标题： 欧洲债务危机：违约与市场均衡 显示英文标题

标题： The European debt crisis: Defaults and market equilibrium

摘要： 在过去两年里，欧洲正面临着一场债务危机，而希腊则处于这场危机的中心。 为了应对这场危机，采取了激烈的措施，其中包括削减一半的希腊债务。 决策者之所以采取行动，是因为主权债务的利率急剧上升。 高利率意味着由于经济状况，违约的可能性很大。 高利率还会增加借贷成本，从而导致违约的可能性加大。 如果偏离了均衡状态，那么利率上升可能不仅是由违约风险引起的，还可能反过来加剧违约风险。 在这里我们构建了一个定量的主权违约风险均衡模型，首次能够确定市场是否始终由经济状况决定。 我们显示，在2001年至2012年期间，希腊债务的年度平均长期利率与债务占GDP的比例存在数量上的关系。 这种关系表明，如果希腊债务达到GDP的两倍，市场会持续预期违约的发生。 我们的分析并不排除在较短时间框架内非均衡的利率上升。 我们在另一项分析中发现了这种非均衡波动的证据。 根据均衡模型，必须发生部分违约的日期是2013年3月，几乎是在实际减记债务后的一年。 非均衡波动所导致的违约加速对于国家和国际干预具有重要意义。 如果实施市场规则以提高市场稳定性，防止短期利率上升，那么紧缩政策或救助成本的需求将会减少。 我们同样评估了没有干预的情况下葡萄牙、爱尔兰、西班牙和意大利的预计违约时间，分别为2013年3月、2014年4月、2014年5月和2016年7月。 所有违约都通过计划中的干预措施得以缓解。 显示英文摘要

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.