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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
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...................................... ................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

(38) Hellwig and Staub (1996)


(39) Hellwig and Staub (1996)

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

)Fannie MaeFreddie

28Countrywide

Mac(Lehman Brothers

Financial1

)(American International

New Century Financial2

GroupAIG)

89

Fannie MaeFreddie

MacAIG

(Northern Rock)

()

1.

1965

(Newcastle)

(mutual-form building society)1997101

48

2.

3-120061231

63.65%

26.60%

354

85.82%20062005

31.4631.68

(10-15)

3-12006.12.31
%

()

956

0.95

871

0.86 ()

5,621
86,685

2,136

2.11

26,867

26.60

2,392

2.37

64,295

63.65

40,226

39.82

6,202

6.14

17,867

17.69

2,109

2.09

3,211

3.18

101,010

100.00

5.56
85.82

6,630

6.56

247

0.24

101,010

100.00

2006/12/3131.462005/12/3131.68

()

2007

49

20062007

Moody

2007

2007

(63.65%)(85.82%)(3-1)

200762006

2007

2007

26.60%)

(3-1)

200710

()

2007914

200788

Hit by a rockThe credit crisis hits

the high street

3-1

Countrywide FinancialBear Stearns


BNP ParibasIKBSachsen Bank

1.
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Bloomberg

2007813

Moody

2006

2.

50

102007822

Llyods TSB

20081

6910

3.

913

914

2009212

(Banking Act of 2009)

104-5%

917

4.

5.

Mervyn King

7914

3-4

2007917

919109

230

919

31,700

35,0009

6.

2008218

Lloyds

of LondonRon Sandler

221

First

Eastern InvestmentWL RossToscafund

51

AIG

)76.74%

RP25.89%(

)5.37%

(Bear Stearns)

()

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1.

(34.97%)

1923

20.8%

160

1930

2006113028.89200711

3033.53
()

2.

3-220071130()

()

(RP

3-22007.11.30
%

138,242

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21,229

5.37

12,920

3.27

3,100

0.78

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3,900

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58,784

14.87

4,643

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19,725

46,141

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11.67

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303,388

76.74

102,373

25.89

31,895

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43,807

11.08

125,313

31.70

58,952

14.91

11,793

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395,362

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110,123

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buy)

43,580

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69,121

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34,296

395,362

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52

313

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Fed

31447%

30

194.65

RP

20083

10

Fed

11(3-2)

2007

620

170

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(Subprime mortgage-backed securities, MBS)


(CDO)(hedge fund)
32627
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8.519
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()

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Capital

Carlyle Capital

53

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Fed2008

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314

JP Morgan

Fed

2008317

Fed

Fed

13

JP Morgan

3 12

230

20

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2008314
PM4:30

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3/15

3/16

3/17

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ML(Maiden Lane) LLC

ML LLC 290JP Morgan10

2008314

300

(3-3)

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Fed

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Fed

Fed13-3

200877Fed

54

Fannie MaeFreddie Mac

Fannie

()

Mae63.76%Freddie Mac

1.

55.72%Fannie Mae(26.53%)

Fannie Mae

Freddie Mac(37.25%)Fannie Mae

(Federal National Mortgage Association)

Freddie Mac

1938Freddie Mac

(Federal Home Loan Mortgage Corp.)

Fannie Mae

1970Fannie MaeFreddie Mac

45.8%

40.51%86.31%Freddie Mac

(government-sponsored enterprises,

93.77%

GSE)

83.70%

10.07%Fannie

MaeFreddie MacFannie Mae 2007

)MBS

200620.0520.33Freddie Mac 2007

MBS

200629.7229.91

MBSFannie MaeFreddie

Fannie MaeFreddie Mac

Mac

Fannie MaeFreddie Mac

()

MBS

Fannie MaeFreddie Mac

Fannie

MaeFreddie Mac

Fannie MaeFreddie

Fannie MaeFreddie Mac

Mac

Fannie MaeFreddie Mac

20081

1. Fannie MaeFreddie

Fannie MaeFreddie Mac1.6

Mac

MBS3.7

5.313

2.

3-320071231Fannie Mae

Freddie Mac

2. Fannie MaeFreddie Mac

55

3-32007.12.31 Fannie MaeFreddie Mac


%

Fannie Mae

Freddie Mac

Fannie Mae

Freddie Mac

404,222

45.80

80,032

10.07

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

869

0.10

0.00

357,513

40.51

664,855

83.70

3,417

0.39

582

0.07

63,956

7.25

14,089

1.77

7,512

0.85

7,864

0.99

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

1.08

882,547

100.00

794,368

882,547

100.00

794,368

100.00

RS

0.46 RP

100.00

Fannie Mae2007/12/3120.052006/12/3120.33Freddie Mac2007/12/3129.722006/12/3129.91

110Freedie Mac

56Fannie Mae122

MBS

Fannie MaeFreddie Mac

Fannie MaeFreddie

Mac2%

15%(3-43-5)

14
Fannie MaeFreddie Mac

3-4Fannie Mae

200731121
Freddie Mac
2028.7%Fannie
Mae24.8%200856Fannie Mae
1 21.86
Fannie MaeFreddie Mac
20087
10William Poole
Fannie MaeFreddie Mac

Bloomberg

56

3-5Freddie Mac

(1) Fannie MaeFreddie Mac

(2) ( F e d e r a l H o u s i n g
Administration, FHA)3,00030
40

(3) 150
7,50015

Bloomberg

(4) Fannie MaeFreddie MacFHA

()

62.5

Fannie MaeFreddie Mac

5.3

15

Fannie Mae
Freddie Mac

(5) 39

(6) 8,00010.6

(7) F a n n i e M a e
Freddie Mac

(8) FedFannie MaeFreddie Mac

Fed2008713

FedFannie Mae

Fannie MaeFreddie Mac

Freddie Mac

Henry M. Paulson
Fed
16

2. 200897Fannie MaeFreddie
Mac

(1) (Federal Housing

72697

Finance Agency, FHFA )

Fannie MaeFreddie Mac

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MaeFreddie Mac

Fannie MaeFreddie Mac

17

(2) F H FA 1 0 %

Fannie MaeFreddie Mac10

Fannie MaeFreddie Mac18

Fannie Mae

1,000

Freddie Mac
1. 2008713

(3) FHFAFannie MaeFreddie


Mac1

57

)70.61%

79.9%

RP26.30%(

(4) Fannie MaeFreddie Mac

)4.06%

74.67%

(45.31%)(43.59%)

(5)

(6) F e d F a n n i e M a e

RS

Freddie Mac

(7) 20091231

Fannie MaeFreddie Mac

2006113026.24
2007113030.73

50

()

(8)2010Fannie MaeFreddie Mac

(mortgage portfolio)

8,5002010

10%

2,500

RP

(Lehman

Brothers Holdings Inc.)

()

1.

1850

1998(LTCM)

5Goldman Sachs

500

Merrill LynchMorgan Stanley23

200824

2.

