Indebted We Stand-Examining Debt Restructuring in a Currency Union

貨幣同盟內主權債務重整之探討

10.6160/2016.06.03

孫效孔(David Sun)

馬可夫鏈蒙地卡羅 ； 貝氏模型 ； 歐洲貨幣同盟 ； 主權債務危機 ； 債務重整 ； Markov Chain Monte Carlo ； Bayesian Model ； European Monetary Union ； Sovereign Debt Crisis ； Debt Restructuring

中山管理評論

24卷2期（2016 / 06 / 01）

323 - 356

英文

本研究探討貨幣同盟之中主權債務重整之最佳方式，結果顯示直接減債優於延伸借款，因為後者比較有可能導致貨幣同盟的崩潰。本研究以Gali &Monacelli (2008) 為基礎，採用貝氏觀念的馬可夫鏈蒙地卡羅方法，計算事後機率分配。分析顯示，歐元區的主權債務問題，如果貝氏觀念估算，其前景會比各界原來的預期更糟。但是，如果以減債紓困，會比延伸借款為佳，主要是因為後者會使消費、產出已及債務的市值變得更低。更重要的是，延伸借款的做法，迫使同盟內各國漸行漸遠。債務的回機率和收益率、財政負擔和通膨預期各項指標，都會使債務國離債權國越來越遠。即使同為債權國，在延伸借款的紓困措施下，越節省的國家預算壓力會越大，經濟規模越大的國家，通缩的風險會更高。

This study examines the optimality of sovereign debt restructuring alternatives within a currency union. Its results suggest that upfront debt relief works better than extra lending, as the latter runs the risk of breaking up the union. Based on the model of Gali & Monacelli (2008), I adopt a Bayesian approach to calculate posteriors with the Markov Chain Monte Carlo (MCMC) method. I show in the analysis that, given the sovereign debt problem in Eurozone, the Bayesian approach projects an even more worrisome prospect than one would anticipate. Nevertheless, debt relief as a bail-out choice is superior to extra lending primarily because consumption, output and market value of debt are all lower under the latter option. More importantly, compared to debt relief, the lending alternative divides the union further apart. Debt recovery probability, as well as debt yields, fiscal burden, and inflationary expectations, drives debtor countries more away from the creditor ones. Even within the creditor group, extra lending would impose bigger budget hikes on more frugal states, in addition to subjecting larger economies to higher deflationary risks.

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