全球金融危機專輯 (增訂版)

2007
1930
19301920
25%
John Maynard Keynes 1936
1970Milton Friedman
1980
1990
1997~1998
2007
9812

............................................................................................................................................................. I
...... ....................1
.............................. ..................25
...................................... ..................47
.............................................................. ..................73
.............................................. ................101
BCBSIMF..... ................119
.................................................. ................147
.......................................................... ................167
.............................. ................187
.................................................. ................197
.................................. ................215
.......................... ................225
...................................... ................235
() ........................... ................255
() .............................. ................273
..................................................................................................................................................................281
.......................................................................................................................................283
n
n
n

n
n

n Fannie MaeFreddie Mac

(AIG)

n Fed

n
n Fed
n

n

II
BCBSIMF
n BCBS
BASEL II
n IMF
IMF
n
2009Turner
n

n
CDSCDO
n

n

n

III
n

n

n

n

n

n

n
n
n
(DSGE)
n
(/)
()
n

IV
20078
20084IMF
9,450
5,650
4,950200810IMF
1.4
7,500
6,5002, 3
IMF
(mortgage-backed securities,
MBS)MBS (non-prime
MBS)20084IMF5,650
MBS4,500
105,000
1.1
IMFMBS
20078
()
1980
3~5%19701980
(Savings and Loan
Association)40
(maturity mismatch)
1.
(10%)
4
1980
1980
519801990
2.
()
1980
1990
(special purpose vehicles, SPVs)
MBS
SPVs
Hellwig(1994a)
MBS
MBS
(tranche)MBS
(Government-sponsored
enterprises, GSEs)
(senior tranche)MBS
(mezzanine tranche)
(equity
tranche)
MBS
AAA
)20
MBS
10%
95%
(1-1)
1-1MBS
Diamond(1984)
Diamond
()
MBSFannie Mae
Freddie MacGSEs
Diamond
MBSFannie
MaeFreddie Mac
Fannie MaeFreddie MacMBS
MBS
Fannie MaeFreddie MacGSEs
2000Fannie MaeFreddie Mac
Diamond
Fannie MaeFreddie MacMBS
200376%2006
43%11
2000
9%2006
10
40%122001
7%200614%13(1-2)
IMF(2007)
920015%2006
14%
2001
1-2
2000
1. 2000-2004
2.
conduits
SIVs
2000-2006
1.
1.
2.
2.
MBS
2006
MBSFannie
MaeFreddie Mac
2006
(CDO,CDS)
1. 20009%200640%
2. 20017%200614%
3. Fannie MaeFreddie MacMBS200376%200643%
*
7%200618%
36%14
Alt-A
20016%200626%15
12%6%
2006
2006
92%Alt-A
Alt-A
68%23%16
81%50%
1980
MBS
2006
20
Demyanyk and Van Hemert (2008)
(Mortgage Banker Association)
2008160()
2001
6.35%1979
300
2.47%200622006
20041002006
2002001
200717
20012004
25%Alt-A
10-12%1-2% 18
7%39%
65%
()
18%19
21
IMF(2008a)
(UBS)
300MBS
(MBS collateralized debt obligations, MBS CDO)
Demyanyk and Van Hemert (2008)
MBS CDO
20084
22
2006
1.
MBS
BBB
UBS(
UBSMBS
)(asset-
BBB
backed securities, ABS)MBS
CDO
AAA
2.
3.
MBS
23
20077
4.
MBS CDO
UBS
20078
2003
MBS CDOMBS
GSEsMBS
24 (
1-3)
()
MBS
20002006
() MBS CDO
2000
UBSMBS CDO
2004
MBS
MBS
MBS CDO
20052006
MBS CDOMBS
1-3
MBS
SPVs
MBS
MBS
CDOCDO2
MBSSIVsconduits
MBSBBB
AAACDOCDO2
CDS
CDO
()
1.
2.
3.
2000
MBS
MBS CDO
10
() (yield panic)
()
UBSUBS
2000
UBS
()
(incentive scheme)
20
26
27
2000
25
11
2006
(1-4)
1-4
2000-2006
MBS CDOMBS
CDO 2
1.
1.
2000
1.
2.
2.
2. MBS CDOMBS
C D O 2
MBS
1.
2.
3.
3. Fannie MaeFreddie Mac
3.
200620076
12
2007
2007/2008
()
MBS
(100%)
IMFMBS
50%(conduits)
1.1 28
(structured investment vehicles, SIVs)
MBS(5.6
conduitsSIVs
)1/5(13)
ABSconduitsSIVs
1/10(20-30)
1/121/429
(asset-backed commercial paper, ABCP)
MBS5,000
ABCP
2000
1990
6,000-8,000
2000
13
(mark-to-market)
Industriekreditbank
(IKB)Sachische Landesbank
10
20078
conduits
conduitsSIVs
SIVsABS
ABS
20078
3090%MBS70%MBS
conduitsSIVs
ABS
conduits
conduitsSIVs
conduitsSIVs
Paribas
2007
conduitsSIVs
conduitsSIVs
conduitsSIVs
conduits
SIVs
14
()
()
ABSconduits
SIVs
conduitsSIVs
ABS
()
ABS
(Akerlofs lemons)
198015%
6%
MBS
conduitsSIVs
31
15
UBS
1990
MBS
10%2%-3%
1996Basel
32
34
33
1990
()
MBS2007
conduitsSIVs
20077/8
conduitsSIVs
16
()
MBS
Fannie Mae Freddie Mac
2008
2007
MBS
20078
36 1990
35
()
37
17
1-6)
200778
MBS
20077conduits SIVs
conduitsSIVs
ABS
UBS
1.
conduits SIVs
1980
2.
3.
19801990
conduits SIVs
(1-5
18
1-5
()
1. conduitsSIVs20078
2. conduits SIVs
() 20078
1.
1.
2.Basel
2.
3.
19
1-6SIVsconduits
SIVsconduits
A B S
& MBS
ABS
MBS
SIVs
conduits
(
ABS
MBS
ABS & MBS

MBS CDO MBS
CDO2ABCP
SIVsconduits
SIVsconduits
20078
1. ABS
2.
1.
2.
ABS
ABS
SIVs
MBS
& MBS
conduits
ABSMBS
ABCP
1.
2.
1. ABCP
2. SIVsconduits

3.
SIVsconduits
SIVs
ABSMBS
()
20
1988Basel
1995
1996Basel
(regulatory capture by
sophistication) 38
39
1990
UBS
1996
MBS
Basel
G10
1990
1993Basel
21
1990
FedAlan Greenspan
Robert RubinArthur
Levitt
conduits SIVs
19801990
20078
SIVs
22
(1) Martin Hellwig(2008), Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis,
Preprints of the Max Planck Institute for Research on Collective Goods Bonn 2008/43, November. 1. Journal De
Economist 157, No.2, 20092. The Sixth Jelle Zijlstra Lecture by the Netherlands Institute for Advanced Study, Wassenaar, NL., May
2008
(2) IMF (2008 a, 2008 b)
(3) 20091.3IMF1.52.8
3.4 (IMF, 2008c)
(4) Kane (1985, 1989), Benston et al. (1991)
(5) Schwartz and Torous (1991), Hendershott, P.H., and J. D. Shilling (1991)
(6) Englund, P. (1999), Takala, K., and M.Virn (1995)
(7) Duffie (2007)
(8) Franke, G., and J.P. Krahnen (2006)
(9) Jensen and Meckling (1976), Stiglitz and Weiss (1981)
(10) Duffie (2007), Dodd (2007)
(11) Duffie (2007)
(12) DiMartino and Duca (2007), IMF (2007)
(13) DiMartino and Duca (2007), IMF (2007)
(14) DiMartino and Duca (2007)
(15) IMF (2007)
(16) DiMartino and Duca (2007)
(17) IMF (2007), Demyanyk and Hemert (2008)
(18) IMF (2008)
(19) Mortgage Bankers Association
(20) Demyanyk and Hemert (2008)
(21) Demyanyk and Hemert (2008)
(22) UBS (2008)
(23) Duffie (2007)
(24) Dodd and Mills (2008)
(25) Calomiris and Kahn (1991)
(26) Dodd (2007), Kiff and Mills (2007)
(27) Crockett (2007)
(28) IMF (2007)
(29) IMF (2007), Slacalek (2006)
(30) Dodd and Mills (2008)
(31) Calomiris and Kahn (1991)
(32) Allen and Carletti (2006, 2008), Allen and Gale (2006)
(33) Blum and Hellwig (1995, 1996)
(34) Hellwig and Staub (1996)
(35) Hellwig (2007)
(36) Blum and Hellwig (1995, 1996), Hellwig (1995)
(37) Hellwig (1996)
23

Allen, F., and E. Carletti (2006), Credit Risk Transfer and Contagion, Journal of Monetary Economics 53, 89 111.
Allen, F., and E. Carletti (2008), Mark-to-Market Accounting and Cash-in-the-Market Pricing, Journal of Accounting and Economics 45, 358
378.
Benston, G. J., M. Carhill, and B. Olasov (1991): The Failure and Survival of Thrifts: Evidence from the Southeast, in: R. Hubbard (ed.):
Financial Markets and Financial Crises, Chicago, University of Chicago Press, 305 384.
Blum, J. M., and M. Hellwig (1995), The Macoeconomic Implications of Capital Adequacy Requirements for Banks, European Economic Review
39, 739 - 749.
Blum, J. M., and M. Hellwig (1996), Die makrokonomischen Wirkungen von Eigenkapitalanforderungen fr Banken, in: D. Duwendag (ed.),
Finanzmrkte, Finanzinnovationen und Geldpolitik, Schriften des Vereins fr Socialpolitik, NF 242, Duncker und Humblot, Berlin 1996,
41 - 71.
Calomiris, C.W., and C.M. Kahn (1991), The Role of Demandable Debt in Structuring Optimal Banking Arrangements, American Economic
Review 81, 497 513.
Crockett, A. (2007), The Evolution and Regulation of Hedge Funds, in: Banque de France (ed.) Financial Stability Review Special Issue on
Hedge Funds, April 2007, 19 28.
Demyanyk, Y., and O. Van Hemert (2008), Understanding the Subprime Mortgage Crisis, mimeo, Stern School of Business, New York Universit.
Diamond, D. W. (1984), Financial Intermediation and Delegated Monitoring, Review of Economic Studies 51, 393 414.
DiMartino, D., and J. V. Duca, The Rise and Fall of Subprime Mortgages, Economic Letter: Insights from the Federal Reserve Bank of Dallas 2:11
(2007).
Dodd, R. (2007), Subprime: Tentacles of a Crisis, Finance and Development 44, Nr. 4, 15 19.
Dodd, R., and P. Mills (2008), Outbreak: U.S. Subprime Contagion, Finance and Development 45, Nr. 2, 14 18,

