中國大陸債券市場信用評等—以廣義金融債券為例

Abstract

中國境內的信評機構所提供的評等有普遍過高的現象，因此機構投資人或銀行等市場上的專業機構往往不認為中國信評機構所提供的評等能真實反應受評標的之信用品質。本研究試圖瞭解商業銀行所發行廣義的金融債券債券獲得雙評等，亦或是單評等對債券的信用評等是否有顯著影響，進行Ordered Logit 迴歸，並找出銀行的獲利性指標、效率性指標、財務槓桿、資本適足率、流動性指標、資產品質以及債券的特徵變數包含債券之票面利率與到期期限對信用評等的影響與關係。實證結果顯示，擁有雙評等的債券其債券信用評等較單評等債券高，此外，代表商業銀行獲利性的股東權益報酬率（Return on Equity, ROE）與代表效率性的成本收入比皆對信用評等的高低有一定的影響力，銀行獲利能力越強擁有較高的信用品質，也就得到較高的信用評等，銀行成本收入比越高則其信用評等越低。債券的特徵變數中的票面利率與到期期限也對信用評等有顯著影響。

Credit rating agencies (CRAs) in China tend to provide ratings that are higher than what they are supposed to be, so institutional investors and banks do not expect those credit ratings to reveal the real credit quality of the respective rating targets. This paper tried to find out would generalized financial bonds having dual rating plays the important role in determining the bond credit or not with Ordered Logit model. Eight explanatory variables were used in the model: profitability, efficiency, financial leverage, TierI, liquidity, quality, coupon rate and maturity. The result showed that having dual rating would have higher bond rating and bond rating tend to be higher with higher ROE and lower cost income ratio. It also showed that coupon rate and maturity also play the important role in determining the bond credit.