主权债务重组问题研究

发布时间：2018-01-14 11:17

本文关键词：主权债务重组问题研究　出处：《西南财经大学》2013年博士论文　论文类型：学位论文

【摘要】：2009年10月,希腊政府宣布当年政府财政赤字和公共债务占国内生产总值的比例预计将分别达到12.7%和113%,远超欧盟《稳定与增长公约》规定的3%和60%的上限。鉴于希腊政府财政状况显著恶化,全球三大信用评级机构惠誉、标准普尔和穆迪先后调低希腊主权信用评级,希腊债务危机正式拉开序幕。随后,危机迅速扩大到整个欧洲地区,西班牙、爱尔兰、葡萄牙、意大利等国相继陷入到主权债务危机中,希腊债务危机演变成欧洲债务经济危机。欧债危机的进一步扩散,发达国家和新兴经济体都受到了冲击。加之全球经济的低迷,很多新兴经济体的偿债能力持续下降,主权信用状况持续恶化,加大了各国发生主权债务危机的可能性。主权债务危机的频繁发生严重地影响了世界经济的健康发展和金融稳定。因此,如何预防主权债务危机的发生和主权债务危机发生后如何解决成为理论界一直关注的焦点。研究主权债务危机的原因,要追溯到主权债务的使用。主权债务的使用对债务国的经济发展等多方面都具有积极的意义,但债务过多的积累和不合理使用会产生债务风险,债务风险积累到一定程度就会发生债务违约和爆发债务危机,而债务危机的解决最直接有效的办法就是债务重组。本文基于以上的逻辑,对债务重组的相关问题进行研究,同时具有理论意义和现实意义。本文研究的理论意义在于：第一,通过建立数理模型对债务国违约的内因进行研究,从理论上阐明债务国在具有制裁的条件下,仍然选择违约的原因。第二,通过莫顿模型构建债务悬突额效应测算方法。本文研究的现实意义在于：第一,通过对主权债务重组的相关内容进行整理,加以分析,使我们对主权债务重组具有更加深刻的认识,更加合理的使用。主权债务危机是诸多因素作用的结果,外部因素主要受制于全球经济的发展,债务国无法控制；但内部因素则是各国经济金融政策造成的,债务国是可以通过政策改变来纠正。所以,主权债务重组不能简单地实行债务减免和债务期限变更,应该着重于债务国经济制度和结构的改善。第二,对如何合理看待和利用主权信用评级,使其对我国经济发展产生有益的影响。目前,信用评级产品质量下降、信用评级机构行为不当和由信用评级机构的准监管权所引发的信用危机等问题,助长了全球性金融危机和经济危机,也使得信用评级这一工具越来越缺乏权威性和说服力。但主权信用评级作为世界投资者主要的决策参考,对于一个国家吸引外部投资意义重大。我国进入国际资本市场,就不得不接受这一普适性的规则。第三,通过对主权或有债务的相关分析,使得我们对或有债务有正确的认识和理解。在我国社会主义市场经济的建设过程中,为发展经济的需要,各地方政府不但举借了大量的直接债务,而且还形成了巨额的或有债务。这一经济发展中的问题若不解决好,不但会影响经济的良性发展,而且还有可能造成地方经济的衰退,影响国家经济和政治局面的稳定。全文共分七章,结构安排和主要内容如下：第一章是绪论,主要阐述本文的研究背景、意义、目的、方法、研究思路和逻辑,可能的创新点和不足。第二章是文献综述,系统的回顾了以往国内外关于主权债务重组的相关文献,并从债权人存在性、债券收益率、债务违约与债务危机、主权债务重组及主权或有债务等五个方面对文献进行了述评。主权债务重组的存在是主权债务发展到一定历史阶段必然的产物。随着国际资本市场迅速发展,主权国家的过度举债导致主权风险产生,主权风险累积到一定程度就会发生主权债务违约,违约的解决需要主权债务重组,重组的目的是使债务国得到进一步发展的机会和减少债权人的损失。进一步,在文献综述的基础上,提出了本文进一步研究的方向。第三章就主权债务风险的相关问题进行分析。首先,总结主权债务的相关影响。主权债务对债务国而言,既有积极的影响,也有消极的影响。其中积极的影响有：提升债务国经济发展实力、创造良好的引资条件、解决债务国投资不足的问题、打破债务国贫困的恶性循环和改善债务国的国民福利；消极的影响有：债务国经济负担加重、剩余价值流失、加强了发达国家向发展中国家的金融霸权渗透、提高了债务国金融系统的脆弱性、对债务国的声誉产生负面的影响。在此基础上,对主权债务风险的具体类型和相关指标进行整理分析。主权债务风险是多种风险复合而成,其中包括：市场风险、流动性风险、信用风险、展期风险和债务结构风险。衡量的指标有：负债率、债务率、偿债率及第三方机构认证衡量的标准信用违约互换和信用评级。最后,我们对主要经济体国家的债务风险进行评估和对我国债务现况和风险进行分析。第四章对债务国的违约原因进行分析。首先回顾债务违约的历史,债务违约的条件及债务违约的原因：其次,采用Obstfeld的分析框架,建立数理模型分析债务国违约的成本；最后,我们应用一个两期债务模型分析,得出债务国由于存在债务悬突额效应,所以在仍然有能力偿付债务的条件下,选择债务违约。第五章根据已有的债务重组案例研究主权债务重组的相关内容。首先,整理了国际上已有的主权债务重组事件,其中包括对世界经济产生影响的拉美1982年债务重组、俄罗斯1998年债务重组、阿根廷2002年债务重组和希腊2012年债务重组等。分别对其产生的原因、重组过程和重组后对其经济的影响进行了分析。其次,根据主权债务重组的力度不同,总结出债务重组的三种可选择方式：变更债务期限结构、债务减免和债权转移,并重点分析了针对发展中国家的债务重组方式——债权转移。最后,分析了影响债务重组的主要因素：债权人结构和重组相关法规。第六章,研究主权债务重组后,主权信用评级的改变如何影响债务国外汇市场的稳定性。这一章,针对新兴经济体在不同时期,面对主权评级的调整而外汇市场的反应,借助事件研究方法,展开实证分析。通过分析,我们发现,在不同的时期主权评级调整对外汇市场的影响存在差异表现,市场受影响的波动幅度,随经济发展逐渐减弱。外汇市场对主权评级的调整信息提前响应,负向调整对市场的影响较大,两时期分别是正向调整影响的30.98倍和20.93倍。第七章是结论与展望,对全文进行总结。本文可能存在的创新点有：(1)采用Obstfeld的分析框架,建立数理模型分析债务国违约的成本。通过对比欧债爆发前和拉美债务爆发前的8个主要国家的违约成本,得出结论：在存在违约成本的条件下,债务国仍然选择违约的原因是债务国积累的大量的债务对债务国的投资产生了征税效应,抑制了经济增长速度。此时,债务国只能选择违约。(2)将莫顿模型应用于主权债务悬突额的估算中。(3)借助事件研究方法,定量的分析了主权债务重组如何通过主权国家信用评级的改变,对债务国外汇市场产生影响。本文研究的不足之处：第一,主权债务重组的问题过多的涉及到法律方面的知识,导致本文在研究债务重组的相关机理时,不够全面,只能侧重于经济层次的分析。第二,主权或有债务重组的问题因或有债务的隐蔽性和不确定性,难以对其进行有效的量化分析。
[Abstract]:In October 2009, the Greek government announced that the government fiscal deficit and public debt to GDP ratio is expected to reach 12.7% and 113%, far exceeding the requirements of EU stability and growth pact < > 3% and 60% limit. In view of the Greek government finances deteriorated significantly, the world's three largest credit rating agency Fitch, Standard & Poor's and Moodie has lowered Greece's sovereign credit rating, the Greek debt crisis kicked off. Subsequently, the rapid expansion of the crisis across Europe, Spain, Ireland, Portugal, Italy and other countries have been caught in the sovereign debt crisis, the Greek debt crisis evolved into the European debt crisis. The further spread of the debt crisis, the developed countries and emerging economies the body have been hit. In addition to the global economic downturn, many emerging economies solvency continued to decline, sovereign credit conditions continued to deteriorate, increased The possibility of a sovereign debt crisis in all countries.
