本文關(guān)鍵詞：主權(quán)債務(wù)重組問題研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

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【摘要】：2009年10月,希臘政府宣布當(dāng)年政府財(cái)政赤字和公共債務(wù)占國內(nèi)生產(chǎn)總值的比例預(yù)計(jì)將分別達(dá)到12.7%和113%,遠(yuǎn)超歐盟《穩(wěn)定與增長(zhǎng)公約》規(guī)定的3%和60%的上限。鑒于希臘政府財(cái)政狀況顯著惡化,全球三大信用評(píng)級(jí)機(jī)構(gòu)惠譽(yù)、標(biāo)準(zhǔn)普爾和穆迪先后調(diào)低希臘主權(quán)信用評(píng)級(jí),希臘債務(wù)危機(jī)正式拉開序幕。隨后,危機(jī)迅速擴(kuò)大到整個(gè)歐洲地區(qū),西班牙、愛爾蘭、葡萄牙、意大利等國相繼陷入到主權(quán)債務(wù)危機(jī)中,希臘債務(wù)危機(jī)演變成歐洲債務(wù)經(jīng)濟(jì)危機(jī)。歐債危機(jī)的進(jìn)一步擴(kuò)散,發(fā)達(dá)國家和新興經(jīng)濟(jì)體都受到了沖擊。加之全球經(jīng)濟(jì)的低迷,很多新興經(jīng)濟(jì)體的償債能力持續(xù)下降,主權(quán)信用狀況持續(xù)惡化,加大了各國發(fā)生主權(quán)債務(wù)危機(jī)的可能性。 主權(quán)債務(wù)危機(jī)的頻繁發(fā)生嚴(yán)重地影響了世界經(jīng)濟(jì)的健康發(fā)展和金融穩(wěn)定。因此,如何預(yù)防主權(quán)債務(wù)危機(jī)的發(fā)生和主權(quán)債務(wù)危機(jī)發(fā)生后如何解決成為理論界一直關(guān)注的焦點(diǎn)。 研究主權(quán)債務(wù)危機(jī)的原因,要追溯到主權(quán)債務(wù)的使用。主權(quán)債務(wù)的使用對(duì)債務(wù)國的經(jīng)濟(jì)發(fā)展等多方面都具有積極的意義,但債務(wù)過多的積累和不合理使用會(huì)產(chǎn)生債務(wù)風(fēng)險(xiǎn),債務(wù)風(fēng)險(xiǎn)積累到一定程度就會(huì)發(fā)生債務(wù)違約和爆發(fā)債務(wù)危機(jī),而債務(wù)危機(jī)的解決最直接有效的辦法就是債務(wù)重組。本文基于以上的邏輯,對(duì)債務(wù)重組的相關(guān)問題進(jìn)行研究,同時(shí)具有理論意義和現(xiàn)實(shí)意義。 本文研究的理論意義在于：第一,通過建立數(shù)理模型對(duì)債務(wù)國違約的內(nèi)因進(jìn)行研究,從理論上闡明債務(wù)國在具有制裁的條件下,仍然選擇違約的原因。第二,通過莫頓模型構(gòu)建債務(wù)懸突額效應(yīng)測(cè)算方法。 本文研究的現(xiàn)實(shí)意義在于：第一,通過對(duì)主權(quán)債務(wù)重組的相關(guān)內(nèi)容進(jìn)行整理,加以分析,使我們對(duì)主權(quán)債務(wù)重組具有更加深刻的認(rèn)識(shí),更加合理的使用。主權(quán)債務(wù)危機(jī)是諸多因素作用的結(jié)果,外部因素主要受制于全球經(jīng)濟(jì)的發(fā)展,債務(wù)國無法控制；但內(nèi)部因素則是各國經(jīng)濟(jì)金融政策造成的,債務(wù)國是可以通過政策改變來糾正。所以,主權(quán)債務(wù)重組不能簡(jiǎn)單地實(shí)行債務(wù)減免和債務(wù)期限變更,應(yīng)該著重于債務(wù)國經(jīng)濟(jì)制度和結(jié)構(gòu)的改善。第二,對(duì)如何合理看待和利用主權(quán)信用評(píng)級(jí),使其對(duì)我國經(jīng)濟(jì)發(fā)展產(chǎn)生有益的影響。目前,信用評(píng)級(jí)產(chǎn)品質(zhì)量下降、信用評(píng)級(jí)機(jī)構(gòu)行為不當(dāng)和由信用評(píng)級(jí)機(jī)構(gòu)的準(zhǔn)監(jiān)管權(quán)所引發(fā)的信用危機(jī)等問題,助長(zhǎng)了全球性金融危機(jī)和經(jīng)濟(jì)危機(jī),也使得信用評(píng)級(jí)這一工具越來越缺乏權(quán)威性和說服力。但主權(quán)信用評(píng)級(jí)作為世界投資者主要的決策參考,對(duì)于一個(gè)國家吸引外部投資意義重大。我國進(jìn)入國際資本市場(chǎng),就不得不接受這一普適性的規(guī)則。第三,通過對(duì)主權(quán)或有債務(wù)的相關(guān)分析,使得我們對(duì)或有債務(wù)有正確的認(rèn)識(shí)和理解。在我國社會(huì)主義市場(chǎng)經(jīng)濟(jì)的建設(shè)過程中,為發(fā)展經(jīng)濟(jì)的需要,各地方政府不但舉借了大量的直接債務(wù),而且還形成了巨額的或有債務(wù)。這一經(jīng)濟(jì)發(fā)展中的問題若不解決好,不但會(huì)影響經(jīng)濟(jì)的良性發(fā)展,而且還有可能造成地方經(jīng)濟(jì)的衰退,影響國家經(jīng)濟(jì)和政治局面的穩(wěn)定。 全文共分七章,結(jié)構(gòu)安排和主要內(nèi)容如下： 第一章是緒論,主要闡述本文的研究背景、意義、目的、方法、研究思路和邏輯,可能的創(chuàng)新點(diǎn)和不足。 