主权债务风险跨国溢出渠道的异质性研究——来自空间分位数面板回归的证据  

A Study on the Heterogeneity of International Spillover Channels of Sovereign Debt Risk——Evidence from Spatial Quantile Panel Regression

作　　者：刘培培 黄玮强[1] Liu Peipei;Huang Weiqiang

机构地区：[1]东北大学工商管理学院,沈阳110167

出　　处：《经济问题探索》2023年第12期60-76,共17页Inquiry Into Economic Issues

基　　金：国家自然科学基金面上项目“基于多层借贷关联网络的银行系统性风险传染机制及控制研究”(72171039);国家自然科学基金面上项目“基于金融机构尾部风险网络的金融系统性风险形成演化机制及预警控制研究”(71771042);中央高校基本科研业务专项资金资助项目“银企关联网络动态演化视角下的银行业系统性风险预警研究”(N2206008)。项目主持人:黄玮强。

摘　　要：主权债务风险存在跨国溢出效应。当前,许多国家的主权债务问题严重,应引起高度重视。风险跨国溢出主要通过贸易、金融投资、信息和地理距离四类渠道,但是已有文献没有考察不同风险水平下跨国溢出渠道的差异性,即渠道异质性问题。本文采用空间面板分位数回归模型,以G20集团为研究对象,分析跨国溢出渠道的异质性问题。研究发现:(1)在不同风险水平下,各溢出渠道的作用效果存在巨大差异。风险水平越高,贸易渠道发挥的作用越大;在极端高风险水平下,贸易渠道在风险的跨国溢出中起主导作用。(2)当一国处于极端高主权债务风险时,对贸易邻国的影响最大,而对地理邻国的影响最小。(3)与其他国家相比,美国经济基本面的恶化给邻国主权债务风险带来的冲击最大。研究结论为监管者进行动态风险管理提供了重要参考。There are cross-country spillover of sovereigndebt risk.Currently, many countries' sovereign debt problems are serious and should be of great concern.Cross-country risk spillovers are mainly through four channels: trade, financial investment, information and geographic distance.However, existing researchs have not examined the differences in spillover channels under different risk levels, namely the issue of channel heterogeneity.The spatial panel quantile regression model is used to study this issue, with the G20 as the research object.The research finds that, firstly, there are significant differences in the effectiveness of various spillover channels under different risk levels.The higher the risk level, the greater the role played by trade channels;At the extremely high risk level, trade channels play a dominant role.Secondly, when a country is at the extremely high sovereign risk level, the impact on its trading neighbors is greatest, while the impact on its geographical neighbors is minimal.Thirdly, compared to other countries, the deterioration of economic fundamentals in the US has the greatest impact on the sovereign debt risks of neighboring countries.Therefore, the conclusions provide important references for regulators to conduct dynamic risk management.

关 键 词：主权债务风险 溢出渠道异质性 空间计量 分位数回归 空间溢出 

分 类 号：F831[经济管理—金融学]