國家主權信用評等變動與公司風險

The Relationship between Sovereign Credit Rating Changes and Firm risk

廖于萱(Yu-Hsuan Liao)

指導教授 ： 張眾卓

國立暨南國際大學/管理學院/財務金融學系/碩士(2021年)

https://doi.org/10.6837/ncnu202100199

摘要

許多關於國家主權信用評等如何影響經濟及國家風險的研究皆將主權信用評等視為國際金融市場的指標。儘管許多文獻已經探討主權信用評等會如何影響宏觀經濟及國家風險，但尚未有研究討論信用評等會如何影響公司風險。
本研究從企業之角度探討主權信用評等變化對公司風險之影響。研究結果顯示，當國家主權信用評等升級，公司風險會降低；當國家主權信用評等降級，公司風險會增加。此外，當國家主權信用評等升級分數增加，將使公司風險降低；相反地，當國家主權信用評等降級分數越多，公司風險則越大。
再者，本研究進而發現具有貿易依存的國家之間存在蔓延效果。研究結果顯示，當一國主權信用評等上升，另一國之公司風險會降低；相反地，降低一國之主權信用評等，將會增加另一國之公司風險。另外，本研究進一步將樣本資料分為已開發與開發中市場加以探討。研究結果指出，已開發市場的公司風險比開發中市場更容易受到主權信用評等升級的影響；相反地，由於開發中市場政經不穩定，當該國或是與其具有貿易依存的國家主權信用評等降級，則開發中市場的公司風險越高。
最後，本研究建構一穩健性檢測以探討國家主權信用評等在非金融危機期間之變化，而檢測結果與金融危機期間一致。

關鍵字

主權信用評等 ； 公司風險 ； 貿易依存 ； 蔓延效果 ； 金融危機

並列摘要

Many studies concerning how sovereign credit ratings affect the economy and country risk regard sovereign credit rating as an indicator of the international financial market. Although, many studies have examined how sovereign credit ratings influence macroeconomics and country risk, no studies have discussed how credit ratings impact firm risk. This study explores the impact of sovereign credit rating changes on corporate risks from a corporate perspective. The findings show that when sovereign credit rating upgrades, firm risk will decrease, and when sovereign credit rating downgrades, firm risk will increase. Additionally, when the country’s sovereign credit rating upgrade score increases, it leads to lower firm risk; conversely, the greater the sovereign credit rating downgrade score, the greater the firm risk. Further, we find that a contagion effect exists between trade-dependent countries. The results indicate that when one country’s sovereign credit rating rises, the firm risk of the other country will become lower. Therefore, decreasing one country’s sovereign credit rating increases the other country’s firm risk. Furthermore, this study divides the sample data into developed and developing markets to discuss the impact of sovereign credit rating change and contagion effect on firm risk. The results show that the firm risk in developed markets is more likely to be affected by the upgrade of sovereign credit ratings than those in developing markets; on the contrary, when a country’s or a trade-dependent country’s sovereign credit rating is downgraded, the firm’s risk in developing markets will be increased. Finally, we construct a robustness test to investigate how sovereign credit ratings will change during the non-financial crisis period. The test results are consistent with those of the financial crisis.

並列關鍵字

Sovereign Credit Rating ； Firm Risk ； Trade-Dependent ； Contagion Effect ； Financial Crisis

參考文獻

References

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