中国主权信用评级被低估了吗?:基于面板线性与有序概率回归方法

Is China's Sovereign Credit Rating Undervalued?:Based on Panel Linear Regression and Ordered Probability Methods

主权评级的公正性问题是国际社会关注的一个焦点。首先,文章通过运用面板线性回归(Panel Linear Regression)和有序概率(Ordered Probit)方法,从长短期两个角度研究了主权评级的决定因素。研究结果表明一国的宏观因素对评级具有长期影响,而对外债务和政府收支对评级具有短期影响。文章对大中华区、G7和金砖五国进行了的主权评级的拟合和预测,结果表明我国在2011年以前存在被低估现象,但2012年后却存在被高估现象。最后,文章建议我国在被穆迪降级之后,要保持适度警惕,采取必要政策和措施,以防降级事件的再次发生。

The issue of impartiality in sovereign ratings is a focus of concern for the international community. This paper studies the long-term and short-term factors that influence the sovereign credit rating by using Panel Linear Regression and Ordered Probit methods. The results show that macroeconomic fundamentals have long-term influence on rating,while foreign debt and government revenue and expenditure have short-term influence on rating. Further,we fit and forecast sovereign rating of the Greater China,G7 and BRICS countries. The results show that there is an underestimation in China before 2011,but there is an overvaluation phenomenon in 2012 ~ 2016. This paper suggests that Chinese government should be vigilant and take the necessary policies to prevent the recurrence of other downgrade events after being downgraded by Moody's.