欧洲主权债务危机的根源、影响及警示意义

自2009年以来,欧洲国家的主权债务问题一直被全球资本市场所关注,以PIIGS五国（希腊、西班牙、葡萄牙、爱尔兰、意大利）为代表的南欧多个国家的债务问题浮出水面,不仅引发了全球金融市场的剧烈波动,同时危及到整个欧元区乃至全球经济的稳定。本篇文章深入分析了欧洲主权债务危机的形成根源及影响,并揭示债务危机对各国的警示意义     

Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions∗

This paper studies spillovers among US and European sovereign yields. We employ absolute magnitude restrictions on the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 due to financial fragmentation, particularly between countries with more divergent business and fiscal cycles. We show that none of the sovereign yields were insulated from foreign shocks and that shocks to the Greek bond market in 2010 explained 20–30% of the variance of sovereign yields in stressed countries, while in 2011–2012 Italy (not Spain) was the source of systemic risk.     

The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model

This paper examines the dynamics of long term sovereign bond yields for 21 OECD countries. Following Del Negro and Otrok (2008), we estimate a dynamic factor model, with time varying parameters and stochastic volatility, that decomposes the observed variation in bond yields for each country into a common factor, a regional factor (EMU/non-EMU), and an idiosyncratic country specific factor. We find that prior to the financial crisis of 2008, the common factor played a dominant role for most countries in our sample. In the post financial crisis period there is substantial heterogeneity in the relative importance of the EMU and the idiosyncratic factors across different countries. For instance, our results suggest that there was a decoupling between the EMU and bond markets of the periphery economies of Greece, Ireland and Portugal in the post-2008 period. We find that after the onset of sovereign debt crises in these economies, the idiosyncratic factor assumed an important role in driving the bond yield variation. Thereafter, the EMU’s share in bond yield changes in Ireland and Portugal increased considerably since 2012, whereas for Greece the idiosyncratic factor continued to play a significant role in driving bond yields. In contrast, the EMU factor consistently played a dominant role in explaining bond yield changes in Italy and Spain, the other two economies that also experienced severe debt crisis during this period. We argue such differences in the importance of the EMU factor between core and periphery economies can be attributed to the systemic importance of core members for the EMU. This is indicated by our finding that bond yields and credit default swap (CDS) are less sensitive to changes in debt-GDP ratios in countries where the EMU factor played a larger role in the post-2008 period.     

Banking and sovereign debt crises in a monetary union without central bank intervention

We analyze the conditions of emergence of a twin banking and sovereign debt crisis within a monetary union in which: (i) the central bank is not allowed to provide direct financial support to stressed member states or to play the role of lender of last resort in sovereign bond markets, and (ii) the responsibility of fighting against large scale bank runs, ascribed to domestic governments, is ensured through the implementation of a financial safety net (banking regulation and government deposit guarantee). We show that this broad institutional architecture, typical of the Eurozone at the onset of the financial crisis, is not always able to prevent the occurrence of a twin banking and sovereign debt crisis triggered by pessimistic investors’ expectations. Without significant backstop by the central bank, the financial safety net may actually aggravate, instead of improve, the financial situation of banks and of the government.     

Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals

In this article, we try to realize the best compromise between in‐sample goodness of fit and out‐of‐sample predictability of sovereign defaults. To do this, we use a new regression‐tree based approach that signals impending sovereign debt crises whenever pre‐selected indicators exceed specific thresholds. Using data from emerging markets and Greece, Ireland, Portugal and Spain (GIPS) over the period 1975–2010, we show that our model significantly outperforms existing competing approaches (logit, stepwise logit, noise‐to‐signal ratio and regression trees), while balancing in‐ and out‐of‐sample performance. Our results indicate that illiquidity (high short‐term debt to reserves) and default history, together with real GDP growth and US interest rates, are the main determinants of both emerging market country defaults and the recent European sovereign debt crisis.     

Economic fundamentals and Eurozone sovereign spreads: will the good news continue?

