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題名 外部信用評等變動分析與應用: 金融風暴與新冠疫情之比較
Analysis of External Credit Rating Changes: Comparison of the Financial Crisis in 2008 and the Covid-19作者 李玲
Lee, Ling貢獻者 呂桔誠<br>林士貴
Lyu, Joseph Jye-Cherng<br>Lin, Shih-Kuei
李玲
Lee, Ling關鍵詞 信用評等變化
經濟衰退
金融風暴
COVID-19
Spearman等級相關係數
Kendall等級相關係數
Credit rating change
Economic recession
Financial crisis
COVID-19
Spearman`s rank correlation coefficient
Kendall’s rank correlation coefficient日期 2022 上傳時間 1-Mar-2022 16:53:43 (UTC+8) 摘要 在2008年金融風暴過後，各界對於信用評等有相當多的討論以及批判，但是信用評等仍作為大多金融機構風險管理與決策之重要基礎，因此確認信用評等於極端事件下對授信風險的反應狀況，為金融機構在風險管理的重要議題之一。本研究透過比較金融極端事件時期（金融風暴時期以及新冠肺炎時期）以及正常景氣時期，並且利用等級相關係數進行分析，探討不同信評機構升降等比例與幅度是否近似，以及是否會隨景氣改變。實證結果顯示，在面對景氣下行時，評等機構給予評等的相關性會提高，也具有整體調降的趨勢，並且不易於景氣恢復時升回原等級。此外，當企業同時持有三大評等機構之評等時，評等機構所給予之評等會收斂於近似等級。同時也觀察到新冠肺炎時期所受到的衝擊並未若金融風暴時期來的劇烈，推測原因之一可能為政府所採取的量化寬鬆政策有助於減緩經濟下行及債務違約的風險。
After the financial crisis in 2008, there has been a lot of discussion and criticism on credit ratings. However, credit ratings still serve as an important basis for risk management and decision making for most financial institutions. Therefore, it is an important issue for financial institutions to be able to identify their credit risk even during extreme events. In this study, the rating migration and rank correlation coefficients were used to compare the periods of extreme financial events (financial crisis in 2008 and COVID-19) with the periods of regular economic conditions, and to investigate whether the upgrade and downgrade could be consistent with the changes in economic conditions. The empirical results show that the correlation between the ratings given by the rating agencies increases in the face of a downturn. There is also a tendency for overall downgrades, and it is difficult to return to the previous rating when the downturn recovers. In addition, when an enterprise holds the ratings of the three major rating agencies at the same time, the ratings given by the rating agencies will converge to a similar grade. The empirical results show that the impact during the COVID-19 period was not as severe compared to the period during the financial crisis, and we suggest that the quantitative easing policy adopted by the government helped to mitigate the risk of economic downturn and debt default.參考文獻 1. 沈明來，(2007)。實用無母數統計學第二版。台北市 : 九州圖書2. 吳登彰 、李佩真，全球金融危機專輯(增訂版)，上網日期 99年3月31日，p.225-p.232，檢自https://www.cbc.gov.tw/tw/cp-731-36396-D256E-1.html3. 林劭杰, (2011) ，台灣地區銀行業抗循環資本緩衝初探，金融聯合徵信雙月刊，第十七期，p.11-p.234. 陳美菊, (2009)。全球金融危機之成因、影響及因應。經濟研究年刊，200903 ，p.264-p.2695. Altman, E. (2020), Covid-19 and the credit cycle, Journal of Credit Risk, 16(2), 1-28.6. Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical? Journal of Banking & Finance, 28(11), 2641-2677.7. Bar-Isaac, H., & Shapiro, J. (2013). Ratings quality over the business cycle. Journal of financial Economics, 108(1), 62-78.8. Bangia, A., Diebold, F. X., Kronimus, A., Schagen, C., & Schuermann, T. (2002). Ratings migration and the business cycle, with application to credit portfolio stress testing. Journal of banking & finance, 26(2-3), 445-474.9. Bellot, N.J, Martí Selva, M.L and Menendez, L.G (2017). Herding behavior among credit rating agencies, Journal of Finance & Economics Research, 2(1), 59-86.10. Bolton, P., Freixas, X. and Shapiro, J. (2012). The credit ratings game, Journal of Finance, 67(1), 85-112.11. Benmelech, B. and Tzur-Ilan, N. (2020). The determinants of fiscal and monetary policies