“父爱主义”监管思维下债券信用评级扭曲及其治理机制研究：理论与证据

In recent years, China's bond market has developed rapidly, but the bond credit rating has been questioned. Rating inflation, rating clustering, the low consistency between rating and bond financing cost and other ratings distortion phenomenon are endless. Prior literature analyzes the causes of poor credit rating from the perspective of “conflict of interests” between the bond issuer and credit rating agency. We argue that, in addition to the “conflict of interests”, the unique “paternalistic” regulation in China’s bond market may also cause distortions in bond credit ratings. In particular, this paper intends to use the major institutional changes and major events in China's bond market in recent years as exogenous shocks, to study whether the differentiated regulatory standards based on the credit ratings will lead to rating clustering, whether credit enhancement measures will lead to rating inflation, and whether rigid payment will lead to the low consistency between rating and bond financing cost. Furthermore, we will continue to study whether the business model of credit rating agency, rating agency capacity and reputation, media supervision can inhibit the credit rating distortions. This study is of great value to correctly interpret the distortions of credit rating in China and to reshape the credibility of credit rating in China.

近年来，我国债券市场迅猛发展，但债券信用评级饱受质疑。评级虚高、评级群聚以及评级与债券融资成本一致性偏低等评级扭曲现象层出不穷。现有研究多从债券发行人与债券信用评级机构间的“利益冲突”视角分析债券信用评级质量受损原因，本课题认为，除“利益冲突”外，我国债券市场中特有的“父爱主义”监管思维也可能会造成债券信用评级扭曲。具体地，本课题拟利用近年来我国债券市场的重大制度变迁与突发事件作为外生冲击，分别研究基于评级结果的差异化监管标准是否会导致评级群聚，事前对债券增信是否会导致评级虚高，事后刚性兑付是否会导致评级与债券融资成本一致性偏低等问题。进一步地，本课题拟研究评级机构收费模式、评级机构能力和声誉、媒体监督等机制能否抑制债券信用评级扭曲现象。本课题研究对正确解读我国债券信用评级扭曲现象，重塑我国债券信用评级公信力具有重要价值。

我国债券信用评级的有效性一直备受质疑，其中最突出的问题就是债券信用评级虚高。本课题主要研究一下几个命题：①债券信用评级偏高并不必然意味着评级有效性较差。为此，本项目研究我国债券信用评级是否真的无效。具体地，本项目通过识别评级机构基于公开信息之外的其它因素对评级结果进行的调整是否会降低债券信用利差，以判断评级机构调高评级是否向债券市场提供了有价值的增量信息，从而尝试回答我国债券信用评级是否真的无效这一兼具现实意义和理论意义的命题。研究发现，信用评级机构调高（调低）信用评级会降低（抬高）债券信用利差。实证发现支持评级机构对评级结果的调整的确是评级机构基于真实可靠的私有信息所致，而非评级机构有意迎合发行人的结果，表明总体上评级机构的评级调整行为具有积极意义。②本课题进一步研究了信任这一公共品在债券定价中的基础性作用，发现地区信任有助于降低债券信用利差，提高债券信用评级，从而证明了非正式制度在债券定价中的重要作用。③围绕本课题的核心思路，本课题还在继续对债券信用评级的相关问题展开更多研究。