中国信用评级标准变化研究.pdfVIP

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 i 摘 要 中国的债券市场从2006年开