不請自來的銀行信用評等有向下偏誤的現象嗎？--配對方法_

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題名：	不請自來的銀行信用評等有向下偏誤的現象嗎？--配對方法
書刊名：	經濟論文叢刊
作者：	黃玉麗／張元／沈中華
作者(外文)：	Huang, Yu-li／Chang, Yuan／Shen, Chung-hua
出版日期：	2012
卷期：	40:2
頁次：	頁149- 188
主題關鍵詞：	不請自來的銀行信評；選擇偏誤；配對方法；Unsolicited bank credit ratings；Self-selection bias；Matching
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(5) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:0 點閱:101

本文根據惠譽的銀行個別評等（Fitch's Bank Individual Ratings，FIRs），利用2002至2005年全球91國3881個銀行觀察值為樣本（其中3433個觀察值為付費以取得之信用評等，448個觀察值獲得的是不請自來的信用評等），分析兩類型銀行之信評的相對績效高低來判斷不請自來的銀行信評是否相對低於付費（主動）以取得之信用評等。我們應用Ruin（1973）與Rosenbaum and Rubin （1983，1985a，b）的配對方法，透過將兩類型銀行樣本之財務特性修正至近似，以改善既有文獻中未處理的樣本選擇偏誤問題。我們發現在樣本配對前，獲得不請自來信評之銀行的許多財務績效指標相對低於付費取得信評之銀行，這解釋了為什麼前者之信評相對較低的原因；在樣本配對後即控制了兩類型銀行的財務特性之後，大部分的證據顯示不請自來的銀行信評仍然相對較低。因此本文發現，即使考慮並處理了樣本的選擇偏誤，不請自來的銀行信評仍然存在向下偏誤的現象。

以文找文

This paper examines whether there is downward bias in Fitch's unsolicited bank credit ratings relative to solicited ratings using a matching approach. The sample for this study consists of those banks that had Fitch's Bank Individual Ratings (FBRs) during 2002-2005. There are 3,881 observations from 91countries, including 3433 solicited ratings and 448 unsolicited ratings. By employing marching methods developed by Rubin (1973) and Rosenbaum and Rubin (1983, 1985a,b), four matching algorithms, Nearest, Caliper, Mahala and Mahala Caliper, are used to match the financial characteristics of two groups of banks in order to correct for sample selection bias. Our evidence shows that before sample matching, banks received unsolicited ratings have weaker financial profiles and this could partially explain why they also get lower ratings. Based on after-matching samples, most of the evidence suggests that unsolicited ratings are still biased downward after controlling for differences in key financial characteristics.

