信用评级、市场波动与希腊主权债务危机——基于有向无环图的分析

Credit Rating Market Volatility and Sovereign Debt Crisis of Greece-Based on the Analysis of Directed Acyclic Graphs

本文通过使用希腊2005年1月至2014年12月主权信用掉期违约息差(Cds)、信用评级和市场波动数据,运用有限无环图(DAG)技术,并借助结构向量自回归(SVAR)计量方法实证研究了三者之间的同期和跨期动态传导机制。研究结果表明,希腊主权债务违约爆发除了自身宏观经济存在问题外,市场波动和信用评级调整加剧了危机爆发。同期,市场波动冲击对希腊主权Cds波动解释强于信用评级冲击对其波动解释力;但随着预测期延长,信用评级对主权Cds波动解释力逐渐增强,呈持续增强趋势。从中长期来看,市场波动和Cds的冲击部分解释了信用评级的变动。

By using Directed Acyclic Graphs （DAG） and SVAR, this paper makes a practical research into the temporal and inter-temporal dynamic transmission mechanism among CDS, credit rating and market fluctuation based on the data of Greece between December, 2014 and January, 2015. The result shows that the reasons of the debt crisis in Greece included not only its macroeconomic problems, but also the market fluctuation and the adjustment of credit rating. At the same period, the impacts on CDS caused by the market fluctuation were much stronger than those caused by credit rating adjustment; However, with the extension of the expectation, credit rating exerted much more impacts on CDS. In the medium and long run, the market fluctuation and the impacts on CDS partly explains the vibrations of credit rating.