http://www.imf.org/external/pubs/ft/fandd/2008/06/dodd.htm
Duffie, D. (2007), Innovations in Credit Risk Transfer: Implications for Financial Stability mimeo, Stanford University, Stanford, CA,

http://www.stanford.edu/~duffie/BIS.pdf
Englund, P. (1990), Financial Deregulation in Sweden, European Economic Review 34, 385-393.
Englund, P. (1999), The Swedish Banking Crisis: Roots and Consequences, Oxford Review ofMEconomic Policy 15, 80 97.
Franke, G., and J.P. Krahnen (2006), Default Risk Sharing Between Banks and Markets: The M Contribution of Collateralized Debt Obligations,
in: M. Carey and R. Stulz (eds.), The Risks of Financial Institutions, University of Chicago Press, Chicago, 603 631.
Hellwig, M. (1994 a), Liquidity Provision, Banking, and the Allocation of Interest Rate Risk, European Economic Review 38, 1363 1389.
Hellwig, M. (1994 b), Banking and Finance at the End of the Twentieth Century, WWZ Discussion Paper 9426, University of Basel, Switzerland.
Hellwig, M. (1995), Systemic Aspects of Risk Management in Banking and Finance, Schweizerische Zeitschrift fr Volkswirtschaft und Statistik/
Swiss Journal of Economics and Statistics 131, 723 737; http://www.sjes.ch/papers/1995-IV-9.pdf
Hellwig, M. (1996), Capital Adequacy Rules as Instruments for the Regulation of Banks, Schweizerische Zeitschrift fr Volkswirtschaft und
Statistik/Swiss Journal of Economics and Statistics 132, 609 612; http://www.sjes.ch/papers/1996-IV-6.pdf
Hendershott, P.H., and J. D. Shilling (1991), The Continued Interest-Rate Vulnerability of the Thrifts, in: R. Hubbard (ed.): Financial Markets and
Financial Crises, Chicago, University of Chicago Press, 259 282.
International Monetary Fund (2008 a), Containing Systemic Risks and Restoring Financial Soundness, Global Financial Stability Report, April
2008.
International Monetary Fund (2008 b), Financial Stress and Deleveraging: Macro-Financial Implications and Policy, Global Financial Stability
24
Report, October 2008.

International Monetary Fund (2008 c), Navigating the Financial Challenges Ahead, Global Financial Stability Report, October 2009.
Kane, E. J. (1989): The S & L Insurance Mess: How Did It Happen?, Washington, D.C., Urban Institute Press.
Kiff, J., and P. Mills (2007), Money for Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets, International
Monetary Fund Working Paper 07/188.
Schwartz, E.S., and W. N. Torous (1991), Caps on Adjustable Rate Mortgages: Valuation, Insurance, Hedging, in R. Hubbard (ed.): Financial
Markets and Financial Crises, Chicago, University of Chicago Press, 283 302.
Slacalek, J. (2006), What Drives Personal Consumption? The Role of Housing and Financial Wealth, Discussion Paper 647, Deutsches Institut fr
Wirtschaftsforschung, Berlin.
Takala, K., und M.Virn (1995), Bankruptcies, Indebtedness and the Credit Crunch, Bank of Finland Discussion Paper No. 28/95, Helsinki.
UBS (2008), Shareholder Report on UBSs Writedowns, http://www.ubs.com/1/e/investors/shareholderreport/remediation.html
(9811)
25
20078(subprime
mortgage)20089
200911
(negative
feedback loop)
Tobin Q
12007
26
2-1

Tobin Q

IMF (2008)Wilson (2008)
2000
(2-2)
(2-1)
2006
20074
(New Century Financial
Corporation)
2007
()
2007
27
2-2
Libor
150 bps(75 bps)1970
2-3
2009
Libor
(overnight index swaps, OIS)
20078
()
20079
Fannie MaeFreddie Mac
200837
20089
2-4
20071.25
200810
1.60122
LiborOIS
86 3
250(bps)
20071020084
25-50 bps
302009
28
2-3
Repo
Bloomberg
2-4(volatility)
Bloomberg
()
2008
50200810
2-52007
20084
20093
10
2008
2007
1130
2008A
20079
29
2-5
2008
(%)
-33.84
-31.33
-42.68
-40.37
-42.12
-46.03
-48.27
-49.17
-40.73
-65.38
20091130
Bloomberg
2009
(Asset Backed Securities Index, ABX)
(Chicago Board Options
()
Exchange, CBOE)
(Credit Default Swap Index, CDX)
20084
20089
2009ABX
2-62008
30
2-6
CDX
ABX
Bloomberg
()
2-7
2006
2006
2008
(adjustable
(mortgage-backed securities, MBS)4
rate mortgages, ARMs)
2005200622008
2008
1.2
20063.320081
2008MBS
1.3
(Alt-A mortgage)
20090.35
20093
(covered bond)
9.6%(26.4%)
20093
4.5%(
()
15.4%)(2-8)
2-7
20096
IMF (2009f)
2-8
FEDUS Mortgage Bankers Association
31
32
()
2-22009121
(Citi Group)(UBS)
(Royal Bank of Scotland)
(Northern Rock)
IKB(Fortis)
200810(International
Monetary Fund, IMF)
1.4
AIG
1980
Goldman Sachs Morgan Stanley
(2-9)IMF
200910
2.8
(Federal Deposit Insurance Corporation,
5%67%
FDIC)20091130
33%
200912417
7%
(2-10)FDIC
(2-1)
2-9
2-1

654
371
1,025
8.2
497
107
604
7.2
480
333
813
3.6
165
36
201
5.1
97
69
166
2.1
1,893
916
2,809
5.0
1.
2. IMF200810
IMF(2008)

()
()
()
(%)
1.
2.
IMF (2009e)
2-2
33
2-10
200912
20088
2,618
2,476
2,098
2,055
2,020
1,985
1,674
(BOA)
1,495
1,498
1,448
1,407
1,435
(BOA)
1,371
1,301
1,310
1,084
(BNP)
976
1,041
940
10
(UBS)
600
Bloomberg (2009.12.15)
FDIC20091130
()
(2-11)
20093
2008
2008
(deleverage)
(2-12)
5
2007
2-11
IMF WEO Database
2-12
IMF WEO Database
34
2007
20062007
IMF
20091020082009
2-13Case-Shiller
20075.2%3%
2006220091
-1.1%20072.7%
2009-3.4%2007
28%
2.1%2.6%2009-2.7%-4.4%(
2-3)
2-14
(The Business Cycle Dating Committee of the
200512
National Bureau of Economic Research)
20091
200712
45.9%
2-1520092GDP
2009105.1%
3.8%19821
20082-23.7%
20096
200611200910
2-152-3
-13%
2-13
2-14
Bloomberg
National Association of Realtors
35
2-15
IMF WEO database
Bloomberg
20082009
-5.4%-5.3%
IMF
200911.9%80
(2-16)
20078.3%2009
1.7%
2-3
5%(2-3)
2007
2008
2009 f
2010 f
5.20
3.00
-1.10
3.10
(World Bank) 107
2.70
0.60
-3.40
1.30
2009
2.10
0.40
-2.70
1.50
2.70
0.70
-4.20
0.30
0.00
-0.70
-5.40
1.70
2.60
0.70
-4.40
0.90
()
8.30
6.00
1.70
5.10
6.30
5.20
1.70
4.00
5.50
3.00
-5.00
1.80
)5%
8.60
5.50
-6.70
2.10
10.60
7.60
6.20
7.30
13.00
9.00
8.50
9.00
9.40
7.30
5.40
6.40
6.30
4.80
0.70
4.00
6.20
5.40
2.00
4.20
2009
5.70
4.20
-2.50
2.90
IMF200910
()
2-17
36
2-16
2-17
IMF WEO Database
IMF
2009102009
6(2-19)
(2-20)
2-18
2007
2009
IMF20085
200892009
2-18
Bloomberg
37
(2-21)
2-22
IMF
2008
10.2%
9.7%19833
200910
19991
199787
2008
2-19
2-20
Bloomberg
2-21
IMF WEO DatabaseBloomberg
38
2-22
Bloomberg
85.9%2009
(CPI)
32
CPI
20091020076
(2-24)
3.3%5.2%200791.7%
IMF200910
200993.4%
CPI20083.4%2009
0.1%CPI
()
-0.4%-1.1%
2008
20089.3%20095.3%
(2-23)
20092110CPI
JOC(
-1.5%-1.1%-0.8%(2-4)
)20087
200869%52%
20093
2-23
9
7080
JOC
()
2008
Bloomberg
2-24
IMF WEO Database
2-4
2006
2.0
0.60
1.0
2.2
3.6
4.6
6.2
13.1
1.7
5.8
2007
2.0
1.80
2.1
2.5
2.0
2.2
2.8
5.8
4.8
6.4
2008
4.3
3.53
6.5
4.7
5.4
5.5
9.3
9.5
5.9
8.3
2009
0.4
-0.8
0.4
2.8
0.7
-1.5
3.3
5.4
-1.1
10.0
1-10
1-10
1-9
1-10
1-10
1-10
1-10
1-10
1-10
1-9
()
Bloomberg
1996
2-25GDP
IMF
GDP2005-1.65%
2009-0.65%2010-0.54%
(
2-25)
IMF WEO Database
39
40
2008
2-26
GDP
(2-26)2009
4
(G20)G20
2010
GDP
IMFG20
GDP20092%20101.5%
20092010GDP6
20076
OECD2007
GDP-2.7%-2.9%2009
-12.8%-10.2%2010-14.0%
-11.2%
IMF200962008GDP
IMF (2009b)
GDP
OECD Economic Outlook 85 Database
41
20091.09(2-28)
()
2008
20083
20085(2-29)
2009-2.53%
2008
(2-30)
()
1990
(2-31)20083
20032
SARS
2008
2008
98
0.57%(2-32)
2009
()20083
20091-26.87%1974
2(2-27)
20074.65
2-27(YOY)
2-28
42
2-29
2-31
2-33
2-30
2-32(YOY)
2-34
()
43
2-35
2008220083
2008
429.49%
20094
8.94%20106.85%(2-33)
25120093
200986.13%
331(2-35)
(2-30)105.96%
65.3
2008
17.5
2008
125
2009635.5
1402009
3101.4
2009103,412
(CPI)(
2-34)20079CPI3%
200875.81%
20092
()2008
4.5%200840.67%
2008
2009
44
2-36
(2-36)
20063
2000
10%8%
1930
2009
45
(1)
(2) (home equity reverse mortgagehome-equity lines of creditsHELOCshousing equity