第二章是文獻(xiàn)綜述,系統(tǒng)的回顧了以往國內(nèi)外關(guān)于主權(quán)債務(wù)重組的相關(guān)文獻(xiàn),并從債權(quán)人存在性、債券收益率、債務(wù)違約與債務(wù)危機(jī)、主權(quán)債務(wù)重組及主權(quán)或有債務(wù)等五個(gè)方面對(duì)文獻(xiàn)進(jìn)行了述評(píng)。主權(quán)債務(wù)重組的存在是主權(quán)債務(wù)發(fā)展到一定歷史階段必然的產(chǎn)物。隨著國際資本市場(chǎng)迅速發(fā)展,主權(quán)國家的過度舉債導(dǎo)致主權(quán)風(fēng)險(xiǎn)產(chǎn)生,主權(quán)風(fēng)險(xiǎn)累積到一定程度就會(huì)發(fā)生主權(quán)債務(wù)違約,違約的解決需要主權(quán)債務(wù)重組,重組的目的是使債務(wù)國得到進(jìn)一步發(fā)展的機(jī)會(huì)和減少債權(quán)人的損失。進(jìn)一步,在文獻(xiàn)綜述的基礎(chǔ)上,提出了本文進(jìn)一步研究的方向。 第三章就主權(quán)債務(wù)風(fēng)險(xiǎn)的相關(guān)問題進(jìn)行分析。首先,總結(jié)主權(quán)債務(wù)的相關(guān)影響。主權(quán)債務(wù)對(duì)債務(wù)國而言,既有積極的影響,也有消極的影響。其中積極的影響有：提升債務(wù)國經(jīng)濟(jì)發(fā)展實(shí)力、創(chuàng)造良好的引資條件、解決債務(wù)國投資不足的問題、打破債務(wù)國貧困的惡性循環(huán)和改善債務(wù)國的國民福利；消極的影響有：債務(wù)國經(jīng)濟(jì)負(fù)擔(dān)加重、剩余價(jià)值流失、加強(qiáng)了發(fā)達(dá)國家向發(fā)展中國家的金融霸權(quán)滲透、提高了債務(wù)國金融系統(tǒng)的脆弱性、對(duì)債務(wù)國的聲譽(yù)產(chǎn)生負(fù)面的影響。在此基礎(chǔ)上,對(duì)主權(quán)債務(wù)風(fēng)險(xiǎn)的具體類型和相關(guān)指標(biāo)進(jìn)行整理分析。主權(quán)債務(wù)風(fēng)險(xiǎn)是多種風(fēng)險(xiǎn)復(fù)合而成,其中包括：市場(chǎng)風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)、展期風(fēng)險(xiǎn)和債務(wù)結(jié)構(gòu)風(fēng)險(xiǎn)。衡量的指標(biāo)有：負(fù)債率、債務(wù)率、償債率及第三方機(jī)構(gòu)認(rèn)證衡量的標(biāo)準(zhǔn)信用違約互換和信用評(píng)級(jí)。最后,我們對(duì)主要經(jīng)濟(jì)體國家的債務(wù)風(fēng)險(xiǎn)進(jìn)行評(píng)估和對(duì)我國債務(wù)現(xiàn)況和風(fēng)險(xiǎn)進(jìn)行分析。 第四章對(duì)債務(wù)國的違約原因進(jìn)行分析。首先回顧債務(wù)違約的歷史,債務(wù)違約的條件及債務(wù)違約的原因：其次,采用Obstfeld的分析框架,建立數(shù)理模型分析債務(wù)國違約的成本；最后,我們應(yīng)用一個(gè)兩期債務(wù)模型分析,得出債務(wù)國由于存在債務(wù)懸突額效應(yīng),所以在仍然有能力償付債務(wù)的條件下,選擇債務(wù)違約。 第五章根據(jù)已有的債務(wù)重組案例研究主權(quán)債務(wù)重組的相關(guān)內(nèi)容。首先,整理了國際上已有的主權(quán)債務(wù)重組事件,其中包括對(duì)世界經(jīng)濟(jì)產(chǎn)生影響的拉美1982年債務(wù)重組、俄羅斯1998年債務(wù)重組、阿根廷2002年債務(wù)重組和希臘2012年債務(wù)重組等。分別對(duì)其產(chǎn)生的原因、重組過程和重組后對(duì)其經(jīng)濟(jì)的影響進(jìn)行了分析。其次,根據(jù)主權(quán)債務(wù)重組的力度不同,總結(jié)出債務(wù)重組的三種可選擇方式：變更債務(wù)期限結(jié)構(gòu)、債務(wù)減免和債權(quán)轉(zhuǎn)移,并重點(diǎn)分析了針對(duì)發(fā)展中國家的債務(wù)重組方式——債權(quán)轉(zhuǎn)移。最后,分析了影響債務(wù)重組的主要因素：債權(quán)人結(jié)構(gòu)和重組相關(guān)法規(guī)。 第六章,研究主權(quán)債務(wù)重組后,主權(quán)信用評(píng)級(jí)的改變?nèi)绾斡绊憘鶆?wù)國外匯市場(chǎng)的穩(wěn)定性。這一章,針對(duì)新興經(jīng)濟(jì)體在不同時(shí)期,面對(duì)主權(quán)評(píng)級(jí)的調(diào)整而外匯市場(chǎng)的反應(yīng),借助事件研究方法,展開實(shí)證分析。通過分析,我們發(fā)現(xiàn),在不同的時(shí)期主權(quán)評(píng)級(jí)調(diào)整對(duì)外匯市場(chǎng)的影響存在差異表現(xiàn),市場(chǎng)受影響的波動(dòng)幅度,隨經(jīng)濟(jì)發(fā)展逐漸減弱。外匯市場(chǎng)對(duì)主權(quán)評(píng)級(jí)的調(diào)整信息提前響應(yīng),負(fù)向調(diào)整對(duì)市場(chǎng)的影響較大,兩時(shí)期分別是正向調(diào)整影響的30.98倍和20.93倍。 第七章是結(jié)論與展望,對(duì)全文進(jìn)行總結(jié)。 