美国信用评级机构对主权国家国债收益率的影响及对 中国的启示

The three major rating companies, which are currently in the credit rating market, Moody's, Standard & Poor's, and Fitch are all US credit rating companies. Therefore, this paper comes up with an influence path of sovereign credit rating on the national bond market, the stock market and the exchange rate market through the literature. The use of panel vectors from returning models to study the impact of the sovereign rating changes of three credit rating companies in the United States from 2011 to 2019 on 11 sovereign national Treasury yields. The impact of changes in sovereign credit rating on national debt yields has asymmetric in the short term. In the long run, the sovereign credit rating and stock price index will have an impact on the yield of treasury bonds. The sovereign credit rating score is negatively correlated with the yield of treasury bonds, and the stock price index and the yield of treasury bonds are also negatively correlated. In the end of the paper, it puts forward the reference significance to our country from three aspects.