信評機構與投資人能否辨識中國銀行業的影子？由財務報表觀察

Abstract

本文納入2007至2017年間，中國商業銀行獲得的本土與國際信評公司發布的信用評等，檢視信評公司與投資人是否關注並如何看待中國式的影子銀行。實證結果包括，首先，銀行的同業業務比率愈高，且不管是同業資產或者同業負債愈高，中國本土的信評公司均給予較差的信用評等。其次，中國的商業銀行承做愈高的同業業務，獲得的國際信評公司給予的信用評等愈差。此結果尤其成立與穆迪與惠譽信評公司。第三，信用評等可以解釋債券收益率差，當信評公司給予較差的信用評等，投資人會要求較高的風險溢酬，且不論是本土信評公司或國際信評公司的評等都對債券收益率差有訊息效果。第四，在排除信用評等對債券收益率差的影響之後，投資人對承做較高同業業務的銀行，要求較低的風險溢酬。可知，投資人對同業業務的風險意識低於信評公司。

Using bank credit ratings assigned by local and global credit rating agencies from 2007 to 2017 in China as sample, we investigate whether credit rating agencies and investors can discern Chinese shadow banking. The results show, first, rating agencies assign a lower rating to banks with higher interbank activities, including interbank assets and interbank liabilities. Second, the results hold for local and global rating agencies. Third, credit ratings can explain bond yield spread. Fourth, investors ask for lower yield spread for banks with higher shadow banking activities after excluding effects of credit ratings. In other words, the level of risk perception for interbank activities is lower for investors than credit rating agencies.