Fed

3-420071130()

PDCF(Primary Dealers Credit Facility)

Fed

(RP

58

3-42007.11.30
%

313,129

45.31

40,892

5.92

0.00

CP

4,000

0.58

112,619

16.30

44,595

6.45

111,023

16.07

301,234

(RS)

162,635

28,066

4.06

0.00

3,101

0.45

16,801

2.43

8,164

1.18

29,363

4.25

487,994

70.61

43.59

(RP)

181,732

26.30

23.53

76,299

11.04

138,599

20.06

(sell/buy)

149,617

21.65

13,394

1.94

80,346

11.63

43,277

6.26

123,150

17.82

20,029

2.90

22,490

3.25

691,063

100.00

691,063

100.00

Fitch1130
* securities borrowed
2007/11/3030.732006/11/3026.24

Fed

2.

20089156,130

19

3. CDO

MBS20071,100

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MBS

1. 20083

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314

15%31738%3

5.

59

2.2

Fed

330

Merrill Lynch

85MBS

Fed

Fed

Fed
6.

(1)Fed

(3-6)

(2)Fannie Mae

Freddie Mac

20

Henry M. Paulson(Mr.

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22(no-taxpayer-money-for -Lehman)

3-6

(3)

23
20089
(
3-7)
39
Fannie Mae

Bloomberg

Freddie Mac9

()

Fed
Ben S.

60

3-7(200891214)

14%
FedJP Morgan

9/10

9/11

9/12

9/13

9/14

9/15

42%

KKR
JP Morgan
Fed

9/12-9/14

500Merrill
Lynch

Bernanke200810

2. 916Reserve Primary

Fed

Fund

(Troubled Assets Relief Program,

TARP)

918

20091Henry M. Paulson

20089

410%

24George Soros

3. AIG916AIG

4. 921

Fed

Fed

(American International

65

Group, AIG)

()

20089

1. 915

1.
AIG1919

2008Forbes

2000AIG18
1,000

61

3-520071231AIG

AIGCornelius

24.37%

Vander Starr

15.36%(24.47%)

(7.42%)(7.73%)

Starr

44.37%

1969AIGAIG

(19.45%)

130

(7.42%)AIG

2007200611.079.63

2.
3-52007.12.31 AIG
%

470,581

44.37

428,935

40.45

41,646

3.93 ***

33,727

3.18 ****

161,817

15.26 CP

85,500

8.06

136,068

12.83

258,459

24.37

49,124

4.63

13,114

1.24

**

75,662

7.13

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

AIGAIG

AIG

200733.52

(CDS)

20089

25AIG

250AIG

62

AIG

(CDS)

Fannie MaeFreddie Mac

1852008

20083

880%AIG

CDSAIG

AIG

()

20089

915

11AIG9

16

Fannie MaeFreddie Mac9

2008916AIG

AIG

9121/3915

50%916AIG

AIG

70.13

AIG

1.2595%(3-8)2008

132914AIG

(1)AIG

()

FedAIG

(2)AIG

AIG

(3)AIG

RMBSCDO

3-8AIG

(4)AIG
13
3AIG

FedAIG
1. 2008916Fed13
3AIG 850
Libor
850AIG 79.9%26
AIG

Bloomberg

AIG

(1)400

2. 20081110FedAIG

63

400AIG
AIG

ML(Maiden Lane) II LLCML III LLC

(2)300

ML II

TARP300

LLCAIGRMBSML III LLC

AIGAIG

AIG

(3)Fed

(Multisector CDO)

AIGALICOAIA

3. 20081125

Fed

ML III LLC300

260

Libor100(

85AIG

2.9%)6

SPVSPV

4. 20081212

ML II LLC225

600250

Libor100(

3Libor300

2.6%)6

Libor3.5%

5. 200932Fed

(4)AIG20093

AIG

477.9%AIG

AIG

9Warren

Martin Feldstein7

Edward Buffett

W20102

FedBen S. Bernanke

Alan Greenspan

Fannie MaeFreddie MacAIG

2010Fed

2010

64

Fed

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

65

3-1

2007.8.13

(FSA)
2.75

2007.8.16

FSA

2007.8.22

FSA

2007.9.10

Lloyds TSB

2007.9.12

2007.9.13

2007.9.14

130
FSA

2007.9.15

2007.9.17

919

2007.10.1

31,70035,000

2007.10.9

91935,000
30

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

Bear Stearns(CDO)
328.5

2007.6.27

Bear Stearns

2007.7.17

Bear Stearns62090%Bear Stearns


16

2007.7.31

Bear Stearns 620

2007.12.20

Bear Stearns84(8.54)19

2008.1.30

S&PMBSCitigroupLehman BrothersBear Stearns


Merrill LynchS&PCDOCDOMBSS&P
2,650

2008.3.11

Bear StearnsCarlyle CapitalCarlyle Capital


Bear StearnsCarlyle CapitalBear Stearns3/11
170Bear StearnsJP Morgan Fed

2008.3.13

Bear StearnsFed

2008.3.14

FedJP MorganBear Stearns


FedBen S. Bernanke133Fed

Bear Stearns
FedBear Stearns JP Morgan
Bear Stearnsback to back282JP
MorganBear Stearns
JP Morgan2Bear Stearns3/14Bear Stearns30
20JP MorganBear Stearns45
CDSCDS

2008.3.16

Fed300JP MorganBear StearnsBear Stearns

FedBear Stearns
3/1713.25%5025
3090
(Primary Dealer credit FacilityPDCF)
MBSABSTri-Repo3/17PDCF6
3.25%
FedJP Morgan Bear Stearns

2008.3.24

JP Morgan Bear Stearns210

FedJP MorganFed290Bear Stearns

Bear Stearns300Maiden Lane LLC


3.25%290JP Morgan 10
300300
JP Morgan10Fed

2008.7.7

FedSEC

67

3-3Fannie MaeFreddie Mac

2007.8.22
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
Fannie Mae7030%
1,500Fannie MaeFreddie Mac
Fannie MaeFreddie Mac
Freddie MacPMIMGICRadian25%

Fannie Mae1 21.6


Lehman BrothersFannie MaeFreddie Mac
(RMBS)5.475

William PooleFannie MaeFreddie Mac


110Freddie Mac56Fannie Mae122Fannie Mae
Freddie Mac15%
Henry M. PaulsonGSEFannie Mae
Freddie Mac22.5GSE
Fannie MaeFreddie MacFedFannie Mae
Freddie Mac
FedFannie MaeFreddie Mac
Fannie MaeFreddie Mac
Fannie MaeFreddie Mac
FHA3,0003040

1507,50015

Fannie MaeFreddie MacFHA62.5


39
800010.6
Fannie MaeFreddie Mac
FedFannie MaeFreddie MacFed
Fannie MaeFreddie Mac250200912
50%
Fannie Mae22370

Fannie MaeFreddie Mac


Fannie MaeFreddie Mac
FHFA20109FHFAFannie MaeFreddie Mac

FHFA10%Fannie MaeFreddie Mac10


1000
FHFAFannie MaeFreddie Mac1
79.9%
Fannie MaeFreddie Mac


FedFannie MaeFreddie Mac
2009/12/31Fannie MaeFreddie Mac50

2010Fannie MaeFreddie Mac85002010


10%2500
Fannie Mae702270
Fannie Mae

68

3-4

2008.1.30

S&PMBSCitigroupLehman BrothersBear StearnsMerrill


LynchS&PCDOCDOMBSS&P
2,650

2008.4.3

Lehman Brothers 403

2008.6.9

Lehman Brothers22860

2008.6.16

Lehman Brothers22814Lehman Brothers


MBS31%143

2008.8.20

Lehman Brothers(Korea Development Bank, KDB)(ITIC)


