本文選題：逆周期　切入點：主權(quán)信用評級　出處：《湖南大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：主權(quán)信用評級是信用評級機構(gòu)對一國政府履行償債責(zé)任意愿與能力的綜合評判,并用相應(yīng)等級符號來表示評級結(jié)果。現(xiàn)行國際主權(quán)信用評級呈現(xiàn)出明顯的順周期特征而廣受詬病,即存在危機前高估評級,在危機爆發(fā)后又過度下調(diào)評級、增強了危機傳染性的現(xiàn)象。在1997年東南亞金融危機和2010年歐債危機中三大評級機構(gòu)的評級順周期現(xiàn)象尤其嚴(yán)重,減緩了全球經(jīng)濟的復(fù)蘇步伐。本文先介紹信用評級的理論基礎(chǔ),然后描述了主權(quán)信用評級近一個世紀(jì)的發(fā)展歷史以及發(fā)展現(xiàn)狀,分析現(xiàn)行指標(biāo)體系的缺陷,認(rèn)為主要存在指標(biāo)欠缺、指標(biāo)重復(fù)、缺乏動態(tài)分析性等缺陷,并依據(jù)剔除重復(fù)指標(biāo)、全面性、層次性和動態(tài)分析性等原則進行改進。按照全面性原則,主權(quán)國家是否有違約記錄是全面考察其信用狀況的重要依據(jù),因此選取違約歷史作為指標(biāo)變量；按照科學(xué)性的原則,增加更多的變量容易產(chǎn)生多重共線性問題,所以變量的選擇以8-9個為宜；按照層次性原則,選取人均收入、實際GDP增長率這兩個反映一國的綜合體制實力的指標(biāo),選取政府外債、財政余額、短期外債這三個反映一國主權(quán)政府的財政狀況的指標(biāo)。采用90個主權(quán)國家2005-2012年經(jīng)濟數(shù)據(jù)進行面板隨機效應(yīng)和門限效應(yīng)回歸得出基本評級決定模型,然后對模型進行擴展,加入地區(qū)虛擬變量、評級自回歸、門限模型,運用歐債危機發(fā)生前后低、中、高不同收入水平的6個國家數(shù)據(jù)進行模擬評級的結(jié)果表明,模擬評級波動小于實際評級,在危機爆發(fā)前模擬評級低于實際評級,在危機爆發(fā)后的時間節(jié)點上,模擬評級也有所下降,但模擬評級高于實際評級,從而顯現(xiàn)出新指標(biāo)體系較好的逆周期特征。綜上,評級機構(gòu)應(yīng)注重指標(biāo)體系層次性建設(shè),全面客觀評價信用評級狀況；折中長期與短期,摒棄歧視性做法；提高評級透明性,加強對評級監(jiān)管。
[Abstract]:A sovereign credit rating is a comprehensive assessment of a government's willingness and ability to meet its debt obligations by credit rating agencies. The current international sovereign credit rating shows an obvious pro-cyclical feature and is widely criticized, that is, there is an overestimation of the rating before the crisis, and an excessive downgrade after the outbreak of the crisis. In 1997 and 2010, the credit rating of the three major rating agencies was especially serious, which slowed the pace of global economic recovery. This paper first introduces the theoretical basis of credit rating. Then it describes the development history and current situation of sovereign credit rating for nearly a century, analyzes the defects of the current index system, and considers that there are main defects such as lack of indicators, repetition of indicators, lack of dynamic analysis and so on. According to the principle of comprehensiveness, hierarchy and dynamic analysis, whether sovereign states have default records is an important basis for comprehensive investigation of their credit status, so the history of default is chosen as the index variable. According to the scientific principle, adding more variables is easy to produce multiple collinear problems, so the choice of variables should be 8-9; according to the principle of hierarchy, select per capita income, The real GDP growth rate, two indicators that reflect the comprehensive institutional strength of a country, selects the external debt of the government and the fiscal balance. Short-term external debt is the three indicators that reflect the financial situation of a sovereign government. Using the economic data of 90 sovereign countries for 2005-2012, the basic rating decision model is obtained by using panel random effect and threshold effect regression, and then the model is expanded. Adding regional virtual variables, rating autoregressions, threshold model, using the European debt crisis before and after the low, medium and high income levels of six countries to simulate the rating results show that the simulated rating fluctuation is less than the actual rating. Before the outbreak of the crisis, the simulated rating was lower than the actual rating, and at the time point after the crisis broke out, the simulated rating also decreased, but the simulated rating was higher than the actual rating, thus showing a better counter-cyclical characteristic of the new index system. Rating agencies should pay attention to the construction of index system, comprehensively and objectively evaluate the credit rating status; compromise between long-term and short-term, abandon discriminatory practices; improve the transparency of rating, strengthen the supervision of rating.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F831.2

【參考文獻】

相關(guān)期刊論文 前10條

1 夏凡;姚志勇;;評級高估與低估:論國際信用評級機構(gòu)“順周期”行為[J];金融研究;2013年02期

2 馬林影;趙放;;國際信用評級機構(gòu)在危機中的行為分析及啟示[J];國際貿(mào)易問題;2013年01期

3 陶艷艷;;國際信用評級業(yè)發(fā)展動態(tài)與監(jiān)管改革趨勢[J];銀行家;2012年11期

4 夏靖;;信用評級機構(gòu)及其道德風(fēng)險[J];上海金融;2012年10期

5 朱冰;張智嘉;;三大評級機構(gòu)與大公國際主權(quán)信用評級模式比較[J];海南金融;2012年10期

6 陳_g西;周小宇;;國際評級機構(gòu)國家偏見的實證分析[J];經(jīng)濟科學(xué);2012年04期

7 劉曉劍;張強;;我國信用評級行業(yè)聲譽約束的實證分析[J];湖南科技大學(xué)學(xué)報(社會科學(xué)版);2012年04期

8 沈鳳武;沈躍峰;杜明艷;羅奕鋼;;國家主權(quán)信用評級質(zhì)量檢驗方法研究[J];國際金融研究;2012年05期

9 胡偉民;;穆迪主權(quán)信用評級模式及其啟示[J];中國金融;2012年09期

10 鄂志寰;周景彤;;美國信用評級市場與監(jiān)管變遷及其借鑒[J];國際金融研究;2012年02期

，

本文編號：1576822