【摘要】：21世紀(jì)以來，經(jīng)濟(jì)全球化的加速推進(jìn)，金融市場(chǎng)的迅猛發(fā)展以及資本自由流動(dòng)的日益平凡，為主權(quán)國家跨國借貸創(chuàng)造了便利的條件。但隨之而來的主權(quán)債務(wù)危機(jī)也愈發(fā)嚴(yán)重，2009年隨著信用評(píng)級(jí)機(jī)構(gòu)連續(xù)下調(diào)希臘主權(quán)信用評(píng)級(jí)，希臘主權(quán)債務(wù)危機(jī)正是爆發(fā)。緊隨其后，歐洲其他國家主權(quán)債務(wù)安全也引起了投資者廣泛擔(dān)憂，最終致使歐洲債務(wù)危機(jī)的全面爆發(fā)。截止目前，歐盟國家仍深陷債務(wù)危機(jī)泥潭，而2011年評(píng)級(jí)機(jī)構(gòu)下調(diào)經(jīng)濟(jì)強(qiáng)國——美國的主權(quán)信用評(píng)級(jí)，使得主權(quán)債務(wù)問題成為目前全球矚目的焦點(diǎn)。 回顧歐洲主權(quán)債務(wù)危機(jī)和美國評(píng)級(jí)下調(diào)事件，評(píng)級(jí)機(jī)構(gòu)發(fā)布的評(píng)級(jí)下調(diào)報(bào)告不僅使得政府對(duì)外債務(wù)市場(chǎng)動(dòng)蕩，而且也導(dǎo)致評(píng)級(jí)下調(diào)國家的股票、債券等市場(chǎng)的劇烈波動(dòng)，嚴(yán)重沖擊了評(píng)級(jí)下調(diào)國家經(jīng)濟(jì)金融市場(chǎng)的穩(wěn)定。 基于這些現(xiàn)實(shí)背景，，本文首先研究主權(quán)信用評(píng)級(jí)變動(dòng)對(duì)東道國資本市場(chǎng)的影響，尤其是評(píng)級(jí)下調(diào)對(duì)這些國家資本市場(chǎng)的沖擊風(fēng)險(xiǎn)。 根據(jù)資本的來源，本文將東道國資本市場(chǎng)分為國際流入資本和國內(nèi)資本市場(chǎng)。首先檢驗(yàn)主權(quán)信用評(píng)級(jí)變動(dòng)與三種主要形式的國際資本（FDI、國際組合投資和國際銀行貸款）流向的關(guān)系，著重分析評(píng)級(jí)下調(diào)對(duì)國際資本流出的沖擊風(fēng)險(xiǎn)。 其次，主權(quán)信用評(píng)級(jí)的標(biāo)的是主權(quán)國家政府償債能力及意愿，與東道國國內(nèi)資本市場(chǎng)非直接相關(guān)，而且相比于國際投資者，國內(nèi)資本市場(chǎng)的投資者面臨的信息不對(duì)稱性較弱。因此，通過檢驗(yàn)評(píng)級(jí)下調(diào)對(duì)國內(nèi)資本市場(chǎng)的沖擊，不僅能夠說明評(píng)級(jí)的信息含量，而且也表明主權(quán)信用評(píng)級(jí)下調(diào)沖擊的廣泛性，風(fēng)險(xiǎn)防范的重要性。 針對(duì)主權(quán)信用評(píng)級(jí)下調(diào)對(duì)東道國資本市場(chǎng)的沖擊風(fēng)險(xiǎn)，本文從主權(quán)信用評(píng)級(jí)的影響因素出發(fā)，運(yùn)用計(jì)量經(jīng)濟(jì)方法挖掘影響主權(quán)信用評(píng)級(jí)的主要因素，分離并檢驗(yàn)這些因素的長短期效應(yīng)，從而提出維護(hù)和提升評(píng)級(jí)等級(jí)的長期政策及抑制短期非正常沖擊的短期調(diào)控政策。 最后，根據(jù)主權(quán)信用評(píng)級(jí)的短期影響因素，建立預(yù)警模型，防范主權(quán)信用評(píng)級(jí)下調(diào)風(fēng)險(xiǎn)，確保資本市場(chǎng)的穩(wěn)定和健康發(fā)展。
[Abstract]:Since the 21st century, the acceleration of economic globalization, the rapid development of financial markets and the increasingly ordinary free flow of capital have created a convenient condition for sovereign countries to borrow and borrow across national borders. But the ensuing sovereign debt crisis, which erupted in 2009 as credit rating agencies downgraded Greece's sovereign credit rating, has also intensified. The security of sovereign debt in other European countries was followed by widespread concern among investors, leading to a full-blown debt crisis in Europe. European Union countries remain mired in a debt crisis, and the 2011 downgrade of the U.S. sovereign credit rating by rating agencies has made sovereign debt a global concern. Recalling the European sovereign debt crisis and the downgrade events of the United States. The downgrade reports issued by rating agencies not only destabilized the external debt markets of governments, but also led to sharp fluctuations in stocks, bonds and other markets of downgraded countries, A serious impact on the downgrade of the country's economic and financial markets stability. Based on these realistic background, this paper first studies the influence of sovereign credit rating change on the capital market of host country, especially the impact risk of rating downgrade on the capital market of these countries. According to the source of capital, the capital market of host country is divided into international capital market and domestic capital market. First, the relationship between sovereign credit rating change and three main forms of international capital (FDI, international portfolio investment and international bank loan) is examined, and the impact risk of rating downgrade on international capital outflow is analyzed. Secondly, the target of sovereign credit rating is the sovereign government's solvency and willingness, which is not directly related to the host country's domestic capital market. Moreover, compared with the international investors, the information asymmetry faced by the domestic capital market investors is relatively weak. Therefore, by examining the impact of the downgrade on the domestic capital market, it can not only explain the information content of the rating, but also show the breadth of the impact of the sovereign credit rating downgrade and the importance of risk prevention. In view of the impact risk of sovereign credit rating downgrade on the capital market of host country, this paper starts from the influencing factors of sovereign credit rating and uses econometric method to excavate the main factors affecting sovereign credit rating. To separate and test the short-term and long-term effects of these factors, the long-term policy of maintaining and upgrading the rating grade and the short-term control policy to restrain the short-term abnormal impact are put forward. Finally, according to the short-term influencing factors of sovereign credit rating, an early warning model is established to guard against the risk of sovereign credit rating downgrade and to ensure the stability and healthy development of capital market.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F831.5

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