Lehman Brothers

2008.9.11

Lehman Brothers33978Lehman
BrothersNeuberger Berman300

2008.9.13

Lehman Brothers
JC FlowersLehman Brothers
FedLehman BrothersLehman Brothers
Bear Stearns
Lehman BrothersFedFDCFBear StearnsPDCF
Fannie MaeFreddie Mac
Lehman Brothers
Lehman Brothers

2008.9.14

Merrill LynchLehman BrothersBOABOA


Lehman BrothersLehman Brothers

2008.9.15

Lehman BrothersLehman BrothersBarclays


4.4%911
Fed455Lehman Brothers
Barclays
300Lehman Brothers
50

2008.9.21

BarclaysLehman Brothers
Lehman BrothersLehman BrothersFed455

2008.9.23

Lehman Brothers

69

3-5

2008.2.28

AIG2007452CDS111.2AIG
780CDS

2008.5.9

AIG178.12CDS91.1
AIG125AIGAA-

2008.8.7

AIG25419.1%

2008.9.14

AIGFedAIGAIG
AIG100200Kohlberg Kravis Roberts(KKR)
TPGJC Flowers
AIGCDSAIG
AIG

2008.9.15

AIGCDSAIG

AIGAIG200AIG
AIGAIGCDSAIG60%

2008.9.16

FedAIG;
Fed133AIG85023Libor
850
FedAIG850
AIG79.9%

2008.11.10

FedAIG

2009.3.2

FedAIG

70

(1) Countrywide Financial


(2) New Century Financial
(3) 200760.47%
(4) 2007820079.7%
(5) 884%4.6%
(6) 20071016Lloyds TSB
(7) 2007912
(8)

(9) (2008)
(10) 24

(11) 2007159200831261.583174.81
2.845.91324JP Morgan10
10
(12) 1932Fed

(13) (2008)
(14) (2008)
(15) 1998Fed Alan Greenspan14(LTCM)Fannie MaeFreddie Mac

Fannie MaeFreddie Mac


(16) Fed133Fannie MaeFreddie Mac
(17) (2009)
(18) Fannie MaeFreddie Mac
(19) Timothy F. GeithnerNo naked bank holding company
(David Wessel (2009))
(20) Fed
Fed913-1448

(21) Henry M. Paulaon I cant do it again. (David


Wessel, 2009)
(22) 3(900)
(23)

(24) David Wessel (2009)


(25) AIGFP1987CDSCDO
CDOCDS207.37200532.6
AIGAIGAIG

71

(26) 79.9%80%()
79.9%

(2008)56
(2008)56
(2009)
David Wessel (2009), In Fed We TrustBernankes War on the Great Panic, published by Crown Business.

(9812)

72

73

20084

(Federal Reserve

Fed

System, Fed)

FedBen S. Bernanke2009

Fed

72122

Fed

Fed

Fed

Fed

Fed

Fed
Fed

817

(4-14-2)

20078-12

302

FedFed

Fed

Ben S. Bernanke

Fed

Fed

20078Fed

74

4-1Fed
Fed

20078-12

5.25%4.25%16.25%
4.75%1.5

(TAF)(2007.12.12)
(2007.12.12)

20083

20081-4

(TSLF) (2008.3.11)
(2008.7.30TSLF)
4.25%
(2008.3.16)
2%2.25
(PDCF)
(2008.3.16)

4.75%2.25%
2.50

20089-10

2%1%
2.25%1.25%1

(AMLF)( 2008.9.19)
(CPFF)
(2008.10.7)
(MMIFF)
(2008.10.21)

20081220093

1%0%-0.25%
(TALF)
(2008.11.25)
1.25%
0.5% (2008.12.16)

(GSE)
(MBS)(2008.11.25)
Fed
(2009.3.18)

Fed

Fed

Fed9

180.5

10120.25(

() (TAF)

)Fed

Fed20071212

(TAF)

28Fed

(primary credit)

()

20071212

TAF

Fed(Term Auction

Fed

Facility, TAF)Fed

TAF4-2

75

4-2TAF

()
(stop-out rate)
2884()
(haircut)

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2875%
2

(1)
(2)(3)

3Fed

Fed

(2008)

Fed

TAF:
1.

4. 2Fed
2

(30

() Fed

OIS)

Fed20071212

2.

(discriminatory auction

TSLF
3. Fed

PDCF(20083)

10%

20083(Bear

TAF

Stearns)

Fed

FedJP Morgan290

76

Fed

(TSLF)

(PDCF)

TSLF4-1

() (TSLF)

TSLF

2008311Fed2,000

SOMA(System Open Market

(Term Securities Lending

Account)

Facility, TSLF)

(mortgage-backed securities, MBS)

Fed(FRBNY)

TSLF4-3

4-1TSLF
$$$
R P

FRBNY

4-3TSLF

SOMA
schedule 1schedule 2
schedule 1
schedule 2schedule 1AAA/Aaa
(Private-Label Residential MBS)(Commercial
MBS)(Agency CMOs)AAA/AaaABS
FRBNY

schedule 2schedule
1schedule 2

1. (stop-out rate)
2. 2FRBNY

3.

FRBNY28

1000FRBNY20%

TSLFRP
RPFRBNY
schedule 1schedule 20.1%0.25%

1. FRBNY
(1)RPFRBNYSOMA

(2)FRBNY

2.

Fed

77

FedMBS

(Primary Dealer Credit Facility, PDCF)

TSLF

PDCFFed
Fed

() (PDCF)

PDCF

2008316Fed

4-4

4-4PDCF

FRBNY1203031
(frequency- based fee)

FRBNYFRBNYFRBNY

Fed

AMLFCPFFMMIFF

(20089-10)

(1) 2008919

FedTSLFPDCF

(AMLF)(2) 2008107

2008915

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//

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2008

2009

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10

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2008

2009

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200910TALF414

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2009.10.28

1.

2007.12.12

5,831(2008.12.17)

330

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2008.3.11
2008.3.16

681(2008.3.27)
1,466(2008.10.1)

0
0

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CPFF
MMIFF

2008.9.19
2008.10.27
2008.11.24

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3,505(2009.1.21)
0

0
190
0

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MBS

2009.3.19
2009.1.7
2009.3.25

2009.10.28
414
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4-14

()
(2009.11.3)

/
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1,339
(2,047708)

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754
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()
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ABS2009323

2009113

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() PPIP

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Libor/OIS

Libor/OIS

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Libor/

OIS100bps

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20089

4-6)

Lehman200810

Libor/OIS

FCI(4-9)

Fed

(credit default swap, CDS)

20072

CDS

20084

Fed

(4-10)

CDSFed

90

4-51-Month LIBOR-OIS

4-810CDS

Bloomberg
Bloomberg

4-63-Month LIBOR-OIS

4-9FCI

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Bloomberg

4-75CDS

4-1011

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Bloomberg

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Fed
Fed

Fed 12

FedBen S.

