隐性或有负债视角下的主权债务风险研究

发布时间：2018-01-12 07:27

本文关键词：隐性或有负债视角下的主权债务风险研究　出处：《对外经济贸易大学》2017年博士论文　论文类型：学位论文

【摘要】：主权债务与公司债务最重要的差别在于其有限的执法机制(Limited mechanisms for enforcement),公司债务遵循国家法律的强制管理,而主权债务的贷方只能依赖离岸法律或是债务人维护自身声誉的考虑。由于缺少强制偿还的运作机制,主权债务违约事件在世界经济史上屡见不鲜。在《这次不一样?800年金融荒唐史》中,作者指出各部门债务可能发生相互转化,应该更加重视一国的总体债务,即居民、企业与政府债务之和(Reinhart和Rogoff,2009)。经济学家通常从国家经济入手,对债务危机爆发的原因进行解释,如经济衰退、过度负债、资本外逃和货币贬值。然而欧洲奉行的“债务经济”发展模式让问题变得更为复杂。全球金融危机的爆发,让政府面临的或有债务和隐性债务彻底浮出水面。国家担保和救助行为导致金融风险财政化,社会保障和养老金支出的刚性上升趋势将受益民众推向了“风口浪尖”,经济增速和公共支出反向变动,主权债务风险持续发酵。在此背景下,对主权债务风险的研究也将涉及一系列新的学术问题。本文认为发端于2009年的欧洲主权债务危机在很大程度上是隐性或有债务的显性化所致,通过对隐性或有负债和主权债务风险的文献梳理,学者们对于主权债务风险的解释主要存在以下问题尚待探索:其一,需要进一步挖掘宏观层面的隐性或有负债是什么;其二,未来债务的变化趋势,涉及政府债务量纲和负债结构变化;其三,在微观基础上研究隐性或有负债的形成机制;其四,主权债务风险升高对于隐性或有负债是否存在反馈机制。根据隐性、或有负债的触发条件及强制性程度,本文将研究对象分为两个层次,一是源于社会保障刚性支出的隐性债务,尤其是养老金隐性债务;二是源于政府的金融救助行为产生的或有负债。进而通过对各类隐性或有负债的形成机理的分析,构建理论模型,一是从政府-居民两部门模型入手,分析人口老龄化与福利支出错配问题带来的债务风险;二是基于政府-企业-银行三部门模型分析政府担保和金融救助行为对主权债务风险的影响。在此基础上,采用欧洲国家数据进行实证检验。本文研究的主要内容如下:第一章绪论,主要介绍了本文的研究背景和研究意义,提出了逻辑框架和研究目标,说明了主要创新点和不足。第二章文献综述,为确定隐性或有负债视角下的主权债务风险来源提供依据。隐性负债主要是指那些通过法定程序政府许诺未来应支付给公众的款项,一般不在政府的资产负债表中体现,如未来的养老金、医疗保险以及其他社会保障支出;而或有负债则是指在特定事件发生时出现的或有财政负债,这些债务并未反映在预算之内。由于隐性负债和或有负债可能相互转化,因此本文重点讨论可能带来隐性或有负债的风险来源,如政府隐性担保造成的发债救助、未来的养老金缺口以及社会保障刚性支出。第三章梳理主权债务相关理论的演进。主权债务产生于国家财政,债务风险是财政风险的一种。关于债务风险最初的讨论来自于政府债务对经济发展的利弊,进而提出了债务适度规模理论。上世纪末在财政风险矩阵中首次提出了宏观层面隐性负债和或有负债的概念,随着发达国家债务危机的爆发,主权债务风险理论不止局限于公共部门,其研究框架随即扩展到更为广泛的领域,包括了居民部门和企业部门。第四章研究隐性或有债务风险的传导机制。根据欧洲主权债务危机的现实背景,在隐性或有视角下,主权债务风险来自于人口结构老龄化、社会保障制度与经济错配、政府担保及金融救助。通过构建政府-居民两部门模型,分析世代交叠框架下代表性行为人的财政净贡献,研究老龄化和福利支出对于财政缺口的影响机制;通过政府-企业-银行三部门模型分析金融救助行为导致的债务风险闭环。第五章和第六章为实证研究。采用面板回归模型、中介效应模型、面板向量自回归模型等研究方法,实证研究结果显示:一是老年抚养比、养老金替代率等人口、福利指标对债务规模影响显著;二是人口“老龄化”对主权债务风险存在显著的正向影响,“第二次人口红利”并未提高主权债务的可持续性,“高龄化”相对于“老龄化”将带来更大的债务风险;三是在金融救助之后,主权债务风险上升,而作为主权债务的持有人,短期内的金融部门风险相应增加。第七章是结论和我国的启示。主权债务风险在我国对应的概念是广义政府债务,虽然当前我国直接政府债务风险不高,但是老龄化带来的养老金缺口、地方政府融资平台债务和企业部门债务问题已经有所显现。借鉴欧洲国家应对隐性或有主权债务的经验教训,有助于从容应对我国可能出现的债务风险。理论与实证研究发现,一是隐性或有主权债务的来源多种多样,凡是需要政府承担最后偿付责任的债务都能包含进来,如战争、灾难、突发事件。结合欧洲国家的现实情况,经济发达但增长缓慢,老龄化问题严重,福利制度与经济发展不匹配,政府奉行市场经济却屡次出手干预,其面临的隐性或有主权债务主要来自于人口、福利、金融三个方面;二是人口老龄化将在未来很长一段时间制约着欧洲乃至发达国家的经济发展,从财政收支两端降低政府经济实力;三是脱离了经济发展约束的福利制度进一步恶化了欧洲国家的财政状况,高福利制度不仅拖累了欧洲福利国家的经济增长,也加剧了财政负担,尤其是与经济增长和财政能力不匹配的福利制度是希腊等国家债务危机的隐性致因;四是政府对金融机构的救助和担保则在短期内凸显了主权债务风险,而银行作为政府债券的持有者,政府信用下降势必降低银行的资产质量,债务风险在银行和政府之间最终形成“闭环”。本文的创新之处主要包括以下三个方面:第一,本文通过分析隐性或有债务的形成机理,将财政风险理论和或有负债理论相结合,为完善政府债务风险分析框架提供了新的研究视角。国内外学者虽然从国债适度规模和国家资产负债表测算方面进行了深入分析,但是尚无在隐性负债及或有负债角度形成统一的研究范式。第二,对于主权债务风险的衡量需要考虑隐性或有负债,本文提供了分析主权债务风险的新观点。金融机构是政府债券的持有者和被担保者,政府债券的估值变化势必对其权益造成影响,政府信用风险与金融部门信用风险之间具有双向反馈循环机制;人口老龄化将在未来很长一段时间制约着欧洲乃至发达国家的经济发展,脱离了经济发展约束的福利制度进一步恶化了相关国家的财政状况。第三,本文构建了财政缺口模型和违约概率模型,从政府、居民、企业、银行分别探讨隐性或有债务的传导机制。实证方面利用双向固定效应模型、面板向量自回归和中介效应模型等方法,并引入金融部门信用违约互换(CDS)和老年抚养比作为解释变量,考察其对主权债务风险影响。
[Abstract]:Sovereign debt and corporate debt is the most important difference is that the law enforcement mechanism Limited (Limited mechanisms for enforcement), compulsory management of corporate debt according to the national laws, and sovereign debt lenders can only rely on the offshore legal or the debtor to maintain its reputation to consider. Due to the lack of operation mechanism of compulsory repayment, sovereign debt default event in It is often seen. in the history of the world economy. "This is not the same? 800 years of financial history the author points out that the absurd", each department debt may transform mutually, we should pay more attention to the overall debt, a country that residents, enterprises and government debt and (Reinhart and Rogoff, 2009). Economists usually start from the national economy, the reasons for the outbreak the debt crisis is explained, such as the recession, excessive debt, capital flight and currency depreciation. However, the European policy of "debt economy" model of development to make the problem To become more complex. The outbreak of the global financial crisis, let the government faces or debt and hidden debt completely surfaced. The state guarantees and aid behavior causes the financial risk to fiscal risk, social security and pension spending rigid upward trend will benefit to the people "cusp", economic growth and public expenditure in the opposite direction, sovereignty the debt risk continues. Under this background, to research the risk of sovereign debt will also involve a series of