对后危机时代最后贷款人法律制度创新的思考

无论一种制度如何先进,与动态的社会而言,其都是一个此一时彼一时的问题。若具有相对真理性的制度意图\"常青不败\",那么它就必须与时俱进。虽然古典的最后贷款人制度实现了既定史命,但是金融自由化、金融电子化与国际化已从另一侧面检测着该制度的精致或拙劣。是急流勇退,还是迎难而新,这是后危机时代该制度因时而化中所必须权衡的重大问题。     

Securitization markets and central banking: An evaluation of the term asset-backed securities loan facility

In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered non-recourse loans to finance investors’ purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program improved conditions in securitization markets but did not subsidize individual securities. We also find that the risk of loss to the US government was small.     

Macroeconomic shocks and banking supervision

We build a simple model of banking in the presence of macroeconomic shocks where the comparative roles of private and public monitors can be analyzed. This model provides endogenous justifications for prudential regulation (capital requirements) and emergency liquidity assistance by the Central Bank (lender of last resort). We show that market discipline can be helpful, but does not solve the fundamental problem of regulatory forbearance. We propose some directions of reform of the regulatory system that could improve the management of banking crises.     

Systemic banks and the lender of last resort

We propose a model where systemic and non-systemic banks are exposed to liquidity shortfalls so that a lender of last resort policy is required. We find that it is socially optimal to override the decision of the central bank by the unconditional provision of liquidity support when the shortfall is large enough, i.e. in crisis times. The existence of systemic banks provides a rationale for the central bank to act as lender of last resort for non-systemic banks in a larger range of their liquidity shortfalls. However, the impact of systemic risk on the optimal allocation of the lender of last resort responsibilities for systemic banks depends on the relative size of counteracting effects.     

Bank liquidity regulation and the lender of last resort

Banks can make suboptimal liquidity choices and gamble for lender of last resort (LOLR) support. Endogenous bailout rents are driven by the need to preserve bankers' incentives under uncertain net worth. In equilibrium, banks can herd in risk management, choosing suboptimal liquidity when they expect others to do so. Optimal liquidity can be restored by quantitative requirements, but such regulation is costly. An LOLR policy incorporating bank capital information can reduce distorting rents and allow for a more efficient solution, but may only be possible in transparent economies.     

Liquidity provision during the crisis of 1914: Private and public sources

Caught between the end of the National Banking Era and the beginning of the Federal Reserve System, the crisis of 1914 provides an example of a banking panic avoided. We investigate how this outcome was achieved by examining data on the issues of Aldrich-Vreeland emergency currency and clearing house loan certificates to New York City institutions that identify the borrower and the quantity requested for each type of temporary liquidity measure. The extensive provision of temporary credit to a wide array of financial intermediaries was, in our opinion, essential to the successful alleviation of financial distress in 1914. Empirical results indicate an important role for clearing house loan certificates that is distinct from the influence of Aldrich-Vreeland emergency currency issues.     

Floating a “lifeboat”: The Banque de France and the crisis of 1889

When faced with a run on a “systemically important” but insolvent bank in 1889, the Banque de France pre-emptively organized a lifeboat to ensure that depositors were protected and an orderly liquidation could proceed. To protect the Banque from losses on its lifeboat loan, a guarantee syndicate was formed penalizing those who had participated in the copper speculation that had caused the crisis bringing the bank down. Creation of the syndicate and other actions were consistent with mitigating the moral hazard from such an intervention. This episode contrasts the advice given by Bagehot to the Bank of England to counter a panic by lending freely at a high rate on good collateral, allowing insolvent institutions to fail.     

O.M.W. Sprague (the man who “wrote the book” on financial crises) and the founding of the Federal Reserve

O.M.W. Sprague was America's leading expert on financial crises when America was debating establishing the Federal Reserve. His History of Crises under the National Banking System is the most enduring intellectual legacy of the National Monetary Commission; a still frequently cited classic. Since the Commission recommended a central bank, and its recommendation after some modifications became the Federal Reserve System, it might be assumed that Sprague was a strong supporter of establishing a central bank. But he was not. Initially, Sprague favored far more limited reforms, a position that he did not abandon until the Federal Reserve became a fait accompli. Here I discuss the sources of Sprague's opposition to a central bank and the relationship of that opposition to his understanding of the history and structure of the American banking system at the turn of the nineteenth century.     

Sound Money and Sound Financial Policy

Anna Schwartz has long promoted a policy of stable money. She also has advocated sound financial policy. The financial environment, according to her work, is strongly influenced by the degree of aggregate price stability. In this article historical evidence for the U.S. is presented that shows a strong association between aggregate price movements and measures of financial distress. Even in an environment of aggregate price stability in the face of shocks, however, a monetary authority should follow the financial policies of a lender of last resort as advocated over a century ago by Walter Bagehot—to promote adequate funds to allay the public's demand for means of payment in the face of a real financial crisis. Other circumstances involving asset market reversals that Schwartz calls pseudo crises should not be the subject of the monetary authorities' actions.     

Interbank Credit Lines as a Channel of Contagion

This paper assesses the potential for contagion in the Swiss interbank market using new data on bilateral bank exposures as well as on credit lines. A simulation approach is applied to assess the banking system's inherent instability. Moreover, the spill-over effects of a simulated default situation in the interbank market on the liquidity and solvency of banks are measured. The main findings are, first, that there is a substantial potential for contagion. Second, the exposure as well as the credit line contagion channel are relevant for Switzerland. Third, a lender of last resort intervention could reduce spill-over effects remarkably. Finally, the structure of the interbank market has considerable impact on its resilience against spill-over effects: Centralized markets are more prone to contagion than homogenous ones. JEL classification: C81, G21. The opinions expressed herein are my own and not those of the Swiss National Bank.     

Dealer financial conditions and lender-of-last-resort facilities

We examine the financial conditions of dealers that participated in two of the Federal Reserve's lender-of-last-resort (LOLR) facilities—the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF)—that provided liquidity against a range of assets during 2008–2009. Dealers with lower equity returns and greater leverage prior to borrowing from the facilities were more likely to participate in the programs, borrow more, and, in the case of the TSLF, at higher bidding rates. Dealers with less liquid collateral on their balance sheets before the facilities were introduced also tended to borrow more. The results suggest that both financial performance and balance sheet liquidity play a role in LOLR utilization.     

中国金融安全网建设:理论回顾、国际经验与制度设计

金融安令网是一把"双刃剑",它在防止银行挤兑和危机蔓延的同时,削弱了市场纪律,产生了严重的道德风险问题,影响金融稳定.目前我国金融安全网建设存在诸多问题,需要借鉴国际经验,结合国情,加快制定我国金融安全网的有关法律法规、加强我国银行业信息披露、完善中央银行"最后贷款人"制度、建立显性存款保险制度以及加强银行业市场纪律,以构建我国激励相容的金融安全网.     

A reconsideration of the Jensen-Meckling model of outside finance

The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices as well as effort choices. If the entrepreneur has insufficient funds, a first-best outcome cannot be implemented. Second-best outcomes involve greater failure risk than first-best outcomes. For a Cobb-Douglas technology, second-best effort and investment levels are smaller than first-best; for other technologies, the comparison depends on the elasticity of substitution. If firm returns are not too noisy as signals of behaviour, the optimal incentive scheme corresponds to some mix of debt and equity finance. If firm returns are too noisy, this interpretation is not available.