指導教授：沈中華臺灣大學：財務金融學研究所羅意婷Lo, Yi-TingYi-TingLo2014-11-272018-07-092014-11-272018-07-092014http://ntur.lib.ntu.edu.tw//handle/246246/262526中國境內的信評機構所提供的評等有普遍過高的現象，因此機構投資人或銀行等市場上的專業機構往往不認為中國信評機構所提供的評等能真實反應受評標的之信用品質。本研究試圖瞭解商業銀行所發行廣義的金融債券債券獲得雙評等，亦或是單評等對債券的信用評等是否有顯著影響，進行Ordered Logit 迴歸，並找出銀行的獲利性指標、效率性指標、財務槓桿、資本適足率、流動性指標、資產品質以及債券的特徵變數包含債券之票面利率與到期期限對信用評等的影響與關係。實證結果顯示，擁有雙評等的債券其債券信用評等較單評等債券高，此外，代表商業銀行獲利性的股東權益報酬率（Return on Equity, ROE）與代表效率性的成本收入比皆對信用評等的高低有一定的影響力，銀行獲利能力越強擁有較高的信用品質，也就得到較高的信用評等，銀行成本收入比越高則其信用評等越低。債券的特徵變數中的票面利率與到期期限也對信用評等有顯著影響。Credit rating agencies (CRAs) in China tend to provide ratings that are higher than what they are supposed to be, so institutional investors and banks do not expect those credit ratings to reveal the real credit quality of the respective rating targets. This paper tried to find out would generalized financial bonds having dual rating plays the important role in determining the bond credit or not with Ordered Logit model. Eight explanatory variables were used in the model: profitability, efficiency, financial leverage, TierI, liquidity, quality, coupon rate and maturity. The result showed that having dual rating would have higher bond rating and bond rating tend to be higher with higher ROE and lower cost income ratio. It also showed that coupon rate and maturity also play the important role in determining the bond credit.口試委員會審定書......................................................................................................... i 致謝................................................................................................................................. ii 中文摘要......................................................................................................................... iii Abstract ........................................................................................................................... iv 目錄................................................................................................................................. v 圖目錄............................................................................................................................. vii 表目錄.............................................................................................................................viii 第一章緒論................................................................................................................... 1 1.1 研究動機........................................................................................................ 1 1.2 研究目的........................................................................................................ 3 1.3 研究架構........................................................................................................ 4 第二章中國信用評等產業介紹................................................................................... 5 2.1 中國信用評等發展歷程................................................................................ 5 2.2 中國信用評等產業現況................................................................................ 13 2.2.1 信用評級機構................................................................................ 13 2.2.2 信用評級機構監管現況................................................................ 16 2.3 廣義的金融債券............................................................................................ 17 2.3.1 廣義金融債券的定義.................................................................... 17 2.3.2 商業銀行次級債券........................................................................ 17 2.3.3 商業銀行金融債券........................................................................ 18 2.3.4 次級債券與金融債券比較............................................................ 19 v 第三章文獻回顧........................................................................................................... 20 3.1 信用評等決定因素之相關研究.................................................................... 20 3.2 雙評等之相關研究........................................................................................ 22 第四章研究方法........................................................................................................... 26 第五章樣本選取........................................................................................................... 27 5.1 信用評等資料................................................................................................ 27 5.2 變數選取........................................................................................................ 28 5.3 敘述統計........................................................................................................ 29 第六章實證分析與結果............................................................................................... 34 第七章結論與建議....................................................................................................... 40 7.1 結論................................................................................................................ 40 7.2 研究限制........................................................................................................ 41 參考文獻......................................................................................................................... 421777993 bytesapplication/pdf論文使用權限：不同意授權中國信用評等機構評級通膨雙評等Ordered Logit 模型thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/262526/1/ntu-103-R01723019-1.pdf