国家主权信用评级、跨国传染与股票市场回应?--基于全球48个经济体的事件研究

掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明：(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影响市场及传染的主要渠道。文章的结论深化了我们对评级调整如何影响股票市场及其传染渠道的认识,也为中国防范国外主权信用评级变动风险提供了有益启示。     

信用评级调整对上市公司股票价格异质性的影响

随着中国经济金融的发展,信用评级对股票市场行情的影响日益增大.本文结合2008—2014年中国上市公司的信用评级调整,研究公司信用评级符号及评级展望、债券信用评级符号调整对股票价格波动的影响.研究发现,在信用评级调整中,非负面的公司和债券评级符号调整都会提高股票累计异常收益率,但是公司评级符号不变的影响持续性较弱.非正面的公司评级展望短期内降低股票累计异常收益率,长期内仍然会提高股票累计异常收益率.信用评级对私企股价的影响要大于国企.上述结论对于推进中国信用评级市场建设、完善股票市场、监控和应对股票市场风险、维护金融体系的稳定性有重要的参考价值.     

主权信用评级的影响、现状及发展对策研究

主权信用评级对主权债务的违约可能性进行评估。它影响一个国家在国际市场上的融资成本,并通过传导机制影响一国的金融安全。目前的国际主权信用评级体系存在市场结构、技术结构、收费模式和监管等结构性的缺陷。我国亟须发展具有公信力的主权信用评级体系,积极参与国际评级监管,促进国内信用评级市场的规范发展,鼓励民族品牌做强,争取国际金融领域的话语权     

论惠誉公司主权信用评级模式及其启示

随着各国政府在国际资本市场上发行主权债券的增多,主权信用评级从商业领域步入政治经济领域,引起世界各国政府的高度关注.主权信用评级在金融危机中发挥预警作用同时还在一定程度上起到了推波助澜的作用.评级公司在对主权风险进行评级的过程中存在诸多问题,如道德风险,评级失误等,对主权评级模式进行研究具有十分重要的现实意义.本文对惠誉公司主权评级模型进行了介绍,提出了主权评级模式的建议,并对美国主权信用进行了评析.     

论惠誉公司主权信用评级模式及其启示

随着各国政府在国际资本市场上发行主权债券的增多，主权信用评级从商业领域步入政治经济领域，引起世界各国政府的高度关注。主权信用评级在金融危机中发挥预警作用同时还在一定程度上起到了推波助澜的作用。评级公司在对主权风险进行评级的过程中存在诸多问题，如道德风险，评级失误等，对主权评级模式进行研究具有十分重要的现实意义。本文对惠誉公司主权评级模型进行了介绍，提出了主权评级模式的建议，并对美国主权信用进行了评祈。     

主权信用评级变动下的我国金融市场波动性研究及政策建议

主权信用评级是一个国家信用的直观体现,信用评级的调整往往具有助涨和助跌的作用.随着中国对外开放水平的提高,国际金融合作越来越频繁,评级对于国家声誉及中国企业走出去的意义越来越重大.但长期以来中国对主权信用评级缺乏话语权,一些评级机构不负责任的评级往往会造成我国金融市场的动荡.本文旨在探究国际评级机构对我国主权信用评级历次重大调整后我国金融市场的变化情况,以此分析我国金融市场受评级调整后影响程度的趋势.并给出相应的政策建议,以加强国际合作,逐渐打破三大评级机构的垄断,不断增强我国对抗不良评级的能力,维护金融市场稳定.     

论主权信用评级中的本土偏好

在信用全球化时代,信用已经成为了资本的一般形态,主权信用评级对全球金融市场和一国经济发展均具有重要意义。主要信用评级机构在主权信用评级中均存在一定的分歧,这种评级差异是主权信用评级中本土偏好的一种表现形式。导致主权信用评级中产生本土偏好的主要因素包括政治经济、文化差距和评级程序本身。正确认识主权信用评级中的本土偏好,对发展中国信用评级产业具有积极意义。     

