摘要
欧洲主权信用评级下调,对东道国的资本市场产生了严重冲击,影响全球的资本市场。本文运用动态面板模型,结合国际面板数据,实证检验主权信用评级变动对东道国股票、债券和信贷市场的冲击,比较各市场的冲击特征,给出相应的风险防范措施。实证结果表明:主权信用评级对股票市场和债券市场存在显著的非对称效应,股票市场的直接冲击大于债券市场,而债券市场的冲击影响债券的发行规模;主权信用评级对银行信贷具有正向影响。
European sovereign credit rating downgrades have serious impact on the host country＇s capital markets and the global capital market. This paper, empirically tests on the impact of sovereign credit rating changes on the host country＇s stock, bond and credit markets using dynamic panel data model, combined with international panel data.It compares the impact characteris- tics of each market, and gives the corresponding risk prevention measures.The empirical results show that, there are significant asymmetric effects of sovereign credit rating on the stock and bond markets; sovereign credit rating has a positive impact on bank credit market.
出处
《投资研究》
北大核心
2013年第4期72-80,共9页
Review of Investment Studies
基金
教育部人文社会科学研究规划基金(12YJA790125)的资助
关键词
主权信用评级
资本市场
动态面板数据
欧洲主权信用评级下调
Sovereign credit ratings, Capital markets, Dynamic panel data, European sovereign credit rating downgrades