Fed

Bernanke20097

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Fed

() ( r e v e r s e

Ben S. Bernanke

repo)

Fed

()

Fed

Fed

2008

Ben S. Bernanke

(Supplementary Facility

(contract automatically)200910

Program)Fed

Fed

3,00020081.5

FedFed20091117

2010114

() Fed

9028

Ben S. Bernanke Fed

Fed
() Fed

Fed

FedMBS

92

4-1


GDP(%)

(1)
3,08539%(2)
2
2,88337%(3)
1,90424%

2009

2009. 2

2009. 3

57

(0.04) 5

2008. 9

10

(0.1)

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1 (3)

2008.11

200

(1.4)

7,872

(5.5)
5.54

2.2

557

2009.1

100

(0.7)

(1)
10(2)
2
(3)

2008.11

320

(1.3)

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2 (3)
(4)

2009. 1

500

(2.1)

2.0

(0.3)

(1.2)

2008.8

2008.10

3.4

5.9
5.3

2008.12

4.0

(0.8)

2009.4

15.4

(3.0)

2008.11

2008.11

14

2009. 1

50

13.3

10.1

(1.5)

(5.6)

2009. 3

28.9

(3.0)

2008.11

50.6

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10.6
5 540
(GST)

(8.0)

2009.1

10.1
205

(IMF)(World Bank)

93

4-2Fed
2007812
TAF

2007.8.16
1.
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+1%)
2.30(
)
2008.3.16
1.
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2. 90

(Term Auction Facility, TAF)

2007.12.12

2007.12.12
(2010.2.1)

Fed
Fed

1. 2007.12.12FedECB

2.
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n /200

1,500

2009.7.131,250

n 14/

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)
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94

4-2Fed()
20083TSLFPDCF

(Term Securities Lending Facility,


TSLF)

(Primary Dealer Credit Facility,


PDCF)

2008.3.11
2010.2.1

2008.3.16
2010.2.1

TSLF
Fed

20083

Fed

PDCF


(Securities Lending Program, SLP)
28
2,000TSLF
Fed(SOMA

)
n 2
2008.9.15

TOPFRBNY
500

RP TSLF
AAA/AaaMBS
MBSABS
AAA/
AaaABS

28

TSLF

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PDCF

CDS

2009.10.30
Fed2009.6.25
20096

(TSLF Options Program, TOP)


2008.7.30
2009.10.30

()
TSLFFOMC
TSLF

95

4-2Fed()
20089-10AMLFCPFF
MMIFF

(Asset-Backed Commercial Paper


Money Market Mutual Fund
Liquidity Facility, AMLF)
2008.9.19
2008.9.19
2010.2.1

(Commercial Paper Funding


Facility, CPFF)

2008.10.07
2008.10.27
2010.2.1

(Money Market Investor Funding


Facility, MMIFF)

2008.10.21
2008.11.24
2009.10.30

F e d FedCP F e d
CP
CP
ABCP

CP

FRBB
ABCP

ABCP

SPVFRBNY 5PSPV
SPV
Fed 6,000

CP

2008.9.18 3 (
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CD
F1)ABCP
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a2-7

96

4-2Fed()
20081120093TALFGSE
MBS

(Term Asset-Backed Securities Loan


Facility, TALF)

GSE
MBS

2008.11.25
2009.3.3
2009.12.31

2008.11.25
2009.1.6
20101

2009.3.18
-2009.10.31

Fed 1. MBS
ABS

2.

n 2000
2009.2.10
1
n SPVSPV

ABS
n
(TARP)1,000
TALF()
n TARPSPV
1,000

n 2009 2

//
ABSCMBS
RMBS

A
B

TALF1,000

"AAA"
SBA
ABSABS

1~2
1. 1LIBOR B
0.5%0.75%1%
Fed
2. 3LIBOR
0.5%1%

(GSE)MBS
Fed
1. 1,000GSE
(Fannie MaeFreddie Mac
Federal Home Loan Banks)
(A)
2. 5,000Fannie Mae
Freddie MacGinnie Mae
MBS(
B)(2009.3.18AB
1,0007,500)
Fed4

---

Fed
3,000
2-10

(TIPS)

MBS

---

97

4-3
200810TARPTLGP

(Troubled Asset Relief Program, TARP)

(Temporary Liquidity Guarantee Program, TLGP )

2008.10.3

2008.10.14


2008TARP
(Capital Purchase Program,
CPP)

1. TA R P 7 , 0 0 0 1. FDIC
TARP

2.
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(1) FDIC2009.6.30

)
CPP
(2) ()
2,500 3.

(1) 2008.9.30
1%250
2009.6.30125%
3%

(2)
4.
(1) 2012.6.30
2009.6.30
3
(2) 2009.12.31
5. 30

(1)
75 bps()
(2) 25
10 bps

6. FDIC2009.3.17TLGP
2009.6.304 2009.10.312009.4.1
1

98

4-3()
20092FSPHASP

(Financial Stability Plan, FSP)

2009.2.10
TARP
1.
(1)
1,000

(2) (Capital Assistance Program, CAP)

(3)
2.
(1)
5,0001
(2)
(3)
3.
FedTALFTALF2,0001

4.
(1)

(2)
(3) (0.01)
(4) 50

(5)
5.
(1) Fed6,000MBS
(2) TARP500

(3)
(4)
(5)
6.
(1) AAA(SBA)
(2) SBA(75%90%)
(3)

99

4-3()

(Homeowner Affordability and Stability Plan, HASP)

2009.2.18

79

(the Home Affordable Refinance)


Fannie MaeFreddie MacGSEs

(the Home Affordable Modification)


()
1. 2009.1.1
729,750
2.
3.

4. 2012.12.31
()
1. 2009.12.31

2.
31%5

3.

4.
(2%)40
()
1. 1,000
31,000
2. 51,000

3. 1,500
500
4. 100

Fannie MaeFreddie Mac


() Fannie MaeFreddie Mac
2008.7.3(Housing and Economic Recovery Act, HERA)
() Fannie MaeFreddie Mac
5009,000

100

(1) 4-1

(2) Fed200831690
(3) (overnight index swap, OIS)
(4) ()TSLFFed2008730TSLF(TSLF Options
Program)
(5) 2009.11.4 Fed2,0001,750
(6) (2008)
(7) (2009)
(8) FedBOJ2001-2006

(9) (2009)
(10) Bloomberg310
(11) FedSenior Loan Officer Opinion Survey on Bank Lending Practices

(12) Fed20081062009110.25%

(2009)(
C09801395)8
(2008)(
C09701278)10
(2008)(C09702412)11

(9811)

101

20078

20073

2007

42%1

55%2

2008

GDP145%

63%

20089

70%35%

(European Central

Bank, ECB)

(Bank of

2007

England, BoE)

ECB

20%(Northern

Rock)

102

20079

BoE

200810

20082

(Recapitalization Scheme)(Credit

1970

Guarantee Scheme, CGS)

20089

(RBS)

(HBOS)2008

24174

2009119

(Asset Purchase

2007452,970

Facility, APF)(Asset Protection

2008352,550

Scheme, APS)

26.45%14.00%

2007820088

BoE200712

BoE

(Offical Bank Rate)

(5-1)

5.75%2009350.50%

() 2007820088

5.25

BoE

(Special Liquidity Scheme, SLS)3

20078

BoE200892008

20079

123

BoE

BoEFed

103

BoE
(ABS)

BoE

() 20089200812
BoE

Fed

() 20091BoE

(Assets Purchase Facility, APF)

20089

2008

108

20091BoE

(APF)

BoE

BoE

BoE

2%(5-1) 5

5-1

BoE

2%

BoE, Inflation Report, May 2009, chart A.

