作　　者： ; ;

机构地区： 中山大学岭南学院

出　　处： 《经济学报》 2016年第1期32-51,共20页

摘　　要： 本文首先构建了含有主权信用评级的主权债券定价模型,论述了主权信用降级对主权债务危机的传导机制。主权信用降级特别是过度的降级行为,作用于投资者的风险预期,形成了影响主权债务危机的双向反馈回路,最终导致主权债务危机爆发。接着,选择1986—2012年25个国家主权债务危机和主权信用评级的年度数据进行了实证分析。数据显示,主权信用降级与主权债务危机的走势大体一致,信号法说明主权信用降级可以作为主权债务危机将要发生的预警信号。基于随机效应Probit模型的实证结果表明,主权信用降级特别是过度的主权信用降级,确实显著提高了主权债务危机爆发的概率。最后,基于研究结论,针对我国发展现状提出了一些值得借鉴的政策启示。 Sovereign credit downgrade is always the fuse of sovereign debt crisis,moreover,it even promotes the escalation and spread of crisis.However,its transmission mechanism and quantitative effect is still not studied.This article firstly constitutes a Sovereign Bonds Pricing Model containing sovereign credit ratings,and explains the transmission mechanism of the sovereign credit downgrade on sovereign debt crisis—the sovereign credit downgrade,especially the excessive downgrade,will affect the risk expectation of the investors and generate a bilateral feedback circuits on sovereign debt crisis.The article uses 25countries' annual data of sovereign credit downgrade and sovereign debt crisis from 1986 to 2012as sample.The data demonstrates that the sovereign credit downgrade and sovereign debt crisis do happen synchronously and the Signal Approach also proves that the sovereign credit downgrade may be used as an early warning for sovereign debt crisis.The empirical results of the Probit model with random effect confirms that the sovereign credit downgrade,especially the excessive downgrade,significently increases the incidence of sovereign debt crisis.Finally,the article concludes with a series of policy suggestions for China.

关 键 词： 主权信用降级 主权债务危机 传导机制 信号法 模型

领　　域： [经济管理] [经济管理]