欧元区主权债务违约风险研究
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摘要
欧元区是人类历史上,民族国家实现和平自主的政治经济高度融合的最高形式,是历史性与逻辑性的完美统一,代表着人类文明发展和进步的方向。在这一恢宏背景和进程中,出现的任何政治、经济失误都值得我们认真的思考和探讨。发轫于2009年的欧元区主权债务危机仍在持续,许多成员国,尤其是外围国家债务规模居高不下,赤字飙升,债券收益率利差显著加宽,主权违约风险非常严峻,欧元区乃至欧盟面临着解体的重大挑战。
主权债务危机作为金融危机的一种形式,在人类文明史上频繁地发生。欧元区主权债务危机的独特之处在于它是人类历史上第一次在货币联盟内发生的成员国主权债务违约,其成因、过程和对策都显著有别于传统的民族国家。欧元区主权债务违约风险的积聚和爆发,绝非个别成员国债务规模过大,偿付能力不足那样简单,实际上是欧元区政治架构和民主基础、公约规则和经济制度、财政与货币政策安排、经济竞争力分化乃至金融市场反应等多方面共同作用的结果。
本文从欧元区主权债务危机的背景和演进入手,从数百年的主权债务违约史中概括主权违约的一般特征。在对欧元区的主权违约风险进行分析时,本文先从主权违约的政治基础和架构着手,随后对欧元区的财政货币制度协调、宏观经济失衡、财政可持续性、金融市场风险传染等对主权违约风险有重大影响的因素进行了深入分析,在此基础提出建立财政联盟和银行联盟,从根本上消除货币联盟中成员国的违约风险。最后本文还从货币联盟的发展史为切入点,分析了成员国退出欧元区的政治、经济、法律和技术障碍,指出无论是强国还是弱国退出欧元区对其自身都是灭顶之灾,成员国没有动力退出货币联盟,欧元区将走向更高层次的政治、经济和社会融合。
本文共八章组成。第一章绪论。对研究的背景和意义进行了阐述,回顾了以往学者对此问题的研究成果,介绍了文章的研究思路和方法,说明了文章的可能创新点和不足之处。
第二章主权债务危机的演进和一般特征。本章主要围绕“欧元区”、“主权债务”和“主权违约”等三大核心概念展开介绍,通过回顾以往货币联盟崩溃的历史,为欧元区的发展提供历史借鉴。追溯欧元区的发展历程和历史贡献,并参考评级机构的违约定义,判定希腊已经发生实质上的违约。以此为出发点,梳理了1800年以来欧洲大陆发生的主权违约事件,并着重指出了货币联盟的债务危机预期自我实现的特征和运行机理。
第三章从违约的政治架构谈起,主权违约不只是没有偿付能力,也包括没有偿付意愿。不同的政治架构、政治体制对主权国家的财政改革和偿债意愿有不同的影响。本章指出一方面,政局的非正常变动,以及议会制都给债务危机的爆发和应对带来了严重的挑战。另一方面,欧元区的政治架构不同于一般的民族国家,其民主赤字导致了欧元区在民主基础上的缺失、经济趋同和稳定增长公约的执行,乃至政治领导力的种种不足,为欧元区主权违约埋下了隐患。
第四章讨论财政-货币政策与主权违约风险的关系。从分析欧元区独特的宏观治理架构出发,指出单一货币政策与各自为政的财政政策存在根本缺陷,即使货币联盟在一开始就意识到这些重大风险,但十余年来并没有有效地解决。本章认为,欧元区财政政策及财政纪律的协调在危机爆发之前就没有得到切实的执行,才造成了许多国家的债务和赤字水平居高不下。相反,货币政策保持了高度的独立性,治理措施和效果也及时和有效,尤其是多种非传统货币政策的实施,在相当程度上缓解了欧元区的违约风险。此外,以ESM为代表的危机管理措施从无到有,从临时到永久,为救助希腊等外围国家提供了有效的支持。
第五章论述宏观经济失衡对主权违约风险的影响。本章主要阐述欧元区成员国之间的单位劳动力成本、通货膨胀水平等分化,导致南欧等国的经济竞争力明显减弱,经常项目大规模赤字,不得不大量依靠债务融资,从而推高了债务水平。同时,运用部门资产负债表方法分析政府、居民、银行和企业等经济部门的资产负债情况,从存量的角度观察违约风险在这些部门之间的传导,以及去杠杆给部门资产负债表带来的影响。
第六章阐述福利制度、财政可持续性对主权债务的影响。与经济发展不协调的福利制度在一定程度上造成了南欧等国的公共债务不断上升,大大增加了违约风险。与此同时,财政可持续性是主权违约风险的根本影响因素,将至少从偿付能力和流动性影响违约风险。本章将采用欧盟已经比较成熟的短期、中期和长期可持续性指标来分析成员国的财政稳健程度,并指出人口结构变化、政府资产、债务规模和或有债务将如何影响财政可持续性,最后对欧元区的典型国家做出了具体分析。
第七章讨论金融市场对主权违约风险的评估和传染。本章分两部分,第一部分从国民经济运行的政治风险、经济结构和展望、财政弹性、货币弹性以及外部流动性来分析欧元区及部分国家的偿债能力。作为违约风险定价模式的转变,本章将通过区内主权国家的债券利差模型说明违约风险溢价的评估已经从全球金融市场供需模式转向了基本面定价模式,并结合南欧诸国进行了违约风险的具体国别评析。第二部分,我们将利用CDS利差模型来分析欧元区风险传染所发生的效果。
第八章提出主权违约风险的对策,并指出未来5年欧元区的可能走向。本章认为,强国和弱国退出欧元区的政治、经济后果以及法律、技术障碍,决定了退出欧元区对于任何成员国都是前所未有的冲击。基于此,各成员国可能只有坚持为财政联盟、银行业联盟打下坚实基础,推动欧元区走向更高层次的经济政治融合,才能从根本上解决违约风险。在这个大方向上,我们分析了欧元区在第八届欧洲议会任期内所面临的挑战和需要取得的进步。