during the COVID-19 crisis. National Bureau of Economic Research (NBER).12. Corporate Finance 2020 Transition and Default Study, Retrieved fromhttps://www.fitchratings.com/research/banks/global-corporate-finance-2020-transition-default-study-22-07-202113. Dodd-Frank Act Stress Test Publications: 2021 Stress Test Scenarios, Retrieved February 2021. Retrieved from https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm14. Efstathia Koulouridi, Sameer Kumar, Luis Nario, Theo Pepanides, and Marco Vettori (2020). Managing and monitoring credit risk after COVID-19 pandemic, Retrieved from https://www.mckinsey.com/business-functions/risk/our-insights/managing-and-monitoring-credit-risk-after-the-covid-19-pandemic15. Eijffinger, S.C. (2012). Rating agencies: role and influence of their sovereign credit risk assessment in the Eurozone. Journal of Common Market Studies, 50 (6), 912-921.16. Fulghieri, P., Strobl, G. and Xia,H. (2010). The economics of solicited and unsolicited credit ratings. The Review of Financial Studies, 27(2), 484-518.17. Gonzalez, F., Haas, F., Persson, M., Toledo, L., Violi, R., Wieland, M., & Zins, C. (2004). Market dynamics associated with credit ratings: a literature review. ECB Occasional Paper, (16).18. Hau, H., Langfield, S. and Marques-Ibanez, D. (2012). Bank Ratings: What Determines Their Quality. European Central Bank Working Paper Series. (1484)19. Herpfer, C. and Maturana, G. (2021), Who Prices Credit Rating Inflation? July 2021, Available at SSRN: https://ssrn.com/abstract=357903020. Hilscher, J. and Wilson, M. (2017), Credit ratings and credit risk: is one measure enough?, Management Science, 63(10), 3414-3437.21. Huong, D. and Graham, P. (2014), Rating migrations: the effect of history and time, Abacus (Sydney), 50 (2), 174-202.22. Jang, B. G., Rhee, Y., & Yoon, J. H. (2016). Business cycle and credit risk modeling with jump risks. Journal of Empirical Finance, 39, 15-36.23. Kraemer N.W. (2020). 2020 Annual global corporate default and rating transition study. Retrieved from: https://www.spglobal.com/ratings/en/research/articles/210407-default-transition-and-recovery-2020-annual-global-corporate-default-and-rating-transition-study-1190057324. Packer, F., & Tarashev, N. A. (2011). Rating methodologies for banks. BIS Quarterly Review, June.25. Pagano, M., & Volpin, P. (2010). Credit ratings failures and policy options. Economic Policy, 25(62), 401-431.26. Report of the Financial Stability Forum on Enhancing Market and Institutional Resilience, Retrieved from https://www.cbc.gov.tw/tw/public/Attachment/011151713671.pdf27. Sangiorgi, F., Sokobin, J. and Spatt, C. (2009). Credit-Rating Shopping Selection and the Equilibrium Structure of Ratings, SSRN Electronic Journal. 10.2139/ssrn.1363899. 描述 碩士
國立政治大學
經營管理碩士學程(EMBA)
108932128資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108932128 資料類型 thesis dc.contributor.advisor 呂桔誠<br>林士貴 zh_TW dc.contributor.advisor Lyu, Joseph Jye-Cherng<br>Lin, Shih-Kuei en_US dc.contributor.author (Authors) 李玲 zh_TW dc.contributor.author (Authors) Lee, Ling en_US dc.creator (作者) 李玲 zh_TW dc.creator (作者) Lee, Ling en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Mar-2022 16:53:43 (UTC+8) - dc.date.available 1-Mar-2022 16:53:43 (UTC+8) - dc.date.issued (上傳時間) 1-Mar-2022 16:53:43 (UTC+8) - dc.identifier (Other Identifiers) G0108932128 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/139169 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經營管理碩士學程(EMBA) zh_TW dc.description (描述) 108932128 zh_TW dc.description.abstract (摘要) 在2008年金融風暴過後，各界對於信用評等有相當多的討論以及批判，但是信用評等仍作為大多金融機構風險管理與決策之重要基礎，因此確認信用評等於極端事件下對授信風險的反應狀況，為金融機構在風險管理的重要議題之一。