中国信用评级标准变化分析-analysis of changes in chinas credit rating standards.docxVIP

i i Abstract China’s bond market experienced rapid growth since 2006 and the credit bond market exploded recent years. But China’s bond rating market is facing many problems one of which is the changing standards due to fierce competition. In recent years, the number of upgrades in bond issuers has exceeded the number of downgrades, leading us to suspect that rating agencies are now using looser standards in assigning ratings. To verify my hypothesis, we use an ordered probit rating model to find what rating agencies value most in assigning ratings. To specify a model that fits well into China market, we also do marginal effect analysis to validate our assumption regarding the effect of independent variables on the ratings. And then we add year dummies to see if there is a trend of loosening standards. General regression model and separate regression of different rating agencies are run to find the trend and the difference among agencies. The pooled regression shows that there is a trend of changing standards from 2008 to 2011 and separate regression shows Dagong and Cheng Xin are the main agencies that cause this trend. The marginal effect analysis finds out that the major effect lies in the change of the probability that a company can be rated AA+. Besides, even though different agencies have much in common, each of them also has his own emphasis which may be useful information for issuers and investors. The result of economic importance examination is in line with our regression. Key Words: Rating Agencies, Credit Rating Model, Rating Standards, Order Probit Model ii ii 摘 要 中国的债券市场从2006年开始经历了快速成长，而信用债市场也在近两年得 到了爆发式的增长。但是中国的信用评级却存在很多问题，其中的一个问题就是 激烈的竞争带来的评级标准的不稳定。近几年评级被调高的发行人数量远远超过 评级被调低的发行人数量，这使得我们不得不怀疑评级机构正试图通过放松评级 标准吸引更多的顾客。 为了证实我们的假设，我们使用了序数概率模型找出评级机构看重的因素。 为了检验模型的有效性，我们通过边际效应分析来验证我们就模型变量的影响提 出的假设。然后我们通过增加年份虚拟变量来观察评级标准是否有被放松的迹 象。为了找出趋势并看出四个评级机构的不同，我们对总体样本进行回归的同时 还分机构进行了回归。回归结果表明，2008年到2011年，评级机构的确存在放松 评级标准的趋势，并且对各个评级机构的回归表明这个现象主要存在于大公国际 和中诚信。边际效应分析的结果显示受评级标准变化影