本文關(guān)鍵詞：隱性或有負(fù)債視角下的主權(quán)債務(wù)風(fēng)險研究　出處：《對外經(jīng)濟貿(mào)易大學(xué)》2017年博士論文　論文類型：學(xué)位論文

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【摘要】：主權(quán)債務(wù)與公司債務(wù)最重要的差別在于其有限的執(zhí)法機制(Limited mechanisms for enforcement),公司債務(wù)遵循國家法律的強制管理,而主權(quán)債務(wù)的貸方只能依賴離岸法律或是債務(wù)人維護自身聲譽的考慮。由于缺少強制償還的運作機制,主權(quán)債務(wù)違約事件在世界經(jīng)濟史上屢見不鮮。在《這次不一樣?800年金融荒唐史》中,作者指出各部門債務(wù)可能發(fā)生相互轉(zhuǎn)化,應(yīng)該更加重視一國的總體債務(wù),即居民、企業(yè)與政府債務(wù)之和(Reinhart和Rogoff,2009)。經(jīng)濟學(xué)家通常從國家經(jīng)濟入手,對債務(wù)危機爆發(fā)的原因進行解釋,如經(jīng)濟衰退、過度負(fù)債、資本外逃和貨幣貶值。然而歐洲奉行的“債務(wù)經(jīng)濟”發(fā)展模式讓問題變得更為復(fù)雜。全球金融危機的爆發(fā),讓政府面臨的或有債務(wù)和隱性債務(wù)徹底浮出水面。國家擔(dān)保和救助行為導(dǎo)致金融風(fēng)險財政化,社會保障和養(yǎng)老金支出的剛性上升趨勢將受益民眾推向了“風(fēng)口浪尖”,經(jīng)濟增速和公共支出反向變動,主權(quán)債務(wù)風(fēng)險持續(xù)發(fā)酵。在此背景下,對主權(quán)債務(wù)風(fēng)險的研究也將涉及一系列新的學(xué)術(shù)問題。本文認(rèn)為發(fā)端于2009年的歐洲主權(quán)債務(wù)危機在很大程度上是隱性或有債務(wù)的顯性化所致,通過對隱性或有負(fù)債和主權(quán)債務(wù)風(fēng)險的文獻梳理,學(xué)者們對于主權(quán)債務(wù)風(fēng)險的解釋主要存在以下問題尚待探索:其一,需要進一步挖掘宏觀層面的隱性或有負(fù)債是什么;其二,未來債務(wù)的變化趨勢,涉及政府債務(wù)量綱和負(fù)債結(jié)構(gòu)變化;其三,在微觀基礎(chǔ)上研究隱性或有負(fù)債的形成機制;其四,主權(quán)債務(wù)風(fēng)險升高對于隱性或有負(fù)債是否存在反饋機制。根據(jù)隱性、或有負(fù)債的觸發(fā)條件及強制性程度,本文將研究對象分為兩個層次,一是源于社會保障剛性支出的隱性債務(wù),尤其是養(yǎng)老金隱性債務(wù);二是源于政府的金融救助行為產(chǎn)生的或有負(fù)債。進而通過對各類隱性或有負(fù)債的形成機理的分析,構(gòu)建理論模型,一是從政府-居民兩部門模型入手,分析人口老齡化與福利支出錯配問題帶來的債務(wù)風(fēng)險;二是基于政府-企業(yè)-銀行三部門模型分析政府擔(dān)保和金融救助行為對主權(quán)債務(wù)風(fēng)險的影響。在此基礎(chǔ)上,采用歐洲國家數(shù)據(jù)進行實證檢驗。本文研究的主要內(nèi)容如下:第一章緒論,主要介紹了本文的研究背景和研究意義,提出了邏輯框架和研究目標(biāo),說明了主要創(chuàng)新點和不足。第二章文獻綜述,為確定隱性或有負(fù)債視角下的主權(quán)債務(wù)風(fēng)險來源提供依據(jù)。隱性負(fù)債主要是指那些通過法定程序政府許諾未來應(yīng)支付給公眾的款項,一般不在政府的資產(chǎn)負(fù)債表中體現(xiàn),如未來的養(yǎng)老金、醫(yī)療保險以及其他社會保障支出;而或有負(fù)債則是指在特定事件發(fā)生時出現(xiàn)的或有財政負(fù)債,這些債務(wù)并未反映在預(yù)算之內(nèi)。由于隱性負(fù)債和或有負(fù)債可能相互轉(zhuǎn)化,因此本文重點討論可能帶來隱性或有負(fù)債的風(fēng)險來源,如政府隱性擔(dān)保造成的發(fā)債救助、未來的養(yǎng)老金缺口以及社會保障剛性支出。第三章梳理主權(quán)債務(wù)相關(guān)理論的演進。主權(quán)債務(wù)產(chǎn)生于國家財政,債務(wù)風(fēng)險是財政風(fēng)險的一種。關(guān)于債務(wù)風(fēng)險最初的討論來自于政府債務(wù)對經(jīng)濟發(fā)展的利弊,進而提出了債務(wù)適度規(guī)模理論。上世紀(jì)末在財政風(fēng)險矩陣中首次提出了宏觀層面隱性負(fù)債和或有負(fù)債的概念,隨著發(fā)達國家債務(wù)危機的爆發(fā),主權(quán)債務(wù)風(fēng)險理論不止局限于公共部門,其研究框架隨即擴展到更為廣泛的領(lǐng)域,包括了居民部門和企業(yè)部門。第四章研究隱性或有債務(wù)風(fēng)險的傳導(dǎo)機制。根據(jù)歐洲主權(quán)債務(wù)危機的現(xiàn)實背景,在隱性或有視角下,主權(quán)債務(wù)風(fēng)險來自于人口結(jié)構(gòu)老齡化、社會保障制度與經(jīng)濟錯配、政府擔(dān)保及金融救助。通過構(gòu)建政府-居民兩部門模型,分析世代交疊框架下代表性行為人的財政凈貢獻,研究老齡化和福利支出對于財政缺口的影響機制;通過政府-企業(yè)-銀行三部門模型分析金融救助行為導(dǎo)致的債務(wù)風(fēng)險閉環(huán)。第五章和第六章為實證研究。采用面板回歸模型、中介效應(yīng)模型、面板向量自回歸模型等研究方法,實證研究結(jié)果顯示:一是老年撫養(yǎng)比、養(yǎng)老金替代率等人口、福利指標(biāo)對債務(wù)規(guī)模影響顯著;二是人口“老齡化”對主權(quán)債務(wù)風(fēng)險存在顯著的正向影響,“第二次人口紅利”并未提高主權(quán)債務(wù)的可持續(xù)性,“高齡化”相對于“老齡化”將帶來更大的債務(wù)風(fēng)險;三是在金融救助之后,主權(quán)債務(wù)風(fēng)險上升,而作為主權(quán)債務(wù)的持有人,短期內(nèi)的金融部門風(fēng)險相應(yīng)增加。第七章是結(jié)論和我國的啟示。主權(quán)債務(wù)風(fēng)險在我國對應(yīng)的概念是廣義政府債務(wù),雖然當(dāng)前我國直接政府債務(wù)風(fēng)險不高,但是老齡化帶來的養(yǎng)老金缺口、地方政府融資平臺債務(wù)和企業(yè)部門債務(wù)問題已經(jīng)有所顯現(xiàn)。借鑒歐洲國家應(yīng)對隱性或有主權(quán)債務(wù)的經(jīng)驗教訓(xùn),有助于從容應(yīng)對我國可能出現(xiàn)的債務(wù)風(fēng)險。理論與實證研究發(fā)現(xiàn),一是隱性或有主權(quán)債務(wù)的來源多種多樣,凡是需要政府承擔(dān)最后償付責(zé)任的債務(wù)都能包含進來,如戰(zhàn)爭、災(zāi)難、突發(fā)事件。結(jié)合歐洲國家的現(xiàn)實情況,經(jīng)濟發(fā)達但增長緩慢,老齡化問題嚴(yán)重,福利制度與經(jīng)濟發(fā)展不匹配,政府奉行市場經(jīng)濟卻屢次出手干預(yù),其面臨的隱性或有主權(quán)債務(wù)主要來自于人口、福利、金融三個方面;二是人口老齡化將在未來很長一段時間制約著歐洲乃至發(fā)達國家的經(jīng)濟發(fā)展,從財政收支兩端降低政府經(jīng)濟實力;三是脫離了經(jīng)濟發(fā)展約束的福利制度進一步惡化了歐洲國家的財政狀況,高福利制度不僅拖累了歐洲福利國家的經(jīng)濟增長,也加劇了財政負(fù)擔(dān),尤其是與經(jīng)濟增長和財政能力不匹配的福利制度是希臘等國家債務(wù)危機的隱性致因;四是政府對金融機構(gòu)的救助和擔(dān)保則在短期內(nèi)凸顯了主權(quán)債務(wù)風(fēng)險,而銀行作為政府債券的持有者,政府信用下降勢必降低銀行的資產(chǎn)質(zhì)量,債務(wù)風(fēng)險在銀行和政府之間最終形成“閉環(huán)”。