我国不同付费模式信用评级校验机制研究

Credit Rating Verification Mechanisms for Different Payment Modes in China

中文关键词:  债券市场  付费模式  信用评级  校验机制  评级差值  评级质量

英文关键词:bond market  payment mode  credit rating  verification mechanism  rating gap  rating quality

中文摘要:

      我国债券市场刚性兑付被打破后,不断出现高评级债券违约事件。为此,监管部门积极发展多种评级,以期提高债券评级质量。通过理论建模与实证分析,研究了不同付费模式信用评级如何综合发挥校验作用。基于博弈模型的理论分析发现,不同付费模式评级发挥校验作用的机制在于投资者的反应:当投资者付费和发行人付费两种模式评级差值增大,投资者不以单一评级结果进行债券定价,而是根据评级差值调整债券价格。基于2011—2020年企业债评级数据的经验证据显示,随着评级差值增大,发行人付费评级机构会降低后续评级,且评级差值对单一信用评级与债券信用利差之间的负向关系具有抑制作用。进一步检验发现,发行人付费评级机构提供的偏正面的私有信息会降低债券信用利差,而以中债资信为代表的投资者付费评级机构提供的私有信息则不会显著影响债券信用利差,均体现出单一评级模式在定价方面的弊端。因此,监管部门应继续鼓励发展投资者付费评级模式,并鼓励机构投资者发展内部评级,以充分发挥多种评级模式的交叉校验作用。

英文摘要:

      After the rigid payment of China's bond market was broken, default events of higher-rated bonds continued to occur. To improve the quality of bond ratings, regulatory authorities are guiding multiple rating modes. Through theoretical modeling and empirical analysis, this study investigates how credit ratings of different payment modes play a verification role. Game model analysis shows that the mechanism by which credit ratings of different payment modes play a verification role lies in investors' reactions:when the rating gap between two payment modes increases, investors do not price bonds based on a single rating but adjust bond prices based on the rating gap. Based on the empirical test of corporate bond rating data from 2011 to 2020, it is found that as the rating gap increases, issuer-paid rating agencies will lower subsequent ratings, and the rating gap has an inhibitory effect on the relationship between a single credit rating and bond credit spreads. Further examination reveals that the positive private information provided by issuer-paid rating agencies will reduce bond credit spreads, whereas the private information provided by China Bond Rating will not significantly influence bond credit spreads, highlighting the limitations of a single rating mode in pricing. Therefore, regulators should continue to develop investor-paid rating modes and encourage institutional investors to establish internal ratings in order to fully leverage the cross-validation role of multiple rating modes. 