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研究生:黃楠祥
研究生(外文):Huang Nan Hsiang
論文名稱:從企業財務特性到經濟景氣循環:信用評等的新思維
論文名稱(外文):From Financial Characteristics to Business Cycle: A New Deliberation of Credit Rating
指導教授:梁恕梁恕引用關係
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:64
中文關鍵詞:景氣循環信用評等新巴塞爾資本協定Ordered Probit模型
外文關鍵詞:Business CycleCredit RatingThe New Basel Capital AccordOrdered Probit Model
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本研究主要探討中華信評對受評企業改變評等,是否與國內第十次景氣循環有關?及多考慮總體經濟變數的評等模型,評等結果是否較不考慮時好等兩項議題。
在第一項議題分採中華信評對受評企業改變評等之比例,與國內經濟成長率之時間趨勢圖,和受評企業被改變評等之比例,在第十次景氣循環衰退期及擴張期,暨衰退期加擴張期間與經濟成長率之相關係數來操作。在第二項議題則利用「利息保障倍數」、「負債比率」、「流動比率」、「營業利益率」、「營業毛利率」、「企業股價」、「貝他係數」、「經濟成長率-當季」、「經濟成長率-前一季」,及「經濟成長率-前兩季」等變數,建構兩個Ordered Probit Model作實證。
從議題一的時間趨勢圖發現中華信評對受評企業調降評等比景氣收縮落後,且在收縮期時,被調降的比調升的多,擴張期則為被調升的高於被調降。從相關係數發現經濟成長率與受評企業升等比例呈正相關,與降等比例呈負相關,而在涵括衰退期及擴張期的相關係數結果,發現經濟成長率不論在當季或前一季,皆與調升比例呈正相關,與調降比例呈負相關。此外,也發現受評企業被調升評等,跟經濟成長率具有同時之關係,被降等,則與經濟成長率有落後之關係。
由議題二的實證結果發現負債比率及貝他係數,與受評企業之評等呈顯著正相關。流動比率、營業利益率,及企業股價,與受評企業之評等呈顯著負相關。且兩模型對評等之解釋能力,具統計上之顯著性,且有考慮總體經濟變數的模型解釋力比不考慮的略高。最後,從兩模型的評等預測結果中得到,有考慮總體經濟變數模型之評等結果,比未考慮的好。
This dissertation is composed of two main topics. One is to discuss if the ratings changed published by Taiwan Rating Corporation(TRC) relate to the 10th business cycle in Taiwan? The other is to measure the performance between models excluded macro variables(Model 1) and Model 2 with macro variables included.
In the first topic, we use time series graph of ratings changed published by TRC and domestic GDP to make sure if ratings changed relate to the 10th business cycle. Besides we take advantage of correlation between ratings changed and GDP among the Contraction, Expansion, and Total period of the 10th business cycle to support the phenomenon we find out in time series graph further. In the next one, we will take time interest earned, debt ratio, current ratio, gross profit, gross margin, stock price, beta, GDPt, GDPt-1, and GDPt-2 into account and set up two Ordered Probit Models to do research.
In time series graph, we discover notched down published by TRC fell behind the Contraction period. We also find the rates of notching down are more than notching up during the Contraction period. From correlation between ratings changed and GDP, we first discover there is positive correlation between notching up and GDP, and opposite on the other hand. Depending on the correlation between notching up and down with GDP in Total period. There is not only positive correlation between notching up with GDPt and GDPt-1, but also negative correlation between notching down with GDPt and GDPt-1. In addiction, we also find notching up is simultaneous with GDP. But GDP takes lead to notching down.
From the research results in topic 2, we find debt ratio and beta positive significantly affect the ratings. And there are negative statistic significance between current ratio, gross profit, and stock price with ratings. Then, the two models all significantly affect ratings. The explanation power of Model 2 is better than Model 1. At last, we make conclusion that the performance of Model 2 is better than Model 1.
