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主权评级作为市场信息传递中介备受质疑。本文考察了目前欧洲债务危机中的主权评级,采用固定效应模型分别研究三大评级机构主权评级观察及评级降级对欧元区国家融资成本的市场影响。结果表明,主权评级对于市场长期影响不是很大,其中独立的降级影响不显著;评级负面观察的市场影响较评级降级的独立影响显著;评级观察及降级变化尽管对高级别国家的影响有限,但对A级以下的国家有明显的冲击影响。评级结果可能加剧了欧洲债务危机的解决难度。
Sovereign rating as a market information delivery intermediary is questionable. This paper examines the current sovereign rating in the debt crisis in Europe and uses the fixed-effects model to separately study the market impact of the sovereign ratings of the three major rating agencies and the downgrade of ratings on the financing costs of euro-zone countries. The results show that the long-term market impact of sovereign ratings is not large, of which the impact of independent downgrades is not significant. The negative impact of negative market observations is more significant than that of ratings downgrades. Rating observations and downgrading changes are limited in high-tier countries, For A-level countries have obvious impact on the impact. Rating results may exacerbate the difficulty of solving the debt crisis in Europe.