货币金融学（第十三版）课件 英文第12章 金融危机

TheEconomicsofMoney,Banking,andFinancialMarketsThirteenthEditionChapter12FinancialCrisesCopyright©2022,2019,2016PearsonEducation,Inc.AllRightsReservedPreview(1of2)Thischaptermakesuseofagencytheory,theeconomicanalysisoftheeffectsofasymmetricinformation(adverseselectionandmoralhazard)onfinancialmarkets,toseewhyfinancialcrisesoccurandwhytheyhavesuchdevastatingeffectsontheeconomy.Itthenappliesouranalysistoexplainthecourseofeventsthatledtoanumberofpastfinancialcrises,includingthemostrecentglobalfinancialcrisis.LearningObjectives12.1Definetheterm“financialcrisis.”12.2Identifythekeyfeaturesofthethreestagesofafinancialcrisis.12.3Describethecausesandconsequencesoftheglobalfinancialcrisisof2007–2009.12.4Summarizethechangestofinancialregulationthatdevelopedinresponsetotheglobalfinancialcrisisof2007–2009.12.5Identifythegapsincurrentfinancialregulationandhowtheymightbeaddressedwithfutureregulatorychanges.WhatIsaFinancialCrisis?Afinancialcrisisoccurswhenthereisaparticularlylargedisruptiontoinformationflowsinfinancialmarkets,withtheresultthatfinancialfrictionsincreasesharplyandfinancialmarketsstopfunctioning.DynamicsofFinancialCrisesStageOne:InitiationofaFinancialCrisisCreditBoomandBust:Mismanagementoffinancialliberalization/innovationleadingtoassetpriceboomandbustAsset-priceBoomandBustIncreaseinUncertaintyStagetwo:BankingCrisisStagethree:DebtDeflationFigure1SequenceofEventsinFinancialCrisesinAdvancedEconomiesTheMotherofAllFinancialCrises:TheGreatDepressionHowdidafinancialcrisisunfoldduringtheGreatDepressionandhowitledtotheworsteconomicdownturninU.S.history?Thiseventwasbroughtonby:StockmarketcrashBankpanicsContinuingdeclineinstockpricesDebtdeflationFigure2StockPricesDuringtheGreatDepressionPeriodSource:

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Ddatabase:/series/M1109BUSM293NNBR.Figure3CreditSpreadsDuringtheGreatDepressionTheGlobalFinancialCrisisof2007–2009(1of8)Causesofthe2007–2009FinancialCrisis:FinancialinnovationsemergeinthemortgagemarketsSubprimemortgageMortgage-backedsecuritiesCollateralizeddebtobligations(C

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s)HousingpricebubbleformsIncreaseinliquidityfromcashflowssurgingtotheUnitedStatesDevelopmentofsubprimemortgagemarketfueledhousingdemandandhousingpricesTheGlobalFinancialCrisisof2007–2009(2of8)Causes(cont’d):Agencyproblemsarise“Originate-to-distribute”modelissubjecttoprincipal-(investor)agent(mortgagebroker)problemBorrowershadlittleincentivetodiscloseinformationabouttheirabilitytopayCommercialandinvestmentbanks(aswellasratingagencies)hadweakincentivestoassessthequalityofsecuritiesAsymmetricInformationandCredit-ratingAgenciesHousingpricebubbleburstsF

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ICollateralizedDebtObligations(C

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s)(1of2)Thecreationofacollateralizeddebtobligationinvolvesacorporateentitycalledaspecialpurposevehicle(S

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V)thatbuysacollectionofassetssuchascorporatebondsandloans,commercialrealestatebonds,andmortgage-backedsecurities.TheS

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Vseparatesthepaymentstreams(cashflows)fromtheseassetsintobucketsthatarereferredtoastranches.F

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s)(2of2)Thehighestratedtranches,referredtoassuperseniortranches,aretheonesthatarepaidofffirstandsohavetheleastrisk.ThelowesttrancheoftheC

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Oistheequitytrancheandthisisthefirstsetofcashflowsthatarenotpaidoutiftheunderlyingassetsgointodefaultandstopmakingpayments.Thistranchehasthehighestriskandisoftennottraded.TheGlobalFinancialCrisisof2007–2009(3of8)Effectsofthe2007–2009FinancialCrisisAfterasustainedboom,housingpricesbeganalongdeclinebeginningin2006.Thedeclineinhousingpricescontributedtoariseindefaultsonmortgagesandadeteriorationinthebalancesheetoffinancialinstitutions.Thisdevelopmentinturncausedarunontheshadowbankingsystem.RepurchaseagreementsHaircutsTheGlobalFinancialCrisisof2007–2009(4of8)CrisisspreadsgloballySignoftheglobalizationoffinancialmarketsT