国际评级机构国家偏见的实证分析

评级机构是债券市场的核心基础设施之一,国际评级机构潜在的国家偏见会对东亚债券债券市场带来的不良影响。本文通过东亚和美国两地区公司的评级、财务、主权评级等数据分析,证实了国家偏见的存在。同时发现在国家偏见对公司评级的影响过程中,主权评级偏见起着显著的中介效应。东亚主权评级不合理的偏低,造成了该地区的公司评级系统性地低于美国公司。基于以上分析,本文最后给出了发展评级行业的政策建议。     

进一步发展我国债券市场的战略思考

我国的债券市场经历了一段迅速发展时期,但由于多方面的原因,市场发展仍处于初级阶段,还存在着很多问题和有待完善的地方。主要表现在债券市场的各个组成部分不平衡;债券市场的流通市场分割缺少必要的流动性;债券市场的多头管理;债券市场信用评级存在缺陷。本文试就债券市场存在的问题进行分析,并指出发展我国债券市场的对策。     

信用评级对债券融资成本的影响——来自中国公司债券的经验证据

债券市场是我国金融市场的重要组成部分。为尽量避免违约事件发生，降低信用风险，减少债券市场上的信息不对称，完善信用评级制度显得尤为重要。文章通过研究国内外债券融资成本相关课题，结合理论与实证分析，基于2016—2020年在上海证券交易所、深圳证券交易所发行的公司债券样本，探究信用评级对我国公司债券融资成本的影响作用机理。研究发现：（1）信用评级在债券市场中起着信号传递的作用，有效减少了投资人和发行企业之间的信息不对称；（2）信用评级与债券融资成本呈显著的负相关关系，债项评级和主体信用评级作用效果较为显著，国际信用评级的影响相对较小。据此结论，文章最后针对不同的研究对象提出了相关政策建议和未来的研究方向。     

Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?

This article examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases of business cycle. Using standard four-factor model, it records a significant average marginal effect of credit rating announcements on stock market returns. Both magnitude and significance of the effect vary with business cycle and across announcement types. However, we do not find evidence of pro-cyclical effect of sovereign rating and outlook changes on stock returns. Our results show that stock markets react more negatively to rating downgrades in recovery phases and more positively to rating upgrades in contractionary period. Both results are statistically significant and robust to various sensitivity tests.     

Determinants of the distance between sovereign credit ratings and sub-sovereign bond ratings: Evidence from emerging markets and developing economies

This article explores factors that affect the distance between sovereign credit ratings and the ratings assigned to new foreign-currency bonds issued by sub-sovereign entities (such as private non-financial corporations, financial firms, and public sector enterprises) in 47 emerging markets and developing economies. Censored and double-hurdle regression models are used to estimate the relative contributions of bond-level, issuer-level, and macroeconomic factors that determine this distance, separately for those rated at or below the sovereign rating and those rated above. For the three quarters or more of sub-sovereign bond ratings that are constrained by the sovereign rating ceiling, a Tobit regression model shows a smaller distance – suggesting stronger sovereign–corporate linkages – for public sector enterprises and financial firms relative to other firms. Riskier global financial conditions are also associated with sub-sovereign bonds being rated closer to the sovereign rating. For the small number of sub-sovereign bonds rated higher than the sovereign rating, a double-hurdle model shows that certain debt features – such as bonds backed by future-flow receivables or other collateral or structured as Special Purpose Vehicles (SPV) – significantly raise the likelihood of piercing the sovereign rating ceiling and also increase the distance above the sovereign ceiling.     

Credit ratings and bond spreads of the GIIPS

We examine the relationship between credit ratings and bond yield spreads of peripheral countries in the euro area (Greece, Ireland, Italy, Portugal and Spain) for the period 1995–2014. Since 2012, bond spreads of those countries have come down very fast, whereas credit ratings have hardly changed. Our results suggest that credit rating agencies have become more cautious and have changed their approach to assess credit risk of sovereigns, and that the impact of sovereign credit risk ratings on sovereign bond spreads has changed.     

PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies

This paper asks whether rating agencies played a passive role or were an active driving force during Europe??s sovereign debt crisis. We address this by estimating relationships between sovereign debt ratings and macroeconomic and structural variables. We then use these equations to decompose actual ratings into systematic and arbitrary components that are not explained by previously observed procedures of rating agencies. Finally, we check whether systematic, as well as arbitrary, parts of credit ratings affect credit spreads. We find that both do affect credit spreads, which opens the possibility that arbitrary rating downgrades trigger processes of self-fulfilling prophecies that may drive even relatively healthy countries towards default.     

