2008年金融海嘯與2010年歐債危機相繼爆發後,歐債五國公債殖利率持續攀升,金融實務界與傳播媒體爭相報導渲染,認為這必將造成債務負擔與財政狀況持續惡化事並危及歐元區的前途。然而公債殖利率本身受到許多因素影響,與債務危機亦可能互為因果今其他總體經濟或非經濟變數的解釋能力事或較之史勝一籌。本文根據目前較具公信力的債務危機資料庫,使用Probit模型及其修正模式,就歐元區、OECD國家及重要新興經濟體進行比較分析。儘管實證結果會受到不同資料庫定義差異的影響,但就歐元區等先進經濟體而言,公債殖利率並無顯著的解釋能力。此外事與先進國家相較,新興經濟體的債務違約機率確實較高。
This paper defines the sovereign debt crises using two famous databanks, and then tests whether the long-term government bond yields and other macroeconomic variables can be statistically significant in a probit model. The samples include the Euro area, OECD and the emerging economies. The results indicate that the government bond yields are unable to explain the cases of the advanced economies. In addition, the probability of sovereign default in the emerging markets is higher than that in the advanced economies.