全球外汇储备、金融控制与我国的金融安全

在金融全球化时代,美国通过金融控制主宰着世界经济。美国凭借美元“中心货币”地位而攫取的国际铸币税成为弥补其经常项目逆差的稳定来源,这是全球经济不平衡的根源;作为世界头号外汇储备大国,我国面临资产价格泡沫膨胀和外汇储备稳定性下降这两大金融安全问题;美元在全球外汇储备中的比重下降将直接导致美国国际铸币税的减少,致使经常项目逆差逐步丧失稳定的弥补途径,使其容易陷入金融危机,导致后布雷顿森林体系的崩溃;我国应通过美元储备的替代来减少国际铸币税剥削,同时推进人民币的国际化以分享国际铸币税收益。     

Japanese government debt and sustainability of fiscal policy

We construct quarterly series of the revenues, expenditures, and debt outstanding for Japan from 1980 to 2010, and analyze the sustainability of the fiscal policy. We pursue three approaches to examine the sustainability. First, we calculate the minimum tax rate that stabilizes the debt to GDP ratio given the future government expenditures. Using 2010 as the base year, we find that the government revenue to GDP ratio must rise permanently to 40–47% (from the current 33%) to stabilize the debt to GDP ratio. Second, we estimate the response of the primary surplus when the debt to GDP ratio increases. We allow the relationship to fluctuate between two “regimes” using a Markov switching model. In both regimes, the primary surplus to GDP ratio fails to respond positively to debt, which suggests the process is explosive. Finally, we estimate a fiscal policy function and a monetary policy function with Markov switching. We find that the fiscal policy is “active” (the tax revenues do not rise when the debt increases) and the monetary policy is “passive” (the interest rate does not react to the inflation rate sufficiently) in both regimes. These results suggest that the current fiscal situation for the Japanese government is not sustainable.     

Saving,investment, fiscal deficits,and the external indebtedness of developing countries

This paper investigates selected aspects of the external indebtedness of the developing countries. It examines both the theoretical and empirical sides of the debt servicing capacity issue, focussing on the role of domestic savings and investment as well as the budget deficits of the public sector in the recent widening of their current account deficits. The results of the study do not support the proposition that increases in external indebtedness among developing countries reflect overconsumption. Capital inflows did not partly or wholly displace domestic saving for the sample of countries examined; rather, the increase in external deficits can in most cases be accounted for by expansion in investment (relative to total output). However, the author qualifies his basically optimistic conclusions in pointing out that countries' ability to repay debt depends not only on whether initial borrowing sustained consumption or investment. but also, if the latter, on the quality of the investment spending.     

美国双缺口、对外债务与经济增长

对外债务显著扩张是当代美国经济外部失衡加剧的主要表现形式,但对外债务扩张的根本原因在于美国经济的内部失衡。对外债务的根本作用在于弥补美国政府部门财政缺口与私人部门储蓄-投资缺口。研究显示,在经济景气阶段,美国私人部门储蓄-投资缺口会扩大,工商企业会增加对外负债弥补储蓄-投资缺口;在经济衰退阶段,美国政府部门财政缺口会扩大,政府部门会增加对外负债弥补财政缺口。因此,无论美国经济景气还是衰退,其对外债务规模都在增加。考虑到美国经济对对外债务的强烈依赖性,我们有理由认为,未来美国的对外债务仍然会持续扩张。     

Sustainability and comovement of government debt in EMU Countries: A panel data analysis

We investigate the sustainability of fiscal policy in a set of 19 European Monetary Union (EMU) countries over the period 1970–2016. Panel unit root tests in the presence of cross-section dependence show that the government debt series is stationary, indicating that the solvency condition would be satisfied for these countries. This confirms the effectiveness of the austerity measures implemented by these member states. Moreover, an unobserved common factor drives the comovement of government debt in the Eurozone.     

Fiscal sustainability across government tiers

This paper analyses how fiscal adjustment comes about when both central and sub-national governments are involved in consolidation. We test sustainability of public debt with a fiscal rule for both federal and regional government. Results for the German Länder show that lower tier governments bear a relatively smaller part of the burden of debt consolidation, if they consolidate at all. Most of the fiscal adjustment occurs via central government debt. In contrast, both the US federal and state levels contribute to consolidation of public finances.     

Are US current account deficits unsustainable?: Testing for the private and government intertemporal budget constraints

This paper re-examines whether the huge external deficits in the United States for the last few decades are sustainable by using time series methods. Two distinct analytical differences from earlier works are considered. First, the private sector and government are separated to construct the current account identities used in this paper. Second, both the necessary and sufficient conditions for the sustainability of external deficits are explicitly considered. Taking these modifications into consideration, the empirical results of this study do not necessarily reject the hypothesis that external deficits in the US are sustainable.     

TESTING FOR STATIONARITY OF INFLATION RATES WITH COVARIATES

This paper distinguishes between the stationarity and nonstationarity of inflation in 18 OECD countries through several unit root tests with covariates. These covariate tests are more powerful than the conventional ones through correlated covariates. Both unit root and stationarity null hypotheses are tested in this study. Our empirical results indicate that the efficient univariate unit root tests fail to reject the unit‐root hypothesis for 15 countries, whereas the covariate tests provide strong evidence in support of mean reversion in inflation for almost all countries. Overall, the findings unveil new evidence in favor of stationarity in international inflation. Policy implications on the empirical results are provided as well.     