BoEMervyn KingBoE

2%2008

2%6

6%

BoE
0.5%2,000

BoE
5-1

104

5-1BoE

2007/8

2008/8
2008/9

2008/12
2009/1

l l 2007.12.6 l 2007.9.143

0.25

5.50%

l 2008.2.7
0.25 l 2008.4.21BoE
5.25%
(Special
Liquidity Scheme,
l 2008.4.10
0.25
SLS)
5.00%
l l 2008.10.8 2008 10BoE l 2008.9.18BoE

0.50
Fed400
4.50%

l
l 3
l 2008.11.6

1.50

l BoEFed

3.00%

l
2009.1.30

l l 2008.12.4

1.00 l

8
2.00%

l l 2009.1.5

0.50

1.50%
l l 2009.2.5

0.50

1.00%
l 2009.3.5
0.50
0.50%

l 2009.2.13BoE

(5-2)

() 200810

5001013

1. (Recapitalization Scheme) 7

3370

2008108

(5-2)

5-2

200810

RBS

Lloyds TSB

HBOS

200

55

115

370

RBS2009120092
50RBS 130B

105

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5-3

CGS)

20081013

2008/10

RBSHBOSLlodys
TSB

(CGS)
(50,000)
()

200811

1215CGS
2012420144
() 20091

2009/1

1. BoE(Asset Purchase
Facility, APF)

BoE

BoE

(APF)BoE
APF
2. (Asset Protection Scheme,
APS)

BoE

() BoEBoE

(APS)

BoE2007

1265.75%

90%

2009350.50%1696

10%

BoE5.25

3. (CGS)

CGS200949200912
31CGSAAA
(ABS)

5-3

() 3

1. BoE200793

Aa3/
AA-G10

106

AAA-

(CGS)

(ABS)

500

BoE

2. BoE200810

()

BoE

BoE

() BoEFed

200810

RBSLloyds TSB

8BIS

HBOS

2008
9

1. 3
2007

BoE

2.

3. 2008

2008918Fed400

10

() BoE

4.

5.

20091

BoEBoE

(12%5

BoE

BoE

() BoE

2009
BoE

81,375

2,000 11

1,35098.18%16

107

1.14%9

() BoE

0.68%2009

BoE

20092()1,771

(5-4)

200982,113

5-42009
1.
2.

(BoE)

(BOJ)

(Fed)

2009.3.5 / 2009.5.7

2009.3.18

2009.3.18

3750 6
51,250 1.41.8 3,0002009.5.6
2009.8.311,350 2009.10.31 9 2 0

3./

4.

71

2009.5.65~25 20099665 2009.4.30


3,00020094

4.4

201037~15

2009

700

1.3

() BOJ

5.

BoE BOJ

BOJ

BoEBOJFed

()
200935

5-210

10

2009318Fed 50bp6
100bp10
(5-2)

108

12
200820071.5

2.1

(ECB)

3,500

200810154.25%

1,800

3.75%62009513

2009

1.00%13

ECB2009102

1.8

ECB

20082,321

5-5

5-5
:


2007.12.31
1.


2008.12.31

201,546

217,722

2.

41,911

233,826

3.

148,998

4.

2009.10.2

2007.12.31

2009.10.2

676,677

762,921

770,946

52,323 2.

379,181

492,310

368,906

179,424

209,541 2.1

267,335

291,710

218,307

637,176

860,611

734,324 2.2

110,411

200,487

150,597

4.1

368,607

239,565

66,767 3.

126

328

158

4.2

268,476

616,922

667,440 4.

48,663

97,051

155,615

5.

23,898

56,998

24,675 5.

60,642

303,884

85,180

6.

96,045

271,233

320,756 6. IMF

5,278

5,446

50,906

7.

37,063

37,469

124,377

167,381

147,644

324,609

219,419

216,300

247,382

265,212

1,511,244

2,076,702

1,511,244

2,076,702

1,844,567

8.

ECB

238,169 1.

2008.12.31

36,204 7.
228,574 8.

1,844,567

109

() (LTROs)

(EONIA)2008

ECB

10804

20081

(MRO)

2007730%60%

30

20089

EONIA

200827ECB

(5-3)

3(600500)

()

20071212

(LTROs)

ECB(SNB)Fed200

2008328

40ECBFed

36500

200810132007

6200843

12ECBFed2008

2008710250

ECB2128

150ECB200712
20081015ECB

12 2008311

41

20089

()23

162008

10%

(MROs)

ECB28841

28%(LTROs)

200810

72%

150028

200958ECB69
121

5-3EONIAMRO

()
20084
ECB200810815
ECB
ECB2008
109

Bloomberg

110

3.

40084200
ECB20081015
72884

20081114ECB

ECB

()

(European Economic Area, EEA)


()

1.

2008108ECB

ECB

()

SNB784

200100

20060

50

0.60.1

50

ECB

2. ECB

20081011ECB

14

(covered bond)

ECB

50100

120

1.1

()

200782,000

ECB

2008

ECB 200957

600

ECB200810

2008

22

1.

76600

A-BBB-

3108%ECB

A-

2.
ECB
()

1.

111

2. (FitchMoodys

S&PDBRS)AA

BBB-/Baa3

3. 5
1

2009720106

4. UCITS(Undertakings for Collective

200993ECB

Investment in Transferable Securities)22

96ECBJean-Claude

4UCITS

Trichet

5.

112

5-1BoE

(Special Liquidity Scheme)

1. 2008.4.21
1. 2007.9.19
2008.9.26
2. 2 0 0 8 1 0 2. 2007.12.12
2009.1.30

3. 2008.10.3

1.

2.
MBS
BoE

BoE3

1.
AAA(2007
)BoE
500

2. 1
13

3. B o E

4. 3LIBOR
RP
5. 2009.1.30
BoE1,850

3 R P 1. 2008.9.18BoEFed

400
1. Aa3/AA-G10 2. 2009.2.3BoE

Fed2009

10400
2. A A A
(800
FHLMFNMCFederal
)
Home Loan Banking system 3. 2008.10.13BoE

728
3. AAA-U.K
84
U.S.EEA
7

(CMBS) ABSABS
BoE
RMBS

4. A A A - U K
U.S.EEA
(covered bond)

5. A - 1 + U K
EEAABCP
6.

2008.9.29BoEFed

113

5-1BoE()

(discount window facility)

(operational standing
facilities)

1. 2 0 0 8 . 1 0 . 1 6 1. 2008.10.1610.20
2. 2009.1.19364

3.
2. 2009.9.25

1. 2008.10.16
2. 2008.10.20
3.

1. () BoE
BoE
(BoE)
BoE

2.

1. 1. 1.

BoE(BoE)
25 bpBoE
3
30

2. 2009.1.19364 2.

300.25
25 bp
3.
BoE
3
l A

l B

2.

l C

3. 500
l D(Own name)

BoE
l BoE
40%

(eligible
liabilities, ELs)
(bp)
Els %
0%~10%
10%~20%
20%~30%
>30%

A
50
75
100

B
C
75
125
125
200
175
275
BoE

D
200
300
400

114

5-1BoE()
(Asset Purchase Facility, APF)

1. 2009.1.19
2. 2009.2.62009.2.13
3. 2009.3.5
4.

