主权评级对市场影响的实证分析

Empirical Analysis on the Market Effect of Sovereign Ratings

主权评级作为市场信息传递中介备受质疑。本文考察了目前欧洲债务危机中的主权评级,采用固定效应模型分别研究三大评级机构主权评级观察及评级降级对欧元区国家融资成本的市场影响。结果表明,主权评级对于市场长期影响不是很大,其中独立的降级影响不显著;评级负面观察的市场影响较评级降级的独立影响显著;评级观察及降级变化尽管对高级别国家的影响有限,但对A级以下的国家有明显的冲击影响。评级结果可能加剧了欧洲债务危机的解决难度。

Sovereign ratings, as a kind of intermediary for information delivery in the financial market, have been doubted for a long time. Against the background of current European debt crisis, this paper employs the fixed effect model aiming to analyze the market effect of sovereign ratings changes, especially for the different effect on the borrowing cost between negative rating watch and rating downgrade. According to the analysis, the long term effect is not very significant, especially for the independent effect of downgrade; the effect of negative rating watch is more significant than rating downgrade; both negative watch and downgrade have less impact on countries with AA than countries with A or below A. As a result, this will add more difficulties to solving the current debt crisis.