信用评级膨胀、策略性评级操纵与有效金融监管

The credit rating inflation aggravates information asymmetry, induces a low risk premium and is criticized as an important source of the debt crisis. Previous researches on China's credit rating inflation are relatively scarce, and reach no consensus on the general causes of inflation in global credit ratings. Based on the theories of principal-agent problem, feedback loop games, optimal market structure and optimal regulation, the project utilizes theoretical and quantitative methods to systematically explore the existence, causes, implementation and regulatory rectification of credit rating inflation in bond market. Specifically, this project: (1) provides direct and indirect evidence for the existence of rating inflation; (2) uses the unique setting provided by the bond market in China to analyze the effect of payment patterns, subjective biases of analysts, analysts' social networks, and competitions among rating agencies and access regulation on rating inflation; (3) systematic analyses how issuers strategically utilize debt covenants, corporate positive signals, and information quality to manipulate credit ratings; (4) explores how government should use marketization tools and implement market access regulation. This project aims to provide a solid theoretical basis for rating inflation. And currently, the bond market in China witnesses a gradual commence of default. The project can also provide useful practice suggestion to improve the standardized operation of the credit rating industry, and promote the optimal regulation on rating agencies.

信用评级膨胀加剧了市场信息不对称，造成了风险溢价偏低，被认为是形成债务危机的重要原因。学界对我国信用评级膨胀研究不足，对全球信用评级膨胀一般性成因未达成一致看法。本项目拟基于委托代理问题、反馈博弈、最优市场结构和最优监管等理论，采用理论构建和定量方法系统研究债券市场评级膨胀的存在性、形成原因、策略性操纵方式和最优监管。具体的，本项目：（1）提供存在评级膨胀的直接和间接证据；（2）利用我国债券市场提供的独特背景，分析付费模式、分析师主观偏差、社会网络、评级机构竞争与准入监管，对评级膨胀的影响；（3）研究发行人如何策略性运用债务契约、企业正向信号和信息质量来操纵评级水平；（4）探讨政府市场化监管和市场准入监管理论。本项目旨在为信用评级膨胀提供扎实的理论基础，同时在目前债券市场逐步出现违约的特定现实背景下，本项目也为规范评级市场运作，实现对评级机构的最优监管，提供有益的实践参考意见。

近年来大量高评级债券的违约和大公国际等级够被处罚等评级机构导致了业界，学界和监管部门对信用评级膨胀问题的高度关注。评级膨胀加剧了市场信息不对称，造成了定价效率，被认为是形成高杠杆和债务危机的重要原因。本课题基于委托代理问题、反馈博弈、最优市场结构和最优监管等理论，系统研究了信用膨胀的成因和解决途径。项目组使用了中国债券市场数据和一套手工收集的债券评级分析师数据，采用理论构建和定量方法系统研究债券市场评级膨胀的存在性、形成原因、策略性操纵方式和最优监管。具体的，本项目发现：（1）我国信用评级膨胀来源于付费模式、分析师主观偏差、评级机构竞争与基于评级的监管；（2）发行人策略性运用债务契约操纵评级水平，良性债券契约反而成了债券质量的差信号，（3）债权重组内生于债务违约的成因，债务减免有助于缓解策略性违约。本项目为进一步对债券评级行业进行监管提供了一定的理论基础，包括对债券契约（如担保品等）的监管、基于评级的差别性监管和债务重组监管等。