Evidence of cross-asset contagion in U.S. markets

This study examines evidence of cross-asset contagion among REIT, money, stock, bond, and currency markets in the US from 2006 to 2012, which covers the subprime and European sovereign debt crisis. We apply the Granger causality test and a vector auto-regression to examine the change of causality structure. Our results show that contagion exists from medium-term bond markets to equity markets; REIT, money markets and short-term bond markets show little evidence of cross-asset contagion with other markets; and the currency market shows high co-movement and contagion with equity markets. Our findings provide more rewarding asset reallocating strategies for the investors who invest in both bond and equity markets before a crisis to consider reallocating their portfolio into REIT and money markets to benefit from diversification during a crisis period.     

The impact of Chinese monetary policy on co-movements between money and capital markets

From 2010 to 2017, with interest rate liberalization and capital market development in China, the impact of monetary policies on China’s financial markets underwent continuous evolution. Using the DCC-GARCH model, this study investigates the transmission process of monetary policies from the money market to capital markets (stock and bond markets). The results show that in the early stage the instability of the money and stock markets and the downturn in the bond market are primarily caused by the block of monetary policy transmission and the paucity of fund sources in the capital markets. Subsequently, the outbreak of the 2013 money shortage and the 2015 stock market crash are also closely related to monetary policies. In the later periods, the money and stock markets maintain a low degree of correlation for a long time, reducing the impact of destabilizing factors on the stock market. By contrast, with the advancement of interest rate reform and the optimization of bond market structure, the bond market is highly relevant to the money market. The central bank regulates the bond market more effectively using both traditional and innovative monetary policy tools.     

中国股票市场对货币政策影响的实证分析

本文运用现代计量经济分析方法,从股票市场对货币需求的影响、股市的财富效应和投资效应,以及股票市场发展对货币政策信贷渠道的影响等几个侧面,实证分析了股票市场的发展对货币政策的影响。其结论是,中国股市的发展已经对狭义货币M1的需求产生了较大影响,而且整体上加剧了狭义货币M1需求的不稳定性;中国股市的发展并未给广义货币M2的需求造成系统性的影响;中国股市的财富效应和投资效应目前都还比较微弱,特别是投资效应;中国股市的发展已经一定程度地分流了信贷渠道对货币政策传导的作用,但迄今为止,信贷渠道仍然是中国货币政策传导的主渠道。     

Sovereign credit ratings,growth volatility and the global financial crisis

Using monthly data from January 1996 to May 2010 for a panel of 76 developed and emerging economies and adopting an instrumental variable (IV) estimation technique by correcting for both heterogeneity and endogeneity with the generalized two-stage least squares (G2SLS, EC2SLS) procedure method suggested by Balestra and Varadharajan-Krishnakumar (1987) and Baltagi and Li (1995), this article provides empirical evidence that volatility of per capita GDP growth is reduced when there are positive changes in credit ratings; in other words when sovereign credit risk improves. To deal with potential simultaneity between sovereign credit ratings and output volatility, a system (3SLS) approach is undertaken, and our findings remain robust. By weakening the volatility dampening effects of ratings changes, it is found that the global financial crisis (GFC) has enhanced macroeconomic volatility. One of the channels via which sovereign rating changes affect growth volatility is the financial markets’ repricing of sovereign default risk that is reflected in sovereign credit default swap (CDS) spreads and its volatility.     

我国证券市场流动性溢出效应的实证研究

2008年金融危机中的一个重要金融现象是流动性溢出效应.本文以我国沪深两市交易的国债和股票为样本,利用VAR技术分析了股票市场与债券市场之间的流动性溢出效应问题.由于我国股票市场的规模远大于交易所交易债券,我们发现存在显著的股市流向债市的流动性溢出效应,而债市流向股市的流动性溢出效应统计上却不显著.同时我们发现各个市场自身的收益率和波动率对其流动性也有着显著的影响.最后我们还发现两市自身的流动性存在着很强的自相关性.证据表明当我国资本市场出现流动性不足时,尤其要加强对股票市场流动性风险的防范和监管.同时也反映出我国要大力发展债券市场的必要,使股市和债市的流动性相互影响相得益彰.