债务危机与货币危机相关性研究

【作者】 林河；

【导师】 胡荣花；

【作者基本信息】 复旦大学 ， 世界经济， 2011， 硕士

【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。更多还原

【Abstract】 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.更多还原