Eurozone in human history, the nation-state to achieve the highest form of peaceful political and economic autonomy high degree of integration is a historical and logical perfect unity, representing the direction of the development of human civilization and progress. In this magnificent background and process, appear to any political, economic failures are worthy of our serious thinking and discussion. Began in earnest in2009in the euro zone sovereign debt crisis continues, many Member States, especially in peripheral countries remain high debts, deficits soaring bond yields spreads widened significantly, sovereign default risk is very serious, and even the European Union Eurozone major challenges facing disintegration.
Sovereign debt crisis as a form of financial crisis, frequently occur in the history of human civilization. Unique in the euro zone sovereign debt crisis is that it is a member of a sovereign debt default the first time in human history occurred in the monetary union, its causes, processes and countermeasures were significantly different from the traditional nation-state. Accumulation and the outbreak of the euro zone sovereign debt default risk, not individual member states debt too large, the solvency deficiency as simple, in fact, the euro area and the democratic political framework based on the rules and conventions economic system, fiscal and monetary policy arrangements, economically competitive differentiation and even result in financial markets react, and many other common effects.
From the background and evolution of the euro zone sovereign debt crisis starting summarized the general characteristics of a sovereign default in history from centuries of sovereign debt default in. The risk of sovereign default in the euro zone were analyzed in this article to start the political foundation and framework of sovereign defaults begin, followed by the euro area's fiscal and monetary regime coordination of macroeconomic imbalances, financial sustainability, financial markets, such as sovereign risk contagion default risk factors have a significant impact on in-depth analysis on the basis proposed the establishment of a fiscal union and banking union, to eliminate the risk of default monetary Union member countries fundamentally. Finally, also from the history of the development of monetary union as a starting point, out of the euro member countries analyzed the political, economic, legal and technical barriers, noting whether it is powerful or weak countries are drowned out of the euro on its own members States have no incentive to exit the monetary union, the euro zone will move toward a higher level of political, economic and social integration.