目 錄
第一章 緒論 3
第一節 研究動機 3
第二節 研究目的 4
第二章 文獻探討 6
第一節 評等產業之概況 6
第二節 第十次景氣循環高峰谷底之初步認定 18
第三節 信用評等與經濟景氣循環關係之相關文獻 20
第四節 文獻評論 26
第三章 研究方法 28
第一節 研究假說 28
第二節 資料分析方法 29
第三節 研究模型與操作變數之定義 31
第四章 實證結果分析 40
第一節 樣本選取與期間 40
第二節 受評企業之評等改變,是否與國內第十次景氣循環具有關係之實證結果及推論 42
第三節 加入總體經濟變數之評等模型,是否優於不考慮的評等模型之實證結果分析及推論 48
第五章 結論與建議 53
第一節 結論 53
第二節 建議 55
附錄一、穆迪,標準普爾,惠譽之評等等級 57
參考文獻 61
圖表目錄
表1 信用風險標準法-公司債權之風險權重 4
表2 中華信評事記 10
圖1 中華信評評等程序 11
表3 中華信評短期評等符號系統 13
表4 中華信評中長期評等符號系統 14
表5 中華信評對銀行業之評等準則及項目 17
表6 台灣景氣循環基準日期 19
表7 第十次景氣循環高峰、谷底綜合結果 19
表8 中華信評長期評等符號對應之順序尺度 33
圖2 中華信評受評產業分佈圖 41
圖3 經濟成長率,金融業升等比例,及降等比例時間趨勢圖 43
圖4 經濟成長率,總受評企業升等比例,及降等比例時間趨勢圖 44
圖5 經濟成長率,金融業評等展望調升比例,及調降比例時間趨勢圖 45
圖6 經濟成長率,總受評企業評等展望調升比例,及調降比例時間趨勢圖 45
表9 相關係數表一 46
表10 相關係數表二 47
表11 模型一之迴歸結果 50
表12 模型二之迴歸結果 51
中文部分
1.利秀蘭(民92),「我國第十次景氣循環高峰谷底之初步認定」,經建會網站,http://www.cepd.gov.tw/analysis/research/cycle.pdf。
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3.郭素綾(民90),本國銀行信用評等實證模型之研究,中正大學企業管理學系碩士論文。
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5.郭敏華(民89),「債信評等內涵迷思之探討」,證券暨期貨管理,18:6,頁1-12。
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10.賴柏志(民91),「台灣地區信用循環指標的建立」,貨幣觀測與信用評等,33,頁123-128。
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12.賴柏志、白鎮維,張嘉娥(民91),「信用循環指標應用於信用風險修正之研究」,貨幣觀測與信用評等,34,頁123-127。
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英文部分
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8. Borio, C. and P. Lowe (2002),“Asset Prices, Financial and Monetary Stability: Exploring The Nexus.” Asset price bubbles: implications for monetary, regulatory and international policies, cosponsored by the Federal Reserve Bank of Chicago and the World BankGroup, 22-24 April.
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15.Hand., John R. M., Holthausen., Robert W., Leftwich and Richard W (1992), “The Effect of Bond Rating Agency Announcements on Bond and Stock Prices.” The Journal of Finance, Cambridge: Jun 1992. 47, pp.733-20.
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18.Kao., Chihwa and Chunchi. Wu (1990), “Two-Step Estimation of Linear Models with Ordinal Unobserved Variables: The Case of Corporate Bonds.” Journal of Business and Economic Statistics, 8, pp.317-25.
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25.Pender, K (1992), “Demystifying The Ratings Game.” The San Francisco Chronicle, February 17.
26.Segoviano, M. A. and P. Lowe (2002), “Internal Ratings, The Business Cycle and Capital Requirements: Some Evidence from An Emerging Market Economy.” The impact of economic slowdowns on financial institutions and their regulators, Federal Reserve Bank of Boston, 17-19 April.
27.Standard & Poor’s, (1996), Corporate Ratings Criteria, New York.
28.Standard & Poor’s, (2001), Rating Performance 2000. Default, Transitions, Recovery and Spreads, January.
29.Standard & Poor’s, (2002), Corporate Ratings Criteria, available at http://www.standardandpoors.com.
30.Syron, R (1991), “Are We Experiencing A Credit Crunch?” New England Economic Review, July. August, pp. 3-10.
31.The Economist, (2000), Too Many Debts to Settle, 357, p. 97.
32.Business Week, (2000), Defusing A Debt Bomb:Can Chen Clean Up The Troubled Banking Sector?, December 11, p.60.
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