主權信用評等與歐洲經濟

Abstract

本篇文章檢驗一些人對於信評機構的負面看法，他們認為信評機構對歐洲國家過度降評，加深了歐洲主權債務危機。過去穩定且較少改變的信用評等記錄引起我重新思考信評機構的本質，或許信用評等並非加深景氣循環的波動而是反映經濟的實質情況。為了驗證我的猜想，不同於過去許多文獻主要探討人們即時的反應，那些反映表現在如股票市場或債券市場的波動，我仔細檢驗信用評等與一些特別指標的關係，特別的指標是以對經濟表現有長期影響的因素為主，如耐久財消費。我採用了一般跨國、跨時間的迴歸工具，分析各個不同市場的波動。結果顯示信用評等與影響長期經濟的因素關係非常微弱，也因此信用評等加深景氣循環的看法是不具說服力的。

This paper questions the view that credit rating agencies aggravated the European sovereign debt crisis by excessively downgrading those countries. Persistent, sticky patents of rating performance provides us with an idea that rating announcements did not deepen the business cycle but only reflected real conditions. To justify my argument, different to those previous literatures mainly focusing on fluctuations of individuals’ immediate reactions, like changes in bond or equity markets, I scrutinize the relations between rating announcements and the potential factors dominating long term economic performance, such as the sales of durable goods. I conduct a general analysis on panel data and analyze variations in various markets. The results show that the relations are very weak and, therefore, it is questionable that ratings exacerbate the boom-bust cycle.