本文的創(chuàng)新之處主要包括以下三個方面:第一,本文通過分析隱性或有債務(wù)的形成機理,將財政風(fēng)險理論和或有負(fù)債理論相結(jié)合,為完善政府債務(wù)風(fēng)險分析框架提供了新的研究視角。國內(nèi)外學(xué)者雖然從國債適度規(guī)模和國家資產(chǎn)負(fù)債表測算方面進行了深入分析,但是尚無在隱性負(fù)債及或有負(fù)債角度形成統(tǒng)一的研究范式。第二,對于主權(quán)債務(wù)風(fēng)險的衡量需要考慮隱性或有負(fù)債,本文提供了分析主權(quán)債務(wù)風(fēng)險的新觀點。金融機構(gòu)是政府債券的持有者和被擔(dān)保者,政府債券的估值變化勢必對其權(quán)益造成影響,政府信用風(fēng)險與金融部門信用風(fēng)險之間具有雙向反饋循環(huán)機制;人口老齡化將在未來很長一段時間制約著歐洲乃至發(fā)達國家的經(jīng)濟發(fā)展,脫離了經(jīng)濟發(fā)展約束的福利制度進一步惡化了相關(guān)國家的財政狀況。第三,本文構(gòu)建了財政缺口模型和違約概率模型,從政府、居民、企業(yè)、銀行分別探討隱性或有債務(wù)的傳導(dǎo)機制。實證方面利用雙向固定效應(yīng)模型、面板向量自回歸和中介效應(yīng)模型等方法,并引入金融部門信用違約互換(CDS)和老年撫養(yǎng)比作為解釋變量,考察其對主權(quán)債務(wù)風(fēng)險影響。
[Abstract]:Sovereign debt and corporate debt is the most important difference is that the law enforcement mechanism Limited (Limited mechanisms for enforcement), compulsory management of corporate debt according to the national laws, and sovereign debt lenders can only rely on the offshore legal or the debtor to maintain its reputation to consider. Due to the lack of operation mechanism of compulsory repayment, sovereign debt default event in It is often seen. in the history of the world economy. "This is not the same? 800 years of financial history the author points out that the absurd", each department debt may transform mutually, we should pay more attention to the overall debt, a country that residents, enterprises and government debt and (Reinhart and Rogoff, 2009). Economists usually start from the national economy, the reasons for the outbreak the debt crisis is explained, such as the recession, excessive debt, capital flight and currency depreciation. However, the European policy of "debt economy" model of development to make the problem To become more complex. The outbreak of the global financial crisis, let the government faces or debt and hidden debt completely surfaced. The state guarantees and aid behavior causes the financial risk to fiscal risk, social security and pension spending rigid upward trend will benefit to the people "cusp", economic growth and public expenditure in the opposite direction, sovereignty the debt risk continues. Under this background, to research the risk of sovereign debt will also involve a series of new academic issues. This paper argues that originated in the 2009 European sovereign debt crisis is caused by dominant or recessive debt to a great extent, through debt and sovereign debt risk or recessive literatures, scholars for the interpretation of sovereign debt risk mainly has the following problems yet to be explored: first, need to further tap the implicit macro level or what is the debt; Two, the future trend of debt, government debt and debt structure relates to the dimension change; thirdly, based on the research on micro implicit contingent liability mechanism; fourthly, increased risk of sovereign debt for the implicit liabilities feedback mechanism. According to whether there is implicit, contingent liabilities and mandatory trigger conditions, this paper will study the object is divided into two levels, one is the recessive debt from social security expenditure rigidity, especially the implicit pension debt; two is the financial rescue behavior comes from the government's contingent liabilities. Then through the analysis of the implicit liabilities formation mechanism, constructing the theoretical model, one is starting from the government - residents of the two sector model, analyze the population aging and welfare spending mismatch of debt risk; two is the government enterprise and bank three sector model analysis of government guarantees and financial assistance based on