主权债务风险的溢出效应及宏观机制探究——基于外汇市场的跨国实证  

Exploring the spillover effects and macro mechanisms for sovereign debt risks:cross-country empirical evidence based on foreign exchange market

作　　者：任奕璇 苏民[1] 段钰 REN Yixuan;SU Min;DUAN Yu(School of Economics and Management,Taiyuan University of Technology,Taiyuan 030024,China)

机构地区：[1]太原理工大学经济与管理学院,山西太原030024

出　　处：《西安理工大学学报》2025年第1期90-101,133,共13页Journal of Xi'an University of Technology

基　　金：国家社会科学基金资助项目(21BJY125)。

摘　　要：为探究主权债务风险在外汇市场的溢出效应及传导机制,以防范化解、治理主权风险,本文用EViews构建DCC-GARCH模型考察主权信用风险与外汇市场间的动态相关性和时变波动性,进一步构建面板混合效应、面板固定效应和分位数回归,深入考察驱动主权风险溢出的宏观机制。研究发现:一国主权信用风险上升会伴随着即期汇率贬值与波动性增加,在不同汇率间存在风险溢出效应,且表现出一定的区域性和时变特征;金融深化水平、贸易依存度和市场风险溢价会加速主权风险在外汇市场的溢出效应,政府负债水平、外汇储备规模对主权风险的溢出存在抑制作用,且宏观金融因素在不同风险分位点处的影响存在异质性。This paper explores the sovereign debt risk spillover in the foreign exchange market and transmission mechanism for risk management.Using EViews,a DCC-GARCH model analyzes the dynamic correlation and volatility between sovereign credit risk and the forex market.Afterward,we construct OLS,two-way fixed-effects and quantile regressions to investigate the macro-mechanisms of risk spillovers.Results show that rising sovereign credit risk leads to spot exchange rate depreciation and increased volatility,indicating a risk spillover with regional and time-varying features.Financial deepening,trade dependence and market risk premium accelerate this spillover,while government indebtedness and foreign exchange reserves inhibit it.Macro-financial factors also show heterogeneity across risk quartiles.

关 键 词：主权风险 金融市场 风险溢出 分位数回归 风险治理 

分 类 号：F812.5[经济管理—财政学] F831