Debt Sustainability and the Ongoing Financial Crisis: The Case of IDA‐only African Countries*

Abstract: The ongoing financial crisis has raised concerns in many circles about a potential future wave of sovereign defaults spreading among developing countries and, therefore, the need for additional rounds of debt relief in poor indebted countries. This paper addresses this issue for a group of 31 International Development Association (IDA)‐only African countries, which are in a fragile debt situation. Using the most recent debt sustainability analyses (DSAs) undertaken for these countries by the World Bank and the IMF, this paper studies the potential adverse effect of the ongoing financial crisis on the countries’ debt burden indicators, as a function of the depth and length of the crisis. The latter is measured by the fall and the duration of such fall in exports revenues, and by the terms at which each country can obtain financing to muddle through the crisis period. The analysis underscores the importance of concessional financing for these countries, especially if the crisis proves to be a protracted one. This, because the likelihood of countries being able to muddle through the crisis without defaulting on their external debt decreases with the hardening of the financial conditions faced by them — alternatively, the size of the downsizing in domestic (fiscal) expenditures needed to ensure the service of their foreign debts increases with the tightening of financial conditions.     

Fiscal Sustainability in the EU

We assessed the sustainability of fiscal policy in the 28 European Union countries over the 1980-2015 years. Panel unit root tests in the presence of cross-sectional dependence showed that government revenues, expenditures, the primary balance, and debt were non-stationary series. However, cointegration tests reveled that a long-run relationship exists between government revenues and expenditures as well as between government primary deficit and debt. The results of causality tests were in line with the neutrality hypothesis: government revenues do not cause the expenditures, and vice versa. Furthermore, mixture models analyses indicated the presence of three homogeneous clusters, one of which included Portugal, Ireland, Italy, Greece, and Spain (PIIGS), whose coefficient of 0.68 indicates the absence of sustainability, since government expenditures grow faster than revenues.     

企业破产语境下名股实债权利人地位确认--从新华信托与港城置业破产债权纠纷案说起

近年来"名股实债"类案件日益增多,现行法律规范中,缺乏对名股实债等股债交融类交易统一的认定标准。这导致股债交融融资在企业破产时债权确认上出现了疑难和争议。本文通过梳理港城置业破产等名股实债案例中股债定性的影响因素,探求法院在认定"名股实债"的性质上的司法逻辑,即,识别与区分"内部关系与外部关系"。在内部关系上,力求探究当事人的真实意思表示;在外部关系上,着重保护第三人的利益。同时,考虑到企业破产债权人利益保护的问题,本文进一步探讨了名股实债交易定性为债权上存在的疑难与思路。     

Debt relief and fiscal sustainability

In this paper I analyze the relationship between fiscal policy,aggregate public sector debt sustainability, and debt relief. I develop a methodology to compute the fiscal policy path that is compatible with aggregate debt sustainability in the post-HIPC era. The model explicitly considers the role of domestic debt and quantifies the extent to which future debt sustainability depends on the availability of concessional loans at subsidized interest rates. The working of the model is illustrated for the case of Nicaragua, a country that in 2002 had one of the highest net present value of public external debt to GDP ratios. JEL no. F3, F34, F35.     

Foreign debt,global liquidity,and fiscal sustainability

We empirically investigate fiscal sustainability by comparing countries in the different economic groups with a dataset covering 180 countries during the period from 1980 to 2015. As the OECD countries have higher international debt ratio than other countries, they have higher probability to be exposed to global risk factors. Non-OECD countries turn out to be more fiscally solvent than OECD countries due to their limited access to international financial market. However, we also find that better access to international liquidity increases fiscal sustainability within the sample of OECD countries, while it does not improve the fiscal solvency in case of non-OECD countries.     

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

We assess the sustainability of public finances in the EU-15 over the period 1970–2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (Oxf Bull Econ Stat 61(1):653–670, 1999; Econom Theory 20(3):597–625, 2004), generalized by Banerjee and Carrion-i-Silvestre (Cointegration in panel data with breaks and cross-section dependence, European Central Bank, Working Paper 591, 2006) and Westerlund and Edgerton (Econ Lett 97(3):185–190, 2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU-15 panel set, and within sub-periods (1970–1991 and 1992–2006).     

