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金融危機を理解する

金融危機を理解する

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フランクリン・アレンとダグラス・ゲールの共著書
『金融危機を理解する』2007年
金融危機を包括的に理解するための本
フランクリン・アレンとダグラス・ゲールの共著書
『金融危機を理解する』2007年
金融危機を包括的に理解するための本

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Understanding Financial Crises

Franklin Allen and Douglas Gale
3
#1Ø Q¶<¶@
1.1 ¬21!5D3±2
1997 ¹v´.´¯]/|.´v/? ¦},´¬,¬`+¯`´,``'°·',{¡`¹·´´!¨¯
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},[)¹´,|{`±|¹(¡¹´,,Jj,¹¶¹,¦¸¸¹,,\GDP ¹(.´)'¹´,´v
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){¹;¡¹´/,¨!´¹|(v´],/¯´`j,|9¹|}¹¨'v¯«·´)|j/j¹,´!
´v´·¯¹}±|}]¸¶|¹¨´"v|()/¸;¹¹|1/'/¹¸´/,´!¹´.´j,
){¹¹/¸¹/¹,]v§}/@!´!]¡¯!´,´!´v}´v][¹´`´v][`¹};¹
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´,¬`+¯`´¸¡¹¹´¯/v}¯¹[l/¸±¹¯¹´,´!´v§}¹´´v//´j,){v
§}`|´!¯¹´,¹/¹,´!´v§}¹¸¯j,v"¡l¹'|´!¯¹´´`¯«·´,
]]¯,|(¹´¨);¡=vJ¡`IMF /`v}|{|¹´¨[,`¹·´|Jv¸@¸¨v¦}
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){`|]¹¯¹¨,);¹[)¹,|j{|¹(¡,±|¹¹¦¸¸¹{{¸·!´,,Jj,')¯
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|¦}¹|¯7¨`1945 ¹/´1971 ¹v]|¹¡¦¹{¹¨,´·´¯v¦1962 ¹v¯¯.')
¸}¹¯!;¹v`´¹');){/|´´//·´,¨´,±|){',3¸|!´!··¯}±¯!
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¸{@¹){v¸[µ¸¡]¹´,]v¹9);'l]¹¸U){¹};¹|¹/·´,¨!¹¦¹¯¹
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¬'v(¤`¸q`¬'vL]}/}]¶]¹´v]µvµ`¹¯,;¯!´,]v}¯¹¸q}
1
'¡¯¹ “crises” ¸ “financial crises”, “banking crises”, “currency crises”, ¨´¹÷¹ “crises” `¡¹¯¹¨,¨´,
“banking panics” ` “stock market crash” /`v¹]'{¹¹¯1´,¦7/¨.´`v)¹/:/´¹´¹,`´«,¨´
´¯¹÷¹ “crises” v},¹¹j,){¸`,¹´,
4
]¹¯´¹L]}¹:´·´,|(¹}¸¨´¹±}¸);¸±|¯]vj=·v|¸v{]¸{]¹´,
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¹/¹//´,j,){v]¹¹)['«·´,L]}¹:´¨¸q}]`|()/v´"¹¸q`
¬'¹||¸{´¡¹¨`¹¯'}/{|¸9·´,)÷`¹¯]´/};¬¸"´1,´!¹}]|
|v!p¸¡.|´¹||µ¡{|¸u}¹[´j¹´``/·´,¨¹¯j,){¹j·¯.´,Bordo
et al. (2000) ¹1971 ¹¹¦v){v|[¹1914 ¹¹¦`¸:´/¹´`¸¸|¹´,
´v)¯¹j,){v|¦}/!¹.·`¨!¹|±¹¨][¹¯¹¯¶!¨,2 )¹¦||¯!¨|
