iebf課件完全版by第二學(xué)期cardiff1

PeterWarburton8February2013CentralbankambiguityCritiquesofcentralbanksPromotedcomplexfinancialinnovations,involvinghighlyleveragedinstruments,withoutproperregardfortheirsystemicimplicationsFavouredthegrowthofcapitalmarketsoverthatofcommercialbankingInterferedwiththebalanceofriskandreward,creatingmoralhazardEmphasisedmonetaryoverfinancialstabilityTransformedfrompublicservicevehiclestopseudo-investmentbanks2USFederalReservebalancesheet3CaptainBernanke:

toinfinityandbeyond?4BankofJapanbalancesheet5ECBbalancesheetNBIncludesSloveniafrom1Jan2009;itemsreallocatedfromotherassetstocashandsecuritiesat31Dec20086BankofEnglandbalancesheet7CentralbankobjectivefunctionBalanceofoutputdeviationsfromfullcapacityandactualfromtargetinflationQuadraticlossfunction: MinimiseL=E{?i[(t+i-*)2+(Qt+i-Q*)2]}Centralbankreportstendtoplacetheemphasisontheinflationcomponentoftheobjectivefunction,butoutputdeviationscansometimesbehuge:

USSavingsandLoan (1984-91) 3%cumulativeoutputloss Sweden (1991) 6% Finland (1991-93) 8% SouthKorea (1997-99) 15%Israel (1977-83) 30% Thailand (1997-99) 40% Indonesia (1997-99) 45% Argentina (1980-82) 55%

