主权评级、债务困境与货币危机:对新兴市场国家的经验研究

Sovereign Rating,Debt Distress and Currency Crisis in the Emerging Markets

本文以1990～2004年期间18个新兴市场国家货币危机与债务困境的发生情况为研究对象,运用主权债务困境代替传统债务危机的定义来解决“样本期间债务危机事件发生较少”的问题;运用logit概率回归模型、有序probit概率估计方法以及简单的线性回归方法回答“主权信用评级是否有助于预测货币危机与债务危机”问题;运用简单的线性相关性检验、非线性有序probit概率回归模型以及两变量Granger因果关系检验三种方法回答“主权债务的违约概率与货币危机的发生概率是否存在显著的相关关系”问题。经验研究结果表明,1990～2004年期间,针对主要的新兴市场国家而言,货币危机与债务危机之间并不存在必然的联系。

This paper takes currency crises and debt crises occurrences of 18 emerging markets during 1990-2004 as study samples to examine whether the sovereign rating helps to predict currency crises and debt crises.We also adopt the simple linear relation method,the non-linear ordered probit regression model,and two variables Granger-causality test to discuss whether there is significant correlation between the likelihood of sovereignty de- fault and currency crises.The final conclusion is that there is no inevitable relationship between currency crises and debt crises for most emerging markets during 1990-2004.