基于Logit模型的發(fā)展中國家債務(wù)危機預警分析
發(fā)布時間：2018-07-28 11:44
【摘要】：近幾年發(fā)生在歐洲和中東等多個國家的主權(quán)債務(wù)危機事件，將人們的視線引向了沉寂一時的主權(quán)債務(wù)市場，再次引發(fā)了人們對主權(quán)債務(wù)違約風險的關(guān)注。其實，在歷史的長河中，幾乎每個國家在經(jīng)濟發(fā)展的過程中都發(fā)生過違約事件，即使是那些現(xiàn)在經(jīng)濟很發(fā)達的歐美國家，在其早期的經(jīng)濟發(fā)展過程中也不例外。新中國自建立起還沒有發(fā)生過主權(quán)債務(wù)危機事件。但是，隨著中國經(jīng)濟改革的進一步深化以及與世界經(jīng)濟的進一步融合，中國未來面臨的經(jīng)濟發(fā)展不確定性也會加大。截至2013年12月，中國已擁有3.8萬億美元的外匯儲備。如何對這些外匯儲備進行保值投資，是一個非常重要的問題。目前各國主權(quán)債務(wù)仍是主權(quán)資金的主要去處。構(gòu)建主權(quán)債務(wù)危機預警系統(tǒng)，既有助于中國識別他國主權(quán)違約風險的大小、降低投資的損失，又有助于中國加強自身建設(shè)、吸引更多的國外資金發(fā)展本國經(jīng)濟。 在過去的幾十年中，許多新興市場國家的經(jīng)濟系統(tǒng)危機頻現(xiàn)，這對全球經(jīng)濟造成了巨大沖擊。在多次危機之中，尤以債務(wù)危機與貨幣危機發(fā)生頻率最高。為此許多學者將目光集中于尋找一種能夠?qū)ξC進行預警的數(shù)學模型之上。由于數(shù)據(jù)的易得性和對危機的定義相對簡單準確等原因，多年來多數(shù)文獻傾向于對于貨幣危機的研究而忽略了另一重要的危機類型，即主權(quán)債務(wù)危機。近年來，隨著技術(shù)手段的不斷提升以及網(wǎng)絡(luò)，電視等媒體的快速發(fā)展，對于主權(quán)債務(wù)危機預警的研究變得更加容易。 首先，梳理了債務(wù)危機及其預警模型的理論基礎(chǔ)。主要是闡述了債務(wù)危機的內(nèi)涵和特征，介紹了債務(wù)危機的成因；并簡單介紹了傳統(tǒng)的債務(wù)危機預警模型，通過梳理這些理論，為后文的研究奠定了堅實的基礎(chǔ)。 其次，闡述了債務(wù)危機預警方法及預警指標的選擇�；谏衔年P(guān)于傳統(tǒng)債務(wù)危機預警方法的介紹，通過對傳統(tǒng)債務(wù)危機預警方法進行分析和比較，概括了各類方法的優(yōu)劣，在此基礎(chǔ)上，選擇了基于Logit模型的債務(wù)預警方法，并對該模型在對發(fā)展中國家進行預警時的適用性進行了分析，說明了運用logit模型預測債務(wù)危機在理論上和現(xiàn)實上的可行性；介紹了債務(wù)危機預警指標的選擇過程，包括債務(wù)危機預警指標選取的原則，對傳統(tǒng)債務(wù)危機預警指標的評價以及本文中所采用的債務(wù)危機預警指標的選擇依據(jù)和描述。 再次，本文基于Logit模型，進行了發(fā)展中國家債務(wù)危機預警的時期差異性與區(qū)域差異性分析。選取了拉丁美洲、亞洲、歐洲共18個發(fā)展中國家從1980年至2010年共31年的數(shù)據(jù)進行研究，在對樣本數(shù)據(jù)進行統(tǒng)計性描述后，分別進行了債務(wù)危機預警模型的時期差異性分析和區(qū)域差異性分析，分析的過程包括預警模型的建立、研究結(jié)果的分析和預警效果的檢驗。 最后，總結(jié)了本次研究的結(jié)論，，提出了研究中存在的不足，并對未來的研究進行了展望。 本文的創(chuàng)新之處在于對于債務(wù)危機預警指標的選擇具有一定的創(chuàng)新性，依據(jù)本文所選取的指標可以進行危機預測，本文運用logit模型選取了三大類共13個指標進行預測，分別進行了債務(wù)危機預警模型的時期差異性分析和區(qū)域差異性分析，通過分析發(fā)現(xiàn)，在不同的時期，影響一國債務(wù)危機發(fā)生可能性的指標有很大差異，在不同的地域，作為預警債務(wù)危機的有效指標也不盡相同，從而通過分時期分地域分析的方法，在預測結(jié)果上更加準確，實證結(jié)果表明該方法在預警準確率上較其他方法就有比較優(yōu)勢。 并且，在以往的研究債務(wù)危機的文獻中，大多文獻采用信號分析法、國際收支法和神經(jīng)網(wǎng)絡(luò)法進行預測，這些方法雖然具有一定的預測效力，但是隨著經(jīng)濟的快速發(fā)展和經(jīng)濟活動的日趨豐富，這些方法在使用的過程中難免會出現(xiàn)預測不準確的情況，并且鑒于國內(nèi)研究主權(quán)債務(wù)危機的文獻并不太多，絕大多數(shù)文獻將研究視角放在金融危機和貨幣危機上，因為債務(wù)危機和貨幣危機的起因具有相似性，因此有文獻將債務(wù)危機和貨幣危機的研究歸為一類，但是兩種危機之間還是存在較大差別的，所以有必要將主權(quán)債務(wù)危機單獨拿出來進行描述和預測。
[Abstract]:In recent years, the sovereign debt crisis in many countries, such as Europe and the Middle East, has led people's attention to the silent sovereign debt market, which has aroused people's attention to the default risk of sovereign debt. In fact, in the long history of history, almost every country has suffered a breach of contract in the process of economic development. The economic development of the European and American countries, which are now very prosperous, is no exception in its early economic development. New China has not had a sovereign debt crisis since its establishment. However, with the further deepening of China's economic reform and the further integration with the world economy, China's future economic development is uncertain. As of December 2013, China has a foreign exchange reserve of US $3 trillion and 800 billion. It is a very important issue how to protect these foreign exchange reserves. The sovereign debt is still the main place for sovereign debt. The construction of the sovereign debt crisis early warning system will help China to identify the risk of sovereign default in China. The loss of investment will help China strengthen its own construction and attract more foreign funds to develop its own economy.
