经济周期分离下评级机构串谋激励约束机制研究

Study on collusion incentive and constraint mechanisms on credit rating agencies under the separation of economic cycles

引入经济周期转移概率矩阵,分离经济周期变动对信用评级的影响;考虑双声誉效应和监管惩罚成本,改进评级选购博弈模型,构建马尔科夫评级选购双声誉模型,理论分析双评级激励机制和约束机制解决评级机构串谋问题的适用条件.以美国和中国为例,运用数值仿真验证结论.研究结果表明,监管者在经济周期分离下采用双评级激励机制,在一定条件下能防止评级机构"虚高"评级信息和"以级定费"串谋;约束机制能更有效地防止评级机构串谋和降低监管成本.经济周期未分离情况下,双评级激励机制和约束机制对评级机构串谋监管失效.

This paper introduces the transition probability matrices of economic cycles to separate the impact of economic cycles on credit ratings.The rating shopping game model is improved by considering the dual reputation effect and the regulatory punishment.A new model,the Markov rating shopping dual reputation model,is proposed to analyze the conditions when collusion among credit rating agencies can be prevented by the dual rating incentives and the constraint mechanisms.Taking the United States and China as examples,the numerical simulations are given to verify the conclusions.The results show that when separating the effect of economic cycles,the regulator can utilize the dual rating incentives to prevent the collusion of rating agencies,in the form of inflated ratings and higher rating fees to a certain extent,the constraint mechanisms can prevent the collusion among rating agencies and reduce the regulatory cost more effectively.However,without the separation of economic cycles,neither the dual rating incentives nor the constraint mechanisms is effective in reducing collusion among rating agencies.