發行體評等高於主權評等之因素探討－－以全球商業銀行為例

The Determinants of Bank Ratings Higher than Sovereign Ratings

本文探討使銀行獲得高於主權評等的信用評等的因素，以2002 至2008 年間獲得標準普爾信評機構評等的銀行為研究對象，並就財務資訊、海外股權及總體經濟變數等進行分析。實證結果發現，獲得高於主權評等的銀行的財務績效，與評等等於或低於主權評等的銀行間，確實存在顯著差異性。銀行具有較高的資本比率、資產品質、管理效率及銀行規模，有較高的機率獲得高於主權的評等等級。銀行的股權結構也有顯著影響，當一銀行的最終控制股東係來自於海外，可以顯著提高銀行獲得高於主權評等的機率；而海外最終控制股東的持股比率愈高，也有助於提高銀行獲得高於主權的評等。就國家特定變數部份發現，美元化的國家、新興市場國家或總體經濟表現較差的國家，其銀行獲得高於主權的評等等級的機率也較高。此外，本文發現銀行獲得高於主權評等等級可能是該國的實際主權評等被低估的原因造成。發現25 個樣本中，有超過一半的國家確實出現實際主權評等被低估的現象，該情形主要出現在阿根廷、巴西、約旦、巴拿馬及土耳其等國。

The aim of this study is to investigate why bank ratings may exceed sovereign ceiling. The results are as followed. First, the financial information exists significantly differences between banks ratings higher than the sovereign and bank ratings equal to or worse than the sovereign. Banks with better capital ratio, asset quality, management efficiency and larger size have a higher probability to obtain a rating higher than the sovereign. Further, a foreign ultimate owner is an important factor for banks being assigned a rating higher than the sovereign. The higher percentage of ultimate ownership is also helpful for banks to get a rating higher than the sovereign. Second, from the aspects of country characteristics, we find banks assigned a rating higher than the sovereign are from dollarized countries, emerging market economies. Besides, countries with worse macroeconomic index are more likely to have banks rating pierce the sovereign ceiling. Finally, the results show more than half of our samples with “estimated” sovereign ratings higher than their “actual” estimated, representing SCR underestimation exists. The countries are Argentina, Brazil, Jordan, Panama and Turkey.