8Taylorrules:CBresponsefunctions9EvolutionofthecentralbankA20thcenturyphenomenon:from18to172ConversionofcolonialcurrencyboardstoCBsCreationofnewcentralbanksineasternandcentralEuropeandtheEuropeanCentralBank(ECB)Quidproquo:governmentprivilegesinreturnforserviceandfunctionsConductofmonetarypolicyandbankingsupervisionGuardianofthepayment,depositoryandsettlementsystemsFunctionalindependenceinthesettingofinterestrates10ShapesofcentralbanksFivedimensionsofcentralbankactivity1 Interestratesettingcommittees (monetaryindependence)2 Bankingsupervisionandregulation3 Debtandcash-flowmanagement4 Supervisionofthepaymentsystem5 Branchnetwork(somecentralbankcommitteesare organisedregionally)11ShapeofBankofEngland12ShapesofUS,JapaneseandGermancentralbanks13ParallelismofmoneyandcreditDebasementofcoinage(goldandsilvercoins)diminishesthepurchasingpowerofmoneyintermsofgoodsandservices.Excessivemonetarygrowthbringsasimilarresult,withparalleldepreciationoflocalcurrencyintermsofothers.Lossofinternalandexternalpurchasingpower.Withcredit,theanalogyistheerodingpurchasingpowerofaloantoanunreliabledebtor.Excessivecreditgrowthbringsaweakeningofoverallcreditquality,spreadingtheriskofdefaultintheeconomy.Overlapofthefunctionsofmoneyandcredithasgivenrisetotheterm“parallelbankingsystem”.Anunregulatedandoftenpoorlycapitalisedmarketspanninginter-bank,swapsandcreditderivativeshasassumedhugesignificanceinthepast15years.14Monetary&financialstability(1)Monetarystabilityconcernstheprovisionofsufficientdepositoryliabilitiesandphysicalcashinaneconomysuchthatinternaltradeisfacilitatedwithinaframeworkofalowandstablerateofdomesticpriceinflation.Avoidingcostsofbarterexchangeandfrustratedtransactionsononesideandthecostsofpriceinflation–inconvenience,injusticeandtrouble–ontheother.Financialstabilityconcernstheintegrityofthecreditsystem:ensuringthatcontractsarehonoured,thatfinancialactivityoperateswithincertainboundariesofacceptablebehaviourandthatcriminalsaredetectedandprosecuted.15Monetary&financialstability(2)Ahighlyregulatedfinancialsystemdiscouragestheassumptionofrisk,over-penalisesfailure,constrainsthepaceofeconomicdevelopmentandlimitstheopportunitiesformutuallyadvantageoustrades.However,theriskofsystemicfailureisminimised.Alightlyregulatedfinancialsystemencouragesrisk-takingactivities,limitsthecostsoffailureandpromotesfinancialinnovation.Asaresult,newbusinesscreation,adoptionofnewideasandtechniquesismuchfasterandeconomicgrowthishigher.However,failuresaremorelikelyandgreaterriskofsystemicinstabilityandperiodiccrisis.16A:Bankscontrolcreditsystem(1)Bankshaveadominantpositionintheprovisionofcredittohouseholds,tobusinessesandfinancialinstitutions.Creditexcessesaresynonymouswithbankcreditbeingtoocheapandeasytoobtain.Creditandmonetaryexcessesoccursimultaneously.Excessmoneybalancesswampthemarketsforgoods,services,propertyandfinancialassets,resultinginatemporaryboomphase,followedbyanincreasingoracceleratingpaceofinflation.Correctivepolicymeasures: raiseshort-terminterestrates usequantitativecontrolsonbanklending increasemandatorynon-interest-bearingbank depositswiththecentralbank.17A:Bankscontrolcreditsystem(2)AdecelerationphaseoftheeconomyensuesinwhichhightofallinginflationcoincideswithaslowornegativeGDPgrowthrate,decliningutilisationratesoflabourandcapital,andrisingratesofdebtdelinquency.Bankssufferanincreasingrateofnon-performingloansandareforcedtomakeloanlossprovisionswhicherodetheirprofits.Inthelimit,banksarerequiredtorebuildtheircapitalresourcesbyissuingnewequityorbonds.Higherinflationbalesoutmostoftheover-stretchedborrowersasthefastergrowthofnominalesenablesdebtstobeservicedmoreeasily.Assetpricesstagnateorfallinnominaltermsandusuallyfallinrealterms.18A:Bankscontrolcreditsystem(3)Theeconomiccostsofexcessivecreditgrowtharesharedaround:SomehouseholdssufferunemploymentandelossMosthouseholdshavetheirhomeequitystakereducedSomebusinessesfail,bringinglossestoinvestorsBanksandtheirshareholderssufferwealtherosionGovernmentlosestaxrevenueandpaysoutmoreinbenefitsandborrowsmoreMonetaryandfinancialstabilityobjectivesremainintact19B:No-onecontrolscreditsystem(1)Banksremaindominantlenderstohouseholdsandsmall/medium-sizedbusinessesbutmajorityoflargerbusinessesandfinancialinstitutionsfundthemselvesincapitalmarkets.Banksareinvestorsaswellaslenders.Creditexcessescanoccurinsideoroutsidethebankingsystem.Acreditexplosionneednotbereflectedinthegrowthofbanks’balancesheetsnorofmoneystocks.Excesspurchasingpower(i.e.anincreaseinthevelocityofthemoneystock)drivesforwardthemarketsforpropertyandfinancialassets(wheretheopportunitiesforcapitalappreciationareusuallythemostobvious)andspillsoverintoothermarketsinvaryingdegrees.20B:No-onecontrolscreditsystem(2)Non-bankcreditexpansion(mainlybondissues)ispredominantlyawholesalemarketsphenomenon–associatedwithbusinessinvestment,takeoveractivity,stake-buildingetc.–andlittlecashisneededtofulfillthesetransactions.Neednotbeamaterialimpactontheretail(M2)moneysupply,noranensuingriseinretailpriceinflation.Inflationremainswithinitsacceptablepolicyrangeandonlyminorrateadjustmentsaredeemednecessary.Centralbanksarecheeredforachievingacombinationofstrongeconomicgrowthwithlowinflation.Creditexcessescontinueunchecked.Opportunitiesforprofitabletradesremainopen(includingleveragedspeculation)aslongasexpectedassetpriceinflationsignificantlyexceedstheeffectivecostofborrowing,whichmaybethe3-monthmoneymarketreturnorthebenchmark10-yearbondyield.21B:No-onecontrolscreditsystem(3)Creditqualitydeteriorates,ledbycreditcardcharge-offratesandjunkbonddefaults.Slowly,thecultureofnon-paymentspreadsthroughthecreditsystemultimatelyinfectingmortgagesandthedebtinstrumentsofwell-knowncompanies.Bondyieldsrisetoreflecttheincreasingdegreeofcreditriskandthecostofrefinanceescalates.Theeconomysagsunderthesteepriseinbusinessfinancecostsandthecurtailmentofaccesstocredit.Theconditionofthebankingsystemdeteriorates,leadingtoanincreaseinloanlossprovisions.Alowrateofinflation,possiblyevendeflation,prevailsthroughout.Over-stretchedborrowersarenotbailedoutandeithersubsistordefault.Assetpricesfallunderthepressureofforcedliquidationbydistressedhouseholdsandbusinesses.22B:No-onecontrolscreditsystem(4)Theeconomiccostsofexcessivecreditgrowthareconcentrated:IlliquidhouseholdsandbusinessessufferdisproportionatelossesLiquidhouseholdsandbusinessessufferpaperlossesonassetsbutenjoybetterpurchasingpowerfortheircashBond-holdersdrivebusinessesintoliquidationinordertogettheirmoneybackSomefinancialinstitutionsmayeinsolventSomebanksmayrequiretoberescuedGovernmentlosestaxrevenuebutmaynotbeabletoincreasebenefitpaymentsifitisunabletoborrowonattractivetermsNeithermonetarynorfinancialstabilityobjectivesareachieved23WhyhaveCBspromotedde-regulationandreform?(1)Becausethebankingsectorwasdoingabadjobofcapitalallocation:PayingdepositorsapittanceRestrictingaccesstocapitalforsmallbusinessesRationingmortgagesusingnon-pricemethodsOver-mannedandcomfortableOver-chargingforitsservicesMakinglotsofexpensivemistakesinfarawayplaces24WhyhaveCBspromotedde-regulationandreform?(2)BecausethecapitalmarketshadmaturedintoaviablealternativeBondmarketmaturityDerivativestopermitbetterriskarbitrageInternationalpoolingofrisksSizeeconomiesfromaglobalfundsmarketTechnologicaladvancesLowercostofcapitalforgovernments25Howhasstructureoffinancialintermediationchanged?Rapidexpansionoffinancialassets/GDPratiossince1980Increaseinfinancialintermediation(claimsheldindirectly)Sharpfallinbankshareoffinancialintermediation(US,UK)Markedriseininstitutionalshare(alldevelopedcountries)Riseinbondsandequitiesassharesoffinancialinstruments:(US62%,Canada50%,UK,France&Italy49%,Germany37%)Declineinloansasshareofcorporateliabilities(ex-Japan)26Institutionalfunds’assetstoGDP(%)Financialassetsofinstitutionalinvestorsasa%ofGDP1990199520012006Ireland

