CAJ | 학술논문

主权债务危机在不同时期和不同国家一直呈现不同特性，如何处理危机的时期和地域异质性一直是该领域的研究热点。本文构建了空间Probit面板模型，将债务危机在各国之间的传染效应纳入预警模型之中，以拟合债务危机在地域上的相关性。并且，本文提出一种混合了Gibbs取样法和Griddy-Gibbs取样法的MCMC估计方法。定量研究中，本文以巴西、阿根延、土耳其和尼日利亚为例说明该模型具有较好的预警效果。
주권채무위궤재불동시기화불동국가일직정현불동특성，여하처리위궤적시기화지역이질성일직시해영역적연구열점。본문구건료공간Probit면판모형，장채무위궤재각국지간적전염효응납입예경모형지중，이의합채무위궤재지역상적상관성。병차，본문제출일충혼합료Gibbs취양법화Griddy-Gibbs취양법적MCMC고계방법。정량연구중，본문이파서、아근연、토이기화니일리아위례설명해모형구유교호적예경효과。
The structural factors that trigger sovereign debt crisis vary in differ- ent periods and cross different states. It＇s always difficult to deal with the heteroge- neity of debt crisis. This paper develops a spatial probit panel model, which consid- ers the contagion effect across countries in crisis period. Moreover, this paper de- velops a MCMC estimation method which combines gibbs sampling and griddy- gibbs sampling. In quantitative exercise, we show that this model performs well in predicting debt crisis in Brazil, Argentina, Turkey and Nigeria.