信用评级有效性与监管依赖:来自银行同业存单的证据

Credit Ratings and Financial Regulations:Evidence from the Interbank Negotiable Certificate of Deposits

本文利用同业存单研究监管依赖对我国银行信用评级有效性的影响。同业存单信用利差只有在AAA和AA+级中能够反映不同评级之间的差距;评级只有上调至AA+或AAA以上,信用利差才会部分下降。监管影响评级质量的理论可以解释这些现象。由于监管机构较多使用AA+及AAA作为债券投资、发行的门槛,在这两个等级中,信用利差与银行类型、财务指标显著相关,表明信用评级也未能完全有效地反映信用风险。

We use Interbank Negotiable Certificate of Deposits （INCDs） to examine commercial bank credit ratings. Credit spreads of INCDs only significantly reflect credit quality for the AAA and AA＋ grades. Credit upgrading into the AAA and AA＋ grades leads to partial reduction in credit spread. Theory of regulation affects rating quality could explain the phenomenon. Due to the wide use of AA-＋- or AAA for bond investment or issuance in regulation, the types of the banks and financial ratios could also be used to differentiate the credit spread in these two ratings, which means different credit risk premium is put into the same rating.