中国的主权信用评级是否被低估?

Have China’s Sovereign Ratings been underestimated?

本文以1986至2009年期间120个国家的宏观经济数据和三大评级机构的主权信用评级结果为研究对象;运用面板数据的多元回归模型和有序Probit概率模型研究中国的主权信用评级是否被低估的问题。通过对三大评级机构的定量分析模型进行模拟与验证发现,中国的主权信用评级在20世纪90年代和2001年至2002年前后的确被低估,但2003年以后,随着穆迪、标准普尔等评级机构相继调高我国的主权信用等级,目前我国的模拟评级与实际评级已经基本持平。

What are the determinants in affecting the sovereign ratings provided by rating agencies？ Have China＇s sovereign ratings been underestimated？ To answer those questions,we utilize a comprehensive data set of sovereign credit ratings from Moody,Standard Poor and Fitch from 1986 to 2009 for a cross section of 120 countries.Within a panel data estimation framework,we estimate the relationship between macroeconomic variables and sovereign credit ratings,and find that the per capita GDP,government deficit,current account balance,GDP growth rate,inflation,interest rate spread,S P global equity indices,country＇s default history and the degree of industrialization may affect the result of sovereign ratings.Based on the comparison between the simulated rating results of ordered probit model and the assigned rating,we find that the assigned rating of China in recent years has been almost equal to the simulated rating.