The frequent occurrence of sovereign debt crisis has seriously affected the healthy development and financial stability of the world economy. Therefore, how to prevent the occurrence of sovereign debt crisis and how to solve it after the sovereign debt crisis has been the focus of attention in theoretical circles.
The reason of the sovereign debt crisis, used to be traced back to sovereign debt. All has the positive significance of multiple use of sovereign debt on debt to economic development of China, but excessive debt accumulation and unreasonable use will have debt risk, debt risk accumulates to a certain degree will default and debt crisis however, the most direct and effective way to solve the debt crisis is the debt restructuring. This paper based on the above logic, to study the issues related to debt restructuring, but also has theoretical significance and practical significance.
Is the theoretical significance of this research is: first, through the establishment of mathematical model to study the internal debt in default, debt in China has clarified the sanctions under the conditions in theory, still choose to default. Second, construct the debt overhang effect measurement method by Merton model.
Is the practical significance of this study: first, through the relevant contents of the restructuring of sovereign debt to organize, analyze, make us sovereign debt restructuring has a more profound understanding, the more rational use. The sovereign debt crisis is the result of many factors, external factors mainly depends on the development of the global economy, China can not debt control; but the internal factors are the cause of economic and financial policies of other countries, China can be corrected by debt policy changes. Therefore, sovereign debt restructuring is not simply the implementation of debt relief and debt maturity change, should improve the country's economic system and focuses on the debt structure. Second, on how to properly treat and use sovereign credit rating so, have a positive impact on the economic development of our country. At present, the downgrading of product quality, credit rating agencies and misconduct by credit rating agencies Right quasi regulatory caused by the credit crisis, contributed to the global financial crisis and economic crisis, the credit rating of this tool more and more the lack of authoritative and persuasive. But the sovereign credit rating as the world's major investor decision-making, for a country to attract external investment is of great significance. China's entry into the international capital the market, will have to accept the universal rules. Third, through the correlation analysis of sovereign debt or, so we have obligations to have correct knowledge and understanding. In the process of construction of socialist market economy in China, the need for economic development, the local government is not only a large number of direct debt, but also formed a huge contingent debt. The problems in the economic development if not solve, will not only affect economic development, but also may cause local economic decline A retreat will affect the stability of the country's economic and political situation.
