基于Logit模型的发展中国家债务危机预警分析
发布时间：2018-07-28 11:44
【摘要】：近几年发生在欧洲和中东等多个国家的主权债务危机事件，将人们的视线引向了沉寂一时的主权债务市场，再次引发了人们对主权债务违约风险的关注。其实，在历史的长河中，几乎每个国家在经济发展的过程中都发生过违约事件，即使是那些现在经济很发达的欧美国家，在其早期的经济发展过程中也不例外。新中国自建立起还没有发生过主权债务危机事件。但是，随着中国经济改革的进一步深化以及与世界经济的进一步融合，中国未来面临的经济发展不确定性也会加大。截至2013年12月，中国已拥有3.8万亿美元的外汇储备。如何对这些外汇储备进行保值投资，是一个非常重要的问题。目前各国主权债务仍是主权资金的主要去处。构建主权债务危机预警系统，既有助于中国识别他国主权违约风险的大小、降低投资的损失，又有助于中国加强自身建设、吸引更多的国外资金发展本国经济。 在过去的几十年中，许多新兴市场国家的经济系统危机频现，这对全球经济造成了巨大冲击。在多次危机之中，尤以债务危机与货币危机发生频率最高。为此许多学者将目光集中于寻找一种能够对危机进行预警的数学模型之上。由于数据的易得性和对危机的定义相对简单准确等原因，多年来多数文献倾向于对于货币危机的研究而忽略了另一重要的危机类型，即主权债务危机。近年来，随着技术手段的不断提升以及网络，电视等媒体的快速发展，对于主权债务危机预警的研究变得更加容易。 首先，梳理了债务危机及其预警模型的理论基础。主要是阐述了债务危机的内涵和特征，介绍了债务危机的成因；并简单介绍了传统的债务危机预警模型，通过梳理这些理论，为后文的研究奠定了坚实的基础。 其次，阐述了债务危机预警方法及预警指标的选择。基于上文关于传统债务危机预警方法的介绍，通过对传统债务危机预警方法进行分析和比较，概括了各类方法的优劣，在此基础上，选择了基于Logit模型的债务预警方法，并对该模型在对发展中国家进行预警时的适用性进行了分析，说明了运用logit模型预测债务危机在理论上和现实上的可行性；介绍了债务危机预警指标的选择过程，包括债务危机预警指标选取的原则，对传统债务危机预警指标的评价以及本文中所采用的债务危机预警指标的选择依据和描述。 再次，本文基于Logit模型，进行了发展中国家债务危机预警的时期差异性与区域差异性分析。选取了拉丁美洲、亚洲、欧洲共18个发展中国家从1980年至2010年共31年的数据进行研究，在对样本数据进行统计性描述后，分别进行了债务危机预警模型的时期差异性分析和区域差异性分析，分析的过程包括预警模型的建立、研究结果的分析和预警效果的检验。 最后，总结了本次研究的结论，，提出了研究中存在的不足，并对未来的研究进行了展望。 本文的创新之处在于对于债务危机预警指标的选择具有一定的创新性，依据本文所选取的指标可以进行危机预测，本文运用logit模型选取了三大类共13个指标进行预测，分别进行了债务危机预警模型的时期差异性分析和区域差异性分析，通过分析发现，在不同的时期，影响一国债务危机发生可能性的指标有很大差异，在不同的地域，作为预警债务危机的有效指标也不尽相同，从而通过分时期分地域分析的方法，在预测结果上更加准确，实证结果表明该方法在预警准确率上较其他方法就有比较优势。 并且，在以往的研究债务危机的文献中，大多文献采用信号分析法、国际收支法和神经网络法进行预测，这些方法虽然具有一定的预测效力，但是随着经济的快速发展和经济活动的日趋丰富，这些方法在使用的过程中难免会出现预测不准确的情况，并且鉴于国内研究主权债务危机的文献并不太多，绝大多数文献将研究视角放在金融危机和货币危机上，因为债务危机和货币危机的起因具有相似性，因此有文献将债务危机和货币危机的研究归为一类，但是两种危机之间还是存在较大差别的，所以有必要将主权债务危机单独拿出来进行描述和预测。
[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.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F811;F224
本文编号：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.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F811;F224
【参考文献】
相关期刊论文 前6条
1 孙海霞;斯琴图雅;;欧元区主权债务危机:一个理论分析框架[J];欧洲研究;2010年05期
2 杜莉;张鑫;;金融危机:判定、成因、影响与应对——关于金融危机问题研究的综述[J];社会科学战线;2010年10期
3 陈守东;杨莹;马辉;;中国金融风险预警研究[J];数量经济技术经济研究;2006年07期
4 龚斌恩;;欧洲主权债务危机的作用机制及影响研究[J];中国外资;2011年02期
5 金安;LOGIT模型参数估计方法研究[J];交通运输系统工程与信息;2004年01期
6 唐照宇;庄金良;;货币升值视角下的我国货币危机预警模型的构建[J];浙江金融;2011年07期
本文编号：2150028
本文链接：https://www.wllwen.com/guanlilunwen/shuishoucaizhenglunwen/2150028.html
