欧债危机对金砖国家的溢出效应研究

Research on the Spillover Effect of European Debt Crisis on BRICS Countries

据IIF数据显示,2021年末全球债务规模达303万亿美元,创历史新高。本文选取了目前全球范围内债务状况问题突出的欧元区,运用AR、DCC-GARCH模型,分析“欧猪五国”(PIIGS)对新兴市场中“BRIICKS”七国的股票市场、债券市场以及外汇市场的溢出效应。得出如下结论:一是欧债危机期间“PIIGS”对“BRIICKS”七国股市的影响为正相关,影响相比欧债危机前明显加强,其中,中国受到的冲击最不明显;二是“PIIGS”五国与“BRIICKS”七国的国债市场相关性有正有负,溢出效应更为复杂,在欧债危机期间溢出效应反而减弱;三是“PIIGS”五国与“BRIICKS”七国的外汇市场相关性均为正,同时欧债危机期间解释能力显著增强,中国仍然是受欧债危机冲击最小的国家。从现实情况来看,中国目前虽然尚无主权债务危机之忧,但却需要有防范债务风险和抵抗外部债务危机冲击的远虑,充分吸取欧债危机的经验教训,增强各种可能传播路径风险的抵御能力,控制好我国的债务风险。

According to IIF data,the global debt scale reached 303 trillion US dollars at the end of 2021,a record high.This paper selects the euro area with outstanding debt problems worldwide,and uses AR and DCC-GARCH models to analyze the spillover effects of the"PIIGS"with debt crisis on the stock market,bond market and foreign exchange market of the"BRIICKS".The following conclusions are drawn:First,during the European debt crisis,the impact of the stock markets of the and"BRIICKS"was positively correlated,and the impact was significantly strengthened compared with that before the crisis,of which China was the least affected;Second,the correlation between the national debt markets of"PICS"and"BRIICK"is positive or negative,the spillover effect is more complex,and the spillover effect is weakened during the crisis;Third,the correlation between the foreign exchange markets of""PIIGS"and"BRIICKS"is positive.At the same time,the explanatory power has been significantly enhanced during the crisis.China is still the least affected country by the crisis.From the reality,although China has no worries about the sovereign debt crisis at present,it needs to have the foresight to prevent the debt risk and resist the impact of the external debt crisis,fully absorb the experience and lessons of the European debt crisis and the debt crisis of emerging market countries,strengthen the resistance ability of various possible transmission path risks and control the debt risk.