behavior Effect of sovereign debt risk. On this basis, the empirical test using the data of European countries. The main contents of this paper are as follows: the first chapter is the introduction, mainly introduces the research background and significance of the research, put forward the logical framework and research objectives, the main innovations and shortcomings. The second chapter is the literature review, for sure the implicit risk sources of debt from the perspective of sovereign debt is provided. The implicit debt mainly refers to those through legal procedures, the government promised the future should be paid to the public funds, generally reflected in the government's balance sheet, such as the future pension, medical insurance and other social security expenditure; and contingent liabilities refers to in particular events or financial liabilities, these debts are not reflected in the budget. Due to the recessive liabilities and contingent liabilities may be transformed into each other, because of this the Some discussions may bring the implicit liabilities risk sources, such as the issuance of implicit guarantee of government assistance, pension gap and social security spending in the future. The rigid evolution of the third chapter of sovereign debt related theory. Sovereign debt from the state finance, debt risk is a kind of financial risk. On the initial debt risk from on the pros and cons of government debt on economic development, and puts forward the appropriate scale of debt theory. At the end of the last century in the fiscal risk matrix is first presented in the macro level recessive liabilities and contingent liabilities, with the developed country debt crisis, sovereign debt risk theory is not limited to the public sector, the research framework is then expanded to more for a wide range of areas, including the residents and corporate sectors. The fourth chapter studies the implicit debt risk transmission mechanism according to the European sovereign debt. The realistic background of financial crisis, in the implicit perspective, sovereign debt risk from population aging, social security system and economic mismatch, government guarantees and financial assistance. Through the construction of the government - residents of the two sector model, representative behavior analysis of overlapping generations under the framework of financial net contribution to study aging the influence mechanism of welfare spending and fiscal gap; debt risk through closed-loop government enterprise and bank three sector model to analyze the financial aid behavior result. The fifth chapter and the sixth chapter is the empirical research. Using panel regression model, the mediating effect model of the panel vector auto regression model and other research methods, the empirical results show that: one is old the dependency ratio, the pension replacement rate of population, welfare index effect on the size of the debt was two; the population aging of sovereign debt risk has significant positive impact, "second The sustainability of the demographic dividend "did not improve the sovereign debt," aging "relative to the" aging "will lead to greater debt risk; three in financial rescue after rising sovereign debt risk, as sovereign debt holders, short-term financial sector risk increased accordingly. The seventh chapter is the conclusion and in China the Enlightenment of sovereign debt risk is generalized. The government debt in the corresponding concept of our country, although the current direct government debt risk in China is not high, but the aging pension gap, financing platform of local government debt and