评级高估与低估:论国际信用评级机构“顺周期”行为被引量：29

Rating Inflation versus Deflation:On the Pro-cyclical Credit Ratings

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摘要穆迪、标普、惠誉三大国际信用评级机构在金融市场上扮演着关键角色。但自全球金融危机爆发以来,三大评级机构广受批评。有人认为其评级太过宽松,对美国次贷危机爆发负有责任;有人认为其评级过于严苛,频繁下调公司和主权信用评级加剧了金融市场动荡。本文为协调上述两种貌似对立的观点提供了理论基础。通过模型分析,本文发现"评级高估"和"评级低估"都可能在均衡路径上出现,同时信用评级具有"顺周期"特性:评级高估更有可能发生在经济繁荣时期,而评级低估则更有可能出现在经济萧条时期。 The big three international credit rating agencies, Moody＇s, Standard and Poor＇s, and Pitch, have played a critical role in the financial markets. However, since the recent global financial crises, the big three have been widely criticized. Some accuse them of too lax in rating structured finance products, thus bearing a responsibility in the subprime crisis. Others blame them too restrictive, downgrading many companies and countries＇ ratings without listening to their explanations. This article offers a rationale to reconcile the above two seemingly inconsistent accusations. We show that both rating inflation and rating deflation can happen in the e- quilibrium path. Furthermore, we show that credit rating is pro - cyclical ： rating inflation is more likely to hap- pen in a boom, while rating deflation is more likely in a recession.

作者夏凡姚志勇

机构地区北京大学光华管理学院复旦大学管理学院

出处《金融研究》 CSSCI 北大核心 2013年第2期184-193,共10页 Journal of Financial Research

基金教育部"留学回国人员科研启动基金" 国家自然科学基金面上项目(71273063) 国家社会科学基金重大项目(11&ZD142) 教育部人文社会科学研究青年基金项目(12YJC790236) 复旦大学金融研究中心高端学术课题(2012FDFRCGD16) 复旦大学"985工程"三期整体推进社会科学研究项目(2011SHKXZD007)的资助

关键词信用评级机构评级高估评级低估顺周期评级 Credit rating agencies Rating inflation Rating deflation Pro -cyclical ratings

分类号 F224 [经济管理—国民经济] F831 [经济管理—金融学]

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参考文献11

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二级参考文献14

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