基于逆周期的主权信用评级指标体系研究

发布时间：2018-03-06 22:36

本文选题：逆周期　切入点：主权信用评级　出处：《湖南大学》2015年硕士论文　论文类型：学位论文

【摘要】：主权信用评级是信用评级机构对一国政府履行偿债责任意愿与能力的综合评判,并用相应等级符号来表示评级结果。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,即存在危机前高估评级,在危机爆发后又过度下调评级、增强了危机传染性的现象。在1997年东南亚金融危机和2010年欧债危机中三大评级机构的评级顺周期现象尤其严重,减缓了全球经济的复苏步伐。本文先介绍信用评级的理论基础,然后描述了主权信用评级近一个世纪的发展历史以及发展现状,分析现行指标体系的缺陷,认为主要存在指标欠缺、指标重复、缺乏动态分析性等缺陷,并依据剔除重复指标、全面性、层次性和动态分析性等原则进行改进。按照全面性原则,主权国家是否有违约记录是全面考察其信用状况的重要依据,因此选取违约历史作为指标变量；按照科学性的原则,增加更多的变量容易产生多重共线性问题,所以变量的选择以8-9个为宜；按照层次性原则,选取人均收入、实际GDP增长率这两个反映一国的综合体制实力的指标,选取政府外债、财政余额、短期外债这三个反映一国主权政府的财政状况的指标。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得出基本评级决定模型,然后对模型进行扩展,加入地区虚拟变量、评级自回归、门限模型,运用欧债危机发生前后低、中、高不同收入水平的6个国家数据进行模拟评级的结果表明,模拟评级波动小于实际评级,在危机爆发前模拟评级低于实际评级,在危机爆发后的时间节点上,模拟评级也有所下降,但模拟评级高于实际评级,从而显现出新指标体系较好的逆周期特征。综上,评级机构应注重指标体系层次性建设,全面客观评价信用评级状况；折中长期与短期,摒弃歧视性做法；提高评级透明性,加强对评级监管。
[Abstract]:A sovereign credit rating is a comprehensive assessment of a government's willingness and ability to meet its debt obligations by credit rating agencies. The current international sovereign credit rating shows an obvious pro-cyclical feature and is widely criticized, that is, there is an overestimation of the rating before the crisis, and an excessive downgrade after the outbreak of the crisis. In 1997 and 2010, the credit rating of the three major rating agencies was especially serious, which slowed the pace of global economic recovery. This paper first introduces the theoretical basis of credit rating. Then it describes the development history and current situation of sovereign credit rating for nearly a century, analyzes the defects of the current index system, and considers that there are main defects such as lack of indicators, repetition of indicators, lack of dynamic analysis and so on. According to the principle of comprehensiveness, hierarchy and dynamic analysis, whether sovereign states have default records is an important basis for comprehensive investigation of their credit status, so the history of default is chosen as the index variable. According to the scientific principle, adding more variables is easy to produce multiple collinear problems, so the choice of variables should be 8-9; according to the principle of hierarchy, select per capita income, The real GDP growth rate, two indicators that reflect the comprehensive institutional strength of a country, selects the external debt of the government and the fiscal balance. Short-term external debt is the three indicators that reflect the financial situation of a sovereign government. Using the economic data of 90 sovereign countries for 2005-2012, the basic rating decision model is obtained by using panel random effect and threshold effect regression, and then the model is expanded. Adding regional virtual variables, rating autoregressions, threshold model, using the European debt crisis before and after the low, medium and high income levels of six countries to simulate the rating results show that the simulated rating fluctuation is less than the actual rating. Before the outbreak of the crisis, the simulated rating was lower than the actual rating, and at the time point after the crisis broke out, the simulated rating also decreased, but the simulated rating was higher than the actual rating, thus showing a better counter-cyclical characteristic of the new index system. Rating agencies should pay attention to the construction of index system, comprehensively and objectively evaluate the credit rating status; compromise between long-term and short-term, abandon discriminatory practices; improve the transparency of rating, strengthen the supervision of rating.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F831.2

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