声誉机制、评级周期与经济周期：国际信用评级机构行为模式与发展中国信用评级业研究

Credit rating agencies play a critical role in capital markets, and the quality of credit rating is essential to proper functioning of the financial system. However, since the US subprime crisis starting in 2007 and the global financial crisis followed, the rating quality of the big three international rating agencies, namely Moody's, Standard & Poor, and Fitch, has been widely criticized. The behviors of the big three rating agencies have stimulated many theoretical and policy research in this area. Meanwhile, China's own rating agencies have very limited size and reputation, which cannot catch up the high demand for credit rating of the fast-growing Chinese captial market.. Different from the existing literature, this project focuses on developing and testing the theory of "rating cycle", which includes both "rating inflation" and "rating deflation", and exploring the relationship between the "rating cycle" and the "business cycle." . First, this project will establish the "credit cycle" theory through the interaction between the "issuer-pay model" and the "reputation mechanism", and then show the pro-cyclical effect of the rating cycle.. Second, this project will collect data on credit rating from the big three agencies to test the "rating deflation" and the "rating cycle" hypotheses, and to test the rating cycle's positive feedback effect on the business cycle.. Third, this projects will propose the methods to improve the current rating system and reguation, and then provide mechanism, instituions, and implications to develop China's credit rating industry.

信用评级机构在资本市场上发挥着关键作用，信用评级质量对金融系统正常运作至关重要。但自2007年美国次贷危机及全球金融危机爆发以来，三大国际信用评级机构的评级质量受到广泛质疑，对其行为的反思使这一领域成为理论和政策研究热点。同时，我国现有评级机构规模和影响有限，不能满足高速成长的中国资本市场对信用评级的需求。. 和已有研究不同，本项目旨在发展和验证包括"评级膨胀"和"评级紧缩"在内的 "评级周期"理论，并探讨"评级周期"与"经济周期"的互动关系。首先，本项目通过"发行方付费"模式和"声誉机制"的交互作用，获得"评级周期"理论，并证明评级周期对经济周期的放大效应。其次，收集三大评级公司评级数据，验证"评级紧缩"和"评级周期"理论，并验证"评级周期"放大经济周期的效果。最后，提出改善现行评级体系和加强评级机构监管的办法，并对发展我国信用评级行业提出制度设计和政策建议。

信用评级机构在资本市场上发挥着关键作用，信用评级质量对金融系统正常运作至关重要。但自美国次贷危机及全球金融危机爆发以来，三大国际信用评级机构（穆迪、标普和惠誉）的评级质量受到广泛质疑，对其行为的反思使这一领域成为理论和政策研究热点。. 和已有研究不同，本项目发展了包括“评级膨胀”和“评级紧缩”在内的 “评级周期”理论，探讨了“评级周期”与“经济周期”的关系。首先，本项目通过“发行方付费”模式和“声誉机制”的交互作用，获得"评级膨胀"和"评级紧缩"均衡。然后，通过引入经济周期，得出了“评级顺周期”结论：在经济繁荣时，评级机构倾向于高估评级，在经济不景气时，评级机构更容易低估评级。最后，本项目讨论和提出了改善现行评级体系和加强评级机构监管的办法，并提出了发展中国信用评级产业的制度设计和对策。. 本项目的主要成果对于理解国际信用评级机构的行为和发展中国信用评级产业具有理论价值和现实意义。