This paper is composed of nine chapters. The first chapter, the paper describes the background and significance of research methods and logical structure, and the lack of major innovations. Evolution and general characteristics of the second chapter of the eurozone sovereign debt crisis, explained the development process, the evolution of the sovereign debt crisis, as well as the general characteristics of many events in the history of sovereign default in the euro area, which focuses on the frequency of sovereign default, and expected loss characteristics of self-realization. The third chapter review of the literature. The fourth chapter analyzes the political foundation and structure of sovereign default, the euro zone from the general political struggle to a unique political structure, focusing show the non-normal risk of default to the political changes brought by the Member States and the lack of democratic deficit in the digestion of default risk. The fifth chapter analyzes the fiscal discipline and policy coordination conflict fragmented single monetary policy and the euro area fiscal policies, as well as before and after the outbreak of the debt crisis, the European Central Bank to ease the risk of default and the implementation of a series of monetary policy. The sixth chapter analyzes the impact of macroeconomic imbalances brought to the risk of default, the main concern of the current account imbalances, convergence tool failures and sector balance sheet risk conduction. Chapter VII discusses the relationship between welfare policies, fiscal sustainability and default risk, the paper considers the southern European countries beyond its economic base level of benefits, and the deterioration of fiscal sustainability are to some extent increased the risk of default. Chapter VIII of the assessment and analysis of financial market contagion effect on default risk, learn the system of rating agencies and sovereign bond spreads observed from the perspective of economic basic face quantify the impact of default risk, the risk of default of Italy and other southern European countries were a degree of assessment. In order to investigate the risk of contagion in the euro area, the reference Bekaert et al.(2011) arbitrage model, reveal the risk of default in the euro zone overflow and infection. Chapter IX proposed measures and the default risk of the euro zone's future, the establishment of a fiscal union and banking union is the key monetary union to eliminate the risk of default from the root. On the basis of analysis of the history of the collapse of the monetary union, we pointed out the obstacles facing the exit from the euro, as well as strong and weak exit costs to arrive at the conclusions of the disintegration of the euro area will not, and the future of the reform and the euro area to make some superficial judgments and recommendations.
