姚红宇

• 1:清华大学五道口金融学院

摘要(Abstract)：

本文研究评级机构的竞争、声誉机制与其评级行为之间的关系,利用实证数据分析我国信用评级机构声誉约束机制的有效性和作用条件。本文结果表明我国评级机构的评级行为主要受到评级机构市场竞争的影响,竞争将会促使评级机构进行更多评级上调行为。在债券违约发生(2014年)前,评级机构声誉的约束作用是失效的,未对评级机构的评级行为发挥约束作用。在债券违约发生后,评级机构声誉的约束作用开始生效,会对评级机构产生约束作用。本文的研究支持了评级选购理论,为研究我国评级机构行为的内在机制提供了直接证据。

关键词(KeyWords)： 信用评级机构;信用评级;声誉;评级上调

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 姚红宇

DOI: 10.16513/j.cnki.cje.2019.02.005

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• (1)感谢匿名审稿人的有益建议。
• (1)样本选择自2009年开始,是因为2008年起开始我国债券市场才快速发展,为计算评级机构竞争与声誉指标提供了可能,2009年评级样本中所使用的市场数据测算自2008年。
• (2)对极端值样本筛选的方式是对整体样本按照财务指标进行了前后1%缩尾处理。
• (3)需要说明的是,如HHI指数,市场份额指标均使用的是全样本数据进行测算,而非有效样本。声誉上调等声誉指标均采用的是当年市场存量债券样本数进行计算,而非实证回归有效样本数。
• (1)具体而言,债券样本的选择原则是发债主体在获得外部评级的前后两个月内获得中债资信评级即视为有效样本。