我国公司债券信用评级质量的实证分析

Empirical Analysis on Credit Rating Quality of Corporation Bonds in China

本文修正“息票效应”和“税收效应”拟合国债收益率曲线，计算信用价差，并用来实证检验2006-2017年我国公司债券信用评级质量。通过对债券信用评级的一致性和及时性实证研究发现，在我国债券市场评级结果存在整体偏高，信用评级对违约事件预警有限的背景下，债券信用评级仍能提供一定的增量信息，但评级质量总体不乐观。一致性检验发现，更高的债项评级对应着更低的信用价差区间，但各评级所对应信用价差区间之间的差异并不明显。及时性检验发现，债券信用评级的调升和调降都对债券信用价差具有显著影响，且评级调降对信用价差上涨的影响效应更显著。同时，评级调升和调降滞后于市场信息，但调整公告仍提供了新的增量信息。

In this study, the fitted curves of return rates of treasury bonds based on ＂coupon effect＂ and ＂tax effect＂ are corrected. Credit spreads are calculated. What＇s more, the fitted curves and the credit spreads calculated are used to carry out empirical study on the credit rating quality of corporation bonds of China from 2006 to 2017. The empirical study on consistency and timeliness of the credit ratings of the bonds shows that, the ratings in the bond market of China are generally on the high side. Credit ratings of bonds can provide a certain amount of additional information although it only offers a limited early warning for default events. However, the overall rating quality is not that satisfactory. The consistency check shows that higher ratings of the bonds correspond to lower zones of credit spreads, but there is no significant difference between zones of credit spreads corresponding to different ratings. The timeliness check shows that both raising and lowering of credit ratings of the bonds have significant impacts on credit spreads of the bonds. In addition, lowering of credit ratings has more significant effect on rising of credit spreads. Meanwhile, raising and lowering of credit ratings lag behind the market information. However, adjustment announcement still provides new additional information.