债券信用评级抑制债券违约风险的信息机制研究--基于债券违约视角的分析

A Study on the Mechanism of Bond Credit Rating Restraining Bond Default Risk:From the Perspective of Bond Default

本文构建了的包含债券发行人、评级公司和投资者的博弈模型,分析了不同博弈参与者最优策略选择,发现评级公司对债券首次评级和跟踪评级会选择不同的评级策略。基于我国沪深两市非金融类A股上市公司发行的2010-2018年到期和发生实质性违约的债券样本,实证验证了本文的研究假设。研究结果表明,债券评级公司对首次发行的债券有普遍给予高评级的动机,而在跟踪评级时,评级公司更倾向于在评级信息中如实包含债券专有信息。稳健性检验结果表明,以上结论对于长期债券样本和非国有企业样本同样有效。本文的政策含义是:第一,进一步打击“信用评级交易”行为,提高对债券评级机构违规行为的惩罚力度。第二,加快引进国外优质评级机构,逐步建立“双评级”制度;第三,逐步推行投资者付费模式,从根本上改变债券评级公司的评级策略;第四,鼓励中立评级机构发展,扩大中立评级机构市场份额。

Based on bond issuers,rating agencies and investors,this paper construct game theory models to analyze the optimal strategy choice of different participants,the results show bond rating agencies choose different strategies when rating of bonds for the first time and tracking.Using a sample of non-financial A-share listed companies in Shanghai and Shenzhen from 2010 to 2018,the hypothesis is verified by empirical study.Study show that the bond rating agencies generally have the motivation to give high ratings to the initial issue of bonds,and are more inclined to disclose the proprietary information in the rating information when tracking the rating of bond.Robustness test reveals that the above conclusions are still valid for long-term bond samples and non-state-owned enterprise samples.Therefore,this paper suggests that further crack down on"credit rating trading"and increase penalties for bond rating agencies'violations;introduce foreign high-quality rating agencies,and establish a"dual rating"system;promote the investor payment model,fundamentally change the rating strategy of bond rating agencies;encourage the development of neutral rating agencies and expand their market share.