国家信用风险的传导与影响研究——以欧元区债务危机为例

Research on the Conduction and Influence of Sovereign Credit Risk

本文以欧元区债务危机为例研究国家信用风险的传导效应,首先,基于"欧猪五国"相对德国的十年期国债利差数据,分析债务危机在欧元区境内风险传导效应;其次,运用GVAR模型分析世界主要经济体对欧元区冲击的反应,重点分析欧元区GDP冲击对欧元区自身以及贸易关系密切的英国、美国和中国的影响。结果表明:希腊和爱尔兰对各国家信用风险产生的累积影响最为显著,西班牙和意大利较弱;欧元区经济萎缩造成的需求冲击对英国、美国和中国均有显著影响。

This paper takes the Eurozone debt crisis for analyzing the conduction effects of the sovereign credit risk. On the one hand, we take for the ＂PIIGS＂ ten -year bond spreads relative to Germany, analyze the risk conduction effect within the Eurozone; on the other hand, based on GVAR model, it studies the reaction of the world＇s major economies to the Eurozone shocks, such as the fluctuations of Eurozone GDP. The results show that Greece and Ireland have more significant cumulative impacts on the other countries than Spain and Italy; a- mong the Cross - border conduction of sovereign credit risk, the impacts of the Euro zone economy shrinking have very great effects on its Major trading partners - UK, US and China.