中國信用評等品質是否改善？

HAS CREDIT RATING QUALITY IMPROVED IN CHINA?

本文以2007至2018年間獲得中國本土信評公司發布評等的債券為對象，以了解中國評等的品質是否改善。實證結果發現，在其他條件不變下，相對於2007年，債項在2008至2014逐年獲得較差的評等，但2015至2018年，評等卻呈現逐年緩步寬鬆的趨勢。其次，發現隱性或顯性保證程度愈高，獲得愈佳的評等，較佳審計品質的企業也獲得較佳的評等。第三，評等具有資訊內涵，評等愈差，未來發生違約的機率愈高，且投資人要求較高的風險溢酬。但2014年之後，評等的訊息效果大幅下降，顯示評等品質惡化。第四，與國際信評公司合作的本土信評公司，評等的訊息效果與品質並未優於未與國際信評公司合作的本土信評公司。第五，中國本土信評公司發布的評等同時支持評等為領先與落後指標。

Using corporate bonds, medium-term notes and enterprise bonds assigned ratings by Chinese local rating agencies during 2007 to 2018 as a sample, this paper investigates whether credit rating quality has improved in China. The results show that, first, the rating standard has tightened from 2008 to 2014, but loosened from 2015 to 2018. Second, the specific regime and environment in China affect credit rating determinants. Bonds with implicit or explicit guarantees are assigned better ratings. Firms with high audit quality are also assigned better ratings. Third, ratings can predict default probabilities and explain bond yield spreads. However, the information effect of ratings significantly decreases after 2014, suggesting the rating quality has worsened. Fourth, the rating quality does not improve for rating agencies cooperating with global rating agencies. Fifth, ratings are both lead and lag indicators in China.