In the past few decades, many emerging market countries have been in frequent economic crises, which have made a great impact on the global economy. In many crises, the debt crisis and the currency crisis are the most frequent. Many scholars have focused on finding a mathematical model that can be used to alert the crisis. Many years of literature tend to ignore another important type of crisis, namely the sovereign debt crisis. In recent years, with the rapid development of technology and the rapid development of the media, such as network, television, and the sovereign debt crisis, most of the literature has tended to ignore the study of the currency crisis. The police research has become easier.
First, it combs the theoretical basis of the debt crisis and its early warning model. It mainly expounds the connotation and characteristics of the debt crisis, introduces the causes of the debt crisis, and briefly introduces the traditional debt crisis early warning model. By combing these theories, it lays a solid foundation for the later study.
Secondly, it expounds the early warning method and the selection of the early warning index of the debt crisis. Based on the introduction of the traditional debt crisis early warning method, this paper analyzes and compares the traditional debt crisis early warning methods, and summarizes the advantages and disadvantages of various methods. On this basis, we choose the debt warning method based on the Logit model, and make the model in this model. The applicability of early warning to developing countries is analyzed, and the theoretical and practical feasibility of using the logit model to predict the debt crisis is explained. The selection process of the early warning index of the debt crisis is introduced, including the principle of selecting the early warning index of the debt crisis, the evaluation of the early warning index of the traditional debt crisis and the article in this paper. The choice and description of the debt crisis early warning indicators.
Thirdly, based on the Logit model, this paper carries out the period difference and regional difference analysis of the early warning of debt crisis in developing countries. It selects 18 developing countries in Latin America, Asia and Europe from 1980 to 2010 for a total of 31 years. After the statistical description of the sample data, the debt crisis is previewed respectively. The time difference analysis and the regional difference analysis of the police model are analyzed, including the establishment of the early warning model, the analysis of the research results and the test of the early warning effect.
Finally, the conclusions of this study are summarized, the deficiencies in the research are presented, and the future research is prospected.
The innovation of this paper is that the selection of the early warning index of the debt crisis is innovative. According to the indexes selected in this paper, we can predict the crisis. In this paper, we use the logit model to select three major categories and 13 indicators to predict the period difference of the debt crisis early warning model and the regional difference. Analysis shows that there are great differences in the index of the possibility of a country's debt crisis in different periods. In different regions, the effective indicators of the early warning debt crisis are not the same, so that the prediction results are more accurate by the method of dividing the region into the region. The empirical results show that the method is accurate in the early warning. There is a comparative advantage over the other methods.
