From Financial Characteristics to Business Cycle: A New Deliberation of Credit Rating

• Main Authors: Huang Nan Hsiang, 黃楠祥
• Other Authors: 梁恕
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/54923854109903524046

碩士 === 東吳大學 === 國際貿易學系 === 92 === This dissertation is composed of two main topics. One is to discuss if the ratings changed published by Taiwan Rating Corporation(TRC) relate to the 10th business cycle in Taiwan? The other is to measure the performance between models excluded macro variables(Model 1) and Model 2 with macro variables included. In the first topic, we use time series graph of ratings changed published by TRC and domestic GDP to make sure if ratings changed relate to the 10th business cycle. Besides we take advantage of correlation between ratings changed and GDP among the Contraction, Expansion, and Total period of the 10th business cycle to support the phenomenon we find out in time series graph further. In the next one, we will take time interest earned, debt ratio, current ratio, gross profit, gross margin, stock price, beta, GDPt, GDPt-1, and GDPt-2 into account and set up two Ordered Probit Models to do research. In time series graph, we discover notched down published by TRC fell behind the Contraction period. We also find the rates of notching down are more than notching up during the Contraction period. From correlation between ratings changed and GDP, we first discover there is positive correlation between notching up and GDP, and opposite on the other hand. Depending on the correlation between notching up and down with GDP in Total period. There is not only positive correlation between notching up with GDPt and GDPt-1, but also negative correlation between notching down with GDPt and GDPt-1. In addiction, we also find notching up is simultaneous with GDP. But GDP takes lead to notching down. From the research results in topic 2, we find debt ratio and beta positive significantly affect the ratings. And there are negative statistic significance between current ratio, gross profit, and stock price with ratings. Then, the two models all significantly affect ratings. The explanation power of Model 2 is better than Model 1. At last, we make conclusion that the performance of Model 2 is better than Model 1.