本文可能存在的創(chuàng)新點(diǎn)有：(1)采用Obstfeld的分析框架,建立數(shù)理模型分析債務(wù)國違約的成本。通過對(duì)比歐債爆發(fā)前和拉美債務(wù)爆發(fā)前的8個(gè)主要國家的違約成本,得出結(jié)論：在存在違約成本的條件下,債務(wù)國仍然選擇違約的原因是債務(wù)國積累的大量的債務(wù)對(duì)債務(wù)國的投資產(chǎn)生了征稅效應(yīng),抑制了經(jīng)濟(jì)增長(zhǎng)速度。此時(shí),債務(wù)國只能選擇違約。(2)將莫頓模型應(yīng)用于主權(quán)債務(wù)懸突額的估算中。(3)借助事件研究方法,定量的分析了主權(quán)債務(wù)重組如何通過主權(quán)國家信用評(píng)級(jí)的改變,對(duì)債務(wù)國外匯市場(chǎng)產(chǎn)生影響。 本文研究的不足之處：第一,主權(quán)債務(wù)重組的問題過多的涉及到法律方面的知識(shí),導(dǎo)致本文在研究債務(wù)重組的相關(guān)機(jī)理時(shí),不夠全面,只能側(cè)重于經(jīng)濟(jì)層次的分析。第二,主權(quán)或有債務(wù)重組的問題因或有債務(wù)的隱蔽性和不確定性,難以對(duì)其進(jìn)行有效的量化分析。
[Abstract]:In October 2009, the Greek government announced that the government fiscal deficit and public debt to GDP ratio is expected to reach 12.7% and 113%, far exceeding the requirements of EU stability and growth pact < > 3% and 60% limit. In view of the Greek government finances deteriorated significantly, the world's three largest credit rating agency Fitch, Standard & Poor's and Moodie has lowered Greece's sovereign credit rating, the Greek debt crisis kicked off. Subsequently, the rapid expansion of the crisis across Europe, Spain, Ireland, Portugal, Italy and other countries have been caught in the sovereign debt crisis, the Greek debt crisis evolved into the European debt crisis. The further spread of the debt crisis, the developed countries and emerging economies the body have been hit. In addition to the global economic downturn, many emerging economies solvency continued to decline, sovereign credit conditions continued to deteriorate, increased The possibility of a sovereign debt crisis in all countries.
The frequent occurrence of sovereign debt crisis has seriously affected the healthy development and financial stability of the world economy. Therefore, how to prevent the occurrence of sovereign debt crisis and how to solve it after the sovereign debt crisis has been the focus of attention in theoretical circles.
The reason of the sovereign debt crisis, used to be traced back to sovereign debt. All has the positive significance of multiple use of sovereign debt on debt to economic development of China, but excessive debt accumulation and unreasonable use will have debt risk, debt risk accumulates to a certain degree will default and debt crisis however, the most direct and effective way to solve the debt crisis is the debt restructuring. This paper based on the above logic, to study the issues related to debt restructuring, but also has theoretical significance and practical significance.