Spreads between government bond yields in the Eurozone periphery and Germany have fallen to the lowest levels in 3 to 4 years. There are two major factors behind this. The first is the speech by ECB President Mario Draghi on 26 July 2012 promising ‘to do – within its mandate – whatever it takes’ and the ECB's Outright Monetary Transactions initiative of summer 2012. This has been successful in eliminating fears of an imminent Eurozone break‐up. The second factor is the improvement in economic fundamentals in the periphery countries, particularly in Ireland, Spain and Greece. Previous econometric work on the role of economic fundamentals at the country level has focused almost entirely on government debt and government deficit to GDP ratios. The true fundamentals have been obscured by market panics and by the fact that markets really only took full account of these fundamentals from the end of 2010. Before the middle of 2007, markets ignored the build‐up of stresses between Eurozone countries. Once amplification of perceived risks by market panics and the shift from inattention to full market attention are taken into account, a far more nuanced picture emerges of what country fundamentals really matter for sovereign spreads. In addition to excessive government debt, deteriorating competitiveness, excessive private debt, and housing market crises spilling into banking systems, have been especially prominent in the countries at the periphery. In Ireland and Spain, declining relative unit labour costs and the fading of the housing crisis have recently been important in narrowing spreads against Germany. The econometric model also suggests that good news on relative growth and inflation help narrow spreads. Prospects for further narrowing of spreads for Greece and especially for Spain look good. Once the current bout of falling spreads is over, the underlying picture suggested by the estimated model is less good for Ireland, Italy and Portugal and for the euro area core economy, France. In all four cases, the government debt to GDP ratio has been deteriorating, and for France and Italy, competitiveness has not improved significantly. For France, another factor is the rising level of the private debt to GDP ratio. For Ireland, scope is limited for the effect on the spread of further improvements in competitiveness and housing market recovery.     

Greek sovereign bond index,volatility, and structural breaks

This article investigates volatility changes in the 10-year Greek sovereign bond index returns using the multiple structural break test developed by Bai and Perron (Econometrica 66:47–78, 1998, J Appl Econ 18:1–22, 2003), which allows for endogenous identification of break dates. We find that there exists one break date in volatility, April 2010, when the European debt crisis worsened and the Greek sovereign bond was downgraded to junk status. We also obtain evidence of performance improvement in our modeling by including structural break dummies into the variance equation. We observe sharp drops in a measure of volatility persistence after incorporating the structural change. Our findings are important for not only investors who assess the volatility of sovereign bonds for portfolio risk management, but also for policy makers who wish to understand and minimize the impacts of excess volatility on the financial system in government bond markets.     

Structural break tests and the Greek sovereign debt crisis: revisited

Amidst the lack of consensus from previous academic studies, this paper contributes to existing literature by further examining the commencement date of the Sovereign Debt Crisis for the Greek economy. The contribution of this paper purports that the contentious issue of the start of the Greek crisis was taking place much earlier than reported by previous research. Empirical results from this paper challenge earlier studies that may have underestimated the impact of the degree of persistence in the volatility of bond returns. This analysis uses monthly 10-year Greek government bond data and three independent structural break model tests which allow for the detection of possible endogenous break dates to capture the beginning of the crisis. Each model provides empirically plausible and robust frameworks for examining the volatility of bond returns in an evolving time series behaviour. Ultimate results from a series of autoregressive EGARCH estimations, with and without dummy variables for break dates are compared. The dummy variables are incorporated within the coefficients of the mean and variance equations to validate the structural breaks in each series. Overall results show a significant presence of nonconsistent parameters capturing a structural break in the time series sample. The detection of this break, November 2009, represents a major regime change triggered by the start of the debt crisis for the Greek economy. Crucially, research implications of such excess volatilities in sovereign bond markets have poignant implications for regulators, investors and portfolio risk managers alike.     

Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model

This study employs a new GARCH copula quantile regression model to estimate the conditional value at risk for systemic risk spillover analysis. To be specific, thirteen copula quantile regression models are derived to capture the asymmetry and nonlinearity of the tail dependence between financial returns. Using Chinese stock market data over the period from January 2007 to October 2020, this paper investigates the risk spillovers from the banking, securities, and insurance sectors to the entire financial system. The empirical results indicate that (i) three financial sectors contribute significantly to the financial system, and the insurance sector displays the largest risk spillover effects on the financial system, followed by the banking sector and subsequently the securities sector; (ii) the time-varying risk spillovers are much larger during the global financial crisis than during the periods of the banking liquidity crisis, the stock market crash and the COVID-19 pandemic. Our results provide important implications for supervisory authorities and portfolio managers who want to maintain the stability of China’s financial system and optimize investment portfolios.     