BoE
(Central bank reserves)

1. BoE(Credit Guarantee Scheme)


(ABS)(5~25)
2. 5002009.3.5750(BoEMonetary Policy
Committee, MPC1,500500
)2009.3.112009.8.6
1,7502009.11.52,000
3. BoE(Central bank
reserves)100%
4.
l BoE()
l
5. CP
CP(OIS)

A1/P1/F1

A2/P2/F2

A3/P3/F3

OIS*

75bp

125bp

300bp

* OIS(overnight index swap)


6. BoEAPF

115

5-2
(Recaptalisation Scheme)

2008.10.8

1. AbbeyBarclaysHBOSHSBC Bank PlcLloyds TSBNationwide Building Society


Royal Bank of Scotland (RBS)Standard Chartered8
2. 500
3. 3

2007
2008
2009

Bradford &
Bingley(B&B)*

RBS

Lloyds TSB

HBOS

200
130

55

115

230**
410
30

* 20089B&B410200
SantanderAbbey
** BoE20074230

4. RBSLloyds TSBHBOS(1)3
2007(2)(3)
2008
(4)
(5)
12%5

116

5-2()

(Credit Guarantee Scheme, CGS)


1. 2008.10.13
2. 2008.12.15
3. 2009.1.19

200810CGS
20091

1. ()(UK Building
Societies)8: AbbeyBarclaysHBOSHSBC Bank plcLloyds
TSBNationwide Building SocietyRoyal Bank of ScotlandStandard Chartered
2. (certificates of deposit)(commercial papers)
(senior unsecured bonds and notes)

3. 2009.4.13()
4.
5. 2012.4.13
6. 50 bp + 5(CDS) Spread(Spread
12Spread)CDS Spread
CDS Spread
7.
8. 2008.12.15CGS2012420144
9. 2009.1.19CGS2009.4.92009.12.31CGS
AAA (ABS)

5-2()

(Asset Protection Scheme, APS)


(Asset Purchase Facility, APF)
1. 2009.1.19
(5-1)
2. 2009.2.26

1. (ring-fenced)(
corporate and leveraged loans
RMBSCMBS
CLOCDO)

(first loss)
90%
10%
2. 250

3.
4. 5

117

(1) Bank of England (2008), Structure of the financial system, Financial Stability Report, April
(2) (Bank of England, BoE)
(3)
(4) (ABS)
BoEBoE(Asset Purchase Facility)
(Asset Protection Scheme)
(5) (2009a)
(6) Mervey King (2009)Opening Remarks at Inflation Report Press Conference, November 11
(7) 2009113RBS LloydsAPS
(1) LloydsAPSLloyds210135
59(APS2534
)(contingent convertibles)75
Lloyds 43%
(2) RBSAPS1.RBS(first loss) 420600
2.
(3) LloydsAPSRBS3,000RBS
2,820600
(8) (International Financial Services, London)(International Private Wealth Management, Dec.
2005)(onshore investment)
(9) BIS, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity
(10) 20081013FedBoE2009625Fed
(11) 500200935750(BoEMonetary Policy Committee, MPC
1,500500)20093112009
861,75020091152,000
(12) (2009c)
(13) 20081015ECB720081015ECB7

(14) 200914ECB200bp57150bp

118

(2009)
(2009a)167

(2009b)57
(2009c)165

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
Global Financial Forum New York, April 27.

(9811)

BCBSIMF 119

BCBSIMF

(International Monetary

Fund, IMF)20092

IMF

(Basel Committee on

Banking Supervision, BCBS)1

IMF

2008

20097

(Basel II)

BCBS20097

Basel II

BCBS
Basel II

20046BCBSBasel II

3 Basel IIBCBS

2007

200811G20

Basel II

20091

Basel II(Proposed

enhancements to the Basel II framework)

Basel II

Basel II(Revisions to the Basel II

market risk Framework)

2 0 0 8 4 ( F i n a n c i a l

(Guidelines for computing capital for

Stability Forum, FSF)

incremental risk in the trading book)

2BCBS200811

20097

120

Basel IIBCBS

(3)VaR

(1)

(2)(3)

Basel IIBasel II

BCBS

(1)

2010

(specific risk)

99.9%/1(incremental risk)5

()

(2)

1.

(migration risk)(3)

(securitisation)

6(4)

(resecuritisation)

(1)

4%8%

(2)(

()

ABCP)

(firm-wide)

(3)

(1)

(4)

(2)(3)

(credit conversion factor)20%

(4)

50%(5)

(5)

2.

99%10

(VaR)

(1)VaR

) 7

(2)VaR99%/10

BCBSIMF 121

(Financial Stability Board, FSB)1020094

(1)

()

(procyclicality)(2)

(3)

FSB

(1)

BCBS20097

(2)

Basel II

(sponsorship) (3)(IAA)

ABCP(4)(5)

6-16-3

(6)

BCBS

(pipeline)(warehousing)9

6-46-5

FSB

BCBS

BCBS

FSB

10-110-2

BCBS

Basel II

BCBS2008

BCBS11

200996 12

200820098BCBS

BCBS2009

n 20089

20102010

n 20094

n 20095

n 20096

BCBS

BCBS

122

n Basel II

BCBS

n (funding liquidity)

(longer-term

structural liquidity ratio)

(stressed liquidity

coverage ratio)

n FSB

(countercyclical)

BCBS

BCBS

IMF

IMF

(6)

(1)

(GSEs)

()

(2)(Lehman

Brothers)

IMF

(3)

()(

SIVsmonoline

13

insurance companies)

()

(4)

1.

()

(5)

CDOsSIVs

BCBSIMF 123

1.
()

2. (

2. (two-tiered)

3.

4.

(haircuts)

()

1.

3.

(1)

()

(2)

4.

Basel II

(rules-based)

IMF
5.

14

(3)

()

124

3.

(4)

(accelerator)

(1)

(tail risks)

(2)

( 5 ) ( s u p p l e m e n t a r y

leverage ratio)

(3)

()

(6)

(fair value accounting, FVA)

(IMF)

)(

(7)

1.

(1)

2.

(2) (nonbank

financial institutions, NBFIs)

(3)

BCBSIMF 125

IMF

(1)

NBFIs

(2)(3)

(4)

2.

(financial soundness

indicators, FSIs)

(credit default swap, CDS)

IMF

OTC

FSIs(1)

6.

(2)FSI

NBFIs(3)(

IMF

3. NBFIs

()

(1)

(2)

4.

1.

2.

(remunerating reserves)

5.

(OTC)

3.

()

(BIS) 15OTC

126

4. (quasi-fiscal)

(1)

)(

(2)

(3)

5.

()

(central clearing counterparty, CCCP)

6.

()

(1)

(rational exuberance)

(2)

(3)

7.

()

1.

(1)

()

(2)

GDP

BCBSIMF 127

()

(3)

3.

(1)

2.

(1)

(2)

(2) ()

(3)

(Taylor rule)(IMF,

2008)

(3)

(4)

()
1.

128

2.

2.

(1)

(2)

3.

(fiscal buffers)

IMF

IMF(global architecture)

4.

(IMF

)(1)(surveillance)

5.

(2)(multilateral

coordination)(3)

(financial regulation)

(4)(financing)

()

(1)

1 . ( g l o b a l

(2)

imbalances)

()

(3)

(4)

BCBSIMF 129

(International Monetary

and Financial Committee, IMFC)

IMF

(3)IMFC

IMFIMF

()

(4)

1. IMF-FSF

IMFFSF

()

2.

