基于逆周期的主权信用评级指标体系研究

Research on Sovereign Credit Rating Index System Based on Countercyclical Characteristics

现行国际主权信用评级呈现出明显的顺周期特征而广受诟病。在对评级指标体系优化的基础上，采用90个主权国家2005~2012年经济数据进行面板随机效应和门限效应回归，对主权信用评级决定模型进行估计，运用欧债危机发生前后的数据进行模拟评级，结果表明：优化后的指标体系显示出较好的逆周期特征。

Extant international sovereign credit rating system is blamed for the evidently pro- cyclical characteristics. Based on the evaluation of credit rating system, this paper uses 2005 2012 economic data of 90 sovereign countries to conduct panel random effects and threshold effects regression, and estimates the determinants of sovereign credit rating. By employing data before and after European debt crisis, the simulation shows that the new index system proves to be more countercyclical.