withdrawalHEW)(home equity)
(3) 20
(4) Ginnie MaeFreddie MaeFannie Mac(GSEs)MBSMBS
(5) Fed(Senior Loan Officer Opinion Survey on Bank Lending Practices)
(The Euro Area Bank Lending Survey)(Credit Conditions
Survey)(Bank Lending Survey)
(6) GDP
46
(2009)5
(2009)
3
(2009)576
(2009)5812
Bank for International Settlements (2009), Rescue, Recovery, Reform, BIS 79th Annual Report, June.
Board of Governors of the Federal Reserve System (2009), Monetary Policy Report to the Congress, July 21.
International Monetary Fund (2008), Assessing Risks to Global Financial Stability, Global Financial Stability Report, Chapter 1, October.
International Monetary Fund (2009a), Global Prospects and Policies, World Economic Outlook, Chapter 1, April.
International Monetary Fund (2009b), Global Prospects and Policies, World Economic Outlook, Chapter 1, October.
International Monetary Fund (2009c), Country and Regional Perspectives, IMF, World Economic Outlook, Chapter 2, October.
International Monetary Fund (2009d), From Recession to Recovery: How Soon and How Strong? Global Financial Stability Report, Chapter 3,
April.
International Monetary Fund (2009e), The Road to Recovery, IMF, Global Financial Stability Report, Chapter 1, October.
International Monetary Fund (2009f), Restarting Securitization Markets: Policy Proposals and Pitfalls, IMF, Global Financial Stability Report,
Chapter 2, October.
Organisation for Economic Co-operation and Development (2009), Beyond the Crisis: Medium-term Challenges Relating to Potential Output,
Unemployment and Fiscal Positions, OECD Economic Outlook 85, June.
(9812)
47
(Northern Rock)
2008915
(Bear Stearns
2007
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89
Fannie MaeFreddie
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()
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48
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31.4631.68
(10-15)
3-12006.12.31
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956
0.95
871
0.86 ()
5,621
86,685
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2.11
26,867
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64,295
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17,867
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3,211
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101,010
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5.56
85.82
6,630
6.56
247
0.24
101,010
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2006/12/3131.462005/12/3131.68
()
2007
49
20062007
Moody
2007
2007
(63.65%)(85.82%)(3-1)
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2007
2007
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Hit by a rockThe credit crisis hits
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Countrywide FinancialBear Stearns

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7914
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919
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Lloyds
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221
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AIG
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1923
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160
1930
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3033.53
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Fannie
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Fannie Mae
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GSE)
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Fannie Mae
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80,032
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234,160
26.53
295,921
37.25
397,214
45.01
76,347
9.61
562,139
63.70
442,636
55.72
7,008
0.79
3,685
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357,513
40.51
664,855
83.70
3,417
0.39
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0.07
63,956
7.25
14,089
1.77
7,512
0.85
7,864
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293,557
33.26
650,766
81.92
30,439
3.45
20,641
2.60
49,041
5.56
6,562
0.83
44,011
4.99
26,724
3.36
7,414
0.84
5,003
0.63
2,797
0.32
827
0.10
12,377
1.40
44,681
5.06
28,515
3.59
4,502
0.51
8,574
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882,547
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794,368
882,547
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794,368
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RS
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2007113030.73
50
()
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200824
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58
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44,595
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111,023
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301,234
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162,635
28,066
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3,101
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16,801
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8,164
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29,363
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487,994
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23.53
76,299
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138,599
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13,394
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80,346
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43,277
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123,150
17.82
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22,490
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9/11
9/12
9/13
9/14
9/15
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136,068
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258,459
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49,124
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13,114
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162,935
15.36
58,823
5.55
259,504
24.47
51,351
4.84
95,801
9.03
206,260
19.45
2,284
0.22
1,060,505
1,060,505
100.00
100.00
* financial services assets** securities lending*** policyholders contract deposits**** financial services
liabilities.
2007/12/3111.072006/12/319.63
()
204.2%200517.5%
AIGAIG
AIG
(AIGFP)377
CDO
11.6
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AIG
200733.52
(CDS)
20089
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62
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1852008
20083
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Fannie MaeFreddie MacAIG
2010Fed
2010
64
Fed
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(2)
(3)
(4)
(5)
(6)
(7)
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2007.8.13
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2007.8.22
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2007.9.10
Lloyds TSB
2007.9.12
2007.9.13
2007.9.14
130
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2007.9.15
2007.9.17
919

2007.10.1
31,70035,000
2007.10.9
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2007.10.16
Lloyds TSB
2007.10.26
50
2007.11.01
20
2007.11.06
2008.2.21
66
3-2
2007.6.20
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328.5
2007.6.27
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2007.7.17
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16
2007.7.31
Bear Stearns 620
2007.12.20
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2008.1.30
S&PMBSCitigroupLehman BrothersBear Stearns

Merrill LynchS&PCDOCDOMBSS&P
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2008.3.11
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170Bear StearnsJP Morgan Fed
2008.3.13
Bear StearnsFed
2008.3.14
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FedBen S. Bernanke133Fed
Bear Stearns
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2007.11.21
2007.12.5
2008.1.18
2008.2.14
2008.5.6
2008.7.7
2008.7.10
2008.7.13
2008.7.26
2008.8.8
2008.9.7
2008.9.10
Lehman BrothersBNC Mortgage(20)

Freddie Mac2028.7%Fannie Mae
24.8%Freddie Mac
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110Freddie Mac56Fannie Mae122Fannie Mae
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1000
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2008.6.9
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2008.6.16
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2008.8.20
Lehman Brothers(Korea Development Bank, KDB)(ITIC)

Lehman Brothers
2008.9.11
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2008.9.13
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2008.9.14
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2008.9.15
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3-5
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2008.8.7
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70
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(9) (2008)
(10) 24
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(14) (2008)
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Wessel, 2009)
(22) 3(900)
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David Wessel (2009), In Fed We TrustBernankes War on the Great Panic, published by Crown Business.
(9812)
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Fed
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(AMLF)( 2008.9.19)
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(MMIFF)
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Bank of England (2009a), Inflation Report May 2009, May 13.

Bank of England (2009b), Quarterly Bulletin 2009 Q3, September 21.
European Central Bank (2009a), The Euro Money Market Study 2008, February 2.
European Central Bank (2009b), ECB Annual Report 2008, April 17.
Jean-Claude Trichet (2009), The financial crisis and our response so far, keynote address by President of the ECB, at the Chatham House
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(9811)
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6
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(10) (FSB)200811G2020094
(Financial Stability Forum)
(11) The Group of Central Bank Governors and Heads of Supervision
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(15) BIS
(16) 2009731Crisis-related measures in the
financial system and sovereign balance sheet risks4Unwinding soverign interventions
(17) Basel Committee on Banking Supervision (2008), Principles for sound liquidity risk management and supervision,
September
(18) Basel Committee on Banking Supervision (2009), Principles for sound stress testing practices and supervision, May
(19) Basel Committee on Banking Supervision (2009), Core principles for effective deposit insurance systems, June
(20) Financial Stability Forum (2008), The Report of the Financial Stability Forum on Enhancing Market and Institutional Resilience,
April
(21) Financial Stability Forum (2009), FSF principles for sound compensation practices, April 2
(22) FSB20099G20925
(Implementation Standards)
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(24) (Core Supervisory Colleges)200811G20
BCBSIMF 145
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Basel Committee on Banking Supervision (2008b), Comprehensive strategy to address the lessons of the banking crisis announced by the Basel
Committee, press release, November 20.
Basel Committee on Banking Supervision (2009a), Supervisory guidance for assessing banks' financial instrument fair value practices, April.
Basel Committee on Banking Supervision (2009b), Principles for sound stress testing practices and supervision, May.
Basel Committee on Banking Supervision (2009c), Core principles for effective deposit insurance systems, June.
Basel Committee on Banking Supervision (2009d), Basel II capital framework enhancements announced by the Basel Committee, press release,
July 13.
Basel Committee on Banking Supervision (2009e), Enhancements to the Basel II framework, July.
Basel Committee on Banking Supervision (2009f), Guidelines for computing capital for incremental risk in the trading book, July.
Basel Committee on Banking Supervision (2009g), Revisions to the Basel II market risk framework, July.
Basel Committee on Banking Supervision (2009h), Comprehensive response to the global banking crisis, press release, September 7.
Financial Stability Board (2009), FSB principles for sound compensation practices: implementation standards, September 25.
Financial Stability Forum (2009a), Financial Stability Forum issues recommendations and principles to strengthen financial systems, press
release, April 2.
Financial Stability Forum (2009b), FSF principles for sound compensation practices, April 2.
Financial Stability Forum (2009c), FSF principles for cross-border cooperation on crisis management, April 2.
Financial Stability Forum (2009d), Report of the Financial Stability Forum on addressing procyclicality in the financial system, April 2.
Financial Stability Forum (2008), Report of the Financial Stability on Enhancing Market and Institutional Resilience, April.
G20 (2008), Declaration of the Summit on Financial Markets and the World Economy, November 15.
International Monetary Fund (2009a), Lessons of the Financial Crisis for Future Regulation of Financial Institutions and Markets and for
Liquidity Management, Monetary and Capital Markets Department, February 4.
International Monetary Fund (2009b), Initial Lessons of the Crisis, Research, Monetary and Capital Markets, and Strategy, Policy, and Review
Departments, February 6.
International Monetary Fund (2009c), Initial Lessons of the Crisis for the Global Architecture and the IMF, Research, Strategy, Policy, and
Review Department, February 18.
International Monetary Fund (2009d), Lessons of the Global Crisis for Macroeconomic Policy, Research Department (in consultation with the
Fiscal Affairs and the Monetary and Capital Markets Departments), February 19.
International Monetary Fund (2009e), Crisis-Related Measures in the Financial System and Sovereign Balance Sheet Risks, Fiscal Affairs and
Monetary and Capital Markets Departments, July 31.
(9812)
146
147
(boom-and-
burst)
()
()
2
(loan-to-value, LTV)
3
()
(monoline insurers)
(asset-backed securities, ABS)
(20012006)
Credit Insights 2007 (credit
148
default swap, CDS)
43%31%
()
17%
()
()
1.
2.
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3.
asset-backed commercial paper conduit
structured investment vehicles,
(originate-todistribute)
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(shadow
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sponsored enterprises, GSEs)
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(Basel II)
()
GSEs
149
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7
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5 8
SEC)(
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Development, HUD)3
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FHLBs)
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150
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153
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156
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Acharya, V. V. & Richardson, M. (2009), Restoring Financial Stability: How to repair a failed system, John Wiley & Sons, Inc. pp.
283-300 & 365-375.
164
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Acharya, V. V. & Richardson, M. (2009), Restoring Financial Stability: How to repair a failed system, John Wiley & Sons, Inc. pp. 283-300 &
365-375.
Bernanke, Ben S. (2009a), Regulatory Reform, Testimony before the Committee on Financial Services, U.S. House of Representatives, Board
of Governors of the Federal Reserve System, October 1.
Bernanke, Ben S. (2009b), Financial Reform to Address Systemic Risk, Board of Governors of Federal Reserve System, March 10.
CBS (2009), http://www.cbsnews.com/stories/2009/03/12/60minutes/main4862191.
Edmund L. A.and L. Story (2009) Fed Considers Sweeping Rules on Bank Pay, September 18, The New York Times.
Johnston N. and Dodge C. (2009), Obama Says New Financial Rules Needed as Crisis Eases, Bloomberg, September 14.
Luci Ellis (2008), The housing meltdown: Why did it happen in the United States? BIS Working Papers No 259, September.
Thomson, J. B. (2009), On Systemically Important Financial Institutions and Progressive Systemic Mitigation, Policy Discussion Paper No. 27,
Federal Reserve Bank of Cleveland, August.
US Department of Treasury (2009a), House Financial Services Committee and the Treasury Department Release Draft Legislation to Address
Systemic Risk - Too Big to Fail Institutions, October 27.
US Department of Treasury (2009b), Financial Regulatory Reform- A new foundation: rebuilding financial supervision and regulation, June 17.
US House Financial Services Committee and the Treasury Department (2009), Draft legislation of Financial Stability Improvement Act,
October 27.
US House Financial Services Committee Press Release (2009), House approves historic new rules to govern Americas financial system,
December 11.
US Senate Committee on Banking, Housing, and Urban Affairs (2009), Restoring American Financial Stability- Discussion Draft, November
10.
Wall Street Journal (2009): Chicago Fed Chief Cites Weakness in Regulatory System, January 3.
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184
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(3) (Office for National Statistics)20096640.9
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(6) Walker, D. (2009a)

