主权信用评级对外汇市场的影响——以亚洲新兴市场国家为例

发布时间：2019-04-13 20:18

【摘要】：随着世界经济的不断发展,金融危机频繁爆发,尤其是近期俄罗斯主权信用评级降低,卢布贬值事件,使主权信用评级在金融市场上愈发凸显重要性。因此,本文基于标准普尔和穆迪公司在1996-2015年期间发布的评级数据,运用EGARCH模型分析了主权信用评级对十个亚洲新兴市场国家外汇市场产生的影响。实证结果显示:主权信用评级等级的上调或下调对国家汇率市场存在一定的影响,事件发生期汇率对收益率波动有明显的降低或增强趋势。针对亚洲新兴市场国家,标普和穆迪发布的负向主权信用评级信息对外汇波动的影响要大于正向评级信息,并且与欧美等发达国家不一样,新兴市场国家外汇市场对真实评级信息发布的反应程度要高于评级的预期行动。所以亚洲新兴市场国家应该积
[Abstract]:With the development of the world economy, the frequent outbreak of financial crisis, especially the recent downgrade of Russian sovereign credit rating and the devaluation of the ruble, make the sovereign credit rating more and more important in the financial market. Therefore, based on the rating data published by Standard & Poor's and Moody's in 1996-2015, this paper uses the EGARCH model to analyze the impact of sovereign credit rating on the foreign exchange markets of ten Asian emerging market countries. The empirical results show that the increase or decrease of the sovereign credit rating has a certain impact on the national exchange rate market, and the exchange rate has a tendency to decrease or enhance the fluctuation of the rate of return during the event period. For Asian emerging market countries, negative sovereign credit rating information released by S & P; and Moody's has a greater impact on foreign exchange volatility than positive rating information, and is different from developed countries such as Europe and the United States. Emerging market foreign exchange markets are more responsive to real-world ratings than expected. So Asian emerging market countries should accumulate
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社会科学基金重大项目(16ZDA039)
【分类号】：F831

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