欧债危机冲击我国股票与债券市场的风险传染研究？

欧债危机对金融市场产生了显著的冲击,引发了巨大的风险。本文通过构建二元GARCH-BEKK模型,实证检验了欧债危机背景下欧洲股票市场、我国股票市场、国债市场与企业债市场之间的波动溢出效应,揭示了欧债危机冲击我国股票市场、国债市场与企业债市场的风险传染路径。实证表明,欧债危机冲击我国股票市场与债券市场的风险传导路径为：欧债危机引发的风险通过欧洲股票市场传导到我国股票市场,然后传导到企业债市场,最后传导到国债市场。     

Analysing contagion and bailout effects with copulae

In this paper, a new methodical framework that combines elements of event studies and copula methodology is proposed in the context of the analysis of bank contagion. Furthermore, to the best knowledge of the author, this paper is the first one to analyse changes in the dependence structure of banks around bailout announcements. The results of the empirical study show that significant contagion effects could be detected both in the German banking sector after the onset of the subprime crisis as well as in the Japanese banking sector in the mid-nineties. I find that announcements of crisis at struggling banks induce a significant increase of lower tail dependence in the banking sector. The analysed bailouts and rescue measures by the central bank proved to be effective in reducing this increased lower tail dependence while increasing tail independence of bank stock returns at the same time. In both data samples, I find that the bailout announcements did not simply restore the pre-crisis dependence structure, but rather only decreased the likelihood of a joint crash of bank stocks without increasing the chances of a joint boom.     

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries. Moreover, the increase in the significance of the banking level of indebtedness and foreign bank's claims in the public sector (mainly in peripheral countries) along with the crisis unfolding seems to highlight the interconnection between private and public debt and thus, between banking and sovereign crises.     

Financial fragility,sovereign default risk and the limits to commercial bank bail-outs

We show that with intertwined weak banks and weak sovereigns, bank recapitalizations become much less effective. We construct a DSGE model with leverage constrained banks lending to firms and holding domestic government bonds. Bond prices reflect endogenously generated sovereign risk. This introduces a negative amplification cycle: after a credit crisis output losses increase more because higher interest rates trigger lower bond prices and subsequent losses at banks. This further tightens bank leverage constraints, and causes interest rates to rise further. Also bank recapitalizations are then much less effective. Recaps involve swaps of newly issued sovereign bonds for bank equity, the new debt increases sovereign debt discounts, leading to capital losses for the banks on their holdings of sovereign debt that (partially) offset the impact of the recapitalization. The favorable macroeconomic effects of bank recaps on the recovery after a financial crisis are correspondingly lower.     

希腊主权债务危机研究以及对中国的启示

由于处在全球金融危机的时代背景和独特的欧元区经济环境之下,希腊主权债务危机的发生有着自身的特点。对希腊主权债务危机的研究将有助于其他国家防范主权债务危机的发生,对于拥有巨大外汇储备和地方政府债务风险积聚的中国来说,也同样具有积极的意义。     

The debt crisis in Ireland

This paper takes a multidisciplinary approach to analyze the current debt crisis in Ireland. It briefly reviews Irish economic performance from 1980 to 2008 and in particular the Celtic Tiger years. The paper looks at changes in the Irish money supply and its contribution to the Irish housing bubble and the subsequent economic problems facing Ireland. An estimate of the negative wealth effect in Ireland since 2007 is made. Given that Ireland is a small open economy, a number of other factors which are both domestic and international are considered in an attempt to explain what has happened in Ireland, where might Ireland go from here and what lessons can be learnt. These factors include: the theory of political economics, the principal-agent problem, the theory of optimal currency areas, the Balassa Samuelson effect, the dynamics of a capitalist economy, neo-liberalism, European monetary integration, international bond markets and ‘insurance’ that was sold to cover a Eurozone breakup. The Irish culture is considered to differentiate Ireland from other EU countries, in particular, Portugal, Italy, Greece and Spain.     

Fiscal Retrenchment in Southern Europe: Changing patterns of public management in Greece,Italy, Portugal and Spain

The vulnerability of the four south European countries (Greece, Italy, Portugal and Spain) to the global financial turmoil makes the analysis of their responses to the fiscal crisis particularly interesting for the assessment of the implications of fiscal austerity for public management. Drawing on the historical institutionalist approach, our analysis reveals a picture of variation in the impact of crisis on patterns of public management across south European countries. However, it also shows uniformity in the strategies of retrenchment as in all the four countries under examination governments failed to connect cutback management to ambitious administrative modernization programmes.     

