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本文以1990～2004年期间18个新兴市场国家货币危机与债务困境的发生情况为研究对象,运用主权债务困境代替传统债务危机的定义来解决“样本期间债务危机事件发生较少”的问题;运用logit概率回归模型、有序probit概率估计方法以及简单的线性回归方法回答“主权信用评级是否有助于预测货币危机与债务危机”问题;运用简单的线性相关性检验、非线性有序probit概率回归模型以及两变量Granger因果关系检验三种方法回答“主权债务的违约概率与货币危机的发生概率是否存在显著的相关关系”问题。经验研究结果表明,1990～2004年期间,针对主要的新兴市场国家而言,货币危机与债务危机之间并不存在必然的联系。
In this paper, the author studies the occurrence of currency crises and debt distress in 18 emerging market countries from 1990 to 2004, and uses the definition of the sovereign debt distress instead of the traditional debt crisis to solve the problem of “less occurrence of debt crises during the sample period” logit probability regression model, ordered probit probability estimation method and simple linear regression method to answer the question “whether the sovereign credit rating can help predict the currency crisis and debt crisis”; using a simple linear correlation test, non-linear ordered probit probability regression Model and two-variable Granger causality test three ways to answer the question “whether there is a significant correlation between the probability of default of sovereign debt and the probability of currency crisis”. The results of empirical studies show that there is no necessary link between the currency crisis and the debt crisis for the major emerging market countries from 1990 to 2004.