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Dspread(3monthsinterestrateonEurodollarminus3monthsTreasurybillsinterestrate)increasedfrom40basispointstoalmost240inAugust2007.TheGlobalFinancialCrisisof2007–2009(5of8)Deteriorationoffinancialinstitutions’balancesheets:WritedownsSellofassetsandcreditrestrictionHigh-profilefirmsfailBearStearns(March2008)FannieMaeandFreddieMac(July2008)LehmanBrothers,MerrillLynch,A

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G,ReservePrimaryFund(mutualfund),andWashingtonMutual(September2008)TheGlobalFinancialCrisisof2007–2009(6of8)BailoutpackagedebatedHouseofRepresentativesvoteddownthe$700billionbailoutpackageonSeptember29,2008.ItpassedonOctober3,2008.Congressapproveda$787billioneconomicstimulusplanonFebruary13,2009.Figure4HousingPricesandtheFinancialCrisisof2007–2009Source:Case-ShillerU.S.NationalCompositeHousePriceIndexfromFederalReserveBankofSt.LouisF

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Ddatabase:/series/SPCS20RSA.Figure5StockPricesandtheFinancialCrisisof2007–2009Source:FederalReserveBankofSt.LouisF

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Ddatabase,/series/DJIA.InsidetheFed:WastheFedtoBlamefortheHousingPriceBubble?(1of2)SomeeconomistshavearguedthatthelowrateinterestpoliciesoftheFederalReserveinthe2003–2006periodcausedthehousingpricebubble.Taylorarguesthatthelowfederalfundsrateledtolowmortgageratesthatstimulatedhousingdemandandencouragedtheissuanceofsubprimemortgages,bothofwhichledtorisinghousingpricesandabubble.InsidetheFed:WastheFedtoBlamefortheHousingPriceBubble?(2of2)FederalReserveChairmanBenBernankecounteredthisargumentsayingtheculpritsweretheproliferationofnewmortgageproductsthatloweredmortgagepayments,arelaxationoflendingstandardsthatbroughtmorebuyersintothehousingmarket,andcapitalinflowsfromemergingmarketcountries.Thedebateoverwhethermonetarypolicywastoblameforthehousingpricebubblecontinuestothisday.Global:TheEuropeanSovereignDebtCrisisTheincreaseinbudgetdeficitsthatfollowedthefinancialcrashof2007–2009ledtofearsofgovernmentdefaultsandasurgeininterestrates.Thesovereigndebtdebt,whichbeganinGreece,movedontoIreland,Portugal,Spain,andItaly.ThestressescreatedbythisandrelatedeventscontinuetothreatentheviabilityoftheEuro.TheGlobalFinancialCrisisof2007–2009(7of8)Heightofthe2007–2009FinancialCrisisThestockmarketcrashgatheredpaceinthefallof2008,withtheweekbeginningOctober6,2008,showingtheworstweeklydeclineinU.S.history.Surginginterestratesfacedbyborrowersledtosharpdeclinesinconsumerspendingandinvestment.Theunemploymentrateshotup,goingoverthe10%levelinlate2009inthemidstofthe“GreatRecession,theworsteconomiccontractionintheUnitedStatessinceWorldWarFigure6CreditSpreadsandthe2007–2009FinancialCrisisSource:FederalReserveBankofSt.LouisF

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Ddatabase:/series/BAA10Y.TheGlobalFinancialCrisisof2007–2009(8of8)GovernmentInterventionandtheRecoveryDuetogovernmentandcentralbankintervention,theGreatRecessionwasfarsmallerinmagnitudethantheGreatDepression.TheTroubledAssetReliefProgram(T

