信用评级对银行经营的影响——基于国际活跃银行的经验研究

Influence of Credit Ratings on Bank Management——Based on the Empirical Study of Internationally Active Banks

本文采用2007—2010年间国际活跃银行的信用评级数据、宏观行业指数和经营指标等组成面板数据,通过实证检验发现,信用评级及其变动具有显著的融资成本效应和声誉效应,且在危机期间以声誉效应为主;评级机构并没有充分报告银行业的顺周期特征,加剧了金融危机的破坏性;银行业存在网络效应,行业排名提高会降低银行融资成本,且有助于存款增速;金融危机爆发之后,金融市场风险厌恶程度或者市场恐慌指数是影响融资成本的重要因素之一,投资者对负面信息更加敏感。

This paper uses panel data including credit rating data of intemationally active banks, macro industry index and business indicators from 2007 to 2010. Through empirical test, it is found that credit rating and its variations have significant financing cost effect and reputation effect, and the period of crisis was featured by reputation effect： Rating agencies haven＇t fully reported on the pro-cyclical characteristics of banking sector, which exacerbated the de- structiveness of financial crisis. Networking effect exists in banking industry. Raising the industry ranking will reduce the cost of bank financing and contribute to the growth of bank deposits. After the financial crisis broke out, aversion to risks in financial market or market panic index are one of the major factors affecting the financing cost and investors are more sensitive to negative information.