貨幣同盟內主權債務重整之探討

Indebted We Stand-Examining Debt Restructuring in a Currency Union

本研究探討貨幣同盟之中主權債務重整之最佳方式，結果顯示直接減債優於延伸借款，因為後者比較有可能導致貨幣同盟的崩潰。本研究以Gali &Monacelli (2008) 為基礎，採用貝氏觀念的馬可夫鏈蒙地卡羅方法，計算事後機率分配。分析顯示，歐元區的主權債務問題，如果貝氏觀念估算，其前景會比各界原來的預期更糟。但是，如果以減債紓困，會比延伸借款為佳，主要是因為後者會使消費、產出已及債務的市值變得更低。更重要的是，延伸借款的做法，迫使同盟內各國漸行漸遠。債務的回機率和收益率、財政負擔和通膨預期各項指標，都會使債務國離債權國越來越遠。即使同為債權國，在延伸借款的紓困措施下，越節省的國家預算壓力會越大，經濟規模越大的國家，通縮的風險會更高。

This study examines the optimality of sovereign debt restructuring alternativeswithin a currency union. Its results suggest that upfront debt relief works betterthan extra lending, as the latter runs the risk of breaking up the union. Based on themodel of Gali & Monacelli (2008), I adopt a Bayesian approach to calculateposteriors with the Markov Chain Monte Carlo (MCMC) method. I show in theanalysis that, given the sovereign debt problem in Eurozone, the Bayesianapproach projects an even more worrisome prospect than one would anticipate.Nevertheless, debt relief as a bail-out choice is superior to extra lending primarilybecause consumption, output and market value of debt are all lower under the latteroption. More importantly, compared to debt relief, the lending alternative divides the union further apart. Debt recovery probability, as well as debt yields, fiscalburden, and inflationary expectations, drives debtor countries more away from thecreditor ones. Even within the creditor group, extra lending would impose biggerbudget hikes on more frugal states, in addition to subjecting larger economies tohigher deflationary risks.