The full text is divided into seven chapters, the structure arrangement and the main contents are as follows:
The first chapter is the introduction, which mainly expounds the research background, significance, purpose, method, research ideas and logic, and the possible innovation and deficiency.
The second chapter is the literature review, a systematic review of the relevant literature at home and abroad on the sovereign debt restructuring, and existence from creditors, bond yields, and the debt crisis of debt default, five aspects of sovereign debt restructuring and sovereign debt or other review of the literature. Sovereign debt restructuring is the inevitable result in a certain historical stage of sovereign debt development. With the rapid development of the international capital market, the excessive borrowing of sovereign states led to sovereign risk, sovereign risk is accumulated to a certain extent will occur the sovereign debt default, breach of the solution to the sovereign debt restructuring, the restructuring of the debtor to make further development opportunities and reduce the losses of the creditor. And on the basis of literature review, this paper puts forward further research direction.
The third chapter on issues related to sovereign debt risk analysis. First, summarize the related effects of sovereign debt. The sovereign debt of debtor nations, has the positive influence, also has the negative influence. Which has a positive effect: to enhance the debtor country economic development strength, to create a good investment conditions, solve the problem of country debt investment the problem of poverty, breaking the country debt and improve debt vicious spiral national welfare; negative effects: the economic burden of debt, surplus value loss, strengthen the infiltration of developed countries to developing countries to improve the financial hegemony, the vulnerability of the debtor's financial system, have a negative impact on the country's reputation in the debt. Based on the specific types and related indicators of sovereign risk were analyzed. The sovereign debt risk is the risk of a variety of material, including: market risk, Liquidity risk, credit risk, structural risk and debt rollover risk. Measure: debt ratio, debt ratio, debt ratio and standard credit certification and three party institutions to measure default swaps and credit rating. Finally, our assessment of the major economies and the situation of the debt risk and debt risk in China analysis.
The fourth chapter analyzes the reasons of default on the debt of China. Firstly, the history of debt default, debt default conditions and reasons of default. Secondly, using the Obstfeld analysis framework, establish mathematical model to analyze the debtor default cost; finally, we used a two period debt model analysis, the debt of the debt due to the presence of overhang effect, so still have the ability to repay debt conditions, choose a debt default.
The relevant contents of the fifth chapter according to the existing debt restructuring case study of sovereign debt restructuring. Firstly, the existing international sovereign debt restructuring events, including the impact on the world economy in Latin America in 1982 1998 Russian debt restructuring, debt restructuring, debt restructuring in Greece and Argentina in 2002 2012. The debt restructuring of the reasons and the influence on its economic restructuring and reorganization are analyzed. Secondly, based on the sovereign debt restructuring efforts, summed up the three alternative debt restructuring: the change of debt maturity structure, debt relief and debt transfer, and focuses on the analysis of debt restructuring in developing countries -- debt transfer. Finally, analysis the main factors affecting the structure of debt and debt restructuring: restructuring related laws and regulations.
The sixth chapter of sovereign debt restructuring, the stability of the sovereign credit rating change how to influence the debt of foreign exchange market. In this chapter, the emerging economies in different period, facing the sovereign rating adjustment of the foreign exchange market reaction, using the event study method, empirical analysis. Through the analysis, we found that differences in performance the influence of the different period of adjustment to the sovereign rating of the foreign exchange market volatility of the market affected, gradually weakened along with the economic development. The adjustment of the foreign exchange market information on the sovereign rating of the early response, negative adjustment of a large impact on the market, the two period is respectively 30.98 times and 20.93 times the positive adjustment effect.
The seventh chapter is the conclusion and prospect, and summarizes the full text.
The innovation may exist in this article are: (1) using Obstfeld analysis framework, analysis of debt default in the cost mathematical model was set up. The cost of default, 8 by comparing the debt before the outbreak and the Latin American debt before the outbreak of the main countries concluded: in the presence of a breach of contract and the cost of debt still choose reason the default is the accumulation of large amounts of debt in debt investment in debtor countries have tax effect, restrain economic growth speed. At this time, the debtor can only choose default. (2) the application of Modun model to estimate the sovereign debt overhang in. (3) by using the event study method, quantitative analysis of sovereignty the debt restructuring through sovereign credit rating change, foreign exchange market impact on debt.
The shortcomings of this study: first, the issue of sovereign debt restructuring involves too much legal knowledge, causes the related mechanism based on the study of debt restructuring, not comprehensive analysis can only focus on the economic level. Second, or sovereign debt restructuring or debt problems because of the hidden and not the uncertainty is difficult to analyze the effective quantization.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F811.5

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