Is the theoretical significance of this research is: first, through the establishment of mathematical model to study the internal debt in default, debt in China has clarified the sanctions under the conditions in theory, still choose to default. Second, construct the debt overhang effect measurement method by Merton model.
Is the practical significance of this study: first, through the relevant contents of the restructuring of sovereign debt to organize, analyze, make us sovereign debt restructuring has a more profound understanding, the more rational use. The sovereign debt crisis is the result of many factors, external factors mainly depends on the development of the global economy, China can not debt control; but the internal factors are the cause of economic and financial policies of other countries, China can be corrected by debt policy changes. Therefore, sovereign debt restructuring is not simply the implementation of debt relief and debt maturity change, should improve the country's economic system and focuses on the debt structure. Second, on how to properly treat and use sovereign credit rating so, have a positive impact on the economic development of our country. At present, the downgrading of product quality, credit rating agencies and misconduct by credit rating agencies Right quasi regulatory caused by the credit crisis, contributed to the global financial crisis and economic crisis, the credit rating of this tool more and more the lack of authoritative and persuasive. But the sovereign credit rating as the world's major investor decision-making, for a country to attract external investment is of great significance. China's entry into the international capital the market, will have to accept the universal rules. Third, through the correlation analysis of sovereign debt or, so we have obligations to have correct knowledge and understanding. In the process of construction of socialist market economy in China, the need for economic development, the local government is not only a large number of direct debt, but also formed a huge contingent debt. The problems in the economic development if not solve, will not only affect economic development, but also may cause local economic decline A retreat will affect the stability of the country's economic and political situation.
The full text is divided into seven chapters, the structure arrangement and the main contents are as follows:
The first chapter is the introduction, which mainly expounds the research background, significance, purpose, method, research ideas and logic, and the possible innovation and deficiency.
