债务危机与货币危机相关性研究
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摘要
2009年末希腊爆发了主权债务危机,并随后迅速蔓延至欧元区其他几个高负债国家如西班牙、爱尔兰、葡萄牙等。欧元区多个国家的主权债务危机引发了市场对于欧元区将发生货币危机的担忧。债务危机和货币危机之间究竟有没有关系?如有关系,有着怎么样的关系?本文即是基于上述疑问开始的研究。
以前的国内外文献大多将债务危机和货币危机作为单独的现象加以研究,并取得了诸多成果。但现实生活中债务危机和货币危机共生的现象也较为常见,然而由于将二者联系在一起研究的文献很少,我们对二者之间有着怎么样的联系尚不明晰。为深入探究二者之间的关系,本文在国内外现有相关研究基础之上建立了一个关于政府融资选择的理论模型,将政府的违约行为和债务货币化行为纳入模型进行了分析。从理论上研究了债务危机和货币危机之间的互补关系和替代关系。
为检验现实生活中债务危机和货币危机之间的相关性,本文选择了1977-2005年间45个发展中国家的债务危机数据和货币危机数据作为样本,使用Eviews软件,建立Probit模型对数据进行了计量经济分析。分析后发现债务危机和货币危机有着明显的正相关关系,表明债务危机的发生将显著增加货币危机发生的概率,货币危机的发生也将显著增加债务危机发生的概率。此外,本文还发现滞后一阶货币危机变量对其后的债务危机发生有着显著的影响,但是滞后一阶债务危机变量对其后的货币危机发生无显著的影响。
本文的创新在于,研究表明债务危机和货币危机之间有着明显的正相关关系。本文对于债务危机和货币危机的相关性,从理论和实证两方面进行了全面深入的分析。这些分析将加深人们对债务危机和货币危机之间相关性的认识,也对人们在实际生活中预防债务危机和货币危机的发生有着积极的指导作用。文中对当前的欧债危机背景下,发生欧元区货币危机的可能性的分析即是上述指导作用的例证。
The sovereign debt crisis originated in Greece in late 2009 and then rapidly expanded to other European members of the euro economy countries, such as Spain, Portugal and Ireland. The euro zone sovereign debt crisis has triggered global concerns about the breakout of the euro zone currency crisis. Does the sovereign debt crisis interrelate with the currency crisis? If they do, what kind of interrelations could exist between the sovereign debt crisis and the currency crisis?
The previous researches had typically treated currency and debt crises as isolated events, however, the simultaneous occurrence of currency and sovereign debt crises is empirically a rather frequent phenomenon. Nevertheless the literature on currency crises and sovereign defaults usually neglects the question of how the two types of crises might be related. To further explore the relationship between currency and sovereign debt crises, the essay establishes a simple theoretical model which combines the welfare optimizing government's incentives and its budget constraints. After our study with the model, We get a conclusion that the two could be positively related in some cases, while in other cases, they could be negatively related.
In order to empirically find out the relationship between currency and debt crises, we analyze the crisis data for 45 developing countries over the period 1977-2005 with Probit model. Then we find that the occurrence of a currency crisis significantly increases the risk of a contemporaneous debt crisis and vice versa. We further find one-year lagged currency crises can significantly help predict debt crises, while one-year lagged debt crisis only has weak power in predicting currency crises.
The innovation of this paper is we make an in-depth study on the link between currency and debt crises by both theoretical analysis and empirical analysis. Our analysis will deepen the understanding of relationship of the two crises.