corporate sector debt problems has been revealed. Draw lessons from European countries deal with implicit sovereign debt, there are to take time for our possible debt risk. Theoretical and empirical research found that a source of a variety of hidden or sovereign debt that the government needs to take various. Finally, the responsibility to pay the debt can be included, such as war, disaster, emergency. According to the practical situation of the economically developed European countries, but the growth is slow, the aging problem is serious, the welfare system and economic development does not match the market economy, government has repeatedly shot intervention, the implicit or sovereign debt mainly from in the population, welfare, the three aspects of finance; two is the aging of the population will be in the future for a long period of time and even restricts the economic development of developed countries in Europe, reduce the government's economic strength from fiscal balance both ends; three is out of the economy constraints of the welfare system and further deterioration of the financial situation of the European countries, high welfare the system not only drag on European welfare countries economic growth, also increased the financial burden, especially does not match with the economic growth and the fiscal capacity of the welfare system is in countries such as Greece's debt crisis Due to the implicit government guarantee and relief; the four is to financial institutions in the short term highlights the risk of sovereign debt, and banks as government bond holders, the government credit rating will decrease the quality of bank assets, debt risk of the formation of "closed loop" between the bank and the government. The innovation of this paper mainly includes the following three first, through the analysis of the implicit debt formation mechanism, financial risk theory and contingent liability theory, in order to improve the government debt risk provides a new perspective analysis framework. Although scholars analyzed from the scale of the national debt and the national balance sheet estimates, but there is no in the implicit and contingent liabilities angle to form a unified paradigm. Second, measure the need to consider the implicit liabilities for sovereign debt risk, is presented in this paper. The new perspective of sovereign debt risk. Financial institutions are holders of government bonds and secured, valuation changes of government bonds is bound to affect their interests, with two-way feedback loop mechanism between the government and the financial sector credit risk credit risk; the aging of the population will be in the future for a long period of time and even restricts the developed countries in Europe the economic development, from the economic development constraints of the welfare system and further deterioration of the related national financial condition. Third, this paper constructs the financial gap model and the default probability model, from the government, residents, enterprises, banks were used to explore the conduction mechanism of hidden contingent liabilities. The use of two-way fixed effect model empirical analysis, panel vector autoregression and the mediating effect model, and the introduction of financial sector credit default swaps (CDS) and the elderly dependency ratio as explanatory variables, study on its sovereign debt The influence of business risk.

【學(xué)位授予單位】：對外經(jīng)濟貿(mào)易大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F811;F831.51

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1 雷e，

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