| The impact of various macroeconomic events has forced the introduction frequency and adjustment range of policies to rise sharply,making it more difficult for the public to accurately judge the policy expectations,which will increase the level of economic policy uncertainty.However,the stability of economic policy is not only related to macroeconomic indicators such as aggregate production and employment rate,but also has a significant impact on the daily operation of important microeconomic subjects such as enterprises.In the subprime mortgage crisis in 2008,the financial products with high ratings still have serious defaults,indicating that the rating agencies will lose the due information content of credit rating because of the conflict of interest.Since then,the research on credit rating has become one of the focuses of academic research.Due to the frequent impact of macro events,economic policy uncertainty is rising.The problem of how credit rating agencies will deal with the changes of enterprise fundamental information has not been deeply studied in the existing literature.Therefore,this paper explores the factors of credit rating and its information content from macro perspective,studies the relationship between economic policy uncertainty and credit rating and its information content,and deeply analyzes the heterogeneity and intermediary channels.Specifically,this paper takes the A-share listed companies with issuer credit rating from 2010 to 2020 as the research sample,establishes OLS model to study the impact of economic policy uncertainty on credit rating and its information content,and further analyzes the heterogeneity of the payment model of rating agencies,the state-owned nature of rated enterprises and the political connection of rated enterprises.Secondly,this paper uses the three-step method of intermediary effect to study whether the degree of financing constraints and information asymmetry is the intermediary channel of economic policy uncertainty on credit rating.In addition,this paper discusses whether the impact of credit rating on default risk is more significant in the period of high economic policy uncertainty,in other words,whether the information content of credit rating changes in the period of different levels of economic policy uncertainty.Finally,the paper extracts the fitting value and residual through the regression of credit rating on the factors of enterprise fundamentals,and takes them as dependent variables to analyze the structural impact of economic policy uncertainty on credit rating.The theoretical analysis and empirical research of this paper show that: First,credit rating will be lowered due to the increase of economic policy uncertainty;Second,the credit rating of investors’ payment model,non-state-owned enterprises and senior executives without political connection has been significantly reduced under the high level of economic policy uncertainty;Third,economic policy uncertainty will decrease credit rating by aggravating financing constraints and information asymmetry,and the intermediary effect is still valid after the robustness test;Fourth,when economic policy uncertainty is relatively high,the information content of credit rating on default risk is higher;Fifth,the uncertainty of economic policy decreases the basic information part of credit rating,and has positive impact on the subjective deviation part of rating agencies.The main innovations of this paper are as follows: First,this paper studies the relationship between economic policy uncertainty and credit rating from a macro perspective,deeply explores its heterogeneity and intermediary channels,and further improves the research framework of relevant literature on the economic consequences of economic policy uncertainty.At the same time,it also expands the research boundary of the factors of credit rating from the view of the external economic environment.Second,this paper studies the change of credit rating information content under economic policy uncertainty and how different components of credit rating are affected by economic policy uncertainty.While confirming the previous conclusion,it further reveals the response measures of credit rating agencies in the face of economic policy uncertainty,and deeply analyzes the source of rating adjustment.This paper provides reliable empirical evidence and useful suggestions for the economic regulation of policy authorities,the improvement of the supervision mechanism of rating agencies and the acquisition of investor information. |
