| As an important infrastructure of the financial market,the original intention of credit rating agencies is to provide objective and fair information to the market to help investors judge the credit qualification of the evaluated objects and evaluate their credit risk status.The reality is that a series of AAA rated enterprises,such as Brilliance Auto,Yongmei,Peking University Founder and Unigroup Group,have defaulted one after another,and the rating industry has even seen ratings disguised purchase and rating corruption.Investors and regulators have deeply questioned whether the rating results of traditional rating agencies are fair.On December 11,2020,People's Bank of China held a forum on the development of the credit rating industry.Pan Gongsheng,deputy governor of the People's Bank of China,pointed out that China's rating industry still has problems such as high rating,insufficient differentiation,and weak pre-warning function,which restrict the high-quality development of China's bond market.In academic circles,related studies also found that traditional credit rating lacks information content and is difficult to identify bond credit risks.A rating system with credibility and authority is an important basis for the healthy development of bond market,and also a necessary condition for investors to identify risks and avoid risks.The lack of credit rating information will endanger the stability and investment attractiveness of the bond market,weaken the wealth management and financing functions of the capital market and restrict the efficiency of the financial system to serve the real economy.Especially in the context of the current surge in bond defaults,the market needs more objective and impartial ratings to identify risks.Therefore,effective identification of bond credit risks not only has great academic research value,but also has important practical significance to promote the healthy development of bond market,improve the efficiency of financial system to serve the real economy and prevent systemic financial risks.At present,China's bond market in the traditional rating agencies with "issuer-paid"model,in this mode,the rating agencies main source of income is the issuer,the rating agencies to increase the revenue and market share tend to meet the demand of the issuer deliberately by high credit rating,the traditional credit rating it is difficult to identify the bond credit risk.For this,Lin WanFa et al.(2017),Meng QingBin et al.(2018)and Wu Yuhui(2020)has carried on the exploration "investor-paid" model in the debt of our country credit rating,found that compared with the traditional "issuer-paid" model ratings,adopt the"investor-paid" pattern in the bond credit rating can avoid the above relevant conflicts of interest,It can provide more accurate and timely information and identify the credit risk of bonds in time.However,Kou ZongLai et al.(2020)pointed out that CBR only rated a small part of bond issuers in the inter-bank market,and the coverage was very limited.Moreover,after the bond issuers were rated by CBR,external ratings would tend to expand.At the same time,the rating of the"investor-paid" pattern belongs to passive rating,which is mainly based on publicly collected information.The main information may be incomplete,affecting the accuracy of the rating results to a certain extent.Under pressure from investors,the rating may be inflated and it is difficult to identify the credit risks of bonds.Kou ZongLai et al.(2020)proposed that introducing the role of government into the rating market could be an effective solution to the difficulty of identifying bond credit risks in the above various rating modes.However,the "public utility" model of rating with government participation alone can solve the problem of insufficient rating independence,but its rating quality will be difficult to maintain for a long time due to insufficient budget and incentive.In this case,the combination of government participation and "investor paid"model of ChinaBonds Valuation and ChinaBond Market Implied Rating may be an effective solution,the main reasons are as follows:First,ChinaBonds Valuation and ChinaBond Market Implied Rating publishers in ChinaBond Pricing Center Co.,Ltd is directly affiliated with the China Central Depository?Clearing Co.,Ltd,the company is the only one approved and funded by the State Council,special service financial market infrastructure,service is the purpose of the market,it has established Is the specific form of government service bond market(Gao Jian,2009;Shen BingXi,Cao Yuan Yuan,2014).Second,the ChinaBond Pricing Center Co.,Ltd with government participation is free from performance pressure and has no motivation to cater to customers,which enables the ChinaBonds Valuation and ChinaBond Market Implied Rating to avoid the conflicts of interest faced by the above "issuer paid" and "investor paid" rating modes,and thus has good independence and objectivity.Third,unlike the CBR,which only covers a small part of the issuers in the inter-bank market,the ChinaBonds Valuation and ChinaBond Market Implied Rating cover almost all credit bonds and have greater influence.Fourth,China Central Depository?Clearing Co.,Ltd undertakes the government-granted functions of bond issuance,registration,custody,information disclosure and so on,which gives the ChinaBonds Valuation and ChinaBond Market Implied Rating a natural advantage in obtaining relevant information.Fifthly,the inefficiency of "public utility" rating can be effectively solved by using the way of investors ordering.Therefore,this paper explores the identification of bond credit risk by ChinaBonds Valuation and ChinaBond Market Implied Rating.Through relevant research,the following conclusions are drawn.Firstly,this part explores the impact and mechanism of ChinaBonds Valuation on bond credit spreads from the perspective of jumping,so as to explain the role of ChinaBonds Valuation in identifying bond credit risks.It is found that the jump in ChinaBonds Valuation can significantly improve bond credit spread,in which,the jump in ChinaBonds Valuation reduces credit spread,and the jump in ChinaBonds Valuation increases credit spread.Compared with the jump in ChinaBonds Valuation,the jump in ChinaBonds Valuation has a greater impact on credit spread,indicating that ChinaBonds Valuation can identify bond credit risk.Mechanism analysis shows that:(1)ChinaBonds Valuation jump has a great effect on credit spreads among institutional investors;(2)ChinaBonds Valuation jump has a greater effect on credit spreads in bonds with serious information asymmetry;(3)The jump in the ChinaBonds Valuation