以前的国内外文献大多将债务危机和货币危机作为单独的现象加以研究,并取得了诸多成果。但现实生活中债务危机和货币危机共生的现象也较为常见,然而由于将二者联系在一起研究的文献很少,我们对二者之间有着怎么样的联系尚不明晰。为深入探究二者之间的关系,本文在国内外现有相关研究基础之上建立了一个关于政府融资选择的理论模型,将政府的违约行为和债务货币化行为纳入模型进行了分析。从理论上研究了债务危机和货币危机之间的互补关系和替代关系。
为检验现实生活中债务危机和货币危机之间的相关性,本文选择了1977-2005年间45个发展中国家的债务危机数据和货币危机数据作为样本,使用Eviews软件,建立Probit模型对数据进行了计量经济分析。分析后发现债务危机和货币危机有着明显的正相关关系,表明债务危机的发生将显著增加货币危机发生的概率,货币危机的发生也将显著增加债务危机发生的概率。此外,本文还发现滞后一阶货币危机变量对其后的债务危机发生有着显著的影响,但是滞后一阶债务危机变量对其后的货币危机发生无显著的影响。
本文的创新在于,研究表明债务危机和货币危机之间有着明显的正相关关系。本文对于债务危机和货币危机的相关性,从理论和实证两方面进行了全面深入的分析。这些分析将加深人们对债务危机和货币危机之间相关性的认识,也对人们在实际生活中预防债务危机和货币危机的发生有着积极的指导作用。文中对当前的欧债危机背景下,发生欧元区货币危机的可能性的分析即是上述指导作用的例证。
The sovereign debt crisis originated in Greece in late 2009 and then rapidly expanded to other European members of the euro economy countries, such as Spain, Portugal and Ireland. The euro zone sovereign debt crisis has triggered global concerns about the breakout of the euro zone currency crisis. Does the sovereign debt crisis interrelate with the currency crisis? If they do, what kind of interrelations could exist between the sovereign debt crisis and the currency crisis?
The previous researches had typically treated currency and debt crises as isolated events, however, the simultaneous occurrence of currency and sovereign debt crises is empirically a rather frequent phenomenon. Nevertheless the literature on currency crises and sovereign defaults usually neglects the question of how the two types of crises might be related. To further explore the relationship between currency and sovereign debt crises, the essay establishes a simple theoretical model which combines the welfare optimizing government's incentives and its budget constraints. After our study with the model, We get a conclusion that the two could be positively related in some cases, while in other cases, they could be negatively related.
In order to empirically find out the relationship between currency and debt crises, we analyze the crisis data for 45 developing countries over the period 1977-2005 with Probit model. Then we find that the occurrence of a currency crisis significantly increases the risk of a contemporaneous debt crisis and vice versa. We further find one-year lagged currency crises can significantly help predict debt crises, while one-year lagged debt crisis only has weak power in predicting currency crises.
The innovation of this paper is we make an in-depth study on the link between currency and debt crises by both theoretical analysis and empirical analysis. Our analysis will deepen the understanding of relationship of the two crises.
引文
1数据均来源于http://epp.eurostat.ec.europa.eu/portal/page/portal/eurostat/home,即欧盟统计局官方网站。
2欧盟15国于1996年12月在欧盟都柏林首脑会议上就该公约达成了协议,该公约旨在要求各国严厉限制公共赤字,为将来的欧元区成员确立了一套严格的财政赤字标准。
3在给出严格的债务危机衡量指标之前,我们将债务违约即视为债务危机的发生视为发生了债务危机。
4此处讨论的最终贷款人的角色,与我们所熟知的一国央行的最终贷款人的角色类似。
5影子浮动汇率指的是在没有政府干预时,外汇市场自由浮动时的汇率
6隐性财政赤字是政府职能中隐含的,应由财政承担支出,但是在财政收支账面上没有或无法显示出来的财政资金缺口。
7这种传染可以简单的理解为,一种危机的爆发将会导致促使另一种危机爆发的某些条件更易达成。
8关于这一点,在本章的4.4中将有更为详细的论述。
9 http://www-eq.standardandpoors.com/spf/pdf/media/CreditPro_FAQ_07_2009.pdf
10关于巴黎俱乐部的详细介绍可以访问其官网,网址www.clubdeparis.org/en/
11例如将这一标准确定为指数均值的2倍标准差或者3倍标准差,具体数值均由研究者自己确定。
12这种处理的另一个益处就是可以消除序列的自相关性。
13如Herz, Bernhard and Hui Tong(2004), The Interactions between Debt and Currency Crises-Common Causes or Contagion?, University of Bayreuth, Discussion Papers in Economics No.17-03.