pv|)¸¹,¨'v`/¨¯«¨,
1.2 E~!^I<¯>U70Q¶±0Q¢[@
20 !±¹¦¹¹);){(banking panics) ¹|¸¹¯¹´,Kindleberger (1993, p.264) ¹i··`
v¸q¦¸{(¹´±¡¯±J400 ¹v|¹)10 ¹1.¹¸q){/|.¯¹´`|]¹¨,);){
(panics) ¹j,¡]v)¯/]±¸]·´´"±}¹,±}/'v`@)¯!¯¹´,¹9);v¸/
]ÿ¹]´¹¨´¸[¸¸qv/±¸J¡¹¨´``/·¯¹·´,¨!¹1´])/j±¸±·´,
{|v¹9); —¨·¬`);— ¹300 ¹¹¸¦v1668 ¹¹[i¯!´,¬`´¯`+);¹¹´
¨v@¹[i¯!´,¬`´¯`+);¹18 !±`19 !±v;÷}//±·|9v¸)¹j"¯±§/
]ÿ¸÷´¹´,¬-`¹1¹¨{@v¨´¹1866 ¹v Overend & Gurney ){¯«·´,
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·.](/}±¸ñ¹´,
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• ]¦/jJ¸|´/¹);¹[,¹/¹,
Bordo (1986) ¹ 1870 ¹/´ 1933 ¹v|¹¬-`,+¬`,`¯`¯¹);¨´ (banking
panics) ¹¹`´`¸"¹//·´`¹¯¹¨,Kindleberger (1993) ¹,´´v¬-`vj,¸(/¬
`´¯`+);v¹9);`¹¯vj¶`ÿ$¬¸¹7¹]¨|y¹´·¯¬-`/´){¸µ±¹´
`[,¯¹¨,`|]¹¯¹¨,¹/¹//´,]´¹'v|ÿ$¬¸}±¹¯¹´`¯`'1882 ¹/
´1924 ¹v|¹¸q){¸j¶¹¯¹/¹,Kindleberger ¹`¯`j,/¬-`v|9¹´·¯/
±]¯!´)|j¸ñ¦¹¯¹¨,
´`´¹)v]µ¸]¹¹´,Alexander Hamilton ¹¬`´¯`+);¸j¹¨¬-`vj¶¹
,¦¯!,)i¤´@,}¹¹¸¦¸|¯(}]/±¹])v);v[i¸j±¹´,´v´`/9)
; (1791-1811) `9); (1816-1836) v[i¹]/·´,¹/¹//´,´!´v);¹¹,´!´=
j}/j}¹7¹¯)¯/´{±/;¡¹´,9);v!°··¯ John Quincy Adams ¹ “Power of
good, is power for evil, even in the hands of Omnipotence” (Timberlake 1978, p.39) `¡¹¯¹¨,1832
¹v9);|])v¡p¯p¬¹±({}¸¿,´,¡,¯µ¸¹±±¹´'vvJackson ({ý¹{
,j¸¸]¹,{,j/|¯!¨´`¹//·´,¨!¹¯,¸q`¬'
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2
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5
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¹¦¦¹);·v}]¸[¹¨´`/µ¯´,¹`´`v¹¯¹);=¹¨/¦'v/¹¦¦¸¡¸]¹
¹´,1837 ¹`1857 ¹¹)¯/);){/¸"¹,¹¨!v},'¨v[@¹´(/¸"¹j,¹{[
¹´,
1861 ¹v|±|¬`¨v´"v|¸¡)v]§j¹¸q`¬'¹1¹¨±¹|(v]ÿ¸¸,¯'´,
1863 ¹`1864 ¹v The National Bank Act
3
¹¬`¬'`´`¬'v[i¸)|¹¹´,´vµ
¸¹);¹}±}j}¸J¡¹´
4
,|¹1864 ¹vµ¸¹¸´v);¸´¹¹}±¹¨'v`@)¯!
´,);/|)¸J]¯.¨/`¹¡p|/¡.|´·´l¹,{j{]¹¹1864 vµ¸¹+ñ}¹¨
v´/j}/±¯!¯¹/¹´`¸|¦¹);v|)J]¸,±¹¨]µ¸µ¹´,
¬`¬'`´`¬'v¶[¹);){`¨!¹]j,{[v|¡¹]´v;÷'¦I¯//·
´,1873 ¹,1884 ¹,1893 ¹,1907 ¹¹);){/¸"¹¯¹¨,Gorton (1988) ¹´¨;1.1 ¹1863
¹/´1914 ¹v¬`¬'`´l)¹);){/´`´¯|¸¹´´`¸ñ¹¯¹¨,;v9/
