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題名：政府失靈或市場失靈─ 信用評等膨脹是否為2008金融危機之主因
作者：陳俐君
作者(外文)：Chen, Li-Chun
校院名稱：國立清華大學
系所名稱：經濟學系
指導教授：黃春興
學位類別：博士
出版日期：2019
主題關鍵詞：政府失靈；市場失靈；金融危機；信用評等機構；價格機制；公司債；次貸證券；government failure；market failure；financial crisis；credit rating agencies；price mechanism；corporate bond；subprime mortgage security
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在2008金融危機爆發之後，信用評等機構(CRAs)成為眾矢之的。不論在學術圈或媒體上，多數人都認為信用評等機構在評價高風險的資產抵押證券(ABSs)時給予過高的評等，因此提供了投資者對此類投資標的錯誤訊息。正因為信用評等機構給的錯誤訊息，導致了後續美國金融系統的潰散。
部分研究如Taylor (2009), Allen and Carletti (2010)等研究指出，本次金融危機的根源來自聯邦儲備過度寬鬆的貨幣政策，主要是此政策帶來的低利環境造成資產泡沫。而其他研究如Reinhart and Rogoff (2008), James Crotty (2009), Kotz (2009), Cabral (2013)則認為住房抵押擔保證券(RMBSs)的泡沫應該歸咎於信用評等膨脹此一問題。他們認為新自由資本主義促成了本輪金融部門的去管制化，導致市場參與者的高度槓桿操作，而住房抵押擔保證券的信評膨脹則協助此類金融產品通過監理要求進而在市場上熱銷。
本論文旨在探討對於信用評等膨漲的爭議，目的在於釐清為何價格機制在此住房抵押擔保證券市場沒有發揮訊息發掘的功能，反而是信用評等結果取而代之，左右市場的供需。本研究採用的數據來自於彭博終端系統(Bloomberg Terminal)，透過數據去通盤比較公司債以及住房抵押擔保證券的信用評等市場。
本研究主要針對前三大信用評等機構—Standard and Poor’s (S&P), Moody’s, and Fitch Ratings的市場份額進行分析，並且衡量初次上市所獲得的信用評等與再次評等之間的差距。結果顯示，信用評等膨脹之所以僅在住房抵押擔保證券此一市場造成混亂，而沒有影響到公司債市場，正是因為政府的管制與市場結構交互作用之下，造成住房抵押擔保證證券市場的價格機制無法發揮作用。
本論文證實了信用評等膨脹現象僅存在於住房擔保抵押證券市場，主要原因是信用評等機構在此同時面對政府管制與一高度集中的市場結構。因此，後續欲針對金融部門提高監管力道的做法並不能解決問題，反而應該拆除政府人為創造的限制競爭之障礙。
In the aftermath of the global financial crisis in 2008, Credit Rating Agencies (CRAs) have been accused of assigning inflated ratings. It’s been generally believed that the agencies played a critical role in offering overly favorable evaluation of risky Asset-Backed Securities (ABSs) and providing investors with wrong information on the riskiness of various kinds of debt. The CRAs’ failure to publish verifiable information, critics argue, brought the U.S. financial system to its knees.
Some researchers, such as Taylor (2009), Allen and Carletti (2010), say that the financial crisis had its origin in the loose monetary policy employed by the U.S. Federal Reserve, in large part because low interest rates are the most frequent cause of an asset bubble. Other researchers, such as Reinhart and Rogoff (2008), James Crotty (2009), Kotz (2009), Cabral (2013), believe that bubble of the Residential Mortgage Backed Securities (RMBSs) market should be attributed to the credit rating inflation. Neo-liberal capitalism, they argue, promotes the deregulation in the financial sectors, leading to high-leverage behaviors whereby rating inflation helps RMBSs to meet regulatory requirements and to be sold like hotcakes.
This thesis focuses on the ongoing controversy over rating inflation, seeking to explain why the price mechanism hasn’t served the important function of information discovery in the RMBSs market. In this article, data were collected from the Bloomberg Terminal. This thesis use the data to provide comprehensive comparison between the corporate bond and RMBSs markets.
The main part of this study is to conduct market share analysis of the “Big Three” CRAs—Standard and Poor’s (S&P), Moody’s, and Fitch Ratings. Meanwhile, we assess the rating gaps between initial ratings and re-ratings issued by the “Big Three”. The results show that government regulators have interfered with the price mechanism in the RMBSs market. This is the main reason why rating inflation has been a significant issue in the RMBSs market.
This thesis confirms that rating inflation phenomenon only exists in the RMBSs market largely because that the CRAs have been in face of the specific government supervision and market structure. Therefore, the effort to further tighten government regulation in the financial sector doesn’t solve the problem. Instead, the best solution is to eliminate artificial barriers that prevent competition.
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引用/網頁資料
Understanding Ratings - S&P Global Ratings. https://www.spratings.com/en_US/understanding-ratings#fourthPage.

The Financial Crisis Inquiry Report
https://www.govinfo.gov/content/pkg/GPO-FCIC/pdf/GPO-FCIC.pdf

https://fred.stlouisfed.org/
The Federal Reserve Bank of St. Louis is the center of the Eighth District of the Federal Reserve System. This site offers a wealth of economic data and information to promote economic education and enhance economic research. The widely used database FRED is updated regularly and allows 24/7 access to regional and national financial and economic data.

https://www.govinfo.gov/content/pkg/GPO-FCIC/pdf/GPO-FCIC.pdf. Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the United States. ISBN 978-0-16-087727-8.

https://www.economicpolicyresearch.org/images/docs/SCEPA_blog/deficit_commission_project/David_Kotz_presentation_10.10.15.pdf The Rise and Fall of Neoliberal Capitalism David M. Kotz (2015). Neoliberal capitalism -- and the previous regulated capitalism -- are institutional structures that promote and stabilize the process of capital accumulation.
 
 
 
 
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