主权信用评级下调冲击东道国资本市场的风险及防范研究

发布时间：2018-11-28 11:54

【摘要】：21世纪以来，经济全球化的加速推进，金融市场的迅猛发展以及资本自由流动的日益平凡，为主权国家跨国借贷创造了便利的条件。但随之而来的主权债务危机也愈发严重，2009年随着信用评级机构连续下调希腊主权信用评级，希腊主权债务危机正是爆发。紧随其后，欧洲其他国家主权债务安全也引起了投资者广泛担忧，最终致使欧洲债务危机的全面爆发。截止目前，欧盟国家仍深陷债务危机泥潭，而2011年评级机构下调经济强国——美国的主权信用评级，使得主权债务问题成为目前全球瞩目的焦点。回顾欧洲主权债务危机和美国评级下调事件，评级机构发布的评级下调报告不仅使得政府对外债务市场动荡，而且也导致评级下调国家的股票、债券等市场的剧烈波动，严重冲击了评级下调国家经济金融市场的稳定。基于这些现实背景，，本文首先研究主权信用评级变动对东道国资本市场的影响，尤其是评级下调对这些国家资本市场的冲击风险。根据资本的来源，本文将东道国资本市场分为国际流入资本和国内资本市场。首先检验主权信用评级变动与三种主要形式的国际资本（FDI、国际组合投资和国际银行贷款）流向的关系，着重分析评级下调对国际资本流出的冲击风险。其次，主权信用评级的标的是主权国家政府偿债能力及意愿，与东道国国内资本市场非直接相关，而且相比于国际投资者，国内资本市场的投资者面临的信息不对称性较弱。因此，通过检验评级下调对国内资本市场的冲击，不仅能够说明评级的信息含量，而且也表明主权信用评级下调冲击的广泛性，风险防范的重要性。针对主权信用评级下调对东道国资本市场的冲击风险，本文从主权信用评级的影响因素出发，运用计量经济方法挖掘影响主权信用评级的主要因素，分离并检验这些因素的长短期效应，从而提出维护和提升评级等级的长期政策及抑制短期非正常冲击的短期调控政策。最后，根据主权信用评级的短期影响因素，建立预警模型，防范主权信用评级下调风险，确保资本市场的稳定和健康发展。
[Abstract]:Since the 21st century, the acceleration of economic globalization, the rapid development of financial markets and the increasingly ordinary free flow of capital have created a convenient condition for sovereign countries to borrow and borrow across national borders. But the ensuing sovereign debt crisis, which erupted in 2009 as credit rating agencies downgraded Greece's sovereign credit rating, has also intensified. The security of sovereign debt in other European countries was followed by widespread concern among investors, leading to a full-blown debt crisis in Europe. European Union countries remain mired in a debt crisis, and the 2011 downgrade of the U.S. sovereign credit rating by rating agencies has made sovereign debt a global concern. Recalling the European sovereign debt crisis and the downgrade events of the United States. The downgrade reports issued by rating agencies not only destabilized the external debt markets of governments, but also led to sharp fluctuations in stocks, bonds and other markets of downgraded countries, A serious impact on the downgrade of the country's economic and financial markets stability. Based on these realistic background, this paper first studies the influence of sovereign credit rating change on the capital market of host country, especially the impact risk of rating downgrade on the capital market of these countries. According to the source of capital, the capital market of host country is divided into international capital market and domestic capital market. First, the relationship between sovereign credit rating change and three main forms of international capital (FDI, international portfolio investment and international bank loan) is examined, and the impact risk of rating downgrade on international capital outflow is analyzed. Secondly, the target of sovereign credit rating is the sovereign government's solvency and willingness, which is not directly related to the host country's domestic capital market. Moreover, compared with the international investors, the information asymmetry faced by the domestic capital market investors is relatively weak. Therefore, by examining the impact of the downgrade on the domestic capital market, it can not only explain the information content of the rating, but also show the breadth of the impact of the sovereign credit rating downgrade and the importance of risk prevention. In view of the impact risk of sovereign credit rating downgrade on the capital market of host country, this paper starts from the influencing factors of sovereign credit rating and uses econometric method to excavate the main factors affecting sovereign credit rating. To separate and test the short-term and long-term effects of these factors, the long-term policy of maintaining and upgrading the rating grade and the short-term control policy to restrain the short-term abnormal impact are put forward. Finally, according to the short-term influencing factors of sovereign credit rating, an early warning model is established to guard against the risk of sovereign credit rating downgrade and to ensure the stability and healthy development of capital market.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F831.5

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