歐債危機、信用風險與國際金融政策穩定性

2010年歐洲爆發主權債務危機,導致歐元貶值,追溯危機發生的原因,主要是希臘債券市場發生信用風險危機所致。為探究此匯率與物價的波動是否為長期現象,本文設定一個經濟架構完全對稱的兩國模型,在假設民眾採取適應性學(Adaptive learning)路徑的基礎下,本研究乃探討民眾對均衡實質匯率與物價的預期,在債券市場存在信用風險的波動下,是否能準確預料到政府的決策行為,進而使民眾的預期和政府的決策達成長期穩定之狀態;進一步地,本文將分析信用風險具蔓延性(傳染性)與否,對兩國政府國際金融政策穩定性之影響。由本文模型推導可知,當本國債券市場不存在信用風險時,在民眾採取適應性學習過程下,實質匯率與物價在長期會收斂至穩定的狀態;相同地,當本國債券市場存在信用風險時,不論本國信用風險是否具傳染性,本國與外國長期實質匯率與物價仍會收斂至穩定的狀態因此本文發現,不論債券市場信用風險的存在與否,均衡實質匯率與物價,在長期時均能準確地被民眾預期,而達成長期穩定之狀態。最後,在比較靜態分析部分,本文分析外國債券為無風險性資產和有風險性資產兩種情況。當外國債券為無風險性資產且本國債券信用風險不具外溢效果時,其風險程度的大小對外國物價與匯率不會產生影響;然而,若本國債券的信用風險蔓延至外國債券市場,外國的物價將會因本國債券信用風險而產生變動。因此,一國政府在對匯率與物價政策的決策上,必須考慮他國之信用風險與外溢效果程度的高低,由於政府的政策在長期會被民眾準確地預期到,因此,當外國債券信用風險會蔓延至本國債券市場時,在長期時將會導致本國通膨上升。

關鍵字

信用風險；貨幣危機；適應性學習動態；匯率政策；預期穩定性

並列摘要

European sovereign debt crisis occurred since 2010, which arose from the Greek government credit risks as well as led Euro to depreciate. To explore the long-run eﬀect of credit risks in government debt market on the equilibrium real exchange rate and price levels, this study purposes to construct a symmetric two-country model by assuming that agents take adaptive learning process. That is, the paper studies the role of the credit risks in the relationships between agents’ expectations and the stability of government’s international ﬁnance policy. Moreover, this paper attempts to study the impacts of the contagion(or, the spillover eﬀect)of credit risks on the agents’ expectations of the design of government policy. By deriving from my two-country model, this research obtains expectational stability conditions under three phenomena: no credit risks exist in both countries, one country has credit risks without contagion and, and one country has contagious credit risks. I ﬁnd that, no matter the credit risks in government debt market exist or not, the steady state real exchange rate and price levels would be achieved by the employing agents’ adaptive learning processes. This implies that government’s policy will be perfectly predicted by agents in the long-run such that the real exchange rate and price levels will converge to the long-term steady state levels, even though the credit risks are contagious. Also, I analyze the spillover eﬀect of domestic credit risks by assuming that foreign assets are risk-free. This paper claims that domestic credit risks do not aﬀect the long- run steady state equilibrium real exchange rate and price levels in the foreign if the domestic credit risk is not contagious, while in the long-run foreign real exchange rate and price levels would be inﬂuenced by domestic credit risks if the risk is contagious. This paper demonstrates that, therefore, governments should consider the strength of credit risks arisen from the abroad to avoid the permanent increase in real exchange rate and price levels. That is because their policy decisions would be forecasted by agents’ adaptive learning processes.