has a greater effect on credit spreads in the bonds lacking liquidity;(4)Jump in ChinaBonds Valuation has a greater effect on credit spreads in bonds with high expected default risk.Finally,this paper further studies the ChinaBonds Valuation jump contains not only public information,but also private information content,and can improve the performance of stock analysts forecast and stock market information environment,improve the efficiency of stock market pricing and reduce the risk of stock crash.Secondly,this part explores whether ChinaBond Market Implied Rating can affect bond credit spreads,so as to explain the role of ChinaBond Market Implied Rating in identifying bond credit risks.The results show that the higher the ChinaBond Market Implied Rating is,the lower the bond credit spread is,indicating that ChinaBond Market Implied Rating can identify bond credit risk.The mechanism analysis shows that:(1)ChinaBond Market Implied Rating can provide public and incremental information to the market;(2)ChinaBond Market Implied Rating can alleviate the problem of rating inflation caused by the lack of information effect of traditional credit rating;(3)ChinaBond Market Implied Rating plays a certain role in improving the information environment of China's bond market;(4)After the exclusion of market information interference,the above conclusions are established.Thirdly,this part attempts to explore whether the quality of ChinaBond Market Implied Rating is higher than that of traditional external rating from the perspective of the comparison between ChinaBond Market Implied Rating and traditional external rating,so as to solve the problem of declining quality of traditional rating.The results show that compared with traditional credit rating,ChinaBond Market Implied Rating can affect bond credit spreads more,indicating that ChinaBond Market Implied Rating can reflect bond credit risk more than traditional external credit rating.The mechanism analysis shows that:(1)compared with the traditional external credit rating,the ChinaBond Market Implied Rating can better predict the change of bond spreads and is more recognized by investors;(2)Compared with traditional external credit rating,the distribution of ChinaBond Market Implied Rating is more in line with the risk characteristics of bond market and more forward-looking in default warning;(3)Compared with traditional external credit rating,ChinaBond Market Implied Rating has more information content and more incremental information;(4)The participation of the government makes the ChinaBond Market Implied Rating not only highly independent,but also able to obtain the common and incremental information of the issuing enterprises,which is also an important reason why the ChinaBond Market Implied Rating is superior to the traditional rating.The above conclusion indicates that ChinaBond Market Implied Rating with government participation can replace the existing rating system,provide more fair and accurate information for the market,and identify bond credit risks.The possible innovation and research significance of this paper are mainly reflected in the following aspects:Firstly,the current research on credit risk identification in China's bond market mainly focuses on traditional credit rating,and few literatures discuss this issue from the perspective of third-party valuation and implied rating.This paper first analyzes the importance of ChinaBonds Valuation and ChinaBond Market Implied Rating for bond credit risk identification,which provides a new perspective for the study of bond credit risk identification.At the same time,the research also found that the ChinaBonds Valuation and ChinaBond Market Implied Rating can not only identify the information of bond credit risk,but also provide incremental information for the market on the basis of the existing public information,which is of great significance for the Chinese bond market,which lacks accurate credit risk identification tools.Secondly,the lack of credit rating information effect and low credibility not only restricts the healthy development of China's bond market,also does not favor the 19 big report "we will deepen reform of the financial system and enhance the capacity of financial services entity economy,increase the proportion of direct financing,promote the healthy development of the multi-level capital market," the implementation of the strategic objectives.This study found that the ChinaBonds Valuation and ChinaBond Market Implied Rating that the government participates in can provide more fair and accurate information for the market and identify bond credit risks,which has important practical significance for enhancing the ability of financial services to the real economy,increasing the proportion of direct financing and promoting the healthy development of multi-level capital market.Thirdly,the lack of fair value in China's bond market under the background of information,in this paper,the study found that the ChinaBonds Valuation and ChinaBond Market Implied Rating can make up for the defect of bond price information content is insufficient,this to improve the bond market information environment has important practical significance,at the same time,this study found that in ChinaBonds Valuation jumping can improve the stock market information environment and improve the efficiency of stock market pricing,This shows that the ChinaBonds Valuation can not only improve the information environment of the bond market,but also promote the perfection of the information environment of the stock market,and has certain practical significance for the perfection of the information environment of the stock market.Fourthly,in China's bond market,studies on investors' paid rating mainly focus on the CBR,but The CBR only covers a small part of interbank bond issuers,and the traditional rating tends to swell after being covered by the credit rating of China's bonds.Based on the broader coverage and greater influence of ChinaBond Market Implied Rating,this paper expands the theoretical and empirical research in the field of "investor paid" rating.Fifthly,this article research conclusion has certain policy implications,the ChinaBonds Valuation and ChinaBond Market Implied Rating for a bond in Chinese bond market information intermediary role,it is difficult to identify the credit risk information to different subjects and the contracting government regulators to prevent risk of default,governance events of default,with market means to protect the interests of the creditors to provide theoretical reference. |
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