主权债务危机违约的成本分析——来自新兴市场国家和发展中国家的证据

Research on the Costs of Sovereign Default:Evidence from Emerging Markets and Developing Countries

本文运用1984-2012年70个新兴市场和发展中国家的面板数据,对主权债务危机与经济发展之间的关系进行探究,结果发现,平均来看主权债务危机将会导致经济增长速度下降大约3.8%。当我们考虑预期和违约历史时,经济会由此下降5%左右。将债务违约国分为"主动违约"和"被动违约"之后,发现"被动违约"国家的产出损失要显著高于"主动违约"国家。我们还对主权债务违约的短期修正机制和长期影响效果进行了分析,在短期,主权债务违约将会减低经济增长速度,且存在着修正机制,调整速度为0.693;从长期来看,发生主权债务危机的国家经济发展速度要比其他国家快约1%。

In this paper, we analyses the relationship between sovereign default and economic growth hy testing the panel data of 70 emerging markets and developing countries from 1984 to 2012. The empirical results show that the economic growth would fell about 3% considering the role of sovereign default. If we consider the anticipatory default and default history, the economic growth would fell about 5%. Moreover, the sovereign default countries are divided into ＂active default＂ and ＂forced default＂, and we find that the economic growth of the ＂forced default＂ countries fell more quickly than that in countries with ＂ actively default＂. In addition, we also analyses the long effects between sovereign default and economic growth, the result shows that the sovereign debt crisis can significantly reduce the economic growth of a sovereign state for a short period, and there is a correction mechanism from the short to long term, with an average adjustment speed of 0.693. In the long run, compared with other countries, the economic growth which have been out-broken by the sovereign debt crisis is 1% faster than other countries.