再析美国金融危机前的利率政策

全球金融危机与美国货币政策的变化密不可分,从低利率货币信贷扩张的流动性过剩到高利率的流动性紧缩,使宏观经济产生剧烈波动,前期低利率带来过剩的流动性,后期利率的提高造成巨量房地产泡沫的破灭。让美联储无视资产泡沫的原因是美联储货币政策一贯秉持的"泰勒规则"指导原则没有纳入资产价格因子,致使美联储货币政策调控失误。     

资产泡沫与美联储的货币政策

美联储为应对金融危机和经济衰退而采取的各种货币政策措施使其资产负债表快速膨胀,加之今年3月美联储宣布正式实施数量宽松政策,引起各界对未来资产价格是否会再次出现泡沫的讨论。本文认为美联储的货币政策对于上世纪90年代末的科技股泡沫和本世纪初的房地产泡沫的形成及膨胀提供了宽松的货币环境;而本次美联储为应对危机的各项货币政策措施将使利率保持较长期低水平的同时带来基础货币的大量投放,在美国经济结构和增长模式没有发生改变、美元的国际霸权地位没有动摇的背景下,全球资产泡沫可能会再次出现。     

美联储缩表的影响与应对

<正>缩表减少金融市场充裕流动性，影响市场利率水平，进而进一步影响金融市场资产价格和资产配置，对美国以及全球经济产生一系列宏观效应2022年5月4日，美联储在5月议息会议发布《缩减美联储资产负债表规模的计划》，并宣布于2022年6月1日起开始收缩资产负债表，这意味着美联储货币政策正常化步入关键阶段。中央银行资产负债表是其以往政策操作的沉淀，     

金融危机爆发后美国的货币政策创新及其启示

2007年9月,美联储进入降息周期,截至2008年10月,美联储连续10个月降低基准利率和贴现率。2008年12月17日,基准利率降至0～0.25%区间,标志美国进入零利率时代。在金融危机期间,美联储采取了新型货币政策工具,这些工具对美联储资产负债表的规模和结构产生较大影响。本文分析金融危机爆发后美国采取的新型货币政策工具及其对资产负债表的影响,并得出相关启示。     

美联储缩表的内涵及影响

<正>2008年美国爆发次贷危机,随后转为全球性金融危机。为了应对危机,美联储先是急剧地降低利率,继而将最后贷款人职能从传统的银行业机构扩展到了金融市场,再续之以固定频率和规模购买资产而实施量化宽松货币政策。多年非常规货币政策导致美联储资产负债表急剧扩张。北京时间2017年9月21日凌晨,美联储举行议息会议并宣布将于     

美国应对金融危机的货币政策及其效应评析

尽管美国金融危机的货币表象为流动性枯竭、金融市场混乱,但金融危机的真实根源却在于交易中的对手风险.因此,虽然美联储采取了扩张性货币政策和创新的金融工具,增加金融市场的流动性,但这些政策只能在短期内抑制经济衰退,并不能真正地消除金融危机,反而还可能延缓甚至恶化金融危机.     

双部门流动性冲击、银行挤兑与外汇储备救援

美联储加息预期直接触发跨境资本流动突然中断的国际金融冲击,可能会通过国内政策调整和金融市场适应间接导致汇率政策调整冲击和国内金融市场冲击。因此,依赖银行中介引入国际资本,基于家庭投资信息不对称、银行家道德风险分析国内金融冲击、国际金融冲击和政策冲击下流动性风险的传导路径和救援路径有很好意义。数值模拟结果显示：一般冲击均衡下,银行生产率冲击造成的经济波动最大,不仅关乎着一国金融市场的兴衰,也牵动着一国的经济增长,该冲击主要通过资本资产价格渠道引致银行挤兑风险,而银行挤兑发生后的救援又可能会背离流动性注入的初衷,这在一定程度上造成了资源的浪费;跨境资本流动突然中断冲击主要依赖银行资产负债表和资本资产价格渠道进行扩散,触发银行挤兑后实施的流动性救援政策有助于缓解经济波动,但外汇储备的减少可能影响投资者对市场的信心;汇率政策主要通过资产负债表渠道影响金融市场稳定。     