The second chapter is the literature review, a systematic review of the relevant literature at home and abroad on the sovereign debt restructuring, and existence from creditors, bond yields, and the debt crisis of debt default, five aspects of sovereign debt restructuring and sovereign debt or other review of the literature. Sovereign debt restructuring is the inevitable result in a certain historical stage of sovereign debt development. With the rapid development of the international capital market, the excessive borrowing of sovereign states led to sovereign risk, sovereign risk is accumulated to a certain extent will occur the sovereign debt default, breach of the solution to the sovereign debt restructuring, the restructuring of the debtor to make further development opportunities and reduce the losses of the creditor. And on the basis of literature review, this paper puts forward further research direction.
The third chapter on issues related to sovereign debt risk analysis. First, summarize the related effects of sovereign debt. The sovereign debt of debtor nations, has the positive influence, also has the negative influence. Which has a positive effect: to enhance the debtor country economic development strength, to create a good investment conditions, solve the problem of country debt investment the problem of poverty, breaking the country debt and improve debt vicious spiral national welfare; negative effects: the economic burden of debt, surplus value loss, strengthen the infiltration of developed countries to developing countries to improve the financial hegemony, the vulnerability of the debtor's financial system, have a negative impact on the country's reputation in the debt. Based on the specific types and related indicators of sovereign risk were analyzed. The sovereign debt risk is the risk of a variety of material, including: market risk, Liquidity risk, credit risk, structural risk and debt rollover risk. Measure: debt ratio, debt ratio, debt ratio and standard credit certification and three party institutions to measure default swaps and credit rating. Finally, our assessment of the major economies and the situation of the debt risk and debt risk in China analysis.
The fourth chapter analyzes the reasons of default on the debt of China. Firstly, the history of debt default, debt default conditions and reasons of default. Secondly, using the Obstfeld analysis framework, establish mathematical model to analyze the debtor default cost; finally, we used a two period debt model analysis, the debt of the debt due to the presence of overhang effect, so still have the ability to repay debt conditions, choose a debt default.
The relevant contents of the fifth chapter according to the existing debt restructuring case study of sovereign debt restructuring. Firstly, the existing international sovereign debt restructuring events, including the impact on the world economy in Latin America in 1982 1998 Russian debt restructuring, debt restructuring, debt restructuring in Greece and Argentina in 2002 2012. The debt restructuring of the reasons and the influence on its economic restructuring and reorganization are analyzed. Secondly, based on the sovereign debt restructuring efforts, summed up the three alternative debt restructuring: the change of debt maturity structure, debt relief and debt transfer, and focuses on the analysis of debt restructuring in developing countries -- debt transfer. Finally, analysis the main factors affecting the structure of debt and debt restructuring: restructuring related laws and regulations.
The sixth chapter of sovereign debt restructuring, the stability of the sovereign credit rating change how to influence the debt of foreign exchange market. In this chapter, the emerging economies in different period, facing the sovereign rating adjustment of the foreign exchange market reaction, using the event study method, empirical analysis. Through the analysis, we found that differences in performance the influence of the different period of adjustment to the sovereign rating of the foreign exchange market volatility of the market affected, gradually weakened along with the economic development. The adjustment of the foreign exchange market information on the sovereign rating of the early response, negative adjustment of a large impact on the market, the two period is respectively 30.98 times and 20.93 times the positive adjustment effect.
The seventh chapter is the conclusion and prospect, and summarizes the full text.
The innovation may exist in this article are: (1) using Obstfeld analysis framework, analysis of debt default in the cost mathematical model was set up. The cost of default, 8 by comparing the debt before the outbreak and the Latin American debt before the outbreak of the main countries concluded: in the presence of a breach of contract and the cost of debt still choose reason the default is the accumulation of large amounts of debt in debt investment in debtor countries have tax effect, restrain economic growth speed. At this time, the debtor can only choose default. (2) the application of Modun model to estimate the sovereign debt overhang in. (3) by using the event study method, quantitative analysis of sovereignty the debt restructuring through sovereign credit rating change, foreign exchange market impact on debt.
The shortcomings of this study: first, the issue of sovereign debt restructuring involves too much legal knowledge, causes the related mechanism based on the study of debt restructuring, not comprehensive analysis can only focus on the economic level. Second, or sovereign debt restructuring or debt problems because of the hidden and not the uncertainty is difficult to analyze the effective quantization.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F811.5

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