主权债务危机作为金融危机的一种形式,在人类文明史上频繁地发生。欧元区主权债务危机的独特之处在于它是人类历史上第一次在货币联盟内发生的成员国主权债务违约,其成因、过程和对策都显著有别于传统的民族国家。欧元区主权债务违约风险的积聚和爆发,绝非个别成员国债务规模过大,偿付能力不足那样简单,实际上是欧元区政治架构和民主基础、公约规则和经济制度、财政与货币政策安排、经济竞争力分化乃至金融市场反应等多方面共同作用的结果。
本文从欧元区主权债务危机的背景和演进入手,从数百年的主权债务违约史中概括主权违约的一般特征。在对欧元区的主权违约风险进行分析时,本文先从主权违约的政治基础和架构着手,随后对欧元区的财政货币制度协调、宏观经济失衡、财政可持续性、金融市场风险传染等对主权违约风险有重大影响的因素进行了深入分析,在此基础提出建立财政联盟和银行联盟,从根本上消除货币联盟中成员国的违约风险。最后本文还从货币联盟的发展史为切入点,分析了成员国退出欧元区的政治、经济、法律和技术障碍,指出无论是强国还是弱国退出欧元区对其自身都是灭顶之灾,成员国没有动力退出货币联盟,欧元区将走向更高层次的政治、经济和社会融合。
本文共八章组成。第一章绪论。对研究的背景和意义进行了阐述,回顾了以往学者对此问题的研究成果,介绍了文章的研究思路和方法,说明了文章的可能创新点和不足之处。
第二章主权债务危机的演进和一般特征。本章主要围绕“欧元区”、“主权债务”和“主权违约”等三大核心概念展开介绍,通过回顾以往货币联盟崩溃的历史,为欧元区的发展提供历史借鉴。追溯欧元区的发展历程和历史贡献,并参考评级机构的违约定义,判定希腊已经发生实质上的违约。以此为出发点,梳理了1800年以来欧洲大陆发生的主权违约事件,并着重指出了货币联盟的债务危机预期自我实现的特征和运行机理。
第三章从违约的政治架构谈起,主权违约不只是没有偿付能力,也包括没有偿付意愿。不同的政治架构、政治体制对主权国家的财政改革和偿债意愿有不同的影响。本章指出一方面,政局的非正常变动,以及议会制都给债务危机的爆发和应对带来了严重的挑战。另一方面,欧元区的政治架构不同于一般的民族国家,其民主赤字导致了欧元区在民主基础上的缺失、经济趋同和稳定增长公约的执行,乃至政治领导力的种种不足,为欧元区主权违约埋下了隐患。
第四章讨论财政-货币政策与主权违约风险的关系。从分析欧元区独特的宏观治理架构出发,指出单一货币政策与各自为政的财政政策存在根本缺陷,即使货币联盟在一开始就意识到这些重大风险,但十余年来并没有有效地解决。本章认为,欧元区财政政策及财政纪律的协调在危机爆发之前就没有得到切实的执行,才造成了许多国家的债务和赤字水平居高不下。相反,货币政策保持了高度的独立性,治理措施和效果也及时和有效,尤其是多种非传统货币政策的实施,在相当程度上缓解了欧元区的违约风险。此外,以ESM为代表的危机管理措施从无到有,从临时到永久,为救助希腊等外围国家提供了有效的支持。
第五章论述宏观经济失衡对主权违约风险的影响。本章主要阐述欧元区成员国之间的单位劳动力成本、通货膨胀水平等分化,导致南欧等国的经济竞争力明显减弱,经常项目大规模赤字,不得不大量依靠债务融资,从而推高了债务水平。同时,运用部门资产负债表方法分析政府、居民、银行和企业等经济部门的资产负债情况,从存量的角度观察违约风险在这些部门之间的传导,以及去杠杆给部门资产负债表带来的影响。
第六章阐述福利制度、财政可持续性对主权债务的影响。与经济发展不协调的福利制度在一定程度上造成了南欧等国的公共债务不断上升,大大增加了违约风险。与此同时,财政可持续性是主权违约风险的根本影响因素,将至少从偿付能力和流动性影响违约风险。本章将采用欧盟已经比较成熟的短期、中期和长期可持续性指标来分析成员国的财政稳健程度,并指出人口结构变化、政府资产、债务规模和或有债务将如何影响财政可持续性,最后对欧元区的典型国家做出了具体分析。
第七章讨论金融市场对主权违约风险的评估和传染。本章分两部分,第一部分从国民经济运行的政治风险、经济结构和展望、财政弹性、货币弹性以及外部流动性来分析欧元区及部分国家的偿债能力。作为违约风险定价模式的转变,本章将通过区内主权国家的债券利差模型说明违约风险溢价的评估已经从全球金融市场供需模式转向了基本面定价模式,并结合南欧诸国进行了违约风险的具体国别评析。第二部分,我们将利用CDS利差模型来分析欧元区风险传染所发生的效果。
第八章提出主权违约风险的对策,并指出未来5年欧元区的可能走向。本章认为,强国和弱国退出欧元区的政治、经济后果以及法律、技术障碍,决定了退出欧元区对于任何成员国都是前所未有的冲击。基于此,各成员国可能只有坚持为财政联盟、银行业联盟打下坚实基础,推动欧元区走向更高层次的经济政治融合,才能从根本上解决违约风险。在这个大方向上,我们分析了欧元区在第八届欧洲议会任期内所面临的挑战和需要取得的进步。
Eurozone in human history, the nation-state to achieve the highest form of peaceful political and economic autonomy high degree of integration is a historical and logical perfect unity, representing the direction of the development of human civilization and progress. In this magnificent background and process, appear to any political, economic failures are worthy of our serious thinking and discussion. Began in earnest in2009in the euro zone sovereign debt crisis continues, many Member States, especially in peripheral countries remain high debts, deficits soaring bond yields spreads widened significantly, sovereign default risk is very serious, and even the European Union Eurozone major challenges facing disintegration.