金融机构信贷扩张、资产价格波动与金融危机——基于资产负债表分析模型

金融危机具有周期性特征,通常在金融危机爆发前后会发生显著的资产价格剧烈波动。由于银行中介信贷周期与宏观经济周期的同周期性,金融危机爆发前的信贷扩张与资产价格泡沫积累掩盖了金融机构的系统性风险问题;市场高涨往往伴随着金融自由化思潮、道德风险问题与实质性监管松弛。基于对金融中介机构资产负债表量化模型的构建与分析,应从资本充足率、金融资产计量属性、坏账拔备比率三个维度采取逆周期金融监管策略,以降低金融危机发生的概率。     

从资产负债表看美联储的救市与退出

为应对金融危机,美联储采取了一系列措施,包括下调联邦基金利率水平、量化宽松政策、对现有的货币政策工具进行创新、对金融机构实施紧急救助等,这些措施对金融市场实施全方位的救助,增加了基础货币的供应,促进了金融市场的恢复,同时也使美联储的资产额大幅增加。由于市场信心尚未完全恢复,金融机构不愿意放贷,美联储通过各种金融工具投放出去的流动性又流回美联储。如果经济好转、市场信心恢复,这些流动性投向市场,将对经济形成巨大的通货膨胀压力。未来的退出步骤将与救市步骤相反,即先通过数量化工具收回市场上过多的流动性,使美联储的资产负债表达到正常的水平,再提高联邦基金利率。就美联储的资产负债表的结构和美国经济的现实情况来看,美联储的低利率政策还将持续一段时间。     

次贷危机对我国商业银行的影响及启示

随着美国高科技经济泡沫的破裂和“9．11”事件的发生,美联储为改变经济增长放缓的局面,自2001年以来,实行了宽松的货币政策,连续降低联邦基准利率。增加了市场流动性,推动了房地产价格的上涨和房贷需求的膨胀．催生了次级住房抵押贷款的快速发展。同时．持续的低利率增加了金融市场高风险、高收益产品的需求．进一步促进了住房抵押贷款证券化产品的发展。这样就以消费者次贷为基础资产．在消费者、抵押贷款机构、投资银行、机构投资者之间形成了收益、风险转移和资金供给的链条,极大地提高了这些机构的杠杆比率．降低了风险承受能力．也造成了次贷的过度膨胀,产生了信用泡沫。2004年下半年．美联储开始提高基准利率．次贷消费者还款压力增大．同时市场流动性降低,房地产价格开始下跌．造成了次贷违约率急剧上升．以此为基础资产的证券化金融产品价值也急剧缩水,美国金融市场在宽松货币政策和市场流动性充足条件下形成的收益、风险转移和资金供给链条断开．维持高杠杆比率的机构出现流动性风险．2007年4月,美国次贷行业的第二大公司新世纪金融宣布倒闭．次贷危机开始．并逐渐影响到国际金融市场。     

股票价格对投资的影响：资产负债表效应分析

资产负债表效应是股票价格影响投资的重要渠道。股票价格的波动除了会通过影响托宾Q值而影响上市企业的融资成本,进而影响上市企业的投资外,还会通过影响企业的净值进而影响企业从银行获得贷款的能力而影响企业的投资。而投资是总需求的重要组成部分,也是股票价格影响物价水平的重要方面,因此,研究股票价格对投资的影响,即对资产负债表效应的研究,对于研究股票价格对物价稳定的影响具有重要的理论意义和实践价值。     

Securitization and the balance sheet channel of monetary transmission

This paper shows that the balance sheet channel of monetary transmission is stronger for US banks that securitize their assets. This finding is different, in spirit, from the widely-found negative relationship between financial development and the strength of the lending channel of monetary transmission. Focusing on the balance sheet channel, and using bank-level observations, we find that securitizing banks are more sensitive to borrowers’ balance sheets and that monetary policy has a greater impact on this sensitivity for securitizing banks. The optimality conditions from a simple partial equilibrium framework suggest that the positive effects of securitization on policy effectiveness could be due to the high sensitivity of security prices to policy rates.     

Liquidity and leverage

In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, and eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is strongly procyclical. Such behavior has aggregate consequences. Changes in dealer repos – the primary margin of adjustment for the aggregate balance sheets of intermediaries – forecast changes in financial market risk as measured by the innovations in the Chicago Board Options Exchange Volatility Index VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries.     

Why do small businesses have difficulty in accessing bank financing?

