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題名：公債殖利率能否作為解釋國家主權債務違約的良好指標--歐元區、OECD與重要新興經濟體的實證研究
書刊名：經濟論文
作者：謝林芳羽／葉國俊 引用關係
作者(外文)：Hsiehlin, Fangyu／Yeh, Kuo-chun
出版日期：2015
卷期：43:4
頁次：頁417-446
主題關鍵詞：債務危機；歐元區；新興經濟體；Probit模型；Sovereign debt crisis；Euro area；OECD；Emerging markets；Probit model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:1
  • 點閱點閱:11
2008年金融海嘯與2010年歐債危機相繼爆發後，歐債五國公債殖利率持續攀升，金融實務界與傳播媒體爭相報導渲染，認為這必將造成債務負擔與財政狀況持續惡化事並危及歐元區的前途。然而公債殖利率本身受到許多因素影響，與債務危機亦可能互為因果今其他總體經濟或非經濟變數的解釋能力事或較之史勝一籌。本文根據目前較具公信力的債務危機資料庫，使用Probit模型及其修正模式，就歐元區、OECD國家及重要新興經濟體進行比較分析。儘管實證結果會受到不同資料庫定義差異的影響，但就歐元區等先進經濟體而言，公債殖利率並無顯著的解釋能力。此外事與先進國家相較，新興經濟體的債務違約機率確實較高。
This paper defines the sovereign debt crises using two famous databanks, and then tests whether the long-term government bond yields and other macroeconomic variables can be statistically significant in a probit model. The samples include the Euro area, OECD and the emerging economies. The results indicate that the government bond yields are unable to explain the cases of the advanced economies. In addition, the probability of sovereign default in the emerging markets is higher than that in the advanced economies.
期刊論文
1.Reinhart, Carmen M.、Rogoff, Kenneth S.、Savastano, Miguel A.(2003)。Debt intolerance。Brookings Papers on Economic Activity，1，1-74。  new window
2.Arellano, C.(2008)。Default Risk and Income Fluctuations in Emerging Economies。American Economic Review，98(3)，690-712。  new window
3.Keshk, Omar(2003)。CDSIMEQ: A Program to Implement Two-Stage Probit Least Squares。Stata Journal，3(2)，157-167。  new window
4.Ardagna, S.、Caselli, F.、Lane, T.(2004)。Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries。The B.E. Journal of Macroeconomics，7(1)。  new window
5.Aktug, R. E(2014)。A Critique of the Contingent Claims Approach to Sovereign Risk Analysis。Emerging Markets Finance and Trade，50(S1)，294-308。  new window
6.Candelon, B.、Dumitrescu, E.、Hurlin, C.(2012)。How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods。IMF Economic Review，60(1)，75-113。  new window
7.Candelon, B.、Dumitrescu, E.、Hurlin, C.(2014)。Currency Crises Early Warning Systems: Why They Should Be Dynamic。International Journal of Forecasting，30(4)，1016-1029。  new window
8.Herndon, T.、Ash, M.、Pollin, R.(2013)。Does High Public Debt Consistently Stifle Economic Growth? A Critique of Reinhart and Rogoff。Cambridge Journal of Economics，38(2)，257-279。  new window
9.Grossman, H. I.、Van Huyck, J. B.(1988)。Sovereign Debt as a Contingent Claim: Excusable Default, Repudiation and Reputation。American Economic Review，78(5)，1088-1097。  new window
10.Eaton, J.、Gersovitz, M.(1981)。Debt with Potential Repudiation: Theoretical and Empirical Analysis。Review of Economic Studies，48(2)，289-309。  new window
11.Gray, D. F.、Merton, R. C.、Bodie, Z.(2007)。Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk。Journal of Investment Management，5(4)，5-28。  new window
12.Hilscher, J.、Nosbusch, Y.(2010)。Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt。Review of Finance，14(2)，235-262。  new window
13.Manasse, P.、Roubini, N.(2009)。Rules of Thumb for Sovereign Debt Crises。Journal of International Economics，78(221)，192-205。  new window
14.Kovrijnykh, N.、Szentes, B.(2007)。Equilibrium Default Cycles。Journal of Political Economy，115(3)，403-446。  new window
15.Tomz, M.、Wright, M.(2007)。Do Countries Default in Bad Times?。Journal of the European Economic Association，5(2)，352-360。  new window
16.Bharath, S. T.、Shumway, T.(2008)。Forecasting Default with the Merton Distance to Default Model。Review of Financial Studies，21(3)，1339-1369。  new window
17.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicators。Journal of Business，62(3)，369-391。  new window
18.Reinhart, Carmen M.、Rogoff, Kenneth S.(2010)。Growth in a Time of Debt。American Economic Review，100(2)，573-578。  new window
研究報告
1.Aizenman, J.(2014)。The Eurocrisis: Muddling Through or on the Way to a More Perfect Union。  new window
2.Baldacci, E.、Kumar, M. S.(2010)。Fiscal Deficit, Public Debt and Sovereign Bond Yields。  new window
3.Detragiache, E.、Spilimbergo, A.(2001)。Crises and Liquidity: Evidence and Interpretation。  new window
4.Cottarelli, C.、Forni, L.、Gottschalk, J.、Mauro, P.(2010)。Default in Today's Advanced Economies: Unnecessary, Undesirable, and Unlikely。  new window
5.Comelli, F.(2014)。Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies。  new window
6.Ghosh, A. R.、Kim, J. I.、Mendoza, E. G.、Ostry, J. D.、Qureshi, M. S.(2011)。Fiscal Fatigue, Fiscal Space and Debt Sustainability in Advanced Economies。  new window
7.Keller, C.、Kunzel, P.、Souto, M.(2007)。Measuring Sovereign Risk in Turkey: An Application of the Contingent Claims Approach。  new window
8.Joy, M.(2012)。Sovereign Default and Macroeconomic Tipping Points。  new window
9.Herrera, H.、Ordonez, G.、Trebesch, C.(2014)。Political Booms, Financial Crises。  new window
10.Nelson, R. M.(20131028)。Sovereign Debt in Advanced Economies: Overview and Issues for Congress。  new window
11.Manasse, P.、Roubini, N.、Schimmelpfennig, A.(2003)。Predicting Sovereign Debt Crises。  new window
12.Lorenzoni, G.、Werning, I.(2013)。Slow Moving Debt Crises。  new window
13.Pescatori, Andrea、Sandri, Damiano、Simon, John(2014)。Debt and Growth: Is There a Magic Threshold?。  new window
14.Das, U. S.、Papaioannou, M. G.、Trebesch, C.(2012)。Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts。International Monetary Fund。  new window
圖書
1.Reinhart, Carmen M.、Rogoff, Kenneth S.(2009)。This Time is Different: Eight Centuries of Financial Folly。Princeton, NJ：Princeton University Press。  new window
2.Suter, C.(1992)。Debt Cycles in the World Economy: Foreign Loans, Financial Crises, and Debt Settlements, 1820-1990。Boulder：Westview。  new window
其他
1.Buiter, W. H.(2010)。Sovereign Debt Problems in Advanced Industrial Countries，http://www.cfr.org/greece/c-peter-mccolough-series-international-economics-sovereign-debt-problems-advanced-industrial-countries/p34753。  new window
圖書論文
1.葉國俊(2013)。歐元區紓困爭議與國際經濟政策協調作為。歐債陰影下歐洲聯盟新財經政策。臺北：臺大出版中心。new window  延伸查詢new window
 
 
 
 
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