结构性违约、信用分层与评级机构的策略性反应——来自中国信用债市场的证据

2014年以来,以主要集中于民企的"结构性违约"宣告了中国信用债市场刚性兑付的"结构性打破",债券市场进入了新的发展阶段。利用2013-2017年债券数据,本文深入分析了结构性违约对评级机构行为和效率的影响,主要有如下发现：首先,信用评级的市场公信力会因政府隐性担保导致的"刚性兑付"而削弱;其次,结构性违约爆发之后,信用评级的整体效率有所提升,但在不同发行主体呈现分化,对于非城投类企业,信用评级对发行利差的影响显著增大,意味着评级公信力的显著提升,而对于城投类企业,评级效率并未明显改善;进一步研究表明,出现这种情况的原因在于评级机构在违约后采取了差异化的评级策略,对于违约风险较大的非城投类债券,评级机构倾向采取"收紧评级"的策略;对于违约风险较低的城投债,评级机构倾向于采取"放宽评级"的策略。这种策略性行为是导致市场"信用分层"的重要原因,并有可能推升民营企业的融资成本。

Structured Default,Credit Stratification and Strategic Response of Rating Agencies: Evidence from the Chinese Credit Bond Market

Since 2014, the Chinese credit bond market has declared the break of the rigid redemption of the bond market with the structural default focused on private enterprises, and the bond market has entered a new development situation. So what needs to be considered is, if there is a default risk in the bond market, how will the efficiency and behavior of credit ratings that play a role in revealing risks be affected? More importantly, if the breach of default is structural, will the impact on rating agencies also show structural characteristics and trigger different rating strategies? Using bond data from 2013 to 2017, this article analyzes the impact of structural defaults on the behavior and efficiency of rating agencies. The main findings are as follows:First, the market credibility of credit ratings will be affected by the "rigid payment" caused by the issuer's soft budget constraints. Second, after the outbreak of structural defaults, for non-urban investment companies, the impact of credit ratings on issuance spreads has increased significantly, which means a significant increase in rating credibility, but for urban investment companies, the rating efficiency is not significant improvement; further research found that the reason for this situation is that rating agencies have adopted differentiated rating strategies. For non-urban investment bonds with greater default risk, rating agencies tend to adopt a "tightening rating" strategy; for defaults of low-risk urban investment bonds, rating agencies tend to adopt a strategy of "relaxing ratings".This strategic behavior is an important cause of "credit stratification" in the market, and may increase the financing costs of private enterprises. Compared with the existing literature, this article has the following innovations: First, this article demonstrates that the rigid payment expectation formed by the government's implicit guarantee reduces the market credibility of credit ratings. Second, in terms of identification strategy, this article uses the exogenous impact of default in the bond market, and evaluates the impact of structural default by comparing before and after default and between urban investment bonds and non-urban investment bonds that are affected by default. This recognition mechanism can effectively alleviate endogenous problems. Third, this article finds that the impact of structural defaults is also structural—rating agencies have adopted differentiated rating strategies for different entities.This is the result of a trade-off between reputation and market share by rating agencies.It also provides an empirical test of the phenomenon of "credit stratification" widely discussed in the market from the perspective of intermediary. The research conclusions of this article have important policy implications. First, "rigid redemption" and "government bottoming" not only directly affect bond pricing efficiency, but are also important obstacles for intermediaries such as credit ratings to exert their information screening capabilities. Therefore, insisting on breaking down rigid payment, strengthening market-oriented reforms, and striving to establish a modern corporate system are the directions for reforms to continue to focus on. Second, it should be noted that China's bond market has transitioned from rigid redemption to "breaking rigid redemption", but there is still differentiation at the subject level. We are worried that this kind of structural break-through of the main body and stage by stage may not only bring about the problem of credit stratification, but also may aggravate the financing difficulties of private enterprises in the capital market.