主权债务风险跨国溢出研究——来自频域的新证据

本文从国家间主权债务风险溢出的持续期角度出发,采用基于广义方差分解谱表示的BK溢出指数方法,首次从频域视角对短期和长期下的主权债务风险跨国溢出效应进行研究。研究发现:第一,短期和长期下的主权债务风险跨国溢出效应均较为显著,并且时域下的总溢出主要由短期的风险溢出主导。第二,14个国家的短期和长期风险输出水平呈线性关系,但对于风险输入,不同类型国家出现分化并形成两个聚类,新兴市场国家的短期风险输入水平远高于长期,其具有较强的“短期脆弱性”。第三,风险输出国的自身风险越大,对他国的长期溢出水平越高,风险输入国的自身风险越大,接收他国的短期溢出水平越高,并且两两国家间的进出口规模、金融市场一体化水平和经济周期协同性与其长期风险溢出水平呈正相关关系,而与其短期风险溢出水平的关系并不显著。第四,短期和长期的主权债务风险溢出网络都呈现明显的区域聚集特征,并且各国在短期溢出网络中主要与同区域以及经济金融环境相似的国家连接,在长期溢出网络中则通过经贸关系将连接范围扩大至不同区域甚至经济金融环境差异较大的国家。

A Study of Sovereign Debt Risk Cross-Country Spillover: New Evidence from the Frequency Domain

In recent years, international institutions have successively warned of the risks of global sovereign debt, arousing great concern among international investors and regulatory authorities. On one hand, monetary and fiscal easing has been conducted to promote economic recovery around the world since the financial crisis of 2008, which has resulted in the expansion of sovereign debt and a heavier debt burden. On the other hand, uncertainties over the global economy, the costs of financing, and the pressures for debt-repayment have all increased in the complex and volatile international environment.In this context, the sovereign debt risk faced by each country rises not only on its own, but also due to the spillovers from other countries. Existing studies have demonstrated that economic fundamentals and market factors are the main determinants of sovereign debt risk, and while the former mainly affects the long-term sovereign debt risk, the latter mostly influences the short-term risk. Therefore, the cross-country spillover of sovereign debt risk which arises due to the connectedness of economic fundamentals and market factors between nations should also show different short-term and long-term effects. Therefore, in considering the duration of sovereign debt risk spillover among countries, this study investigates both the short-term and long-term cross-country spillover effects of sovereign debt risk in terms of the frequency domain. The analysis uses the BK spillover index approach, which is based on the spectral representation of generalized forecast error variance decomposition (Baruník and Krehlík, 2018). Our study is based on a sample of 14 countries whose GDP rank among the top 20 in the world from November of 2008 to June of 2019. The sovereign debt risk of these countries is measured by the sovereign CDS spreads. We find several significant patterns. First, the cross-country spillover effects of sovereign debt risk are significant in both short and long terms, and total spillover in the time domain is mainly driven by short-term risk spillover. Second, we find a linear relationship between short-term and long-term risk output levels, but concerning risk input, different types of countries present different relationships and form two main clusters. The short-term risk input is higher than the long-term risk input for emerging market countries that have strong short-term vulnerability. Third, the greater the debt risk of the risk-output country, the greater its long-term spillover risk to other countries. Correspondingly, the greater the risk of the risk-input country, the greater is its short-term spillover risk from other countries. Moreover, trade volume, financial market integration, and business cycle synchronization between two countries are all positively correlated to the long-term spillover risk, but their correlations with short-term risk spillover are not significant. Fourth, both the short-term and long-term sovereign debt risk spillover networks show obvious characteristics of regional clustering. In the short-term spillover network, a country always has clear connections with a narrow group of countries—usually those that are in the same region or have similar economic and financial environments. However, in the long-term spillover network, the connections can extend to countries out of the narrow group through economic and trade relations.Our study has three types of policy implications. First, market regulators should be aware of the sovereign debt risks from cross-country spillovers, and they should actively strengthen international cooperation in terms of financial supervision. Such measures can help regulators accurately evaluate the risk levels of other countries, and thus respond quickly to the risk and minimize the overall losses. Second, it is important to build a differentiated regulatory system for long-term and short-term sovereign debt risk spillovers. The dominant risk of short-term sovereign debt spillover should receive more attention and be subjected to daily supervision. Finally, measures to prevent long-term and short-term sovereign debt risks should be considered separately. In the short term, it is essential for countries, and especially for emerging market countries, to enhance disclosure of assets as a means to reduce information asymmetry. It is also essential to improve financial supervision as a means to avoid dramatic changes in short-term capital inflows or outflows. In the long term, governments should reduce their fiscal deficits, trade deficits, and foreign debts, and balance their debt structures to reduce their sovereign debt risk. Furthermore, each country should improve the ability of its economic and financial system to resist economic shocks and risk spillovers from other countries.