Sovereign debt crisis as a form of financial crisis, frequently occur in the history of human civilization. Unique in the euro zone sovereign debt crisis is that it is a member of a sovereign debt default the first time in human history occurred in the monetary union, its causes, processes and countermeasures were significantly different from the traditional nation-state. Accumulation and the outbreak of the euro zone sovereign debt default risk, not individual member states debt too large, the solvency deficiency as simple, in fact, the euro area and the democratic political framework based on the rules and conventions economic system, fiscal and monetary policy arrangements, economically competitive differentiation and even result in financial markets react, and many other common effects.
From the background and evolution of the euro zone sovereign debt crisis starting summarized the general characteristics of a sovereign default in history from centuries of sovereign debt default in. The risk of sovereign default in the euro zone were analyzed in this article to start the political foundation and framework of sovereign defaults begin, followed by the euro area's fiscal and monetary regime coordination of macroeconomic imbalances, financial sustainability, financial markets, such as sovereign risk contagion default risk factors have a significant impact on in-depth analysis on the basis proposed the establishment of a fiscal union and banking union, to eliminate the risk of default monetary Union member countries fundamentally. Finally, also from the history of the development of monetary union as a starting point, out of the euro member countries analyzed the political, economic, legal and technical barriers, noting whether it is powerful or weak countries are drowned out of the euro on its own members States have no incentive to exit the monetary union, the euro zone will move toward a higher level of political, economic and social integration.
This paper is composed of nine chapters. The first chapter, the paper describes the background and significance of research methods and logical structure, and the lack of major innovations. Evolution and general characteristics of the second chapter of the eurozone sovereign debt crisis, explained the development process, the evolution of the sovereign debt crisis, as well as the general characteristics of many events in the history of sovereign default in the euro area, which focuses on the frequency of sovereign default, and expected loss characteristics of self-realization. The third chapter review of the literature. The fourth chapter analyzes the political foundation and structure of sovereign default, the euro zone from the general political struggle to a unique political structure, focusing show the non-normal risk of default to the political changes brought by the Member States and the lack of democratic deficit in the digestion of default risk. The fifth chapter analyzes the fiscal discipline and policy coordination conflict fragmented single monetary policy and the euro area fiscal policies, as well as before and after the outbreak of the debt crisis, the European Central Bank to ease the risk of default and the implementation of a series of monetary policy. The sixth chapter analyzes the impact of macroeconomic imbalances brought to the risk of default, the main concern of the current account imbalances, convergence tool failures and sector balance sheet risk conduction. Chapter VII discusses the relationship between welfare policies, fiscal sustainability and default risk, the paper considers the southern European countries beyond its economic base level of benefits, and the deterioration of fiscal sustainability are to some extent increased the risk of default. Chapter VIII of the assessment and analysis of financial market contagion effect on default risk, learn the system of rating agencies and sovereign bond spreads observed from the perspective of economic basic face quantify the impact of default risk, the risk of default of Italy and other southern European countries were a degree of assessment. In order to investigate the risk of contagion in the euro area, the reference Bekaert et al.(2011) arbitrage model, reveal the risk of default in the euro zone overflow and infection. Chapter IX proposed measures and the default risk of the euro zone's future, the establishment of a fiscal union and banking union is the key monetary union to eliminate the risk of default from the root. On the basis of analysis of the history of the collapse of the monetary union, we pointed out the obstacles facing the exit from the euro, as well as strong and weak exit costs to arrive at the conclusions of the disintegration of the euro area will not, and the future of the reform and the euro area to make some superficial judgments and recommendations.
引文
2 引自：http://en.wikipedia.org/wiki/Eurozone
3 引自http://www.reuters.com/article/2012/03/09/us-greece-cds-isda-trigger-idUSBRE82817B20120309
4 引自：http://www.cs.com.cn/hw/04_1/201111/t20111122_3137300.html
7 引自：http://ec.europa.eu/economy_finance/articles/governance/2012-03-14_six_pack_en.htm
8 引自http://en.wikipedia.org/wiki/EFSF
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11 引自：http://en.wikipedia.org/wiki/Credit_default_swap
12 引自：http://www.ceweeklv.cn/2014/0421/81716.shtml
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