334549Switzerland119213254UK115162192207Netherlands146176206US119141177203Iceland46106180Denmark5683121177France5576130174Sweden

49128159Australia4983126152Japan8299104148Canada5894125144Finland335083133Austria244487130Germany375699119Belgium443185111Italy13269198KoreanRep.486880Portugal9185167Spain13345865Norway36434358Hungary231428Greece7122617Mexico

1710Source:OECDFinancialMarketTrends,200827Moneyandcollateral:definitions28Regulatoryarbitrageandtheriseofthenon-banks29Financialleverageina

collateral-basedsystem3031EffectsonCBinfluence?Bluntedtheimpactofshort-terminterestratechangesWealtheffectsonconsumptionhavecomplicatedthetaskofdemandmanagementShouldassetpricesbeincludedintheinflationtarget?AmbiguityoftheLLRfunctioninaderegulatedfinancialsystem(US)Glass-SteagallAct(1933)finallyrepealedin1999,butby-passedlongagoShouldanyfinancialinstitutionbeallowedtofail?32DoestheUSFedunderpinequityprices?Concentrationofhouseholdwealthheldinequitiesorfundsimpliesthatalargepercentagefall(e.g.over25%)hasasignificantimpactOnthemacroeconomyviathewealtheffectOnsavingsbehaviourandliquiditypreferenceOnthedistributionofeProgressiveincreaseinhouseholdandcorporatedebtratiosrequiresstrongeconomicgrowthsimplytoserviceexistingdebtobligationsRiskofadownwardspiraloffinancialassetvaluesandeconomicactivityDoestheFedhavearesponsibilitytopreventastockmarketcorrection?TheasymmetricreactionfunctionAgentswhothinkthattheydowilltakebiggerrisks33Whyisn’tthebondmarket

self-correcting?Systematicmis-pricingofcreditriskOver-emphasisoninflationriskFuturesandoptionsactivityencouragesovershootingIneptsignallingbycentralbanks(SeeGoodhart1999)ExcessfinancialcapitalseekingayieldpremiumProliferationofissuersweakensthequalitycontrolmechanisms–overdependenceoncreditratingagenciesIntimesofcrisis,centralbankshaveavestedinterestinkeepingprivatesectorbondmarketsopen34CBinterferenceintheglobal

creditsystemMonetarystabilitygiventoogreataprofilecf.financialstabilityPowerfuladvocatesofthereorientationtowardscapitalmarketsFailuretoacknowledgethedebtmountaininthebondmarket($83.6trn;ofwhichpublicsector,$30.2trn)ActingasLenderofLastResorttoallfinancialinstitutionsofanysizeRisk-takingencouraged(themoralhazardproblem)35Globalbondmarket:publicsector36DebtMaturityfortheG7Source:DeutscheBank37AverageBondtermtomaturitySource:DeutscheBank38Globalbondmarket:privatesector39Globalbondmarketinoverdrive40Explosionofglobalderivatives41Theriseandfallofsecuritisation42Consequencesofthemoral

hazardproblemIlliquidprivatesectorbalancesheetsOver-investmentinphysicalcapacityandnewtechnologyDecliningcreditqualityinthecorporatebondmarketProportionofover-indebtedhouseholdsincreasedGovernmentrevenuesexaggeratedbybuoyantcapitalmarketsVulnerabilitytohigherbondyields(beyondcentralbankcontrol)43Decliningcreditquality(1)Source:Moody’sGlobalCreditPolicy,February2009–Exhibit444Decliningcreditquality(2)Source:Moody’sGlobalCreditPolicy,February2009–Exhibit1145Decliningcreditquality:isitfixed?46Bernanke:theabolitionofdefault(1)47Bernanke:theabolitionofdefault(2)48Thesuppressionofthedefaultcycle49Verylowinterestratesmakesdefaultmuchlesslikely50Moralhazard:absenceofdefaultspursabundanceofpoor-qualityissuers51Issuancebiasedtohigher-yielding,poorerqualitybonds52US$1trnofcorporaterefinancing53Moody’sexpectsasecondpeakofcorporatedefaults54Shouldofficialgoldbesoldandlent?55Shouldofficialgoldbesoldandlent?Gold:long-termsupply-demandbalanceintonnesSup