(7) Walker, D. (2009b)
(8) 20092009221
(9) Banking Act 2009 Part 7, 238, 2B (2)
(10) Levine, R. (2004)
(11) Barth, J., Caprio, G.., and Levine, R. (2006)
(12) US Treasury (2009)
(13) 199911(Gramm-Leach-Bliley ActFinancial Services Modernization Act of
1999)60
(14) 2000
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(17) HM Treasury (2009d)
(18) 201336,110
(19) Darling, A. (2009)
(20) 70Bretton WoodsJames Tobin1971
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(21) HM Treasury (2009c)

(22) 20098
2011
(23) 52
(24) HM Treasury (2009), Reforming Financial Markets, July
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(26) HM Treasury (2009), Banking Act 2009, February 12
(27)
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185
(2009)
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Barth, J., Caprio, G., and Levine, R. (2006), Rethinking Banking Regulation: Till Angels Govern, January.
Darling, A. (2009), Pre-Budget Report statement to the House of Commons, December 9. Retrieved December 15, 2009, from the World Wide Web:

http://www.hm-treasury.gov.uk/prebud_pbr09_speech.htm
Financial Services Agent (2009), FSA publishes further analysis on systemically important banks and the cumulative impact of capital and
liquidity reform, FSA/PN/142/2009, 22 October. Retrieved November 24, 2009, from the World Wide Web:

http://www.fsa.gov.uk/pages/Library/Communication/PR/2009/142.shtml
HM Government (2009), New industry, New jobs-building Britains future, April. Retrieved September 20, 2009, from the World Wide Web:

http://www.berr.gov.uk/files/file51023.pdf
HM Treasury (2009a), Banking Act 2009, February 12. Retrieved July 18, 2009, from the World Wide Web:

http://www.hm-treasury.gov.uk/fin_banking_act2009.htm
HM Treasury (2009b), Reforming Financial Markets, Building Britains Future CM 7667, July. Retrieved July 17, 2009, from the World Wide Web:

http://www.hm-treasury.gov.uk/d/reforming_financial_markets080709.pdf
HM Treasury (2009c), Reforming Financial Markets: Impact assessment, July.

HM Treasury (2009d), Pre-Budget Report 2009: Securing the recovery: growth and opportunity, December. Retrieved December 15, 2009,
from the World Wide Web:

http://www.hm-treasury.gov.uk/prebud_pbr09_repindex.htm
Levine, R. (2004), Finance and Growth: Theory and Evidence, NBER working paper no. 10766, September.
Turner, A. (2009), The Turner Review: a regulatory response to the global banking crisis, Financial Services Authority, March 18. Retrieved
September 10, 2009, from the World Wide Web:

http://www.fsa.gov.uk/pubs/other/turner_review.pdf
US Treasury (2009), Financial Regulatory Reform A New Foundation: Rebuilding Financial Supervision and Regulation, p.24 and p.76,
June.
Walker, D. (2009a), A review of corporate governance in UK banks and other financial industry entities, HM Treasury, July 16. Retrieved
September 17, 2009, from the World Wide Web:

http://www.hm-treasury.gov.uk/walker_review_information.htm
Walker, D. (2009b), A review of corporate governance in UK banks and other financial industry entities Final recommendations, HM
Treasury, November 26. Retrieved December 14, 2009, from the World Wide Web:

http://www.hm-treasury.gov.uk/d/walker_review_261109.pdf
(9812)
186
187
2008
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International Settlements, BIS)20096
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516,407
683,814
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12,312
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31,966
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14,710
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23,107
15,072
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262,526
18,117
207,588
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52,288
458,304
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62,162
437,198
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12,580
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5,019
3,729
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3,304
1,772
1,533
20,352
13,873
6,479
42,581
24,239
18,341
57,403
33,412
23,991
36,046
24,112
11,934
35,997
71,194
81,719
72,255
(BIS)
2008
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190
OTC
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Derivatives in Emerging Markets: Improving Efficiency While Safeguarding Financial Stability 200811
Alicia Novoa, Jodi Scarlata and Juan sole (2009), Procyclicality and Fair Value Accounting, IMF working Paper No.09/39 March
Bank For International Settlements (2007), Triennial Central Bank Survey, December.
Bank For International Settlements (2008a), OTC derivatives market activity in the second half of 2007, May.
Bank For International Settlements (2008b), BIS Quarterly Review, December.
Office of Comptroller of the Currency (2008), OCC Quarterly Report on Bank Trading and Derivatives Activities Second Quarter 2008.
John Kiff (2009), Jennifer Elliott, Elias Kazarian, Jodi Scarlata, and Carolyne Spackman, Credit Derivatives: Systemic Risks and Policy
Options? IMF Working Paper No.09/254 November.
NYU STERN White Papers, Centralized Clearing for Credit Derivatives, Restoring Financial Stability How to Repair a Failed System, March
2009.
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197
2007
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FV
12.83
n.a.
1.40
29.09
10.78
FV
3.68
n.a.
5.14
8.35
15.65
28.60
43.27
20.93
17.34
5.41
4.68
8.68
12.77
0.01
12.71
()
3.20
5.49
15.34
0.96
3.47
2.09
1.73
7.84
...
...
1.10
3.76
7.49
...
...
18.25
27.21
10.35
19.56
18.97
65.26
51.52
56.23
69.72
61.16
42.44
3.72
24.88
60.12
56.72
7.65
3.71
2.86
9.75
4.36
/()
FV
FV
10-K
100
1
3
()
203
10-2
%
1.18
20.30
46.20
100.00
1.40
20.30
46.20
100.00
0.73
20.30
46.20
100.00
1.18
20.30
46.20
1.40
20.30
46.20
0.73
20.30
46.20
100.00
80.00
120.00
1.18
5.29
0.73
1.18
1.40
0.73
20.30
30.50
20.30
46.20
100.00
46.20
100.00
46.20
100.00
1.18
20.30
46.20
100.00
1.40
20.30
46.20
100.00
0.73
20.30
46.20
100.00
0.00
58.66
-58.66
1.18
20.30
46.20
100.00
1.40
20.30
46.20
100.00
0.73
20.30
46.20
100.00
46.20
67.30
25.10
()
IMFNickell and others(2000)BCBS(2006a)

