent effect”;further,this effect is more significant for non-state-owned credit rating agencies and bond issuers with poor information environment,while warning penalties and penalties from National Association of Financial Market Institutional Investors do not have“deterrent effect”.An examination on the economic consequences of“deterrent effect”shows that although the regulatory penalty increases the second type of errors of credit rating agencies,it reduces the first type of errors and the overall rating errors,indicating that although the“deterrent effect”causes the rating agencies to be overly cautious,it improves the rating accuracy on the whole.In addition,regulatory penalties significantly increase the information content of bond credit rating and improve the mismatch between bond credit rating and default risk.Finally,the dynamic test results show that the“deterrent effect”of regulatory penalties does exist,but only in short term and unsustainably.Finally,this paper has important implications for credit rating agencies to improve bond rating behavior and for bond market regulators to improve regulatory governance measures.

关 键 词：监管处罚 信用评级 评级质量 违约风险 

分 类 号：F832.5[经济管理—金融学]