歐洲債務危機中國際信用評等機構的角色分析

The Role Credit Rating Agencies Played during the European Sovereign Debt Crisis

張怡(YI ZHANG)

指導教授 ： 李顯峰

國立臺灣大學/社會科學院/經濟學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.02356

摘要

本文研究的主題是，歐洲債務危機發生以來，國際主要信用評等機構扮演的角色究竟為何？迄今備受爭議 客觀地進行評等或者反而成為債務危機進一步惡化的催化劑？事實上，自從信評機構對2008年全球金融危機的發生預測失誤後，其對於歐債危機中負債比率較高國家的主權信用評等似乎就有矯枉過正的傾向，而過度降調主權信用評等，對於深陷危機中的國家來說無異於是火上澆油。為了能夠反映深陷歐債危機國家的經濟真相，本文探究主權信用評等與基本經濟、政治、結構等變數之間的關係。其次，應用迴歸模型的估計值，樣本資料包括2003-2011年OECD及歐盟共計34個國家，將主權信用評等區分為系統性和隨機性兩部分，觀察二者對於公債殖利率價差的影響。實證結果顯示，系統性遵循基本面狀況的部分和隨機性的部分均對公債殖利率價差產生了顯著的負面影響，尤其是希臘、愛爾蘭、義大利、葡萄牙、賽普勒斯、西班牙等都顯示其主權信用評等被過度調降的可能性。

關鍵字

主權信用評等 ； 歐洲債務危機 ； 信用評級機構 ； 公債殖利率價差

並列摘要

This paper investigates the debate on credit rating agencies, whether they are neutral in economic performs or aggravate the already seriously indebted countries during the European sovereign debt crisis. We begin with the determinants of the sovereign credit ratings, scrutinizing the judging standards of rating announcements. Then we apply the regression models to divide actual ratings into two components, among which the systematic part reflects the fundamentals of economic conditions and the arbitrary one stands for the unexplainable portion. Finally, we explore how the previous two components wield influences over the government bond yield spreads. The empirical results show that the countries, suffered in European sovereign debt crisis, were downgraded more than their fundamentals deterioration would justify. Also, the arbitrary component of ratings has negative impacts on yield spreads, a fact that may exacerbate the crisis.

並列關鍵字

Sovereign Credit Rating ； European Debt Crisis ； Credit Rating Agency ； Government Bond Yield Spread

參考文獻

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