| 基于逆周期的主权信用评级指标体系研究 |
| |
| 引用本文： | 何娟文,张叶.基于逆周期的主权信用评级指标体系研究[J].财经理论与实践,2015(3):34-38. |
| |
| 作者姓名： | 何娟文 张叶 |
| |
| 作者单位： | 湖南大学 金融与统计学院,湖南 长沙,410079 |
| |
| 基金项目： | 湖南省社科基金项目(13JD14);湖南省社科基金项目(12JDZ8);湖南省长沙市软科学项目(K1301016-41) |
| |
| 摘 要： | 现行国际主权信用评级呈现出明显的顺周期特征而广受诟病。在对评级指标体系优化的基础上，采用90个主权国家2005~2012年经济数据进行面板随机效应和门限效应回归，对主权信用评级决定模型进行估计，运用欧债危机发生前后的数据进行模拟评级，结果表明：优化后的指标体系显示出较好的逆周期特征。
|
| 关 键 词： | 逆周期 主权信用评级 指标体系 模拟评级 |
Research on Sovereign Credit Rating Index System Based on Countercyclical Characteristics |
| |
| HE Juanwen,ZHANG Ye.Research on Sovereign Credit Rating Index System Based on Countercyclical Characteristics[J].The Theory and Practice of Finance and Economics,2015(3):34-38. |
| |
| Authors: | HE Juanwen ZHANG Ye |
| |
| Institution: | HE Juanwen;ZHANG Ye;College of Finance &Statistcs,Hunan University; |
| |
| Abstract: | Extant international sovereign credit rating system is blamed for the evidently pro-cyclical characteristics.Based on the evaluation of credit rating system,this paper uses 2005~2012 economic data of 90 sovereign countries to conduct panel random effects and thresholdeffects regression,and estimates the determinants of sovereign credit rating.By employing databefore and after European debt crisis,the simulation shows that the new index system proves to be more countercyclical. |
| |
| Keywords: | Countercyclical Sovereign credit rating Index system Rating simulation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《财经理论与实践》浏览原始摘要信息 |
| 点击此处可从《财经理论与实践》下载免费的PDF全文 |