IMF

3. IMF
IMF

(Supervisory College)

(World Economic Outlook, WEO)

() IMF

(bilateral surveillance reports,

IMF

Article IVs)

(macro-financial unit)

IMF

IMF

()

(Financial Sector Assessment Program, FSAP)

()IMF

16

FSAP

() IMF

IMF

IMF

(1)(quota shares)

(2)IMF

130

(
)

n
n (

()

1.

n (recapitalization)

IMF

()

2.

IMF

()

(1)

(2)

(3)

(6-1)

6-1

(Libor)(OIS)

International Monetary Fund (2009e)

BCBSIMF 131

4.

IMF

(SPV)

3.

()

IMF

IMF

(1)

(2)

(3)

IMF

IMF

IMF

132

6-117

2007

(BCBS)

2000

(Sound practices for managing liquidity in banking

organizations)20089

(Principles for sound

liquidity risk management and supervision)

BCBSIMF 133

13

14

10

15

(prudential report)

16

17

11

(contingency funding plan, CFP)

CFP

12

134

6-218

Basel II

(BCBS)20095

(Principles for sound stress testing

practices and supervision)

8 (

()

10

BCBSIMF 135

16

17

11 ( r i s k m i t i g a t i n g

techniques)

12

18

()

(firm-wide)

13

19 Basel II

(pipeline)(warehousing)

14

(off-balance sheet

vehicles)
15

20

21

(wrong-way risk)

136

6-3 19

(FSF)20084 20

(BCBS)

(International Association

of Deposit Insurers, IADI)20087

IADI

20096

(Core principles for effective deposit

insurance systems)

(1)(2)

(3)

(4)

18

()

BCBSIMF 137

12

( a d v e r s e

selection)

13

10

14

15

11

16

(1)

)(2)

138

(3)

(4)

18

17

BCBSIMF 139

6-4 21

()

(FSB)

20094(FSF

Principles for Sound Compensation Practices)22

()

()

(CEO)

()

()

()

()

()

140

()

(stakeholders)

FSB

BCBSIMF 141

6-5 23

(FSB)20094

(Principles for Cross-border Cooperation

on Crisis Management)

(1)(2)

(3)

(EU

)(4)

(5)

(experience library)

(core supervisory college)

FSB

(Core Supervisory College)24

142

FSB

BCBS

IOSCO

CPSSIAIS

n (
)
n

()

BCBSIMF 143

6-6IMF

IMF

(WEO)
(Article
IVs)
(FSAP)

(currency
misalignments)

IMF
(IMFC)

IMFC
IMF
IMF

IMF
(code of I M F
conduct)

(high access

precautionary credit line)


( h i g h

access precautionary stand


by arrangements)
IMF

144

(1) BCBS(Basel II)

(2) Financial Stability Forum (2008), Report of the Financial Stability on Enhancing Market and Institutional Resilience, April.
(3) Basel Committee on Banking Supervision (2008b).
(4) AABCP(asset-backed commercial paper programmes)(liquidity facilities)
A
(5) (incremental risk)(value at risk ,VaR)

(6)

(multiplication factor)34

6
(7) (implicit support)
(8)
(9) (pipeline)
(price risk)(fallout risk)(warehousing)

(10) (FSB)200811G2020094
(Financial Stability Forum)
(11) The Group of Central Bank Governors and Heads of Supervision
(12) Basel Committee on Banking Supervision (2009h).
(13) 6-6
(14) GDPGDP
(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)
(23) Financial Stability Forum (2009), FSF principles for cross-border cooperation on crisis management, April 2

(24) (Core Supervisory Colleges)200811G20

BCBSIMF 145

Basel Committee on Banking Supervision (2008a), Principles for sound liquidity risk management and supervision, September.
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)
(mortgage-backed securities, MBS)
(asset-backed securities, ABS)

(20012006)

Credit Insights 2007 (credit

148

default swap, CDS)

43%31%

()

17%

()

()

1.

2.

()

3.

asset-backed commercial paper conduit

structured investment vehicles,

(originate-todistribute)

SIVs)

(shadow

banking)(government

sponsored enterprises, GSEs)

() (GSEs)

GSEs

(Basel II)

()

GSEs

149

()

7
()

5 8

SEC)(

CFTC)(

()

)(7-1)

2007

(Federal Housing Finance

Board, FHFB)(Office of

Federal Housing Enterprise Oversight, OFHEO)

(Department of Housing and Urban

Development, HUD)3

(GSEsFannie MaeFreddie Mac12

Federal Home Loan Banks,

FHLBs)
(Fed)Ben S.

Bernanke 2009315CBS

() Basel II

Basel II

(sandcastle on the beach) 9

Charles Evans10

Basel II

150

7-1

(
)

(large, complex financial


institutions, LCFIs)

11
()

()

(Gramm-

Leach-Bliley ActG-L-B Act)Fed

(Umbrella Supervision)

Fed

12

1.

2.

2009617

3.
4.

5.

()

Fed

151

(3)FedTier 1 FHC

(4)Tier 1 FHC

1. (Financial
Services Oversight Council, FSOC)

(5)Tier 1 FHC

(Tier 1 FHC)

Fed

Fed

(1)
Fed(National Bank

Supervisor, NBS)(Consumer

(6)Tier 1 FHC

Financial Protection Agency, CFPA)

(SEC)(CFTC)

(FDIC)(Federal

Housing Finance Agency, FHFA)7

(7)Fed

(2)

3. BHC

(1) (

2.

(1)Tier 1 FHC

)
BHCTier 1 FHC
BHC

(2)

(BHC)

(2)FedBHC

Tier 1 FHC

152

(3)

7. (money market

(4)(FASBIASB

mutual funds, MMFs)


13

SEC)

SECMMFs

(5)

(1)

4.
(1)(NBS)

(2)

(3)

(4)

(OCC)(OTS)

(5)

Fed

(6)

FDIC

(7)

(2)

8.

(Office

(3)

of National Insurance, ONI)

Fed

(1)

(2)

5. SEC
Fed

(3)
(4)

6. (

(5)

(Investment Advisers Act)SEC

(6)

153

9. (GSEs)

2008(Housing and
Economic Recovery Act)OFHEOFHFB

(5)

HUDGSEs

2. (OTC)

(FHFA)Fannie

(CDS)

MaeFreddie Mac

GSEs

2009GSEs

(1)

OTC(2)

(central counterparties, CCPs)

(HUD)

(3)

GSEs

(trade repository)

2011

(CFTC)SEC

(4)

()

(5)

1.

3. CFTCSEC

4.
FedFed

(1)
14

(5%

(2)

(3)SEC
(ABS)

(FSOC)

Fed
5.

(4)SEC

FedFed

154

()

(2)(plain

1. (Consumer Financial
Protection Agency, CFPA)

15

vanilla)

(1)CFPA

(2)CFPA

(3)

(3)CFPA

(4)CFPA

(FSOC)

(4)
(Community Reinvestment Act)

3.

(5)CFPA

SEC

(Financial Consumer

(6)CFPA

Coordinating CouncilSECFTC

CFPA)

(7)CFPA

(8)CFPA

( 9 ) ( F e d e r a l Tr a d e

SEC
(Investor Advisory Committee)

()

Commission, FTC)

1.FDIC16

(Tier 1 FHC)

2.
(1)

Fed

155

FDICSEC2/3(

(3)

G20

FDICSEC

(supervisory

2/3)

colleges)FSB

SEC

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2010

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4.