中国地方政府债务违约风险评估——基于债务可持续性分析框架

结合中国地方政府财政反应特征,文章在债务可持续性分析框架中,首次识别了基础盈余主动调整的有效性条件作为分析前提,进而完善了债务不可持续性的定义内涵和度量方法,最终建立了地方政府债务违约风险评估模型。凭借此模型,对中国地方政府债务违约风险进行了评估,主要结论如下：在经济增速不稳定背景下,施行顺周期财政政策的中国地方政府,容易落入基础盈余主动调整无效的境况,因而在对地方政府债务可持续性进行分析时,有必要考虑基础盈余主动调整的有效性;通过检验发现,新构造的债务不可持续概率和条件期望债务空间指标,均能较好反映地方政府债务违约风险,而单纯的债务率指标对地方政府债务违约风险无解释力;在2019年,天津、贵州和青海等地已处于财政疲劳引起的债务不可持续状态,内蒙古等六省的条件期望债务空间不足20%,其余省份的条件期望债务空间仍相对充裕;最后,通过考察债务可持续性的改善渠道又进一步发现,财政透明度的提高可有效降低地方政府债务违约风险。     

The Unit Root Hypothesis for Aggregate Output May Not Hold after All: New Evidence from a Panel Stationarity Test with Multiple Breaks

This paper investigates the hypothesis of a unit root in output for four panels of real gross domestic product (GDP) and real GDP per capita series in the Organization for Economic Cooperation and Development (OECD). For that purpose, a panel stationarity test is employed that assumes a highly flexible trend function by incorporating an unknown number of breaks in level and slope. This analysis renders clear-cut evidence in favor of regime-wise trend stationarity in OECD output for the three data sets of annual data, while evidence of nonstationarity is found for the data set based on quarterly data, which is composed of only seven countries over the shortest time span. Overall, the results herein stand in stark contrast to previously published results that do not control for the existence of structural change in the trend function, but accord well with those that employ panel unit root tests that allow for a single homogeneous break in the trend function.     

The dynamic linkages between current account deficit and budget balance deficit in the South Asian region

The issue of twin imbalances is at the forefront of fiscal policy concerns in the South Asian region, fuelled by an ever-going budget deficit and current account deficit over the last five decades. A standard approach is to assume a model in which budget balance influences the current account. We relax this assumption by using a panel data vector autoregression model comprising five South Asian countries. The results show that both budget deficit and current account deficit are mutually causative, which contrasts the unidirectional causality running from fiscal deficit to current account deficit found in prior studies. Further, this bi-causality relationship is also demonstrated in the impulse response analyses. Budget balance in South Asian economies responds positively to a one standard deviation positive shock in the current account balance. Likewise, external balance increases to a one standard deviation positive shock in internal balance. Higher fiscal debt impedes economic growth, which in turn impacts negatively on the budget balance. Our findings lead us to reject 'fiscal policy only' recommendations to address the twin deficits.     

A nonlinear pairwise approach for the convergence of UK regional house prices

We examine the long-run convergence across 12 UK regional house prices using a pairwise approach. The time period spans from 1983:1 to 2012:4. Linear, nonlinear and asymmetric unit root tests are considered for assessing the stationarity of all possible pairs. The test statistic for convergence is based on the percentage of unit root test rejections across all regional house price differentials. The percent of the pairs that reject the null increase from 6% in the linear ADF case to 53% for the nonlinear unit root. Probit analysis reveals that house price differentials in the South are more likely to be stationary and as a result tend to converge more compared to the North.     

The External Debt Situation in Indonesia: Performance and Prospects

In interviews with bankers, government economists and academic observers, most of them attributed the absence of an Indonesian debt crisis during 1982–84 to the fact that a significant portion of external public debt, an average of 37 percent, was long-term concessionary loans from foreign governments and international agencies. Our analysis challenges this conventional explanation. We show that if Indonesia (1) had paid the same effective interest rate as Mexico, (2) had the same maturity structure as Mexican debt, and (3) had the same export-GNP ratio as Mexico, then its average 1980–82 total debt service-export ratio would have been 84.4% instead of the actual 30.1%. Our decomposition shows that concessional interest rates account for 5.8 percentage points of the gap, maturity structure for 17.7 percentage points and export orientation for 30.8 percentage points.
We have concluded that the major cause for the favorable 1982–84 outcome is competent management of the exchange rate. The absence of protracted exchange rate overvaluation from 1979 onward was fundamental in maintaining a strong nonoil tradeable sector. The nonoil tradeable sector was able to earn enough foreign exchange to service Indonesian debts when the external shock of high interest rates increased debt service payments and the recession in industrialized countries lowered the price of oil. The absence of extended exchange rate overvaluation also kept the external debt down and the maturity structure on the long side by not encouraging capital flight. We ascribe this use of the exchange rate to protect the tradeable sector as much to the existence of an influential political constituency consisting of neoclassical economists, Javanese peasants and Outer Island residents as to balance-of-payments considerations.
We recommend an aggressive exchange rate policy and two sets of supplementary measures to reduce the probability of a debt crisis in the medium run.     

Further evidence on property–casualty insurance premiums: Do multiple breaks and country characteristics matter?

This paper employs a panel data stationarity test that incorporates multiple structural breaks to investigate whether property–casualty insurance (PCI) premiums per capita among 40 countries are mean-reverting or not. The results suggest that our panel dataset is stationary after we introduce the structural breaks into the model and consider cross-sectional dependence. However, the results for the panel stationarity test vary with regard to different country characteristics. Countries in which the PCI premiums present a panel unit-root property infer that any external shocks can have a permanent effect on the insurance premiums. Accordingly, the associated insurance authorities should take possible structural breaks and cross-sectional dependence into account when implementing related policies.