美國信用評等品質變化暨信用評等機構法制改革研究

Changes of Credit Rating Quality and Regulatory Reforms for Credit Rating Agencies in the United States

丁英泰(Ying-Tai Ting)

指導教授 ： 林嬋娟

共同指導教授 ： 林仁光(Andrew Jen-Guang Lin)

國立臺灣大學/管理學院/會計學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.02410

摘要

美國信用評等品質在次級房貸危機爆發後復加受重視。多數學者認為2006年信用評等機構改革法及證交會所制定之相關法規無法顯著改善信用評等品質，且不良之信用評等品質可視為次級房貸危機的原因之一，本研究試圖為此等見解提供實證依據。針對前述法規施行前（2002年7月25日至2006年9月25日）後（2006年9月26日至2008年12月31日）美國違約債券之信用評等樣本，本研究提出假說並發現信用評等之整體品質在法規施行後的確較差，顯示前述法規確實未能顯著改善信用評等品質；本研究另以金融業債券為結構型金融商品之代理變數，提出假說並發現金融業債券之信用評等品質在法規施行後相較於非金融業債券為差，顯示信用評等機構對於金融機構所發行之結構型商品的確給予不實評等，可能致使投資人之不正當信賴，進而促成次級房貸危機。信用評等機構與會計師在金融市場守門員之地位有極大程度之雷同，本研究以實證結果及2002年沙賓法案對會計師之影響推論，徹底改善信用評等品質恐須更動信用評等機構之營運模式，以改變信用評等機構之工作誘因及消弭其所面臨來自於債券發行人之利益衝突，本研究提出「修正之發行人付費模式」之修法建議，並以此作結。

關鍵字

信用評等 ； 信用評等品質 ； 信用評等機構 ； 信用評等機構改革法 ； 次級房貸危機 ； 陶德-法蘭克華爾街改革及消費者保護法案

並列摘要

Credit rating quality has been under heavy public scrutiny especially due to the subprime mortgage crisis. Most commentators suggest the Credit Rating Agency Reform Act of 2006 and the related SEC regulations have limited impacts on improving credit rating quality and the poor rating quality also consequently triggered the subprime mortgage crisis starting the year 2007. This thesis provides empirical evidences to the above notions. Using a sample of credit ratings for U.S. default bond issues, I hypothesize and find that the general credit rating quality impairs after the enactment of the Act and related regulations (from September 26, 2006 to December 31, 2008) to compare with the period before the enactment (from July 25, 2002 to September 25, 2006). In addition, using financial sector firms as a proxy of structured finance products, I hypothesize and find that it is credit rating quality for debt issues of financial sector firms that deteriorates. This result also corresponds to the notion that credit rating agencies assigned inflated ratings to structured finance products and caused the misunderstanding of investors. Therefore, the financial crisis could be attributed to poor credit rating quality. Moreover, credit rating agencies and auditors, both serving as market gatekeepers, share lots of similarities. According to the empirical results and through a comparison with the regulatory framework for auditors, radical reforms focusing on the alternation of the business model for credit rating agencies must be taken so that the incentive problem and inherent conflicts of interest between the rating agencies and issuers could be cured. As a conclusion, I propose a modified issuer-pays model.

並列關鍵字

credit ratings ； credit rating quality ； credit rating agencies ； Credit Rating Agency Reform Act ； subprime mortgage crisis ； Dodd-Frank Wall Street Reform and Consumer Protection Act

參考文獻

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