以文找文

期刊論文
1.	Rubin, D. B.、Thomas, N.(1992)。Characterizing the effect of matching using linear propensity score methods with normal distributions。Biometrika，79(4)，797-809。
2.	Glick, Reuven、Guo, Xueyan、Hutchison, Michael(2006)。Currency Crises, Capital-account Liberalization, and Selection Bias。The Review of Economics and Statistics，88(4)，698-714。
3.	Lalonde, R. J.(1986)。Evaluating the econometric evaluations of training programs with experimental data。American Economic Review，76(4)，604-620。
4.	Persson, T.(2001)。Currency unions and trade: How large is the treatment effect?。Economic Policy，33，435-448。
5.	Poon, W. P. H.(2003)。Are Unsolicited Credit Ratings Biased Downward?。Journal of Banking and Finance，27(4)，593-614。
6.	Poon, W. P. H.、Firth, M.(2005)。Are Unsolicited Credit Ratings Lower? International Evidence from Bank Ratings。Journal of Business Finance and Accounting，32(9/10)，1741-1770。
7.	Vega, Marco、Winkelried, Diego(2005)。Inflation targeting and inflation behavior: A successful story?。International Journal of Central Banking，1，153-175。
8.	Cantor, Richard、Frank, Peter(1994)。The credit rating industry。Federal Reserve Bank of New York Quarterly Review，19(2)，1-26。
9.	Rubin, Donald B.(1973)。Matching to Remove Bias in Observational Studies。Biometrics，29(1)，159-183。
10.	Ramakrishnan, Ram T. S.、Thakor, A. V.(1984)。Information Reliability and a Theory of Financial Intermediation。The Review of Economic Studies，51(3)，451-432。
11.	Millon, M. H.、Thakor, A. V.(1985)。Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies。Journal of Finance，40，1403-1422。
12.	Dehejia, Rajeev H.、Wahba, Sadek(2002)。Propensity Score-Matching Methods for Nonexperimental Causal Studies。The Review of Economics and Statistics，84(1)，151-161。
13.	Heckman, J.、Ichimura, H.、Smith, J.、Todd, P.(1998)。Characterizing Selection Bias Using Experimental Data。Econometrica，66(5)，1017-1098。
14.	Rosenbaum, Paul R.、Rubin, Donald B.(1983)。The Central Role of the Propensity Score in Observational Studies for Causal Effects。Biometrika，70(1)，41-55。
15.	Heckman, James Joseph(1979)。Sample Selection Bias as a Specification Error。Econometrica: Journal of the Econometric Society，47(1)，153-162。
16.	Rosenbaum, Paul R.、Rubin, Donald B.(1985)。Constructing a Control Group Using Multivariate Matched Sampling Methods That Incorporate the Propensity Score。American Statistician，39(1)，33-38。
17.	Rosenbaum, Paul R.、Rubin, Donald B.(1985)。The Bias Due to Incomplete Matching。Biometrics，41(1)，103-116。
18.	Shen, Chung-Hua、Chang, Yuan(2009)。Ambition versus conscience, does corporate social responsibility pay off? The application of matching methods。Journal of Business Ethics，88(Suppl. 1)，133-153。
19.	Harington, H.(1997)。Not Moody - just angry。The Banker，22-23。
20.	Heckman, J.、Ichimura, H.、Todd, P.(1997)。Matching as an econometric evaluation estimator: Evidence from evaluating a job training program。Review of Economic Studies，64，605-654。
21.	Baker, H. K.、Mansi, S. A.(2002)。Assessing credit rating agencies by bond issuers and institutional investors。Journal of Business Finance and Accounting，29，1367-1398。
22.	Fairchild, L.、Flaherty, S.、Shin, Y.(2009)。Analysis of unsolicited credit ratings: New evidence from Moody’s。Review of Pacific Basin Financial Markets and Policies，12，103-123。
23.	Bissoondoyal-Bheenick, E.(2005)。An analysis of the determinants of sovereign ratings。Global Finance Journal，15，251-280。
24.	Borio, C.、Packer, F.(2004)。Assessing new perspective on country risk。BIS Quarterly Review，47-64。
25.	Cantor, R.、Packer, F.(1996)。Determinants and impact of sovereign credit ratings。Economic Policy Review，2，37-53。
26.	Poon, W.、Lee, J.、Gup, B. E.(2009)。Do solicitations matter in bank credit ratings? Results from a study of 72 countries。Journal of Money, Credit and Banking，41，285-314。
27.	Poon, W.、Firth, M.、Fung, H. G.(1999)。A multivariate analysis of the determinants of Moody’s bank financial strength ratings。Journal of International Financial Markets, Institutions and Money，9，267-283。

會議論文
1.	Butler, A. W.、Rodgers, K. J.(2003)。Relationship rating: How do bond rating agencies process information?。
2.	Byoun, S.、Shin, Y. S.(2002)。Unsolicited credit ratings: Theory and empirical analysis。

研究報告
1.	Borensztein, E.、Cowan, K.、Valenzuela, P.(2006)。The sovereign ceiling lite and bank credit ratings in emerging markets economies。
2.	Rojas-Suarez, L.(2001)。Rating banks in emerging markets: What credit rating agencies should learn from financial indicators。
3.	Crowe, C.(2006)。Testing the transparency benefits of inflation targeting: Evidence from private sector forecasters。
4.	Dale, R. S.、Thomas, S. H.(2000)。The role of credit ratings in the Basel capital adequacy proposals。
5.	Fulghieri, P.、Strobl, G.、Xia, H.(2010)。The economics of unsolicited .credit ratings。
6.	Gan, Y. H.(2004)。Why do firms pay for bond ratings when they can get them for free?。
7.	United States Securities、Exchange Commission(2003)。Report on the role and function of credit rating agencies in the operation of the securities markets。
8.	Shimoda, N.、Kawai, Y.(2007)。Credit rating gaps in Japan: Differences between solicited and unsolicited ratings and rating splits。
9.	Van Roy, P.(2006)。Is there a difference between solicited and unsolicited bank ratings and, if so, why?。

圖書
1.	Japan Center for International Finance(1999)。Characteristics and appraisal of major rating companies-focusing on ratings in Japan and Asia。Tokyo。
2.	Ham, J.、Li, X.、Reagan, P.(2004)。Propensity score matching: A distance-based measure of migration and the wage growth of young men。

其他
1.	Hofler, Richard，Elston, Julie，Lee, Junsoo(2004)。Dividend policy and institutional ownership: empirical evidence using a propensity score matching estimator，Max Planck Institute of Economics。
2.	Hutchison, M. M.(2004)。Selection bias and the output cost of IMF programs，Santa Cruz：University of California。
3.	UBS(2004)。The new world of credit ratings。

圖書論文
1.	Heckman, James J.、Robb, Richard(1986)。Alternative Methods for Solving the Problem of Selection Bias in Evaluating the Impact of Treatments on Outcomes。Drawing Inferences from Self-Selected Samples。New York：Springer-Verlag。
2.	Heckman, J.、Robb, R.(1985)。Alternative Methods for Evaluating the Impact of Interventions。Longitudinal Analysis of Labor Market Data。Cambridge, MA：Cambridge University Press。

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