1
204
()
20%20%
5.29%
58.7(basis point)
58.7
46.2%67.3%
25.1%
(10-3)
(1)
(10-3)
(2)
(3)
()
(10-2)
205
()
()
(1)
(2)
(10-4)
10-3
7.6
7.5
7.6
7.9
7.6
7.6
6.3
7.3
9.1
7.6
7.6
5.4
7.6
7.9
7.6
3.7
3.8
3.7
3.6
3.7
3.7
2.3
3.4
5.0
3.7
3.7
3.8
3.7
3.6
3.7
2.9
2.8
2.9
3.0
2.9
2.9
1.6
2.6
4.2
2.9
2.9
1.9
2.9
3.0
2.9
206
(10-5)
(10-2)
()
Keen(1989)
()
(1)
(2)
)(
)(10-7)
(10-8)
10-6)
207
20077
(3)
(1)
(2)
2%4%
30%
40%
208
209
10-2
10-3
10-4
10-55
210
10-6
10-8
10-7
211
10-16
(procyclicality)
()
Basel II
1.4
(FSB)20094
(Addressing
1.5
procyclicality in the financial system)
Basel II
1.6
Basel II
1.1
2.1 (FASB)
(IASB)
1.2 Basel
II
2.2 FASBIASB
1.3
FSB
FASBIASB
212
Financial System, CGFS)
2.3 Basel
(transformation)
II
2.4 Basel
3.3
II
(BIS)(IMF)
3.1
()
3.4
3.1.1
3.5
FSB
3.1.2
(haircuts)
3.2
(Committee on the Global
n
n
213
10-27
(BCBS)20086
820066
20094
(Supervisory guidance for assessing
banks financial instrument fair value practices)
10
10
214
(1) Alicia Novoa (2009), Jodi Scarlata and Juan sole Procyclicality and Fair Value Accounting, IMF working Paper No.09/39,
March
(2) (
)
(3) ()
(4) (FSB)20094
(Addressing procyclicality in the financial system)
(10-1)(BCBS) 20094(Supervisory
guidance for assessing banks financial instrument fair value practices)
(10-2)
(5)
(6) Financial Stability Forum (2009), Report of the Financial Stability Forum on addressing procyclicality in the financial
system, April 2
(7) Basel Committee on Banking Supervision (2009), Supervisory guidance for assessing banks financial instrument fair
value practices, April
(8) Basel Committee on Banking Supervision (2008), Fair value measurement and modelling: An assessment of challenges and lessons
learned from the market stress, June
(9) Basel Committee on Banking Supervision (2006), Supervisory guidance on the use of the fair value option for financial instruments by
banks, June
(10)
(two-tier)
()(one-tier)
(9811)
215
(financial leverage
()()
(conduit)
(structured investment vehicles, SIVs)
(deleveraging)
()
()
1()
10()
(L)
(A)
216
()(E)
L = A/E = A/(A-D) = 1/(1-D/A)
()
DA2
(haircut)
(D)(A)
D/A(1-D/A)
2%100982
A/E
()50
(E)
(1002)4%
25 (1004)
()
()
(counter-cyclical leverage)
(pro-cyclical leverage)
()
()
3(
()
()(
)()
()
()
() ()
217
() ()
20071286.3
(30)
20078
2007813(Northern Rock)
91417
2008219
1998
2007
2007
()27.0(11-1)
(GSEs)23.5
199860%
9.830
200710%19986
5150 (530)
22.820052006
3.33% (5150)
31.4631.68(
)2007658.2
11-12007
20032007
11-1
10
5,597
5,390
207
27.0
GSEs
1,669
1,598
71
23.5
1,911
1,720
191
10.0
11,194
10,050
1,144
9.8
1,815
1,607
208
8.7
759
672
87
8.7
22,945
21,037
1,908
12.0
=
(2008)Greenlaw, Hatzius, Kashyap and Shin
(2008)
2007(SEC form 10k)
218
(11-1)2007
30(
1015)
AAA
(20%) 5
(off-balance sheet)
(special purpose entity, SPE)
Basel II
()
()
()
()
(financial stress)
()
(collateralized debt obligation, CDO)
(Basel II)
8%
()
50%(11-2)
()
11-2()
(1)
AAAAA-
A+A-
BBB+BBB-
BB+BB-
B+()
20%
50%
100%
350%
20%
50%
100%
(2)
AAAAA-
A+A-
BBB+BBB-
BB+B-
B-
20%
50%
100%
100%
150%
100%
Basel Committee (2006)
219
(tax haven)
(paper company)6
MBS(asset-
2. conduitSIVsABCP
backed securities, ABS)
ConduitSIVs
(conduit)
(recourse)
(SIVs)(asset-
backed commercial paper, ABCP) 7
ABCP(
ABCP
conduit
ABCP
conduitABCP
1. ConduitSIVs
conduitSIVs
conduit
conduit
8
3. ConduitSIVs
(SIVs11-3)
(Lender Of Last Resort, LOLR)
conduitSIVs
Basel
(risk-adjusted leverage)
198070%200845%
conduitSIVs
(liquidity provision
(wholesale funding)conduitSIVs
commitments)
(shadow banking)
conduitSIVs
11-3(SIVs)
(43%)
(
91-95%)
(23%)
(2009)
9(Global Financial Stability

Report, IMF 2008)
(23%)
(CDOs)(11%)
(5-9%)
220
()
2007
4. ConduitSIVs
ABS
1. 56
conduitSIVs
1060%
ABS
2. 54
3. ABCPconduitSIVs
11-4AAAABS
30%conduit12%
SIVs8%
2.2
4. 2.5
conduitSIVs50%
5. 1.8
()
5(Morgan StanleyBear
StearnsMerrill LynchLehman Brothers
Goldman Sachs)
(reverse repo)
(short position)
(repo)(collateralized financing)
(mark to market)
conduitSIVs
11-4(ABS)
AAA
(%)
30
Conduit
12
SIVs
26
17
Financial Times (2007.7.1)
11-5Bear Stearns
200711
(5.4%)
(62.9%)
(13.5%)
(8.5%)
(9.7%)
(48%)
(22.4%)
(17.3%)
(7.7%)
(1.6%)
(3.0%)
2007(SEC form 10-Q)
221
(0.47)50(
0.32)10(
0.18)
(BOAJP
Morgan ChaseCitibankWachoviaWells Fargo)
(deleveraging)
Bear Stearns 200711

(11-5)33.33(100%
3%)
()
20052007conduit
Bear Stearns
)2007
(11-2)
()
20002006
(ABCPCDO
CDO2ABSMBS)
10
ABCP200771.21
50
200960.57(11-3)
11-2
Securities Industry and Financial Markets Association

(2009)
11-3
IMF (2009)
222
conduitSIVs
() (Financial Stability
Board, FSB)
() (Basel Committee
on Banking Supervision, BCBS)
() (International Monetary
Fund, IMF)
223
(1) (1)
(2)(operating leverage)
(3)
(2) A/E = D/E A/D
(3) (2008)
(4) <> 20081124CitiGroup()56156
1.8% (156)CitiGroup
Tracy (2008)
(5) (regulatory arbitrage)
(6) (shell company)(special purpose entity, SPE)
conduitSIVs(
)conduitSIVs
ABCP (90%~95%)
(7) ABCP270
(8) SIVsSIVsSIVs(2006
Citigroup2.11.81.17)
(9) Paul Krugman (2009)Geithner(2009)
(Parallel Banking System)()
(10) (2008)
224
(2008)4312
(2009)57
Basel Committee (2006), Basel II: International Convergence of Capital measurement and Capital Standards: A Revised frameworkComprehensive Version, Basel Committee on Banking Supervision, June.
David Greenlaw, Jan Hatzius, Anil K Kashyap, and Hyun Song Shin (2008), Leveraged Losses: Lessons from the Mortgage Market Meltdown,
Working Paper, Morgan Stanley, Goldman Sachs, University of Chicago and Princeton University.
European Central Bank (2004), Credit Risk Transfer by EU banks: Activities, Risks and Risk Management, Press release, May 24.
Federal Reserve Bank of New York (2005), Statement Regarding Meeting on Credit Derivatives, Press release, September 15.
Geithner, T. F. (2009), Remarks at the Economic Club of New York, Federal Reserve Bank of New York, June 9.
International Monetary Fund (2008), Global Financial Stability Report: Containing Systemic Risks and Restoring Financial Soundness, Apr. 14.
International Monetary Fund (2009), Global Financial Stability Report: Navigating the Financial Challenges Ahead, Oct. 9.
Krugman P. (2008), Financial Russian Roulette, The New York Times, September 14.
Krugman P. (2009), Out of Shadows, The New York Times, June 18.
Olivier Blanchard (2009), The Crisis: Basic mechanisms, and Appropriate Policies, IMF working paper WP/09/80, International Monetary
Fund.
Tracy Alloway (2008), Citi of over-leveraging, Financial Times, November 24.
Viral V. Acharya and Philipp Schnabl (2009), How Banks Played the Leverage Game, in Viral V. Acharya and Matthew Richardson (eds.)
Restoring Financial Stability: How to Repair a Failed System, 83-100, New York University Stern School of Business.
(9812)
225
(credit rating agency)
(information asymmetry)
20052006
(structured products)
20072008
20
(Moodys)(S&P)(Fitch)
1930
1970
()
()
190911916
(Securities and Exchange
1924
Commission, SEC)1975
)1929
(Nationally Recognized Statistical Rating
Organizations, NRSROs)
226
NRSROs
NRSROs
97.30%(12-1)
NRSROs
SEC4NRSROs19807
NRSROs1990
() 20097
SEC200320054
(European Parliament)(Council of
5NRSRO
the European Union)4
()
SEC
(Enron)
19972000
20069
(Worldcom)
(Credit Rating Agency Reform
(Parmalat)
Act, CRARA)20076
SECNRSROs
12-1NRSROs
2008
SECNRSROs
SEC
()
(%)
3,039,264
97.30
S&P
1,255,000
40.18
5(Oversight of Credit
Moodys
1,112,317
35.61
Rating Agencies Registered as NRSROs)2
Fitch
671,947
21.51
84,484
2.70
DBRS
43,260
1.38
LACE
20,400
0.65
SECCRARA20076
2007831
10
Realpoint
9,200
0.29
A.M. Best
8,776
0.28
R&I
1,042
0.04
EJR
934
0.03
JCR
872
0.03
3,123,748
100.00
CRARASEC
2008925
10NRSROs
2008
Securities and Exchange Commission (2009a)
227
(European Commission)
Credit Rating Agencies)
(International Organisation of
()
Securities Commissions, IOSCO)
()
27
() 20097
80%
14%
2009714(Regulation
of the European Parliament and of the Council on
(California Public Employees
Retirement System)
(structured investment vehicle, SIVs)
2007 71 2008 624
145,8998
SEC 2008
7200811
( 80%
(Committee on the Global Financial System,
CGFS)20087
228
()
(asset
pool)
1.
1970
2.
(BBB)
(collateralized debt obligations, CDO)
2.
3.
(originator)
3. (shopping for
ratings)
(arranger)
10
(code of conduct)
4.
()
1.
()
1.
229
3.
2.
(rating transition)(
AAA (CDOs)
(4) 13
500
10%XBRL (eXtensible Business
Reporting Language)
() SECNRSROs(Rules11 for
NRSROs)
2. (Rule 17g-3)
NRSROsSEC
SEC200922
12
NRSROs
14
SECNRSROs
NRSROs
1. (Rule 17g-2)
(1)
3. (Rule 17g-5)
(1)
(desired
rating)
(2)(
)
(3)
(2)(
)
(3)
230
()
25
() SECNRSROs
SEC2009917
7. NRSROs
(Securities Act of 1933)436
60
gNRSRO
1.
NRSRO
NRSROs
NRSROs
SEC
2. NRSROs
()
20091028
NRSRO
NRSROs
1.
NRSROs
3.
NRSROs
NRSROsSEC
NRSROSEC
(compliance
officer)
4.
2.
NRSROs
NRSROs
20
SEC
5.
3.
NRSRO
NRSROs
4.
SEC
NRSROs
6. (rating shopping)
231
5.
NRSROs
()
NRSROs
6. (revolving-door protections)
NRSRO
2.
NRSRO
3.
SECSEC
2009714
4.
()
()
1.
1.
(Committee of
2.
European Securities Regulators, CESR)
(related third party)
CESR
3.
2.
4.
27
()
1.
5.
()
()
1.
12(rated
232
entity)
(3)(4)
2.
() (Financial Stability Forum,
FSF15)
FSF (2008)
()
1.
()
(New York University Stern School
()
of Business)Matthew Richardson and Lawrence
2.
J. White (2009)SEC
(centralized clearing platform)
20
3.
(1)
(2)
233
(1) Poor's Publish Co.Standard Statistics Co.191619221941(Standard &

Poors Ratings Services)
(2) 240.17g-2, 240.17g-3, 240.17g-4, 240.17g-5 240.17g-620076262007618
(3) SEC20087
(4) European Union (2003).
(5) European Union (2006).
(6) Dominion Bond Rating Service (DBRS)Japan Credit Rating Agency, Ltd.Rating and Investment Information
(7) 2009716
(8) Bloomberg
(9) (Egan-Jones Rating Company)(subscription-based business model)
(10) Committee of European Securities Regulators(2008).

