摘要
信用评级是揭示和降低资本市场信息风险的重要基础性制度安排,与债券市场健康稳定发展密切相关。但是近年来,评级行业出现评级虚高、规范性不强,诚信度和专业化程度偏低等问题。为促进信用评级行业高质量发展,本文构建了包括评级机构、债券发行人、投资者和监管机构在内的演化博弈模型,并进行数值模拟,分析评级市场参与主体之间的行为策略变化过程。研究结果表明:不同初始值的博弈结果存在显著差异;评级市场参与主体行为策略的演化博弈不存在稳定均衡点,评级机构的行为策略根据评级收益变化而变化;监管者的介入能够在一定程度上缓解评级市场评级虚高和规范性等问题,进而促进债券市场的高质量发展。
Credit rating is an important basic institutional arrangement to reveal and reduce the information risk of capital market and is closely related to the healthy and stable development of bond market.However,in recent years,there have been some problems in the rating industry,such as inflated rating,weak standardization,low degree of integrity and specialization.In order to promote the high-quality development of credit rating industry,this paper constructs an evolutionary game model including rating agencies,bond issuers,investors and regulators,and carries out numerical simulation to analyze the change process of behavior strategies among participants in the rating market.The results show that there are significant differences in the game results with different initial values.There is no stable equilibrium point in the evolutionary game of behavioral strategy of rating market participants,and the behavioral strategy of rating agencies will change according to the change of rating returns.To some extent,the intervention of regulators can solve the problems of inflated and normative ratings in the rating market,thus promoting the high-quality development of the bond market.
出处
《金融监管研究》
CSSCI
北大核心
2022年第2期34-49,共16页
Financial Regulation Research
关键词
信用评级
评级市场
演化博弈
Credit Rating
Rating Markets
Evolutionary Game