And, in the previous literature on the debt crisis, most of the documents are predicted by means of signal analysis, balance of payments and neural network. Although these methods have a certain predictive effect, with the rapid development of the economy and the increasing economic activity, these methods will inevitably be predicted in the process of use. To be accurate, and in view of the lack of much literature on the sovereign debt crisis in China, the vast majority of the literature put the research perspective on the financial crisis and the monetary crisis, because the debt and monetary crises are similar, so there is a literature to classify the debt crisis and the monetary crisis as one category, but between the two crises. There is still a big difference, so it is necessary to describe and predict the sovereign debt crisis separately.
【學位授予單位】：中國海洋大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F811;F224
本文編號：2150028
[Abstract]:In recent years, the sovereign debt crisis in many countries, such as Europe and the Middle East, has led people's attention to the silent sovereign debt market, which has aroused people's attention to the default risk of sovereign debt. In fact, in the long history of history, almost every country has suffered a breach of contract in the process of economic development. The economic development of the European and American countries, which are now very prosperous, is no exception in its early economic development. New China has not had a sovereign debt crisis since its establishment. However, with the further deepening of China's economic reform and the further integration with the world economy, China's future economic development is uncertain. As of December 2013, China has a foreign exchange reserve of US $3 trillion and 800 billion. It is a very important issue how to protect these foreign exchange reserves. The sovereign debt is still the main place for sovereign debt. The construction of the sovereign debt crisis early warning system will help China to identify the risk of sovereign default in China. The loss of investment will help China strengthen its own construction and attract more foreign funds to develop its own economy.
In the past few decades, many emerging market countries have been in frequent economic crises, which have made a great impact on the global economy. In many crises, the debt crisis and the currency crisis are the most frequent. Many scholars have focused on finding a mathematical model that can be used to alert the crisis. Many years of literature tend to ignore another important type of crisis, namely the sovereign debt crisis. In recent years, with the rapid development of technology and the rapid development of the media, such as network, television, and the sovereign debt crisis, most of the literature has tended to ignore the study of the currency crisis. The police research has become easier.
First, it combs the theoretical basis of the debt crisis and its early warning model. It mainly expounds the connotation and characteristics of the debt crisis, introduces the causes of the debt crisis, and briefly introduces the traditional debt crisis early warning model. By combing these theories, it lays a solid foundation for the later study.
Secondly, it expounds the early warning method and the selection of the early warning index of the debt crisis. Based on the introduction of the traditional debt crisis early warning method, this paper analyzes and compares the traditional debt crisis early warning methods, and summarizes the advantages and disadvantages of various methods. On this basis, we choose the debt warning method based on the Logit model, and make the model in this model. The applicability of early warning to developing countries is analyzed, and the theoretical and practical feasibility of using the logit model to predict the debt crisis is explained. The selection process of the early warning index of the debt crisis is introduced, including the principle of selecting the early warning index of the debt crisis, the evaluation of the early warning index of the traditional debt crisis and the article in this paper. The choice and description of the debt crisis early warning indicators.
Thirdly, based on the Logit model, this paper carries out the period difference and regional difference analysis of the early warning of debt crisis in developing countries. It selects 18 developing countries in Latin America, Asia and Europe from 1980 to 2010 for a total of 31 years. After the statistical description of the sample data, the debt crisis is previewed respectively. The time difference analysis and the regional difference analysis of the police model are analyzed, including the establishment of the early warning model, the analysis of the research results and the test of the early warning effect.
Finally, the conclusions of this study are summarized, the deficiencies in the research are presented, and the future research is prospected.
The innovation of this paper is that the selection of the early warning index of the debt crisis is innovative. According to the indexes selected in this paper, we can predict the crisis. In this paper, we use the logit model to select three major categories and 13 indicators to predict the period difference of the debt crisis early warning model and the regional difference. Analysis shows that there are great differences in the index of the possibility of a country's debt crisis in different periods. In different regions, the effective indicators of the early warning debt crisis are not the same, so that the prediction results are more accurate by the method of dividing the region into the region. The empirical results show that the method is accurate in the early warning. There is a comparative advantage over the other methods.
And, in the previous literature on the debt crisis, most of the documents are predicted by means of signal analysis, balance of payments and neural network. Although these methods have a certain predictive effect, with the rapid development of the economy and the increasing economic activity, these methods will inevitably be predicted in the process of use. To be accurate, and in view of the lack of much literature on the sovereign debt crisis in China, the vast majority of the literature put the research perspective on the financial crisis and the monetary crisis, because the debt and monetary crises are similar, so there is a literature to classify the debt crisis and the monetary crisis as one category, but between the two crises. There is still a big difference, so it is necessary to describe and predict the sovereign debt crisis separately.
【學位授予單位】：中國海洋大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F811;F224
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