本研究透過比較金融極端事件時期（金融風暴時期以及新冠肺炎時期）以及正常景氣時期，並且利用等級相關係數進行分析，探討不同信評機構升降等比例與幅度是否近似，以及是否會隨景氣改變。實證結果顯示，在面對景氣下行時，評等機構給予評等的相關性會提高，也具有整體調降的趨勢，並且不易於景氣恢復時升回原等級。此外，當企業同時持有三大評等機構之評等時，評等機構所給予之評等會收斂於近似等級。同時也觀察到新冠肺炎時期所受到的衝擊並未若金融風暴時期來的劇烈，推測原因之一可能為政府所採取的量化寬鬆政策有助於減緩經濟下行及債務違約的風險。 zh_TW dc.description.abstract (摘要) After the financial crisis in 2008, there has been a lot of discussion and criticism on credit ratings. However, credit ratings still serve as an important basis for risk management and decision making for most financial institutions. Therefore, it is an important issue for financial institutions to be able to identify their credit risk even during extreme events. In this study, the rating migration and rank correlation coefficients were used to compare the periods of extreme financial events (financial crisis in 2008 and COVID-19) with the periods of regular economic conditions, and to investigate whether the upgrade and downgrade could be consistent with the changes in economic conditions. The empirical results show that the correlation between the ratings given by the rating agencies increases in the face of a downturn. There is also a tendency for overall downgrades, and it is difficult to return to the previous rating when the downturn recovers. In addition, when an enterprise holds the ratings of the three major rating agencies at the same time, the ratings given by the rating agencies will converge to a similar grade. The empirical results show that the impact during the COVID-19 period was not as severe compared to the period during the financial crisis, and we suggest that the quantitative easing policy adopted by the government helped to mitigate the risk of economic downturn and debt default. en_US dc.description.tableofcontents 表次 IV圖次 V第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第二章 文獻探討 5第三章 研究方法 9第一節 研究架構 9第二節 相關性分析 10第三節 經濟衰退的定義 12第四節 評等資料收集與資料處理 14第四章 實證結果 18第一節 評等相關性之分析與檢定 18第二節 評等變動分析 22第三節 企業持有之信評家數對評等變化之影響 34第五章 結論與建議 39參考文獻 43 zh_TW dc.format.extent 2005095 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108932128 en_US dc.subject (關鍵詞) 信用評等變化 zh_TW dc.subject (關鍵詞) 經濟衰退 zh_TW dc.subject (關鍵詞) 金融風暴 zh_TW dc.subject (關鍵詞) COVID-19 zh_TW dc.subject (關鍵詞) Spearman等級相關係數 zh_TW dc.subject (關鍵詞) Kendall等級相關係數 zh_TW dc.subject (關鍵詞) Credit rating change en_US dc.subject (關鍵詞) Economic recession en_US dc.subject (關鍵詞) Financial crisis en_US dc.subject (關鍵詞) COVID-19 en_US dc.subject (關鍵詞) Spearman`s rank correlation coefficient en_US dc.subject (關鍵詞) Kendall’s rank correlation coefficient en_US dc.title (題名) 外部信用評等變動分析與應用: 金融風暴與新冠疫情之比較 zh_TW dc.title (題名) Analysis of External Credit Rating Changes: Comparison of the Financial Crisis in 2008 and the Covid-19 en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. 沈明來，(2007)。實用無母數統計學第二版。台北市 : 九州圖書2. 吳登彰 、李佩真，全球金融危機專輯(增訂版)，上網日期 99年3月31日，p.225-p.232，檢自https://www.cbc.gov.tw/tw/cp-731-36396-D256E-1.html3. 林劭杰, (2011) ，台灣地區銀行業抗循環資本緩衝初探，金融聯合徵信雙月刊，第十七期，p.11-p.234. 陳美菊, (2009)。全球金融危機之成因、影響及因應。經濟研究年刊，200903 ，p.264-p.2695. Altman, E. (2020), Covid-19 and the credit cycle, Journal of Credit Risk, 16(2), 1-28.6. Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical? Journal of Banking & Finance, 28(11), 2641-2677.7. Bar-Isaac, H., & Shapiro, J. (2013). Ratings quality over the business cycle. Journal of financial Economics, 108(1), 62-78.8. Bangia, A., Diebold, F. X., Kronimus, A., Schagen, C., & Schuermann, T. (2002). Ratings migration and the business cycle, with application to credit portfolio stress testing. Journal of banking & finance, 26(2-3), 445-474.9. Bellot, N.J, Martí Selva, M.L and Menendez, L.G (2017). Herding behavior among credit rating agencies, Journal of Finance & Economics Research, 2(1), 59-86.10. Bolton, P., Freixas, X. and Shapiro, J. (2012). The credit ratings game, Journal of Finance, 67(1), 85-112.11. Benmelech, B. and Tzur-Ilan, N. (2020). The determinants of fiscal and monetary policies during the COVID-19 crisis. National Bureau of Economic Research (NBER).12. Corporate Finance 2020 Transition and Default Study, Retrieved fromhttps://www.fitchratings.com/research/banks/global-corporate-finance-2020-transition-default-study-22-07-202113. Dodd-Frank Act Stress Test Publications: 2021 Stress Test Scenarios, Retrieved February 2021. Retrieved from https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm14. Efstathia Koulouridi, Sameer Kumar, Luis Nario, Theo Pepanides, and Marco Vettori (2020). Managing and monitoring credit risk after COVID-19 pandemic, Retrieved from https://www.mckinsey.com/business-functions/risk/our-insights/managing-and-monitoring-credit-risk-after-the-covid-19-pandemic15. Eijffinger, S.C. (2012). Rating agencies: role and influence of their sovereign credit risk assessment in the Eurozone. Journal of Common Market Studies, 50 (6), 912-921.16. Fulghieri, P., Strobl, G. and Xia,H. (2010). The economics of solicited and unsolicited credit ratings. The Review of Financial Studies, 27(2), 484-518.17. Gonzalez, F., Haas, F., Persson, M., Toledo, L., Violi, R., Wieland, M., & Zins, C. (2004). Market dynamics associated with credit ratings: a literature review. ECB Occasional Paper, (16).18. Hau, H., Langfield, S. and Marques-Ibanez, D. (2012). Bank Ratings: What Determines Their Quality. European Central Bank Working Paper Series. (1484)19. Herpfer, C. and Maturana, G. (2021), Who Prices Credit Rating Inflation? July 2021, Available at SSRN: https://ssrn.com/abstract=357903020. Hilscher, J. and Wilson, M. (2017), Credit ratings and credit risk: is one measure enough?, Management Science, 63(10), 3414-3437.21. Huong, D. and Graham, P. (2014), Rating migrations: the effect of history and time, Abacus (Sydney), 50 (2), 174-202.22. Jang, B. G., Rhee, Y., & Yoon, J. H. (2016). Business cycle and credit risk modeling with jump risks. Journal of Empirical Finance, 39, 15-36.23. Kraemer N.W. (2020). 2020 Annual global corporate default and rating transition study. Retrieved from: https://www.spglobal.com/ratings/en/research/articles/210407-default-transition-and-recovery-2020-annual-global-corporate-default-and-rating-transition-study-1190057324. Packer, F., & Tarashev, N. A. (2011). Rating methodologies for banks. BIS Quarterly Review, June.25. Pagano, M., & Volpin, P. (2010). Credit ratings failures and policy options. Economic Policy, 25(62), 401-431.26. Report of the Financial Stability Forum on Enhancing Market and Institutional Resilience, Retrieved from https://www.cbc.gov.tw/tw/public/Attachment/011151713671.pdf27. Sangiorgi, F., Sokobin, J. and Spatt, C. (2009). Credit-Rating Shopping Selection and the Equilibrium Structure of Ratings, SSRN Electronic Journal. 10.2139/ssrn.1363899. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200160 en_US