¦¹ NBER(National Bureau of Economic Reserach) ¹´´±¡¯!¯¹¨)¯y¹v]|¯«¨,9
¸¦¹)¯v'·´¸ñ¹,9¸¦¹|¸ñ¹¯¹¨,9/¦¹){v¸"¹´¹)/±¯!¯¹¨,
);){/¸"¹¨`/´¹¦¡/1¸¸|¹¯¹¨);v[¸¯¸(µ¹¨v¯,]´¹);/´|¸
¸$.µ¹}¸`¹¯J|¹´`¹¨,9¯/¦¹|¸¹7¹¨}¸v)¬v¸]¬¸ñ¹¯¹¨,´
!¹);){v)¯¯v'[¯«¨,}¸|¸)¬v¸]¬/j¹¹`){/)¯¯«¨´`¸¡H¹
¨,1873 ¹,1893 ¹,1896 ¹,1907 ¹v){¹|¹)¯1·´´`/´!´´¡/¨,
; 1.1: ¬`¬'`´l)v){
NBER cycle Peak-Trough Panic date %∆(Currency/deposit) % ∆ Pig iron
1873 ¹10 ) – 1879 ¹3 ) 1873 ¹9 ) 14.53 -51.0
1882 ¹3 ) – 1885 ¹5 ) 1884 ¹6 ) 8.80 -14.0
1887 ¹3 ) – 1888 ¹4 ) No Panic 3.00 -9.0
1890 ¹7 ) – 1891 ¹5 ) 1890 ¹11 ) 9.00 -34.0
1893 ¹1 ) – 1894 ¹6 ) 1893 ¹5 ) 16.00 -29.0
1895 ¹12 ) – 1897 ¹6 ) 1896 ¹10 ) 14.30 -4.0
1899 ¹6 ) – 1900 ¹12 ) No Panic 2.78 -6.7
1902 ¹9 ) – 1904 ¹8 ) No Panic -4.13 -8.7
1907 ¹5 ) – 1908 ¹6 ) 1907 ¹10 ) 11.45 -46.5
1910 ¹1 ) – 1912 ¹1 ) No Panic -2.64 -21.7
1913 ¹1 )– 1914 ¹12 ) 1914 ¹8 ) 10.39 -47.1
1907 ¹v){v@,··`v);¯)¹)9¹¯´`´v¸q`¬'v]j¯·v´@¸±,
´,]´¹´`´¹¡(/¸q}")(
5
¸¯«¨`),¹´ (Studenski and Drooss 1963, p.254),
1907 ¹v);){¹])¯/)¯@j¹´`´¹¹9);/[i¯!¨·./v¡p¸¡.|´¹´,
The National Monetary Commission ¹´v|¸¹¯¹¯¡[¹,1914 ¹¯¹¹±¹±ÿ][ (Federal
Reserve System) /¸)¹´,
3
}i);µ¸`,¹¯¦¹'v1¨/,¯]vnational¸¹]¨¹'}i¸¸¡H¹/¹/,+,l)v¦'¯¹´v
¯]vnational¸`¹¡H,¹¯}i);¸`¹(vJ|);/[i¯!´j)'«¨,
4
¦×: They granted limited powers to banks ¹´vµ¸¹}´!´j}¹/);¹¹,//·´¸v¹/¦¹/´
5
a great financial nuisance¸
revised at 0:59am on Dec. 17, 2009
6
|]v±¹±ÿ][¹¬`´¯`+);v´/t{}/¹9);`¹;/¨±)"[¸|·¯¹´,
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¹±ÿ][¹);){¸|¡¹¨1¹v|7¸¸|¯'¨´`/µ¯//·´,1933 ¹,`¯`´``
'·7·'·/({ý¹{¹¹¯¹´¹´´v);/|)¹)¹)¨!¨´/(}]/);){/|U
¸"¹´,¸q`¬'/[}¹´|¸¹1933 ¹v Glass–Steagall µv(i¹]/·´,´!¹´´|
¸J|][/¶/¯!,¦=);`||);¹¡|¯!´,1935 ¹v¸qµ¸¹±¹±ÿ][vj}¸¶
]¹,)¸]µ¸¸]¯'´,´¹´(¤¹´·¯¬-`¯|´·´'v¸{@¹¹I70 ¹¹:´·
¯);){v¸"¸[´´`/¯¹¹)|¹/·´,
1.3 [@<Q©0@®
´´¨¯|´¹);){¹¡¦¹¯.´,);){`|{v(¡¹¹¹¹¹¯]¹|±¹¯¹¨,¦,
¹,Wilson et al. (1990) ¯¹´`´v}i);l)v|{v(¡¸]·´4 ¯v);){¹¯¹¯[,
¹¯¹¨,1873 ¹9 ),1884 ¹6 ),1893 ¹7 ),1907 ¹10 )¹¸"¹´'v¯«¨,
