Are China’s sovereign credit ratings underestimated?
Are China’s sovereign credit ratings underestimated?
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DOI：
10.1080/17487870.2011.600031
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发表时间：
2011-11
影响因子：
2.1
通讯作者：
K. Chen;Cheng Cheng-Cheng;Shenggang Yang
中科院分区：
文献类型：
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作者：
K. Chen;Cheng Cheng-Cheng;Shenggang Yang
我们使用了穆迪、标准普尔和惠誉的主权信用评级（scr）综合数据库，涵盖了1986年至2009年120个国家的横截面数据。利用面板数据，我们发现人均GDP、GDP增长率和工业化程度正向影响评级，而政府现金流赤字、经常账户盈余、通货膨胀、存贷利差、标普全球股票指数和一国违约历史对一国主权评级产生负向影响。一个有序概率模型表明，尽管早先的评级可能被低估了，但最近的中国主权信用评级却没有被低估。
We use a comprehensive database of sovereign credit ratings (SCRs) from Moody’s, Standard and Poor’s and Fitch for a cross-section of 120 countries from 1986–2009. Using panel data, we find that GDP per capita, the GDP growth rate and the degree of industrialization positively affect ratings, while the government cash flow deficit, the current account surplus, inflation, the lending minus deposit rate interest spread, the S&P global equity index, and a country’s default history negatively affect the sovereign rating of a country. An ordered probit model suggests that while earlier ratings may have been underestimated, recent Chinese sovereign credit ratings are not.