(11) Rule(Exchange Act RuleRule)
(12) 2009410
(13) ()()
(14)
(15) FSF20094FSB (Financial Stability Board)
234
(2009)416-24
(2008)6668-90
(2007)1109-140
(2009)99-101
(2009)27719-28
Committee of European Securities Regulators(2008), CESRs Second Report to the European Commission on the compliance of credit rating
agencies with the IOSCO Code and the role of credit rating agencies in structured finance, May.
Committee on the Global Financial System (2008),Ratings in Structured Finance: what went wrong and what can be done to address
shortcomings? BIS CGFS Papers No. 32, July.
European Commission (2008), Commission Staff Working Document Accompanying the Proposal for a Regulation of the European Parliament
and of the Council on Credit Rating Agencies Impact Assessment, Brussels, Belgium, November.
European Union (2009), Regulation of the European Parliament and of the Council on credit rating agencies, July.
European Union(2006), relating to the taking up and pursuit of the business of credit institutions, Directive 2006/48/EC of the European
Parliament and of the Council, June.
European Union(2003), on insider dealing and market manipulation (market abuse), Directive 2003/6/EC of the European Parliament and of
the Council, 28 January .
Financial Stability Forum (2008), Report on enhancing market and institutional resilience, BIS FSF Report, April.
Matthew Richardson and Lawrence J. White (2009), The Rating AgenciesIs Regulation the Answer?, NYU STERN, January.
Securities and Exchange Commission (2009a), Annual Report on NRSROs, September.
Securities and Exchange Commission (2009b), Amendments to Rules for NRSROs, February.
Securities and Exchange Commission (2008), Summary Report of Issues Identified in the Commission Staffs Examinations of Select Credit
Rating Agencies, July.
(9811)
235
2006(subprime
mortgage)
1930
(United
Nations Conference on Trade and Development,
UNCTAD)Joseph Stiglitz
(Commission of
Experts of the United Nations General Assembly on
Reforms of the International Monetary and Financial
SystemStiglitz )
2009
(United Nations, 2009b,
2009c)
236
Fund, IMF)
()
IMFIMF
8,3522
13-1
13-12000
13-2
2000
6.8
2001
2006200714
20068,000
16
13-2
2000
9,54320042007
75%
(mortgage-backed
securities, MBS)
2006
13-1
%
2000
2001
2002
2003
2004
2005
2006
2007
2008
-4104
-3916
-4516
-5161
-6246
-7405
-7984
-7247
-7072
9543
6577
7686
8171
14040
10760
18351
17575
6200
4776
2455
2695
2877
8703
3639
10299
10958
1139
4767
4122
4991
5294
5337
7121
8052
6617
5061
2.9
2.7
3.5
3.5
3.4
1.4
2.4
1.7
2.7
Table F107 of the Flow of Funds Accounts of the United States, Board of Governors of the Federal Reserve SystemTable 2.1
of National Income and Product Accounts, Bureau of Economic Analysis
237
13-2
%
2000
2001
2002
2003
2004
2005
2006
2007
2008
6.8
7.3
7.8
8.8
10.5
11.5
14.0
16.1
15.1
0.8
0.5
0.5
1.0
1.7
1.0
2.5
2.1
-1.0
**
13.0
7.1
6.6
12.8
19.7
9.4
21.2
14.9
-5.9
1.0
1.1
1.3
1.5
1.8
2.0
2.1
2.4
3.2
0.3
0.5
0.6
0.7
0.9
1.0
1.3
1.6
1.4
0.8
1.0
1.1
1.3
1.6
1.8
2.3
2.7
2.5
1.4
1.4
1.2
1.5
1.9
2.0
2.4
2.8
1.8
1.4
1.5
1.5
1.7
1.7
1.9
2.2
2.5
2.6
4.9
5.5
5.7
6.7
7.9
8.7
10.3
12.0
11.5
**
72.1
75.3
73.1
76.1
75.2
75.7
73.6
74.5
76.2
Table L107 of the Flow of Funds Accounts of the United States, Board of Governors of the Federal Reserve System
* ()
**
20002004
20042006
2.7%3.5%20052007
(Federal Reserve System, Fed)
1.4%2.4%20051.4%
174.25
(13-16)
238
20042006
Bernanke (2005)
(13-1)
(global saving glut)
1997-98
Obstfeld and Rogoff (2009)
Obstfeld and Rogoff
Obstfeld and Rogoff
1990
Fed20046
239
(13-1)
13-1
1990
(Bank for International Settlements,
BIS)20074
31
Fed
250750
250
(impossible trinity)
13-1
UNCTAD2009
240
Kawai and Takagi (2008)Lopez-
Mejia (1999)
(unremunerated reserve
requirements)
(transaction-based capital controls)(Tobin
Tax)
(James Tobin)
1972
(global currency transaction
tax)
(investor-based capital controls)
(Qualified Foreign
40
Institutional Investor, QFII)
25
1997-98
2007-08
20098(Financial
Services Authority, FSA)Adair Turner
(Prospect Magazine)FSA
241
Steinbrck9
10
IMF
0.005%922
Nicolas SarkozyGordon Brown
G20
Spahn (1996)
Spahn (1996)(two-tier
Tobin tax)
200910
20
()
2%3
(Bretton Woods System)
200171.5%
200864.1%20092
35
62.8%
()
13-3
242
13-3
%
2001
2002
2003
2004
2005
2006
2007
2008
2009 II
71.5
67.1
65.9
66.0
66.9
65.5
64.1
64.1
62.8
19.2
23.8
25.2
24.8
24.1
25.1
26.3
26.5
27.5
2.7
2.8
2.8
3.4
3.6
4.4
4.7
4.1
4.3
5.1
4.4
3.9
3.8
3.6
3.1
2.9
3.1
3.1
0.4
0.6
0.3
0.3
0.2
0.3
0.2
0.2
0.2
1.1
1.3
1.9
1.7
1.6
1.6
1.8
2.0
2.1
Currency Composition of Official Foreign Exchange Reserves Database, International Monetary Fund
()
Fed20012003
()
(IMF)
()
(seigniorage)
(United Nations, 2009c)
(international seigniorage)
243
931Stiglitz(United
2009
Nations, 2009b)
2009319Stiglitz
(global reserve system)
(International Currency Certificates, ICCs)
(Special Drawing Rights, SDRs)
SDRs
Stiglitz
(United Nations,
2009a)
(Chiang Mai Initiative)
13-1
Chinn and Frankel (2008)

(network externalities)
()
()
()
()
()
()1990
()
(lingua franca)
(inertia)
17(Dutch guilder)
18(pound sterling)191872
1860191460%1915
Chinn and Frankel (2008)Eichengreen (2005)
244
13-2(SDR)
SDR
SDRIMF1969IMF
SDR
1974SDR
552006
201044%34%11%11%
5
SDR
SDR
IMFSDRIMF(quotas)2009IMFSDR
1970197219791981214SDR(
SDRIMF)4.5SDR0.48%
200942G202,500SDR (1,570SDRIMF829
SDR1,784SDR4.0%
1981IMFSDRIMFSDR
214SDR(330)200999
200999SDR1,998SDR
4.5%IMF2,174SDR91.9%
SDR
()
IMFSDR()
()
SDRIMFSDR
IMF(2009)
(reserve fund)
UNCTAD
(global reserve
bank)
(United Nations, 2009c)
Stiglitz
245
Stiglitz
()
1.
2.
(, 2005)
3.
()
1.
()
1.
2.
(13-2)
2.
13-2
3.
4.
246
Eichengreen
Frankel(1999)
13-3)13-1
()
(Asian Currency Unit,
ACU)ACU
(European Currency Unit, ECU)
Eichengreen (2009)
ACU
ACU
13-3
ECU(European Monetary System,

EMS)1979
(Monetary Snake)
() (European Currency Unit,

ECU)
ECU
247
EMCF
ACU
2000
2005
(ASEAN Swap Arrangement, 1977)
(The Research Institute of Economy,
Trade and Industry, RIETI)Ogawa
ShimizuECU(Asian
Monetary Unit, AMU)
2000

() (Exchange Rate
Mechanism, ERM)
20092
ERM1979
1,200
ECU
1228
(central pivot)
(Chiang Mai Initiatives Multilateralization,
(lateral pivot)
CMIM)EMCF
2.25%1993
IMF(Asian
15%ERM II1996
Monetary Fund)
1999ERM II
EMSEMS
1992
2005
(Asian Bellagio
Group)
EMS
() (European Monetary
Cooperation Fund, EMCF)
EMCF
EMS
EMS
1994
EMCF(European Monetary
Institute, EMI)9
248
(2005)
10
(11)
13-3()
1989Delors(Report on Economic and Monetary Union in the
European Community)19901999Delors
(19907199312)
(economic and monetary convergence)
(19941199812)
(European Monetary Institute, EMI)

1998EMI(European Central Bank, ECB)
(19991)
(2005)
IMF
IMF
IMF
IMF
IMF
1997-98IMF
IMF
UNCTAD
(13-413-5)
IMF
IMF
IMF
249
20097
IMF(International
Monetary Fund, 2009)IMF
l
85%
l
IMFC
(International Monetary and Financial Committee,