An assessment of Portuguese banks’ efficiency and productivity towards euro area participation

This paper analyses the production technology of Portuguese banks during the 1992–2006 period through the estimation of a translog cost frontier. This period is of major interest because it covers Portugal’s euro area accession and its impact on the banking system. Hence, critical factors impacting the banking system are identified against the background of increasing financial integration prior to the financial crisis that started in 2007 and later translated into strains in some European sovereign debt markets. Banks are modelled as firms which produce loans and other earning assets, choosing the cost minimizing combination of labour, capital and interest bearing debt, subject to holding a predetermined level of equity. According to the results of this study, technological progress has shifted the cost frontier downwards throughout the period under consideration, whereas the distance at which banks have operated from the frontier seems to have remained constant. Further, increases in production under scale economies have also contributed to the recorded increase in productivity.     

Sovereign rating changes—Do they provide new information for stock markets?

The purpose of this paper is to examine the impact of sovereign rating changes on international financial markets using a comprehensive database of 42 countries, covering the major regions in the world over the period 1995–2003. In general, we find that rating agencies provide stock and foreign exchange markets with new tradable information. Specifically, rating upgrades (downgrades) significantly increased (decreased) USD denominated stock market returns and decreased (increased) volatility. Whereas the mean response is contributed evenly by the local currency stock returns and exchange rate changes that make up the USD returns, only the foreign exchange volatility was behind the USD denominated return volatility. In addition, we find significant asymmetric effects of rating announcements. The market responses – both return and volatility – are more pronounced in the cases of downgrades, foreign currency debt, emerging market debt, and during crisis periods. This study has important policy implications for international investors’ asset allocation plans and for regulatory bodies such as the Basel Committee who increasingly rely upon Moody's, Standard and Poor's and Fitch's ratings for their regulatory regimes.     

Peripheries well able to cope with wider bond spreads

• While a four‐year golden period for many peripheral Eurozone governments of rising GDP growth and falling global bond yields may be coming to an end, we doubt that we will see a sharp widening of Eurozone bond spreads in 2017.
• Although higher yields are clearly not positive news for heavily indebted peripheral governments, our view is that the pace of increase in risk‐free long‐term yields will be fairly gradual this year – we expect ten‐year Bund yields to climb to just 0.6% or so by the end of 2017. Such a development is unlikely to prompt markets to demand far higher compensation for the higher risk associated with holding peripheral debt.
• Indeed, both the Italian and Spanish governments should be able to borrow at long maturities and at rates comfortably below their average rate on their outstanding stock of debt of 3% or so, throughout this year and probably beyond, even if spreads rise.
• Meanwhile, a key factor behind the rise in bond yields – the prospect of higher inflation – will have some positive effects. Higher inflation will erode the real value of outstanding debt and make it easier for intra‐Eurozone imbalances to be resolved. At the margin, a steeper yield curve will also help to boost banks' profits on lending.
• Finally, although populists support has grown, the risk of populist governments taking power in the periphery are fairly low. Italy and Spain may hold early elections, but it is not a given that elections will be held this year. And in the event of an election, we do not attach a high chance to the election of populist parties in either economy.
• Overall, while 2017 may be a bumpy one for spreads, particularly in Italy, we see only a modest widening from their current levels, reflecting improvements in the debt sustainability positions of the peripheral governments. But even these modest gains will mean Bunds would still outperform Italian and Spanish government bonds over the next year on a total returns basis.

     

中国股票市场国际联动性研究

本文选取2000~2015年全球40支股票指数日收盘价,通过建立收益率网络和DCC MVGARCH模型波动率网络对中国股票市场国际联动性进行实证分析。研究表明,随着经济全球化的加深,全球股市收益率和波动率联动逐渐增强;全球金融危机和欧债危机期间,收益率联动网络具有小世界性;中国与全球股市长期处于割裂状态,但在全球金融危机期间与其他市场联系加强。在全球经济形势复杂多变的情况下,中国应针对性采取措施促进股市发展,以分享全球金融一体化利益。