美国信用评级机构对主权国家国债收益率的影响及对 中国的启示

• 발행기관: 한국중국문화학회
• 저자명: 苑涛 王忠鑫 朴宇
• 간행물 정보: 『중국학논총』제80호, 237~262쪽, 전체 26쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2023.12.31

국문 초록

The three major rating companies, which are currently in the credit rating market, Moody's, Standard & Poor's, and Fitch are all US credit rating companies. Therefore, this paper comes up with an influence path of sovereign credit rating on the national bond market, the stock market and the exchange rate market through the literature. The use of panel vectors from returning models to study the impact of the sovereign rating changes of three credit rating companies in the United States from 2011 to 2019 on 11 sovereign national Treasury yields. The impact of changes in sovereign credit rating on national debt yields has asymmetric in the short term. In the long run, the sovereign credit rating and stock price index will have an impact on the yield of treasury bonds. The sovereign credit rating score is negatively correlated with the yield of treasury bonds, and the stock price index and the yield of treasury bonds are also negatively correlated. In the end of the paper, it puts forward the reference significance to our country from three aspects.

목차

Ⅰ. 绪论

Ⅱ. 主权信用评级变动对国债市场的影响文献

1）信用评级

2）主权信用评级变动对国债市场的影响文献综述

Ⅲ. 主权信用评级对国债收益率的影响路径的分析

1）影响国债收益率的风险因素

2）叁大信用评级机构对国债市场影响机制分析

Ⅳ. 实证模型与数据

1）模型和变量

2）实证结果

Ⅴ. 对中国的启示

키워드

중국 국가신용등급 PVAR모형 사건연구법 국채수익률 中國 主权信用评级 PVAR模型 事件研究法 国债收益率 China Sovereign credit rating PVAR model Event study Treasury bond yield