监管政策影响了债券评级质量吗?——理论框架与经验证据

Do Regulatory Policies Affect the Quality of Bond Rating?——Theoretical Framework and Empirical Evidence

近年来,减少金融监管对信用市场的干扰已成为我国监管部门关注的重点问题。通过构建包含监管部门、评级机构和债券发行方等主体在内的三阶段博弈论模型,从理论上探讨了监管政策对债券评级质量的影响。研究发现,监管部门提高债券评级要求会导致市场充斥大量违约风险较高的债券。为了增加评级收入,评级机构会给出虚高评级。在此基础上,基于2017年4月7日中国证券登记结算有限责任公司调整交易所债券市场上信用债券质押入库资格这一准自然实验,利用2015—2019年我国企业债发行数据,采用PSM-DID方法进一步实证检验了监管政策调整对债券评级质量的影响。经验证据表明,提高债券资格门槛会助推债券评级上升,但政策实施前后债券的利差并未发生显著变化,即监管政策调整助推了债券评级虚高。因此,监管部门需改变通过评级结果来识别债券风险的传统监管思路,应尝试构建多元化的信用监管机制。

In recent years,Chinese regulatory authorities have attached greater importance to reducing the distortion of credit market information by financial regulation.By building a three-stage game model involving the regulatory authorities,rating agencies and bond issuers,this article attempts to measure the impact of regulatory policies on bond rating quality both theoretically and empirically.The findings show that regulators'decision to lift the bond rating requirement can engender a market flooded by more bonds with higher expected default risks.In order to increase rating revenue,rating agencies tend to produce falsified high ratings.Based on the quasi-natural experiment of China Securities Regulatory Commission to adjust the eligibility for pledged credit bonds in the exchange bond market on April 7,2017 and China's corporate bond issuance data between 2015 and 2019,this article employs the PSM-DID method to test the impact of changes in regulatory policies on the quality of bond rating results.The empirical results show that the policy of raising the bond qualification threshold tends to boost the bond ratings,though the bond spreads have not changed significantly before and after the implementation of the policy.In other words,the regulatory policy boosts the falsified high bond rating.For the regulators,they should change their old-fashioned dependence on external rating for monitoring risks in the bond market and put more diverse credit monitoring mechanisms in place.