信用评级市场评级机构决策研究以及隐性担保实证分析

发布时间：2018-02-11 05:22

本文关键词： 重复博弈评级机构隐性担保　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：债券市场作为主要的融资市场,是金融业的重要组成。中国的债券市场发展时间较短,存在众多的问题。2013年的债市风暴中中国债券市场暴露出债券信用评级过高,隐性担保,债券市场监管不完善等问题,而这当中信用评级过高,隐性担保的存在无疑是很重要的。本文从这两个问题入手,尝试去分析这两个问题存在的原因以及结果,并给出相关建议。本文通过重复博弈的理论模型去分析在假定情况下,评级机构、投资者以及发行人之间进行博弈最终导致评级机构的均衡策略。分析将评级市场分成几种情况：市场上只存在一家评级机构；市场上存在两家评级机构且不公开未被选择的评级；市场上存在两家评级机构且公开未被选择的评级。同时,本文采用了计量方法来衡量隐性担保这一因素对于债券发行利率的影响。数据上选取2013年债市风暴前后债券市场上发行的债券,通过债市风暴前后隐性担保的不同对隐性担保进行测算。本文的理论研究表明,市场上好债券概率越大,以及坏债券违约的概率越大,评级公司将倾向于如实的给出债券评级。当市场上评级公司间存在竞争关系时,不同的折现率将影响评级机构的最终均衡策略。市场上存在多家评级公司竞争情况下,要求未被发行人选择的评级公司公开关于债券的相关评级信息可以激励评级公司说真话,市场上债券评级更准确。本文的实证研究表明,债市风暴前后存在隐性担保的差异,并且隐性担保对于债券发行利率的影响是显著的。存在隐性担保的情况下,债券发行利率将会更低。本文在最后根据研究得到的结果,针对中国债券市场的问题提出几点建议。其中包括：加强评级业监管,引入垃圾债券,引入双评级制度等。
[Abstract]:As the main financing market, the bond market is an important component of the financial industry. China's bond market develops for a short time, and there are many problems. In 2013, the Chinese bond market exposed the excessive credit rating of the bonds and the implicit guarantee. The bond market is not well regulated, and the credit rating is too high, and the existence of implicit guarantee is undoubtedly very important. This paper tries to analyze the reasons and results of these two problems from these two problems. In this paper, the theoretical model of repeated game is used to analyze the rating agencies under the assumption. The game between investors and issuers leads to the equilibrium strategy of rating agencies. The analysis divides the rating market into several situations: there is only one rating agency in the market; There are two rating agencies in the market and they are not publicly selected; there are two rating agencies in the market and the ratings are not chosen. This paper uses a quantitative method to measure the effect of implicit guarantee on bond issuance interest rate. The data selected bonds issued in the bond market before and after the 2013 bond market storm. The theory of this paper shows that the higher the probability of good bonds in the market, the greater the probability of default of bad bonds. When there is a competitive relationship between the rating companies in the market, different discount rates will affect the final equilibrium strategy of the rating agencies. Requiring an unselected rating company to disclose information about the rating of the bond can motivate the rating company to tell the truth, and the bond rating is more accurate in the market. The empirical study in this paper shows that there are hidden guarantee differences before and after the bond market storm. And the influence of implicit guarantee on bond issuance interest rate is significant. In the case of implicit guarantee, bond issuance interest rate will be lower. Some suggestions are put forward to solve the problems in China's bond market, including strengthening the supervision of the rating industry, introducing junk bonds, and introducing a dual rating system.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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