The Impact Of Bond Defaults On Rating Agency Behavior:More Aggressive Or More Conservative?

In recent years,there have been defaults on credit bonds one after another.In addition to the macro financing environment that affects the repayment ability of the issuers,the lag in rating adjustment of rating agencies has also become one of the reasons that the default on credit bonds cannot be warned in advance,and the professional ability of rating agencies has also been questioned.It is urgent to study how rating agencies will react to the phenomenon of successive defaults of credit bonds,whether rating attitudes will change,and how the market will view the role of rating agencies as information intermediaries in the financial market.In this paper,based on credit debt default selection under the background of 2010-2018,we use nine domestic rating agencies in the operation of the "issuer pays" model to analyze the risk of subsequent tracking rating change behavior attitude changes and the market reaction for these behavioral changes.The research results show the following conclusions: 1)With the increase of the number of defaults of the rated bonds,the rating agencies will reduce the subjective evaluation criteria excluding other objective factors in the initial rating information of the new bonds,and the rating level will be inflated.The more reputable rating agencies,the higher the degree of inflated rating;2)With the increase of the number of defaults of rated bonds,the rating agencies tend to be cautious in the tracking rating adjustment of bonds with good repayment status and bonds with poor repayment status,compared with the previous adjustment range.The rating standard adjustment of the bonds with poor repayment status is more cautious than that of the bonds with good repayment status.Reputation constraint mechanism only has a certain effect on bonds with poor repayment status.In terms of the magnitude of all the bond adjustments,the rating agencies also chose to raise their ratings by a relatively small amount each time.3)Rating agencies,involving an increase in the number of default bonds can lead to an increase bond issue interest-rate,but the rating agencies to give the first rating information for issue new bonds can relatively lower the interest rate of new issuing bond,this is because the rating agencies as professional intermediaries provide incremental information can effectively improve information asymmetry problem between investors and issuers.The conclusion of this paper provides some new ideas for studying the behavior of rating agencies in bond default and reputation constraint mechanism.