IMFC)
(Article IV
on exchange rate policies)
13-4IMF
IMF
() (FCL)
FCLIMFFCL
() (SBA)
FCLIMFSBA
SBA
()
200%600%
()
()
IMF
() IMF5,000
IMFG202,50037,500
SDR
() 2,500SDR
IMFG202,500SDR
()
IMF403.3IMF
IMF(2009)
250
13-5IMF
IMF2006
2008328IMF428
200910234264%85%
544.92
1355.460.6%
57.9%2.739.4%42.1%2.7
17.674%16.732%
5610
11
IMF5
2013G20IMF20111
IMF(2009)
350%
Oudiz and Sachs
20078
(1984)
Fed14
IMF
G20
2009925117
(G20, 2009a2009b)
1985(Plaza Accord)9
12G20
IMF2,500SDR
G20
251
13 1999
G20
1990
1990
G20G20
G20
G20
14
1980
1990
10
IMF
252
(1) (collateralized debt obligation, CDO)(credit default swap, CDS)
(2) (2009)
(3) 20083
1.5%2008100%
(4) 19447144730(New Hampshire)(Bretton Woods)
IMF(World Bank)1971
19733
(5) (Triffin Dilemma)1960Triffin(1960)
(6) Frankel(1999)(monetary union)

(7) ACU20058
(Asian Development Bank, ADB)2006
ACU20065
ACU
(8) Ogawa and Shimizu (2005)AMUhttp://www.rieti.go.jp/users/amu/en/index.html
(9) 1998(European Central Bank, ECB)(European System of Central Banks)
(10) Kawai (2008)

(11) 200111200511
200520067
(12) Helleiner (2009)
(13) G20
19
(14) Aslund (2009)
253
(2009)571-45
(2005)27455-82
(2009)(SDR)
(2009)IMF57115-125
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255
1930John M. Keynes
1970
2008
Milton Friedman
Paul Krugman
Eugene
Fama(efficient-market
hypothesis)Robert
Lucas
2000(the
Great Moderation)
Krugman
(Krugman, 2009)
256
Spaventa (2009)
2003Robert Lucas
(Federal Reserve System, Fed)Ben S.
Bernanke2004
20
2008IMFOlivier Blanchard
(The State of Macro)
Wyplosz (2009)
Acemoglu (2009)
Allen and Gale
(2007)1930
Wyplosz (2009)
1776
Milton Friedman
Adam Smith160
(Friedman and
Schwartz, 1963)
(Mishkin, 2007)
19301930
1970Eugene Fama
Keynes
(Krugman, 2009)
19501960
257
(capital asset pricing model, CAPM)
19802000
(Arrow and Debreu, 1954)
(state)
FedAlan Greenspan
(multi-period)
Greenspan
(the
(Krugman, 2009)
Auctioneer at the end of time)
Stiglitz (2009)
()
(neo-classical
synthesis)
()
Arrow and Debreu
258
()
Woodford (2003)
Borio (2006)
()
(Buiter, 2009) 4
Whitehouse (2009)
1930
1970
(Buiter, 2009)
Krugman (2009)
Keynes
()
19501960
Keynes
()
1970Robert Lucas (1972, 1973
1970Bretton Woods System
1976)
(inflationary bias)
Friedman (1963)
()
259
1990
Rose (2007)Walsh (2009)
(Goodfriend,
2007)
Jeffrey A. Frankel (2009)
()
(financial frictions)
1980
()
1990
1970
(Mishkin, 2007)
(BIS, 1997)
(nominal anchor)
IS-LM
5(time-inconsistency
Modigliani-Miller (1958)
trapKydland and Prescott, 1977Barro and
Gordon, 1983)
1990
()
(Borio, 2006)
Bernanke and Gertler1990
(financial accelerator)
(Hubbard, 2008)
(inflation targeting)
Svensson (2002)
Bernanke and Gertler (1995)
260
Bernanke
1990
(Borio, 2006)
(Walsh,
2009)
Buiter
(Buiter,
FedWarsh (2007)
2009)
Buiter
(CDO-squared)
261
()
(Kindleberger, 1978)Hyman P. Minsky
(1992)
()
Minsky
(, 2009)
Janet
(Financial Services Authority,
L.Yellen (2009)
2009)
Borio (2006)
1.
(random
walk)
(prisoners dilemmas)
(coordination failures)(herding)
2.
()
(self-reinforcing momentum)
3.
262
4.
(market completion)
Mishkin (2009)
5.
Robert Shiller
(Friedman, 2004)
(Krugman, 2009)
(Walsh, 2009)
Stiglitz (2009)
(Whitehouse, 2009)
Stiglitz (2009)
(imperfect
information)
Greenwald and Stiglitz (1986)
Adam Smith
20089
Pareto(constrained Pareto efficient)
263
DSGE
(random shocks)
Borio (2006)
Borio
(shocks)
Borio
(Borio,
(dynamic stochastic general equilibrium, DSGE)
2006)
(Adolfson, Lasen
Svensson (2008)) 10
DSGE
(financial dislocations)
DSGE
264
L(Buiter, 2009)
Stiglitz (2009)
(representative agent model)
(Spaventa, 2009)
DSGEWillem Buiter
(Buiter, 2009)Paul Krugman
(Krugman, 2009)
Charles
GoodhartDSGE
Krugman (2009)
Borio (2006)
(1)
(2)(3)
1980
1990
(4)
(1)
(2)
(3)
11
265
1997-1998
(Spaventa, 2009)
Akerlof (1970)Myers and Majluf
(1984)Greenwald, Stiglitz and Weiss (1984)
(Bank of
England, BoE) 2008
(Mishkin, 1997)
()
Robert Shiller
2004Greenspan
(Spaventa, 2009)
1.
Bernanke
Keynes
2005
(Krugman, 2009)
()
Spaventa (2009)
Modigliani-Miller
Raghuram Rajan2005
2.
Nouriei Roubini
2005
Borio (2006)White (2006a,
Mankiw (2006)1990
2006b)
Eichengreen (2009)
266
3.
Mishkin (2007)
(1)
(2)
()
( (
)
)
( (
)
)
( (
)
)
( (

)
()
()
Borio (2006)1Minsky (1992)
267
()
(3)
Blinder (1998)
(4)
(Dark Art)
(5)
Borio (2006)
Grauwe (2009)
(animal spirits)
Krugman (2009)
(Grauwe, 2009)
12
Boiro (2006)
1.
268
2.
(lean against asset price
bubbles)
(Cecchettiet al.(2000,
2003)Borio and White (2003))
(preemptive)
3.
(Bernanke and Gertler (2001)
Gertler (2003)Bernanke (2002)Kohn (2008))
Walsh (2009)
FedDonald Kohn (2009)
269
(1) Stiglitz (2009)
(2) IMF(IMF, 2003)

(3) (barter economy)NN*(N-1)/2
(medium of exchange)N(liquidity)
(4) (transversality condition)

(5) (time inconsistency trap)(dynamic inconsistency)
(KydlandPrescott, 1977)
(6)
(7) (
)
(8) Krugman (2007)CDOSIVRMBSABCP

Paul Volcker25
(ATM)CDSCDO(Armitstead, 2009)
(9) ()
(10) Spaventa (2009)

(11)
(the paradox of credibility)
(12) Stiglitz (2009)Financial Services Authority (2009)Geanokoplos (2008)
270
(2009)
(2007)()
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273
Janet L. Yellen
(originate-to-distribute business model)
(Credit Default
Swaps, CDS)(shadowing
(efficient market hypothesis)
banking system)1(global
imbalances)2
(Hyman P. Minsky) 4
1986
(financial instability
hypothesis)
19631986
1992
(The General Theory of Employment,
Interest and Money)
274
(economic units)
/(hedge)(speculative)
(Ponzi)
()
(pro-cyclical)
(debt
deflation)
10
(McCulley
(forward)(reverse)11)
275
Meltdown)
(Structured Investment Vehicle, SIV)
()(
)()
(Minsky Moment)McCulley
12
20078
(debt deflation)
McCulley (2009)
()
(counter-cyclical)
(Minsky
13
Fed
(paradox of deleveraging)
(paradox of thrift)
()
(fire sale)
276
14
1986
17
2007
2001Joseph Stiglitz
2008Paul Krugman
Lawrence Summers
15
Grauwe (2009)
Cooper (2008)
16
(boom and bust)
277
18
(propagation)
(information asymmetry)
20
(Big Government)(Big Bank)
(capital market imperfections)
(real business cycle
model)
(financial accelerator)
19
278
(1) (Bear SternsLehman Brothers)

(AIG)
200724
United Nations (2009)Adrian and Shin (2009)
(2)
Obstfeld and Rogoff (2009)Blanchard and Milesi-Ferretti (2009)Astley et al. (2009)

(3) Minsky (1982)Kindleberger (1996)
(4) 1990 (The Levy
Economics Institute)199678
(5) Yellen (2009)
(6) McCulley (2009)
(7) Minsky (1992)
(8) (hedge fund)(Ponzi scheme)
Charles PonziPonzi1903
(pyramid scheme)
(9) (7)
(10) McCulley (2009)Minskys Economic Journey: Forward and Reverse
(11) (6)
(12) McCulley (2009)200783
(13) (6)
(14) Minsky (1986)
(15) Fox (2009)Krugman (2009)
(16) White (2009)
(17) Cooper (2008)
(18) Fazzari (1999)
(19) (18)
(20) (18)
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Minsky, Hyman P. (1982), Can It Happen Again?: Essays on Instability and Finance, Armonk, NY, M.E. Sharpe Inc.
Obstfeld, Maurice and Kenneth Rogoff (2009), Global Imbalances and the Financial Crisis: Products of Common Causes, Prepared for the
FRBSF Asia Economic Policy Conference, Santa Barbara, CA, Nov..
United Nations (2009), Chapter III: Learning from the Crisis: Policies for Safer and Sounder Financial Systems, in UNCTAD, Trade and
Development Report, 2009.
White, William (2009), Modern Macroeconomics Is on the Wrong Track, Finance & Development, IMF, Dec..
Yellen, Janet L. (2009), A Minsky Meltdown: Lessons for Central Bankers, Presentation to the 18th Annual Hyman P. Minsky Conference on
the State of the U.S. and World Economies, Meeting the Challenges of the Financial Crisis, April.
(993
)
280
281
282
283
adjustable rate mortgages (ARMs)
asset-backed commercial paper (ABCP)
Asset-Backed Commercial Paper Money Market
Fund Liquidity Facility (AMLF)

asset-backed securities (ABS)
Asset Purchase Facility (APF)
Asset Protection Scheme (APS)
ASEAN Swap Arrangement
Asian Currency Unit (ACU)
Asian Development Bank (ADB)
Asian Monetary Fund
Asian Monetary Unit (AMU)
Bank for International Settlements (BIS)
bank holding company (BHC)
Bank of England (BoE)
Bank of Japan (BOJ)
Basel Committee on Banking Supervision (BCBS)
Bretton Woods System
capital asset pricing model (CAPM)
Capital Purchase Program (CPP)
central counterparty (CCP )
centralized clearing platform
certificates of deposit (CD)
Chicago Board of Trade (CBOT)
Chicago Board Options Exchange (CBOE)
Chicago Mercantile Exchange (CME)
collateralized debt obligation (CDO)
collateralized loan obligation (CLO)
commercial mortgage-backed securities(CMBS)
commercial paper (CP)
Commercial Paper Funding Facility (CPFF)
Committee of European Securities Regulators
(CESR)
284

