债券违约频发下的主体评级质量审视——评级机构准确性的多期追踪检测与解析

Examination of Issuer Rating Quality under the Background of Frequent Bond Defaults——Multi-Period Tracking Test and In-Depth Analysis of the Accuracy of Rating Agencies

2014年以来,我国高评级企业债券违约事件频发,引起投资者与监管部门的高度关注,评级机构的风险预警能力面临考验,评级质量有待深入审视。本文采用国际评级机构的检测指标“平均违约位置”(ADP),基于2010—2021年存续的信用债样本,测算发债企业主体评级的1年期、2年期、3年期和5年期ADP,对评级准确性进行多期追踪检测。通过检测我国评级行业的总体评级准确性,判别违约企业是否普遍存在评级高估,并对比分析八家主要评级机构的评级准确性。检测结果显示:国内评级机构的评级准确性与国际水平存在一定差距,和其社会声望也不完全相符。通过面板数据回归对评级准确性的影响因素进行解析,考察发债企业的所有制性质、评级机构的技术水平和声誉资本等特征对评级机构各期ADP (短期和长期准确度)的影响,探析该影响的释放过程,揭示国有企业评级高估逐步暴露的延后性。依据实证结论,为评级行业和债券市场发展提供借鉴与启示。

The frequent bond defaults of high-rated companies since 2014 have aroused great concern among investorsand regulators. Rating agencies’ risk early-warning ability is facing a test. The rating quality needs to be examined in depth.Based on the samples of credit bonds in existence during 2010—2021, this paper uses “Average Default Position”(ADP) developed by an international rating agency to measure the 1-, 2-, 3-and 5-year ADP of bond issuer ratings to conductmulti-period tracking tests of rating accuracy. The authors first test the overall accuracy of the rating industry to judge whetherdefaulting companies are generally overrated and then compare the accuracy of eight major rating agencies. The test resultsshow that the accuracy of domestic rating agencies is lower than that of international rating agencies and is only partially consis-tent with their social prestige. The paper then analyses the factors influencing rating accuracy through panel data regression.The authors examine the impacts of characteristics such as the government background of bond issuers, technical level, andreputational capital of rating agencies on multi-period ADPs(short-and long-term rating accuracy) of rating agencies. Thisstudy analyzes the release process of their impacts and reveals the delayed nature of the gradual exposure of SOE overrating.According to the empirical findings, the authors propose suggestions for the reform of the bond market and rating regula-tion as well as the self-improvement of rating agencies. The government should restructure the risk-sharing mechanism for cor-porate defaults so as to strengthen the reputational constraints on rating agencies. The regulators should reduce reliance onmandatory ratings. The rating agencies should reshape industry culture and upgrade their rating techniques.