信用评级有效性与监管依赖:来自银行同业存单的证据Credit Ratings and Financial Regulations:Evidence from the Interbank Negotiable Certificate of Deposits
刘士达,王浩,张明
摘要(Abstract)：
本文利用同业存单研究监管依赖对我国银行信用评级有效性的影响。同业存单信用利差只有在AAA和AA+级中能够反映不同评级之间的差距;评级只有上调至AA+或AAA以上,信用利差才会部分下降。监管影响评级质量的理论可以解释这些现象。由于监管机构较多使用AA+及AAA作为债券投资、发行的门槛,在这两个等级中,信用利差与银行类型、财务指标显著相关,表明信用评级也未能完全有效地反映信用风险。
关键词(KeyWords)： 信用评级;同业存单;金融监管;评级有效性;信用利差
基金项目(Foundation): 国家自然科学基金(项目编号:71272023和71471099)的资助
作者(Author): 刘士达,王浩,张明
DOI: 10.16513/j.cnki.cje.2018.01.001
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- (1)我们也考虑了以同期国债作为无风险利率,但由于两种方式计算得到的信用利差相关系数较高(0.69),因而后文主要汇报以更具有经济含义的Shibor为无风险利率的利差。