中外企业信用评级的差异及其决定因素.PDF

中国人民银行工作论文 No.2017/5 PBC Working Paper No.2017/5 2017年5月25日 May 25,2017 中外企业信用评级的差异及其决定因素 1 蒋贤锋 Frank Packer 摘要：对中国企业的信用评级市场的中国特征比较明显：很少有企业同时被国内外 评级机构评级，对同一企业国内评级平均比国际评级高出6-7个等级。虽然国内外 评级机构采用的评级符号几乎相同，它们可能代表不同的含义，存在不同的基准效 应。我们在本文中提出针对评级基准效应调整国际评级的一种方法，使得调整后的 国际评级和国内评级具有较强可比性。在此基础上，我们进一步从评级决策角度实 证考察国内外评级机构评级决定因素的差异。我们发现，就对企业的国内评级高于 调整后的国际评级的概率而言，资产规模和杠杆率由于被国内评级机构赋予更大正 面权重而产生正向影响，盈利能力和所有权国有属性由于被国外机构赋予更大正面 权重而产生负向影响。这些影响在控制了各种其他变量、情景之后是稳健的。本文 结论对与评级相关的监管政策具有一定的参考意义。 Abstract: The market for the credit ratings of Chinese firms featured China-specific characteristics: little overlap of the coverage of domestic and global rating agencies. Domestic agencies rate firms that are jointly rated higher by 6-7 notches on average; the ratings scales of the domestic and global agencies appear to be different despite the similar symbols. It may be due to the effect that a firm with same credit risk has different relative orders when they are put in different rating systems. After the global ratings are adjusted, by a method provided by us, so as to align global and domestic scales, we test whether the determinants of ratings are similar across global and domestic agencies. We find that larger asset size and higher leverage tend to result in firms receiving higher domestic ratings than adjusted global ratings, but higher profitability or state-ownership are more likely to result in firms receiving higher adjusted global ratings than domestic ratings. This is because asset size is weighed more heavily as a positive factor by domestic agencies, and leverage is weighed more heavily as a negative factor by global agencies. Profitability and state-ownership are weighed more p