/');){`|{v(¡`v|¹¹|±/;¡¹¨1¨/?[¹¸·´´¹¸l);¹|)¸J]
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¹¨v¨v¹´´/¸}¸¯J]¹¨,¨´,//´vµ¡¹¬`´·`´7j`¹¯J]¹¨,,
|¸¹,¹`´`v);/¨.···´`¬·);¹|¸¹¯¹´,);/}¸¯¹/´¬`´·`´
![¹|¸¹¯¹´|¦¹¸|/¸|:!´/´¯«¨,¨.···´`¬·);/]|/¸|¸¸|
´`/µ¯´v¹,¨.···´v|)u}v¯·'`·`u}¹(µ¡v|¸¸|¹µ¹¯¹´/´¯
«¨,¯·'`·`¹|)v{¹)¹¹{:!´,´!¹|)/]/|¸¹´·¯):!¨´`¸¡H¹
¨,¯·'`·``|¹!¨v¹,]§¹[|¯¨v¶[|¹µ¯!¨/´¯«¨,]´¬¹¯·'`·
`¸¦/¹`·`v]´],)´`'µ¯´¹,`·`v¦}`/·´|)¸/¡¹¯¯·'`·`¸
¿,¹¨´`'µ¯´,´!´v¯·'`·`¹¨.···´`¬·);v|jv(./µ¡¸,"¯¹
´,¦,¹,Sprague (1910, p.83)¹1873 ¹9 )12 ¦v¨.···´`¬·);v|µv31%/¯·'
`·`¯«·´`|,¹¯¹¨,
´¦¹)|¹¯¬`¬'`´l)¹1¹¯¹j=¹±§/]¡¸,"¯¹´,{v]¨./´¦v1
j¨¯v|,j|]l¹«¨);¹}¸¸]§`¹´,´v}¸,§v'\}/¸,´|jv´",¨.·
··´`¬·);¹`!´´¹v¡]j¸¶J¹¯1¹¹¦¹v/|¶/¸,¸i¯¨´`/¯.//·
´,¸,¹j¹¯}¸¸´´]§`¹¨l¹¹¨.···´`¬·);¹¯·'`·`/´|¸¸$.¸!
´,/´/},,¯·'`·`u}¯]/¹¯]´|¸¯|)¸|/¹´]´¬¹|)¸¸¹¹¯`·
`¸¿,¹¨]§j¹¹¹¹¹)´!´,|)v¸¹v¡/|.¨`)¹¬[¹¿¡/}¸//¹!¹|
{v·¡¸$.|´¯!¨,,¹],¨/´¹,|{v(¡/|./1/¹v1,
Wilson, Sylla, and Jones ¹1873 ¹,1884 ¹,1893 ¹,1907 ¹v);){`|{(¡vl]v|)v
1¡`°¯¬·`¬·¸])¸¡[¹´,;1.2 ¹1866 ¹/´1913 ¹¨¯¯)|v|{v¸]/{'
(.¹)`{'"¯¹)¸¨!·!25 ´¯±¹¯«¨,{'1¡v"¯/·´8 ¯v)v¨4 ¯/);
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;){/¸"¹¯¹¨,¨´,j1¡[¸|¨`);){v2,3`)«`¹|{/j¸¹¯¹¨´`¹'
¡¡¹·.¯«¨,1873 ¹12 )¹3 ±¦,1893 ¹9 )¹11 ±¦,1884 ¹8 )¹15 ±¦vj1¡v)
revised at 0:59am on Dec. 17, 2009
7
¯«¨,´!¹|)¹1¹|´!¨|l¯¹/¹,¡{`¯¯·`·'···¹']´´/´·`
/|´!¨,);){v|¹]1¡¯¨v@5`)@¹`¨`+¹¨v¯«¨,
; 1.2: 1866 ¹–1913 ¹v|{¸]v¸¡25·¡25 (Wilson et al.1990 v;1 ´´)
Year Month Lowest return Rank Year Month Highest return
1907 10 -10.8514% 1 1879 10 10.8824%
1907 3 -9.7987% 2 1901 6 9.9678%
1893 7 -9.4340% 3 1873 12 9.5385%
;1.3 ¹1866 ¹/´1913 ¹¨¯v°¯¬·`¬·/(./·´¸¡50 ¡v)¸±¹¯¹¨,°¯¬·
`¬·¹¯±)[¦v11`)v¨{({"v)¸}¹´9 ¯v)¸¹¹¯)µ¹´1¡v]±[±¸
¹¬])¹´'v¸±¹¯¹¨,°¯¬·`¬·/{(¹/¨v¹);){v2 /´7`)@¦v´¯
Ǭ,
; 1.3: 1866 ¹–1813 ¹v|{v°¯¬·`¬·v¸¡50 (Wilson et al. 1990 v;5 ´´)
Rank Stocks
Year Mo. Stocks
1 1908 5 16.2433
2 1908 6 15.6801
1.4 ®ÿ[@<J±0[@
19 !±¦U20 !±|;¹1¹¯j,){v´´¹j"¯}|}¯«·´,¦,¹,1873 ¹vj,){
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