new academic issues. This paper argues that originated in the 2009 European sovereign debt crisis is caused by dominant or recessive debt to a great extent, through debt and sovereign debt risk or recessive literatures, scholars for the interpretation of sovereign debt risk mainly has the following problems yet to be explored: first, need to further tap the implicit macro level or what is the debt; Two, the future trend of debt, government debt and debt structure relates to the dimension change; thirdly, based on the research on micro implicit contingent liability mechanism; fourthly, increased risk of sovereign debt for the implicit liabilities feedback mechanism. According to whether there is implicit, contingent liabilities and mandatory trigger conditions, this paper will study the object is divided into two levels, one is the recessive debt from social security expenditure rigidity, especially the implicit pension debt; two is the financial rescue behavior comes from the government's contingent liabilities. Then through the analysis of the implicit liabilities formation mechanism, constructing the theoretical model, one is starting from the government - residents of the two sector model, analyze the population aging and welfare spending mismatch of debt risk; two is the government enterprise and bank three sector model analysis of government guarantees and financial assistance based on behavior Effect of sovereign debt risk. On this basis, the empirical test using the data of European countries. The main contents of this paper are as follows: the first chapter is the introduction, mainly introduces the research background and significance of the research, put forward the logical framework and research objectives, the main innovations and shortcomings. The second chapter is the literature review, for sure the implicit risk sources of debt from the perspective of sovereign debt is provided. The implicit debt mainly refers to those through legal procedures, the government promised the future should be paid to the public funds, generally reflected in the government's balance sheet, such as the future pension, medical insurance and other social security expenditure; and contingent liabilities refers to in particular events or financial liabilities, these debts are not reflected in the budget. Due to the recessive liabilities and contingent liabilities may be transformed into each other, because of this the Some discussions may bring the implicit liabilities risk sources, such as the issuance of implicit guarantee of government assistance, pension gap and social security spending in the future. The rigid evolution of the third chapter of sovereign debt related theory. Sovereign debt from the state finance, debt risk is a kind of financial risk. On the initial debt risk from on the pros and cons of government debt on economic development, and puts forward the appropriate scale of debt theory. At the end of the last century in the fiscal risk matrix is first presented in the macro level recessive liabilities and contingent liabilities, with the developed country debt crisis, sovereign debt risk theory is not limited to the public sector, the research framework is then expanded to more for a wide range of areas, including the residents and corporate sectors. The fourth chapter studies the implicit debt risk transmission mechanism according to the European sovereign debt. The realistic background of financial crisis, in the implicit perspective, sovereign debt risk from population aging, social security system and economic mismatch, government guarantees and financial assistance. Through the construction of the government - residents of the two sector model, representative behavior analysis of overlapping generations under the framework of financial net contribution to study aging the influence mechanism of welfare spending and fiscal gap; debt risk through closed-loop government enterprise and bank three sector model to analyze the financial aid behavior result. The fifth chapter and the sixth chapter is the empirical research. Using panel regression model, the mediating effect model of the panel vector auto regression model and other research methods, the empirical results show that: one is old the dependency ratio, the pension replacement rate of