This study investigates bank financing to small and medium-size enterprises (SMEs) and evaluates whether the difficulties of SMEs in accessing bank financing during a period of financial crisis are due to a reduction in the supply of credit, or to a decrease in the demand for credit. The results show that the macroeconomic setting matters: demand effects are unlikely to drive the decline in the stock of bank loans, while the supply of credit causes SMEs difficulties in accessing bank credit. During a crisis period, in particular, an increase in the risk of lenders leads to the reduced supply of credit and credit rationing (i.e. the bank lending channel). In a post-crisis period, SMEs with increased risk and decreased profits have great difficulties in securing bank loans (i.e. the borrower balance sheet channel). Taken together, these results suggest that supply effects initially emerge through the bank-lending channel and then shift to the borrower balance sheet channel over a period of financial crisis.     

发达经济体中央银行资产负债表管理及对我国的启示

中央银行资产负债表既是表示自身财务状况的会计报表,也是中央银行法定职责履行情况的综合反映。近年来,央行资产负债表正逐步成为公众评价货币政策效果、形成政策预期的重要渠道,同时,各国央行也更加关注自身资产负债表的持续健康问题。本文通过分析2006年以来部分发达经济体央行的资产负债表规模和结构变化,重点揭示了其防范和降低资产负债表风险所采取的控制措施,以期为央行更好地开展资产负债表管理提供参考。     

Flight to liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. A financial crisis, simulated as an abrupt decline in the collateral value of bank assets, triggers a flight to liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks’ asset portfolios.     

Pricing of off‐balance sheet debt: how do bond market participants use the footnote disclosures on operating leases and postretirement benefit plans?

In this study, we examine whether the public debt market prices information on off‐balance sheet debt arising from operating leases and postretirement plans. We find that bond‐rating agencies price off‐balance sheet debt arising from operating leases and the coefficient on off‐balance sheet debt measure of operating leases is similar to that of capital leases on the balance sheet. Regarding postretirement benefit plans, we find that bond‐rating agencies do price postretirement benefit obligations that are reported in balance sheet but do not price such obligations disclosed in footnotes. We find similar results when we examine corporate bond yields on new debt issues.     

Bank Failure,Mark‐to‐market and the Financial Crisis

This paper is concerned with the allegation that fair value accounting rules have contributed significantly to the recent financial crisis. It focuses on one particular channel for that contribution: the impact of fair value on the actual or potential failure of banks. The paper compares four criteria for failure: one economic, two legal and one regulatory. It is clear from this comparison that balance sheet valuations of assets are, in two cases, crucial in these definitions, and so the choice between ‘fair value’ or other valuations can be decisive in whether a bank fails; but in two cases fair value is irrelevant. Bank failures might arise despite capital adequacy and balance sheet solvency due to sudden shocks to liquidity positions. Two of the most prominent bank failures cannot, at first sight, be attributed to fair value accounting: we show that Northern Rock was balance sheet solvent, even on a fair value basis, as was Lehman Brothers. The case study evidence is augmented by econometric tests that suggest that mark‐to‐market accounting has had only a very limited influence on the perceived failure risk of banks.     

Bank opacity and the efficiency of stock prices

Prior research argues that the process of intermediation is opaque and produces uncertainty about the riskiness of banks, which may adversely affect the efficiency of bank stock prices. Using the Hou and Moskowitz (2005) measure of price delay, which captures the inefficiency of stock prices, we test for, and find evidence supporting the idea that opacity is positively associated with price delay. Bank stocks have markedly higher delay than similar non-bank stocks. This higher level of delay is driven, in part, by market-based measures of informational opacity as well as the asset composition of the bank's balance sheet. Combined, our findings suggest that bank opacity reduces the efficiency of financial markets.     

Asset prices and banking distress: A macroeconomic approach

This paper links banking with asset prices in a dynamic macroeconomic model, to provide a simple characterization of financial instability. In contrast with historical bank runs, recent banking crises were driven by deteriorating bank assets. Hence, in contrast with bank run models, this paper focuses on the interaction of falling asset prices, bank losses, credit contraction and bankruptcies. This interaction can explain credit crunches, financial instability, and banking crises, either as fundamental or as self-fulfilling outcomes. The model distinguishes between macroeconomic and financial stability. Its simplicity helps understand balance sheet effects and delivers closed-form solutions without resorting to linearization. For instance, the critical threshold beyond which an asset price decline triggers financial instability can be related explicitly to the structural parameters of the economy.