20103

5.

20103

6.

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2012

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162

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163

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SEC

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

(1) 20(G20)200992425
(2) Luci Ellis (2008)
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(Alt-A)2008540%41(ARMs)
Cagan (2007)2006()18%
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300850700(Prime
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(7) (Size)(Contagion)(Concentration)
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Institutions Examination Council, FFIEC)
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(9) http://www.cbsnews.com/stories/2009/03/12/60minutes/main4862191
(10) Wall Street Journal (2009): Chicago Fed Chief Cites Weakness in Regulatory System, 3 Jan.
(11)

(12) Viral V. Acharya Matthew Richardson10 (Acharya, V. V.


& Richardson, M. (2009))7-2
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FedPaul Volcker
Bloomberg 200984
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10%5%
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115%
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Protection Oversight Board)FedFDICNCUA(FTC)(NBS)
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165

5
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100
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20091211
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Street Reform and Consumer Protection Act)
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10%
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7
(24) Johnston N. and Dodge C. (2009)
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166

(2009)174
(2009)
(2009)
(2009)
(2009)
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.

9812)

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168

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2009)

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1328

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169

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David Walker

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(European System of Financial

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171

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2009

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176

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242

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8-1The Turner Review24

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181

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(24)

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(2728)

182

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183

8-32009-26

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1(5)

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2.
3.

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2.
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11(1)

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238(1)
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184

(1) HM Government (2009)


(2)
(3) (Office for National Statistics)20096640.9
10%
(4) HM Treasury (2009b)
(5) The Turner ReviewAdair TurnerAlistair Darling

(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

(15) Financial Services Agent (2009)


(16) Bloomberg20091,776GDP2.69%
12.6%G20(9.9%)
(17) HM Treasury (2009d)
(18) 201336,110
(19) Darling, A. (2009)
(20) 70Bretton WoodsJames Tobin1971
(0.1%)Tobin

(21) HM Treasury (2009c)


(22) 20098
2011
(23) 52
(24) HM Treasury (2009), Reforming Financial Markets, July
(25) HM Treasury (2009), Reforming Financial Markets, July
(26) HM Treasury (2009), Banking Act 2009, February 12

(27)
(28) ()(
)

185

(2009)
(2009)
(2009)171
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

(over the counter, OTC)

()

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188

9-1
/

)
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OTC605

OTC

2006663%

437

OTC

72%

2009

4936

625

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203

196OTC

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96.5%

2006620

OTC

2008657CDS

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20096

(Bank For

36

International Settlements, BIS)20096

189

9-1OTC

20066

20076

20086

20096

370,178

516,407

683,814

604,622

38,127
19,407
9,696
9,024

48,645
24,530
12,312
11,804

62,983
31,966
16,307
14,710

48,775
23,107
15,072
10,596

262,526
18,117
207,588
36,821

347,312
22,809
272,216
52,288

458,304
39,370
356,772
62,162

437,198
46,798
341,886
48,513

6,782
1,430
5,351

8,590
2,470
6,119

10,177
2,657
7,521

6,619
1,709
4,910

6,394
456
5,938
2,188
3,750

7,567
426
7,141
3,447
3,694

13,229
649
12,580
7,561
5,019

3,729
425
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

1995(Barings

Bank)1998LTCM(Long-Term

Capital Management)2008

(Societe Generale)

190

OTC

(CDS)(collateralized

Bear StearnsFannie MaeFreddie

debt obligation, CDO)

MacMerrill LynchLehman BrothersAmerican

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) (9-2)

CDS

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191

20077

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200811Bear

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CitigroupMorgan StanleyGoldman Sachs7

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20089

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193

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AIGSuper Senior Credit Default Swap

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194

()

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195

()

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AIGLehman BrothersUBSCitigroup

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196

(1)

(2009)
(2009)(IMF)9
(2008)
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.

(9812)

197

2007

()

(procyclicality)

2
()
(GAAP)

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(IFRS)

IFRSGAAP

GAAP (FAS 157)

198

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(Level

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prices)(Level 2)

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IFRSGAAP

IFRS7

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assumptions)

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157

(10-1)

IFRSGAAP

() 3

Barth (1994 and 2004)

199

10-12007

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Basel II

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GAAP

()

OBSEs

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()
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200

() (Consensus pricing
services)

()

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accounting)

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() (Internal decision rules)

() (Smoothing
techniques and circuit breakers)

() (Reclassifications)

201

2006(10-1)

PDt rt N
LGDt

Standard & Poors 500

2006

SP

()

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(10-2)

10-2)

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2006(10-1)
10-K

()

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T()

Nickell et al.(2000)
(
10-2)BIS

t t E(CFt)
() t

(Fifth Quantitative Impact Study QIS-5,


2006)
20.3%46.2%

202

10-1
20061231
(%)

21.82

27.85

15.71

14.96

17.72

21.82

27.85

14.98

5.09

16.59

0.73

9.87

1.13

6.73

7.50

6.55

0.64

2.96

6.73

7.50

6.32

0.47

2.96

0.23

0.17

()

2.67

5.28

14.71

1.19

4.44

1.48

1.87

7.76

...

...

1.20

3.41

6.96

...

...

10.11

5.63

23.77

23.00

25.84

4.72

2.82

11.88

6.84

12.92

3.66

2.82

3.57

10.97

3.88

FV

FV

/
()<1

FV

(>1<5)

FV

0.72

1.41

1.78

1.71

1.94

FV

2.94

1.41

1.78

9.26

1.94

1.73

n.a.

8.32

5.19

9.04

(>5)

FV

0.46

n.a.

4.16

2.03

4.52

FV

1.27

n.a.

4.16

3.16

4.52

16.51

n.a.

6.54

37.44

26.43

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

()

()

()

()

(mortgage-backed securities, MBS)

(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)

(residential mortgage-backed securities, RMBS)

(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

(International Monetary

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
Aslund, A. (2009) The Group of 20 Must Be Stopped, Financial Times, Nov. 26.
Bernanke, B. (2005), The Global Saving Glut and the U.S. Current Account Deficit, speech at the Homer Jones Lecture, St. Louis, Missouri.
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School Working Paper No. 2008-007, La Follete School of Public Affairs, University of Wisconsin-Madison.
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254

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(9812)

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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(9812993)

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)

279

Adrian, Tobias and Hyun Song Shin (2009), The Shadow Banking System: Implications for Financial Regulation, Financial Stability Review,
Bankque de France, Sep.
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Quarterly Bulletin, Vol. 49, Issue 3, pp. 178-190.
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Krugman, Paul (2009), School for Scoundrels, The New York Time, Aug. 9.
McCulley, Paul (2009),The Shadow Banking System and Hyman Minskys Economic Journey, PIMCOGlobal Central Bank Focus, May.
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May.
Minsky, Hyman P. (1986), Stabilizing an Unstable Economy, Yale University Press.
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Obstfeld, Maurice and Kenneth Rogoff (2009), Global Imbalances and the Financial Crisis: Products of Common Causes, Prepared for the
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)

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


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http://www.govbooks.com.tw

400426
042226-0330
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023322-4985
023322-4983
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100741517
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ISBN978-986-02-2772-7

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