Research On The Rating Quality Of China's Bonds Based On The Credit Bond Default Events

This paper mainly studies the rating quality of China's bonds and its influencing factors,using two research ideas to study the issue: index test and empirical test.Both methods are based on the data of existing credit bonds and defaulted credit bonds from 2015 to 2018.In the chapter of index test,we calculated that the ADP value of China's credit bonds in the past four years is 0.9048,which means that the rating consistency of China's credit bonds is high.And the Gini coefficient is 0.56,which is smaller than that of international rating agencies.In addition,the index results also show that the ADP value and Gini coefficient of SOE bonds are smaller than those of NSOE bonds,and the ADP value and Gini coefficient of rating agencies with foreign shares are smaller than those without foreign shares.It shows that the rating consistency of SOE bonds is worse than that of NSOE bonds,and that of rating agencies with foreign shares is worse than that of rating agencies without foreign shares.In the empirical test,we mainly use the rating grade to make empirical regression on the virtual variables of default or not.The regression coefficient of rating is significantly positive before and after adding control variables,which indicates that with the decline of rating,default probability increases significantly.This indicates that the rating of China's credit bonds has high consistency.In addition,the regression coefficients of the cross-term of rating and issuer's ownership attribute is significantly negative.And the regression coefficients of the cross-term of rating and rating agency's equity background is also significantly negative.It shows that both state-owned property and foreign shareholding can inhibit the effect of default probability rising with the decline of rating,which means the rating consistency of SOE bonds and that of rating agencies with foreign shares are worse.However,the regression coefficient of the cross-term of rating and CBRC's coverage is not significant,which indicates that at this stage,CBRC's participation in the market doesn't have a significant impact on the rating behavior and the rating quality of other issuers' paid rating agencies.