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P),themostimportantprovisionoftheBushadministrations’EmergencyEconomicStabilizationActpassedinOctober2008,authorizedtheTreasurytospend$700billionpurchasingsubprimemortgageassetsfromtroubledfinancialinstitutionsortoinjectcapitalintotheseinstitutions.CouldtheCoronavirusPandemicHaveLedtoaFinancialCrisisThecoronaviruspandemicin2020hadthepotentialtotriggerafinancialcrisisasseriousasthe2007–2009globalfinancialcrisis.WiththestartofthelockdownoftheU.S.economyinMarch2020,thestockmarketcrashed,fallingbymorethanathird,unemploymentsky-rocketed.Allthefactorsthatpotentiallyleadtoafinancialcrisis,showninthefirstrowofFigure1,cameintoplaywhenthepandemicbecamesevereinMarch2020.AcombinationofFederalReserveandU.S.governmentpolicieshelpedshoreupbusinesses,andtheBaa-Treasuryspreadbegantodecline.ResponseofFinancialRegulationMacroprudentialversusmicroprudentialsupervisionDodd-FrankWallStreetReformandConsumerProtectionActof2010ConsumerprotectionAnnualstresstestsResolutionauthoritySystemicriskregulationVolckerRuleDerivativesToo-Big-to-FailandFutureRegulationThreeapproachestosolvingthetoo-big-to-failproblemhavebeensuggested:BreakuplargefinancialinstitutionsHighercapitalrequirementsLeaveittoDodd-FrankBeyondDodd-Frank:WhereMightRegulationHeadintheFuture?ConsumerProtectionResolutionAuthorityVolckerRuleDerivativesTradingGovernment-sponsoredenterprises(G

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Es)Credit-ratingAgenciesWebChapter1:FinancialCrisesinEmergingMarketEconomiesPreview(2of2)ThischapterappliestheasymmetricinformationtheoryoffinancialcrisestoinvestigatethecauseoffrequentanddevastatingfinancialcrisesinemergingmarketeconomiesThisanalysisisthenappliedtotheeventssurroundingthefinancialcrisesthattookplaceinSouthKoreaandArgentinainrecentyearsandexplorewhytheseeventscausedsuchdevastatingcontractionsofeconomicactivity.DynamicsofFinancialCrisisinEmergingMarketEconomies(1of4)Stageone:InitialPhasePathA:CreditBoomandBustWeaksupervisionandlackofexpertiseleadtoalendingboom.Domesticbanksborrowfromforeignbanks.Fixedexchangeratesgiveasenseoflowerrisk.Banksplayamoreimportantroleinemergingmarketeconomies,sincesecuritiesmarketsarenotwelldevelopedyet.DynamicsofFinancialCrisisinEmergingMarketEconomies(2of4)Stageone:InitialPhasePathB:SevereFiscalImbalancesGovernmentsinneedoffundssometimesforcebankstobuygovernmentdebt.Whengovernmentdebtlosesvalue,banksloseandtheirnetworthdecreases.Additionalfactors:Increaseininterestrates(fromabroad)AssetpricedecreaseUncertaintylinkedtounstablepoliticalsystemsDynamicsofFinancialCrisisinEmergingMarketEconomies(3of4)Stagetwo:CurrencyCrisisDeteriorationofbankbalancesheetstriggerscurrencycrises:Governmentcannotraiseinterestrates(doingsoforcesbanksintoinsolvency)……andspeculatorsexpectadevaluation.Severefiscalimbalancestriggerscurrencycrises:Foreignanddomesticinvestorssellthedomesticcurrency.DynamicsofFinancialCrisisinEmergingMarketEconomies(4of4)Stagethree:Full-FledgedFinancialCrisisThedebtburdenintermsofdomesticcurrencyincreases(networthdecreases).Increaseinexpectedandactualinflationreducesfirms’cashflow.Banksaremorelikelytofail:Individualsarelessabletopayofftheirdebts(valueofassetsfall).Debtdenominatedinforeigncurrencyincreases(valueofliabilitiesincrease).Figure7SequenceofEventsinEmergingMarketFinancialCrisesApplication:CrisisinSouthKorea,1997–98(1of2)FinancialliberalizationandglobalizationmismanagedPerversionofthefinancialliberalizationandglobalizationprocess:chaebolsandtheSouthKoreancrisisStockmarketdeclineandfailureoffirmsincreaseuncertaintyAdverseselectionandmoralhazardproblemsworsen,andtheeconomycontractsApplication:CrisisinSouthKorea,1997–98(2of2)CurrencycrisisensuesFinalstage:currencycrisistriggersfull-fledgedfinancialcrisisRecoverycommencesApplication:TheArgentineFinancialCrisis,2001–2002SeverefiscalimbalancesAdverseselectionandmoralhazardproblemsworsenBankpanicbeginsCurrencycrisisensues