银行信用评级的信息质量及其次级债事前约束

doi:10.12094/1002-7246（2017）07-0105-18

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摘要本文研究了银行信用评级的信息内容和信息质量及其在次级债风险定价或事前约束中的反映情况。研究表明信用评级不仅在次级债风险定价中得到了显著反映,还非充分内嵌了政府隐性救助预期和银行风险特征等丰富信息;较之主体信用评级,上市银行风险的市场测度指标能更显著地解释次级债的发行溢价,然而,投资者在政府隐性救助预期下进行了“扭曲”的风险定价,它们不仅未对上市银行的风险承担给予应有的市场约束,反而还可能鼓励其未来更大的风险承担倾向。研究表明,将次级债事前约束的缺失归咎于外部评级失当以及非效率市场不能提供有价值的风险信号有失偏颇。

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	许友传

关键词: 次级债市场约束隐性保险信用评级

Abstract: The paper studies the information content and information quality of bank credit rating and their reflections in the risk pricing or ex ante discipline of subordinated debt market. It shows the risk pricing of subordinated debt reflects bank credit rating, which partially embeds the implicit government bailout expectation and risk characteristics of issuer simultaneously. Compared with credit rating, the market measures of bank risk can more significantly explain the risk premium of subordinated debt issued by listed commercial banks, but the signs are opposite to the intrinsic requirement of market discipline. It indicates relevant investors not only don't constraint the risk-taking behavior of issuers, but may also encourage the greater risk-taking propensity of banks in the future. The study tends to support that it's unreasonable to attribute the lack of ex ante discipline of subordinated debt market to improper external credit rating and non-efficiency market which cannot provide valuable risk information or warning signals.

Key words: Subordinated Debt Market Discipline Implicit Insurance Credit Rating

JEL分类号:

C02

D01

G21

基金资助: 国家自然科学基金面上项目(71673049)、国家自然科学基金国际(地区)合作与交流项目(71661137008)和教育部人文社会科学研究基金(14YJC790145)。

作者简介: 许友传,经济学博士,副教授,复旦大学经济学院,Email:ycxu@fudan.edu.cn

引用本文:

许友传. 银行信用评级的信息质量及其次级债事前约束[J]. 金融研究, 2017, 445(7): 105-122.
XU Youchuan. Information Quality of Bank Credit Rating and Ex ante Discipline of Subordinated Debt. Journal of Financial Research, 2017, 445(7): 105-122.

链接本文:

http://www.jryj.org.cn/CN/10.12094/1002-7246（2017）07-0105-18 或 http://www.jryj.org.cn/CN/Y2017/V445/I7/105

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