14本文对信号的定义与刘莉亚和任若恩(2003),银行危机与货币危机共生性关系的实证研究,经济研究,第10期,pp.40-49一文中的信号的定义类似。
15董彦岭和张继华(2008)的债务危机确定标准主要是基于Bauer, Herz and Karb(2005)的研究结果——债务危机发生的债务临界水平约为40%。
16鉴于债务危机和货币之间在现实中更多的表现为互补效应,关注二者之间的共生也就显得更为必要。
17欧盟对成员国财政政策的制定及实施进行协调和监督,如果判定某一成员国赤字率可能或已经超过3%,就向该国提出警告并要求其进行纠正；如果成员国仍不执行,欧盟就会启动过度赤字惩罚程序。成员国赤字率连续三年超过3%, 最多可处以相当于国内生产总值0.5%的罚款。
18意、葡、爱、西等四国的债务状况也属不佳之列,参见绪论部分的政府赤字占GDP比例这一数据即可看出。
19贬值能否促进经济增长取决于诸多经济因素共同作用,如能否满足马歇尔-勒纳条件。即使假定贬值能促进经济的增长,增加收入,但这一效果的显现会有明显的时滞。
20这就需要完善《稳定与增长公约》的惩罚机制,更为重要的应该是如何将惩罚机制落到实处,停留在纸面上的惩罚不足以消除成员国债务违约成本的不对称性。
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2欧盟15国于1996年12月在欧盟都柏林首脑会议上就该公约达成了协议,该公约旨在要求各国严厉限制公共赤字,为将来的欧元区成员确立了一套严格的财政赤字标准。
3在给出严格的债务危机衡量指标之前,我们将债务违约即视为债务危机的发生视为发生了债务危机。
4此处讨论的最终贷款人的角色,与我们所熟知的一国央行的最终贷款人的角色类似。
5影子浮动汇率指的是在没有政府干预时,外汇市场自由浮动时的汇率
6隐性财政赤字是政府职能中隐含的,应由财政承担支出,但是在财政收支账面上没有或无法显示出来的财政资金缺口。
7这种传染可以简单的理解为,一种危机的爆发将会导致促使另一种危机爆发的某些条件更易达成。
8关于这一点,在本章的4.4中将有更为详细的论述。
9 http://www-eq.standardandpoors.com/spf/pdf/media/CreditPro_FAQ_07_2009.pdf
10关于巴黎俱乐部的详细介绍可以访问其官网,网址www.clubdeparis.org/en/
11例如将这一标准确定为指数均值的2倍标准差或者3倍标准差,具体数值均由研究者自己确定。
12这种处理的另一个益处就是可以消除序列的自相关性。
13如Herz, Bernhard and Hui Tong(2004), The Interactions between Debt and Currency Crises-Common Causes or Contagion?, University of Bayreuth, Discussion Papers in Economics No.17-03.
14本文对信号的定义与刘莉亚和任若恩(2003),银行危机与货币危机共生性关系的实证研究,经济研究,第10期,pp.40-49一文中的信号的定义类似。
15董彦岭和张继华(2008)的债务危机确定标准主要是基于Bauer, Herz and Karb(2005)的研究结果——债务危机发生的债务临界水平约为40%。
16鉴于债务危机和货币之间在现实中更多的表现为互补效应,关注二者之间的共生也就显得更为必要。
17欧盟对成员国财政政策的制定及实施进行协调和监督,如果判定某一成员国赤字率可能或已经超过3%,就向该国提出警告并要求其进行纠正；如果成员国仍不执行,欧盟就会启动过度赤字惩罚程序。成员国赤字率连续三年超过3%, 最多可处以相当于国内生产总值0.5%的罚款。
18意、葡、爱、西等四国的债务状况也属不佳之列,参见绪论部分的政府赤字占GDP比例这一数据即可看出。
19贬值能否促进经济增长取决于诸多经济因素共同作用,如能否满足马歇尔-勒纳条件。即使假定贬值能促进经济的增长,增加收入,但这一效果的显现会有明显的时滞。
20这就需要完善《稳定与增长公约》的惩罚机制,更为重要的应该是如何将惩罚机制落到实处,停留在纸面上的惩罚不足以消除成员国债务违约成本的不对称性。
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