欧洲主权债务危机及其影响

2010年2月初以来,随着美国次贷危机对各国经济的影响逐步消退、世界经济复苏越来越明显,欧洲主权债务危机开始进入人们的视野,国际金融市场出现震荡。欧洲主权债务危机对我国的影响主要是间接性的汇率风险,即我国巨额外汇储备中欧元部分的趋势性贬值风险。但是,我国应未雨绸缪,提早做好准备,主动积极应对欧洲主权债务危机。     

Sovereign default and debt renegotiation

This paper develops a small open economy model to study sovereign default and debt renegotiation for emerging economies. The model features both endogenous default and endogenous debt recovery rates. Sovereign bonds are priced to compensate creditors for the risk of default and the risk of debt restructuring. The model captures the interaction between sovereign default and ex post debt renegotiation. We find that both debt recovery rates and sovereign bond prices decrease with the level of debt. In a quantitative analysis, the model accounts for the debt reduction, volatile and countercyclical bond spreads, countercyclical trade balance, and other empirical regularities of the Argentine economy. The model also replicates the dynamics of bond spreads during the debt crisis in Argentina.     

Basic analytics of multilateral lending and surveillance

I analyse the role of multilateral financial institutions in a world of global capital markets assuming that they have an informational advantage over private lenders in the market for sovereign debt. I show that the adverse selection problem in this market may be solved through certification if the multilateral agency does not care too much about borrower country welfare. However, with lending the private information of the agency will be revealed whatever its weighting of borrower welfare vs. private lenders' profits. Multilateral lending on concessional terms also alleviates the moral hazard problem — that investment in creditworthy borrowers is reduced as private lenders seek to avoid ex post default by constraining credit.     

Sovereign default, interest rates and political uncertainty in emerging markets

A large body of the empirical literature shows that high turnover rates/length of tenure of policymakers and the degree of conflict within a country affects sovereign spreads, debt and default rates. We help to rationalize such claims by including these political features in a dynamic stochastic small open economy model of sovereign debt and default. In this way we offer a complementary approach to the econometric analyses in the literature. Consistent with the data, the quantitative analysis shows that politically unstable and more polarized economies experience higher default rates and larger level and volatility of sovereign interest rate spreads.     

Are changes in spreads of external-market debt also induced by contagion?

As governments and private companies from emerging markets have increasingly issued foreign-currency denominated debt through the 1990s, the economies concerned have become more vulnerable to abrupt changes in sovereign risk. At the same time, with closer economic integration countries have become more likely to be affected by economic problems that arise in neighboring countries. The following article uses the example of four Latin American countries to evaluate empirically the extent to which “contagion” explains changes in sovereign risk.     

Gunboats, reputation, and sovereign repayment: lessons from the Southern Confederacy

Many states that formed the Southern Confederacy defaulted on sovereign debt sold in international capital markets during the 1840s. The Confederacy also elected President Jefferson Davis, who openly advocated the repudiation of U.S. states' debts while a member of Congress. Despite its poor credit record, the Confederate government managed to float cotton bonds in England that constituted under 2% of its expenditures. The bonds were largely issued to settle overdue debts with gun contractors who had cut off trade credit. The South serviced the bonds as late as March 1865, a time of domestic hyperinflation and weeks before the fall of Richmond. Although the Confederate experience shows that trade sanctions can promote debt repayment, the gunboat model can only account for a small amount of lending. A reputation or another type of sanction would be necessary to support higher levels of lending in international capital markets.     

News and sovereign default risk in small open economies

This paper builds a unified model of sovereign debt, default risk, and news shocks. News shocks improve the quantitative performance of the sovereign default model in a number of empirically-relevant dimensions. First, with news shocks, not all defaults occur during downturns. Second, the news shocks help account for key differences between developing and more developed economies: as the precision of news improves, the model predicts lower variability of consumption, less countercyclical trade balance and interest rate spreads, as well as a higher level of debt in line with more developed economies. Third, the model captures the hump-shaped relationship between default rates and the precision of news obtained from the data. Finally, the news shocks have a nonmonotonic effect on welfare.     

欧洲主权债务危机及其对中欧贸易的影响研究

随着希腊主权债务危机的爆发,整个欧元区乃至全球又一次地笼罩在经济危机的阴影下。由于欧元体制等问题,使得希腊的债务危机逐渐演变成为欧元区债务危机,其对全球金融市场和主要经济体都产生了重大的影响。本文首先阐述欧债危机产生的背景和原因,进而分析欧债危机对中欧贸易的主要影响,并提出相应的对策建议。     

新冠肺炎疫情后各国主权债务风险及其前景

新冠肺炎疫情及其经济冲击促使许多国家财政赤字率和政府债务率大幅升高,其影响程度超过了2008年国际金融危机。笔者既不赞成现代货币理论(MMT)的看法,也不认同悲观派的看法。从影响各国主权债务风险的几大因素看,一些新兴市场经济体尤其需要关注利率的3种风险溢价:通胀风险溢价、货币贬值风险溢价和信誉(违约风险)溢价。展望未来,发达经济体和新兴市场经济体将花费数年时间进行财政收支和政府债务调整,以渐进方式推进政府部门的去杠杆。     

Banking union with a sovereign virus

Despite the experience of the ongoing sovereign debt crisis, European banks continue to hold large amounts of bonds from their home governments. This ties the fates of the sovereign and the banks together, leading to the disruptive self-reinforcing feedback loops that brought the euro area to the brink of collapse. This article addresses how banks can be weaned off of their massive investments in their home government’s bonds.     

Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and the external debt and international reserves (both as percentage of GDP) are key drivers of sovereign bond spreads. Moreover, we test the crisis impact over emerging economies. Our results show that the crisis has a statistically significant impact on the EMBIG spreads since 2008.     

The stock of external sovereign debt: Can we take the data at ‘face value’?

The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of external sovereign debt for 100 developing countries from 1979 through 2006 that correct for differences in contractual form and maturity. We show that our alternative measures: (1) paint a very different quantitative, and in some cases also qualitative, picture of the stock of developing country external sovereign debt; (2) often invert rankings of indebtedness across countries, which historically defined eligibility for debt forgiveness; (3) indicate that the empirical performance of the benchmark quantitative model of sovereign debt deteriorates by roughly 50% once model-consistent measures of debt are used; (4) show how the spread of aggregation clauses in debt contracts that award creditors voting power in proportion to the contractual face value may introduce inefficiencies into the process of restructuring sovereign debts; and (5) illustrate how countries have manipulated their debt issuance to meet fiscal targets written in terms of face values.     

Ethical issues in international lending

This article deals with the ethical issues faced by commercial banks, governments and international financial institutions in their international lending activities. Such issues include not only to whom and for what purpose such lending takes place but also the more delicate questions of the relations between sovereign lending and economic management, as well of lending to sovereign countries embroiled in situations of conflict. It leads to the ethical issues raised by the present international debt crisis: co-responsibility, burden-sharing, role of the international organisations. Finally, capital flight out of developing countries is studied as a special case.Bernard Snoy born in Bois-Seigneur-Isaac (Belgium) in 1945.Holder of bachelor's degree in philosophy and of doctor's degree in law from Catholic University of Louvain and of Ph.D. in economics from Harvard.Has worked for 12 years with the World Bank in Washington and in Paris.Has been teaching at the Catholic University of Louvain and at the College of Europe (Bruges).Has been for two years Economic Adviser at the Commission of the European Communities.Since May 1988, Bernard Snoy assumed the position of Chief of the Minister's Cabinet at the Belgian Ministry of Finance.This presentation made in November 1987 reflects the views of the speaker and does not necessarily represent the views of the Commission.     

Optimal reserve management and sovereign debt

Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign's willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitatively important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs.     

主权债务危机早期预警系统研究——基于BP神经网络方法

文章运用BP神经网络方法,构建了主权债务危机早期预警系统。通过对1991-2006年54个发展中国家宏观经济及债务状况数据的实证研究发现,该系统能对未来三年内出现的主权债务危机事件起到较好的预警作用,预警总体效果达86.7%。同时,与二元Logistic模型进行预测对比,发现运用人工神经网络方法对主权债务危机进行预警比二元Logistic方法具有相对优势。     

Von der Staatsverschuldung zum Staatsbankrott?

The increase of sovereign debt and the crisis in the Eurozone led to a public discussion about the possibility and the causes of a sovereign default. This paper shows by looking at the development in the Eurozone that for a government defaulting on its debt the amount of sovereign debt is not crucial; the essential question is whether a government is able to borrow in its own currency and — if that is not the case — the amount of international debt of the whole country. This leads to important conclusions for European economic policy.     

SME lending and banking system stability: Some mechanisms at work

This paper sheds light on the effects of SME lending on banking system stability. Using a dataset of 32 economies during 2007–15, we find that higher growth in SME lending is associated with greater banking system stability, as measured by greater distance to default, but only in emerging market economies (EMEs). In EMEs, financial development tends to be lower and information asymmetries higher so that profitable projects may remain unfinanced.     

Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis

We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching to select a non-crisis sample for comparison with the crisis sample that is more robust to exogenous crisis dating. We find minimal changes over the crisis period in the average spreads of local-currency-denominated emerging market bonds. In contrast, the spreads of peripheral Eurozone sovereign bonds increased by large amounts and were subject to sovereign risk contagion.     

Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises

Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in crisis management. We examine how such public intervention in sovereign debt crises affects efficiency, ex ante and ex post. Our results shed light on the scale of capital inflows and the implications for debtor country output of such a regime. The efficacy of measures such as officially sanctioned stays on creditor litigation depend critically on the quality of public sector surveillance and the size of the costs of sovereign debt crises.     

On the Risk of a Sovereign Debt Crisis in Italy

The intention for the Italian government to stimulate business activity via large increases in government spending is not in line with the stabilisation of the public debt ratio. Instead, if such policy were implemented, the risk of a sovereign debt crisis would be high. In this article, we analyse the capacity of the Italian economy to shoulder sovereign debt under different scenarios. We conclude that focusing on growth enhancing structural reforms, would allow for moderate increases in public expenditure.