论我国信用评级变更的信息价值——兼论行政干预对信用评级的影响

On the Information Value of China's Credit Ratings Upgraded——Also on the Impact of Administrative Intervention upon Credit Ratings

2009年下半年国家发改委对新发债券要求主体评级不低于AA-后,国内大量主体和债项评级上升,这种评级的普遍上扬,可能是因为债券发行者存在新的市场信息,也有可能是因为监管部门的"行政指导"导致的评级机构对被评级公司评级等级的虚增。针对此问题,构造信息显著性统计量,研究评级变更前后异常收益率的显著性;对市场模型加入虚拟变量,考察变更主体评级后发行新债异常收益率的显著性,并通过比较2009年前后影响主体信用评级主要因素的变更,检验行政干预对信用评级产生的影响。

In the 2nd half of 2009, the NDRC required that the newly issued bonds rating of the issuers could not beless than AA level, and thereafter, ratings for a large number of domestic issuers and debts were upgraded. The re-sults of generally upgraded ratings are probably because debt issuers have new market information, or might be a re-suh of the rating agenciesinflatingthe rating levels for the rated objects owing to regulators ＂administrative guid-ance＂. To cope with the new situation, by structuring statistic variables for significant information, study was madeon the significant abnormal yield rate before and after rating upgraded; by adding virtual variables to the marketmodels, investigation was made on the significant abnormal yield rate for the issuance of new debts after the issuerrating being upgraded; by comparing the changed main factors affecting the issuer credit rating before and after2009, test was made on the impact of administrative intervention upon credit rating.