主权债务减免后的借贷成本

中文摘要

债务暂停偿付能否帮助国家抵御负面冲击？我们利用暂缓偿债倡议（DSSI），研究推迟官方债务偿付对债券市场的影响。利用主权债券利差的日度数据和合成控制方法，我们发现，与类似但不具备减免资格的国家相比，有资格获得官方债务减免的国家借贷成本下降幅度更大。对于获得较大规模债务减免的国家，这一下降更为明显，表明该效应通过流动性供给发挥作用。相比之下，研究结果并不支持官方债务减免可能在金融市场上产生污名效应的担忧。

Abstract

Can debt moratoria help countries weather negative shocks? We exploit the Debt Service Suspension Initiative (DSSI) to study the bond market effects of deferring official debt repayments. Using daily data on sovereign bond spreads and synthetic control methods, we show that countries eligible for official debt relief experience a larger decline in borrowing costs compared to similar, ineligible countries. This decline is stronger for countries that receive a larger relief, suggesting that the effect works through liquidity provision. By contrast, the results do not support the concern that official debt relief could generate stigma on financial markets. (JEL F34, G12, H63, O16)