Committee on Payment and Settlement Systems
(CPSS)
Committee on the Global Financial System (CGFS)
Commodity Futures Trading Commission (CFTC)
Community Reinvestment Act
Complementary Deposit Facility
conduit
Consumer Financial Protection Agency (CFPA)
contingency funding plan (CFP)
Continuous Linked Settlement (CLS)
core Consumer Price Index (Core CPI)
covered bond
credit conversion factor
credit default swap (CDS)
Credit Guarantee Scheme (CGS)
credit rating agency
Credit Rating Agency Reform Act (CRARA)
credit risk transfer
cross-currency swap (CCS)
deleverage
Department of Housing and Urban Development
(HUD)
discount window facility
discriminatory auction
dynamic stochastic general equilibrium (DSGE)
eligible liabilities (ELs)
Emergency Economic Stabilization Act
Euro overnight index average (EONIA)
European Central Bank (ECB)
European Commission
European Currency Unit (ECU)
European Exchange (EUREX)
European Monetary Cooperation Fund (EMCF)
European Monetary Institute (EMI)
European Monetary System (EMS)
285
European System of Central Banks
European System of Financial Supervisors (ESFS)
European Systemic Risk Board (ESRB)
exchange rate mechanism (ERM)
exchange stabilization fund
exotic options
Extensible Business Reporting Language (XBRL)
Fed funds rate
Federal Financial Institutions Examination Council
(FFIEC)
Federal Deposit Insurance Corporation (FDIC)
Federal Financial Supervisory Authority (Bafin)
Federal Housing Finance Board (FHFB)
Federal Home Loan Banks (FHLB)
Federal Home Loan Mortgage Corp (FHLM)
Federal Housing Administration (FHA)
Federal Housing Finance Agency (FHFA)
Federal National Mortgage Association (FNMA)
Federal Open Market Committee (FOMC)
Federal Reserve Act
Federal Reserve Bank of New York (FRBNY )
Federal Reserve System (Fed)
Federal Trade Commission (FTC)
Financial Accounting Standards Board (FASB)
Financial Consumer Coordinating Council
Financial Services Authority (FSA)
Financial Services Compensation Scheme (FSCS)
Financial Services Oversight Council (FSOC)
Financial Stability Board ( FSB)
Financial Stability Forum (FSF)
Financial Stability Plan (FSP)
flexible inflation targeting
foreclosure rate
forward rate agreement (FRA)
full fair value accounting
286
Generally Accepted Accounting Principles (GAAP)
Government-sponsored enterprises (GSEs)
Gramm-Leach-Bliley Financial Services
Modernization Act
haircut
Homeowner Affordability and Stability Plan (HASP)
Hong Kong Stock Exchange (HKEX)
Housing and Economic Recovery Act (HERA)
incremental risk
incurred loss model
interest rate swap (IRS)
internal assessment approach (IAA)
internal rating based approach (IRB)
International Accounting Standards Board (IASB)
International Association of Deposit Insurers ( IADI)
International Association of Insurance Supervisors
(IAIS)
International Currency Certificates (ICCs)
International Financial Reporting Standards (IFRS)
International Monetary and Financial Committee
(IMFC)
International Monetary Fund (IMF)
International Organization of Securities
Commissions (IOSCO)
International Petroleum Exchange (IPE)
Investment Advisers Act
Investor Advisory Committee
Italian Derivatives Market (IDEM)
Japanese government bonds (JGB)
Journal of Commerce (JOC) Index
Large Value Transfer System (LVTS)
large, complex financial institutions (LCFIs)
loan-to-value
London interbank offered rate (LIBOR)
London International Financial Futures Exchange
(LIFFE)
287
Long-Term Capital Management (LTCM)
longer-term refinancing operations (LTROs)
main refinancing operations (MRO)
market infrastructure
market-neutral arbitrage
mark-to-market
Mexican Derivatives Exchange (Mex Der)
migration risk
Monetary Authority of Singapore (MAS)
Money Market Investor Funding Facility (MMIFF)
money market mutual funds (MMFs)
monoline insurers
Montreal Exchange (ME)
Mortgage Banker Association (MBA)
mortgage-backed security (MBS)
National Bank Supervisor (NBS)
Nationally Recognized Statistical Rating
Organizations (NRSROs)
negative feedback loop
net present value (NPV)
New York Mercantile Exchange (NYMEX)
off-balance-sheet entities (OBSEs)
Office of Federal Housing Enterprise Oversight
(OFHEO)
Office of National Insurance (ONI)
Office of the Comptroller of the Currency (OCC)
Office of Thrift Supervision (OTS)
OM Stockholm (OMS)
operational standing facilities
Organization For Economic Cooperation And
Development (OECD)
originate and distribute
Osaka Securities Exchange (OSE)
over the counter (OTC)
overnight index swaps (OIS)
288
pipeline risk
predatory lending
Primary Dealer Credit Facility (PDCF)
procyclicality
Public-Private Investment Program (PPIP)
qualified foreign institutional investor (QFII)
Recapitalisation Scheme
recourse
repurchase agreement (Repo)
residential mortgage-backed securities (RMBS)
Securities and Exchange Commission (SEC)
seigniorage
shadow banking
Singapore Exchange (SGX)
Small Business Administration (SBA)
SNB StabFund
Spanish Futures & Options Exchange (MEFF)
special drawing right (SDR)
Special Liquidity Scheme (SLS)
special purpose vehicle (SPV)
Special Resolution Regime (SRR)
structured investment vehicles (SIVs)
structured notes
subprime mortgage
Supervisory Colleges
Swiss Federal Banking Commission (SFBC)
Swiss Financial Market Supervisory Authority
(FINMA)
Swiss Interbank Clearing System (SIC)
Swiss National Bank (SNB)
System Open Market Account (SOMA)
Taiwan Futures Exchange (TAIFEX)
Temporary Liquidity Guarantee Program (TLGP )
Temporary Money Market Guarantee Program
Term Asset-Backed Securities Loan Facility (TALF)
289
Term Auction Facility (TAF)
Term Loan Facility
Term Purchase and Resale Agreement (PRA)
Term Securities Lending Facility (TSLF)
The Business Cycle Dating Committee of the
National Bureau of Economic Research

The Group of Twenty (G20)
20
The Home Affordable Modification
The Home Affordable Refinance
The Research Institute of Economy, Trade and
Industry (RIETI)
Tobin tax
Tokyo International Financial Futures Exchange
(TIFFE)
Tokyo Stock Exchange (TSE)
treasury inflation-protected securities (TIPS)
Troubled Assets Relief Program (TARP)
TSLF Options Program (TOP)
Undertakings for collective investment in
transferable securities (UCITS)

United Nations Conference on Trade and
Development (UNCTAD)
value at risk (VaR)
warehousing risk
World Bank
290

/ . --
-- 99.03
2129.5
ISBN 978-986-02-2772-7 ()
1.
2.
561.78
99004433
1006612
022393-6161
993
http://www.cbc.gov.tw/ct.asp?xItem=33796&CtNode=968&mp=1
400

104852091
022518-0207
022518-0778
http://www.govbooks.com.tw
400426
042226-0330
042225-8234
100541
023322-4985
023322-4983
http://www.wunanbooks.com.tw
100741517
022396-5877
GPN1009900973
ISBN978-986-02-2772-7
(02)-2357-1462

全球金融危機專輯 (增訂版)

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2007

n Fannie MaeFreddie Mac

(Savings and Loan

(special purpose vehicles, SPVs)

Fannie MaeFreddie MacMBS

Fannie MaeFreddie MacGSEs

2000Fannie MaeFreddie Mac

Fannie MaeFreddie MacMBS

Demyanyk and Van Hemert (2008)

(Mortgage Banker Association)

(MBS collateralized debt obligations, MBS CDO)

Demyanyk and Van Hemert (2008)

backed securities, ABS)MBS

3. Fannie MaeFreddie Mac

(structured investment vehicles, SIVs)

(asset-backed commercial paper, ABCP)

Fannie Mae Freddie Mac

ABS & MBS

(38) Hellwig and Staub (1996)

Report, October 2008.

(New Century Financial

150 bps(75 bps)1970

(overnight index swaps, OIS)

Fannie MaeFreddie Mac

(Asset Backed Securities Index, ABX)

(Chicago Board Options

(Credit Default Swap Index, CDX)

(mortgage-backed securities, MBS)4

rate mortgages, ARMs)

FEDUS Mortgage Bankers Association

(Royal Bank of Scotland)

Monetary Fund, IMF)

Goldman Sachs Morgan Stanley

(Federal Deposit Insurance Corporation,

IMF WEO Database

IMF WEO Database

(The Business Cycle Dating Committee of the

National Bureau of Economic Research)

National Association of Realtors

IMF WEO database

(World Bank) 107

IMF WEO Database

IMF WEO DatabaseBloomberg

IMF WEO Database

IMF WEO Database

OECD Economic Outlook 85 Database

(2) (home equity reverse mortgagehome-equity lines of creditsHELOCshousing equity

New Century Financial2

(mutual-form building society)1997101

Hit by a rockThe credit crisis hits

the high street

Countrywide FinancialBear Stearns

(Banking Act of 2009)

Eastern InvestmentWL RossToscafund

(Subprime mortgage-backed securities, MBS)

ML(Maiden Lane) LLC

ML LLC 290JP Morgan10

Fannie MaeFreddie Mac

Freddie Mac(37.25%)Fannie Mae

(Federal National Mortgage Association)

(Federal Home Loan Mortgage Corp.)

1970Fannie MaeFreddie Mac

MaeFreddie MacFannie Mae 2007