欧洲债务危机：违约与市场均衡

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摘要翻译：
在过去的两年里，欧洲一直面临着债务危机，而希腊一直处于危机的中心。为了应对危机，采取了激烈的行动，包括将希腊债务减半。政策制定者采取行动是因为主权债务利率大幅上升。高利率意味着违约很可能是由于经济状况。高利率还会增加借贷成本，从而可能导致违约。如果偏离均衡，利率的上升可能会导致违约风险，而不是由违约风险引起的。在这里，我们建立了一个主权违约风险的定量均衡模型，该模型首次能够确定市场是否一致地由经济条件决定。我们发现，在2001-2012年期间，希腊债务的年平均长期利率与债务与GDP的比率在数量上相关。这种关系表明，市场一致预计，如果希腊债务达到GDP的两倍，就会发生违约。我们的分析并不排除利率在较短时间内出现非均衡增长的可能性。我们在一个单独的分析中发现了这种非平衡涨落的证据。根据均衡模型，一半违约的发生日期必须是2013年3月，几乎比实际债务减记晚了一年。非均衡波动加速违约对国家和国际干预都有重大意义。如果实施市场监管，以提高市场稳定性，防止短期利率上升，紧缩或救助成本的必要性将会降低。我们同样评估了葡萄牙、爱尔兰、西班牙和意大利不采取干预措施的预计违约时间分别为2013年3月、2014年4月、2014年5月和2016年7月。所有违约都通过有计划的干预措施得到缓解。
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英文标题：
《The European debt crisis: Defaults and market equilibrium》
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作者：
Marco Lagi and Yaneer Bar-Yam
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates for sovereign debt increased dramatically. High interest rates imply that default is likely due to economic conditions. High interest rates also increase the cost of borrowing and thus cause default to be likely. If there is a departure from equilibrium, increasing interest rates may contribute to---rather than be caused by---default risk. Here we build a quantitative equilibrium model of sovereign default risk that, for the first time, is able to determine if markets are consistently set by economic conditions. We show that over the period 2001-2012, the annually-averaged long-term interest rates of Greek debt are quantitatively related to the ratio of debt to GDP. The relationship shows that the market consistently expects default to occur if the Greek debt reaches twice the GDP. Our analysis does not preclude non-equilibrium increases in interest rates over shorter timeframes. We find evidence of such non-equilibrium fluctuations in a separate analysis. According to the equilibrium model, the date by which a half-default must occur is March 2013, almost one year after the actual debt write-down. Any acceleration of default by non-equilibrium fluctuations is significant for national and international interventions. The need for austerity or bailout costs would be reduced if market regulations were implemented to increase market stability to prevent short term interest rate increases. We similarly evaluate the timing of projected defaults without interventions for Portugal, Ireland, Spain and Italy to be March 2013, April 2014, May 2014, and July 2016, respectively. All defaults are mitigated by planned interventions.
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PDF链接：
https://arxiv.org/pdf/1209.6369

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关键词：欧洲债务危机 债务危机 市场均衡 欧洲债务 Quantitative 债务 危机 希腊 interventions been