population, welfare index effect on the size of the debt was two; the population aging of sovereign debt risk has significant positive impact, "second The sustainability of the demographic dividend "did not improve the sovereign debt," aging "relative to the" aging "will lead to greater debt risk; three in financial rescue after rising sovereign debt risk, as sovereign debt holders, short-term financial sector risk increased accordingly. The seventh chapter is the conclusion and in China the Enlightenment of sovereign debt risk is generalized. The government debt in the corresponding concept of our country, although the current direct government debt risk in China is not high, but the aging pension gap, financing platform of local government debt and corporate sector debt problems has been revealed. Draw lessons from European countries deal with implicit sovereign debt, there are to take time for our possible debt risk. Theoretical and empirical research found that a source of a variety of hidden or sovereign debt that the government needs to take various. Finally, the responsibility to pay the debt can be included, such as war, disaster, emergency. According to the practical situation of the economically developed European countries, but the growth is slow, the aging problem is serious, the welfare system and economic development does not match the market economy, government has repeatedly shot intervention, the implicit or sovereign debt mainly from in the population, welfare, the three aspects of finance; two is the aging of the population will be in the future for a long period of time and even restricts the economic development of developed countries in Europe, reduce the government's economic strength from fiscal balance both ends; three is out of the economy constraints of the welfare system and further deterioration of the financial situation of the European countries, high welfare the system not only drag on European welfare countries economic growth, also increased the financial burden, especially does not match with the economic growth and the fiscal capacity of the welfare system is in countries such as Greece's debt crisis Due to the implicit government guarantee and relief; the four is to financial institutions in the short term highlights the risk of sovereign debt, and banks as government bond holders, the government credit rating will decrease the quality of bank assets, debt risk of the formation of "closed loop" between the bank and the government. The innovation of this paper mainly includes the following three first, through the analysis of the implicit debt formation mechanism, financial risk theory and contingent liability theory, in order to improve the government debt risk provides a new perspective analysis framework. Although scholars analyzed from the scale of the national debt and the national balance sheet estimates, but there is no in the implicit and contingent liabilities angle to form a unified paradigm. Second, measure the need to consider the implicit liabilities for sovereign debt risk, is presented in this paper. The new perspective of sovereign debt risk. Financial institutions are holders of government bonds and secured, valuation changes of government bonds is bound to affect their interests, with two-way feedback loop mechanism between the government and the financial sector credit risk credit risk; the aging of the population will be in the future for a long period of time and even restricts the developed countries in Europe the economic development, from the economic development constraints of the welfare system and further deterioration of the related national financial condition. Third, this paper constructs the financial gap model and the default probability model, from the government, residents, enterprises, banks were used to explore the conduction mechanism of hidden contingent liabilities. The use of two-way fixed effect model empirical analysis, panel vector autoregression and the mediating effect model, and the introduction of financial sector credit default swaps (CDS) and the elderly dependency ratio as explanatory variables, study on its sovereign debt The influence of business risk.

【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F811;F831.51

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