Chuy+ N - Æß+ü 4

Chuyn 4
KHNG HONG
TI CHNH
Khng hong ti chnh l g?

Khng hong ti chnh xy ra khi c s gin on c bit
nghim trng n cc lung thng tin trn th trng ti
chnh, t lm cho cc tng tc ti chnh tng mnh v th
trng ti chnh ngng hot ng.
Th trng ti sn tc ng n bng cn i kt ton
Th trng chng khon suy gim
Gi tr rng ca cc cng ty gim st.
Mc gi c gim st t ngt
Cc khon n tng v gi tr thc trong khi gi tr ti sn
rng gim.
Gi tr ng ni t gim t ngt
Gi tr ti sn rng gim, n gc ngoi t tng.
Ghi gim gi tr ti sn.
9-2
2013 Pearson Education, Inc. All rights reserved.
Nguyn nhn khng hong ti chnh

Tn hi trong bng cn i k ton ca cc
nh ch ti chnh
Gim st trong cho vay.
Khng hong ngn hng

Mt i vai tr trung gian thng tin v trung gian
tn dng.
Tnh bt n gia tng

Cp tn dng gim.
9-3
Nguyn nhn khng hong ti chnh

(tip theo)
Li sut tn dng tng
Tng la chn i nghch
Tng nhu cu vay bn ngoi v do tng la
chn i nghch v ri ro o c.
S mt cn bng trong chnh sch ti kha

ca chnh ph
To ra nhng lo ngi v v n ca chnh ph.
Nh u t c th rt vn ra khi quc gia.
9-4
Din bin ca khng hong nhng nn kinh

t tin tin
Giai on 1: khi u ca cuc khng hong

ti chnh
S yu km trong qun l ti chnh
t do ha/i mi
Bng n gi ti sn v ph sn
Li sut tng vt
S bt n gia tng
Giai on 2: khng hong ngn hng

Giai on 3: gim pht n (co cm tn dng
nh hng n u t)
9-5
S : chui s
kin ca khng
hong ti chnh ti
nhng nn kinh t
tin tin.
9-6
Nghin cu: Cuc khng hong ti

chnh khi ngun - i khng hong
Khng hong ti chnh n ra nhng th no? trong
thi k i khng hong v n dn n suy thoi
kinh t ti t trong lch s nc M nh th no?
S kin ny c mang n bi:
9-7
S sp th trng chng khon

Hong lon ngn hng
Gi c phiu gim lin tc
Gim pht n
S : Thng tin gi chng khon trong thi

k i suy thoi
Source: Dow-Jones Industrial Average (DJIA). Global Financial Data;

www.globalfinancialdata.com/index_tabs.php?action=detailedinfo&id=1165.
9-8
S 3 M rng tn dng trong thi k i

khng hong
Source: Federal Reserve Bank of St. Louis FRED database;

http://research.stlouisfed.org/fred2/categories/22.
9-9
Nghin cu: khng hong ti chnh

ton cu 2007-2009
Nguyn nhn:
i mi ti chnh ni ln trn th trng th
chp
Th trng tn dng th chp di chun
Chng khon da vo nhng khon th chp
Cc ngha v n c m bo(CDOs)
Hnh thc bng bng nh

Tng tnh thanh khon t dng tin vo ca
chnh ph M
9-10
Nghin cu: Khng hong ti chnh

ton cu 2007 - 2009 (tip theo)
Hnh thc bng bng nh (tip theo)
Pht trin th trng th chp di chun lm
kch thch nhu cu nh v tng gi nh.
Pht sinh cc vn quan h i l

M hnh khi ngun phn phi (nh u t)
i l mi gii (ngi mi gii th chp) vn
chnh .
Nhng ngi i vay c rt t ng lc tit l thng
tin v kh nng tr n ca h.
9-11

Ny sinh vn i l mi gii (tip theo)
Ngn hng thng mi v ngn hng u t
(cng nh cc c quan xp hng tn nhim) c t
kh nng nh gi cht lng chng khon.
Vn thng tin o
Bng n gi nh t
9-12

Cuc khng hong ly lan ra ton cu
u hiu ton cu ha ca th trng ti chnh
Tng trng TED (li sut 3 thng ca Eurodollar
tr i li sut tn phiu kho bc 3 thng) tng t
40 im ln gn nh 240 trong thng 8 nm
2007.
9-13

Bng cn i k ton ngn hng xu i
Ghi gim gi tr
Bn ti sn v hn ch tn dng
Cc cng ty cao cp (i gia) mt kh nng

tr n
Bear Stearns (thng 3, 2008)
Fannie Mae and Freddie Mac (thng 7, 2008)
Lehman Brothers, Merrill Lynch, AIG, Reserve
Primary Fund (mutual fund) and Washington
Mutual (thng 9, 2008).
9-14
Nghin cu: Khng hong ti chnh ton cu

2007 - 2009 (tip theo)
Tho lun v gi cu tr
H vin M b phiu ph chun gi cu tr $700
t dollars 29, thng 9, 2008.
N c thng qua ngy 3 thng 10.
Nhng nhn nhn tin trnh phc hi?

Quc hi ph chun $787 t k hoch kch thch
kinh t 13, thng 2, 2009.
9-15
Ngha v n th chp(CDOs)
Vic to ra ngha v n th chp lin quan n mt
thc th cng ty c gi l mt truyn dn c tnh
cht c bit (SPV: a special purpose vehicle) n
mua mt b su tp cc ti sn nh tri phiu cng
ty, cc khon cho vay, tri phiu bt ng sn
thng mi, v cc chng khon th chp
SPV phn chia cc dng tin thanh ton(cash flows)
t cc ti sn ny vo thnh tng gi c gi l
t.
9-16
Ngha v n th chpNgha v n th chp

(CDOs) (contd)
Cc nhm c xp hn cao nht, gi l nhm siu
cp s c thanh ton trc tin v do t ri ro
nht
Nhm CDO c xp hn thp nht l nhm vn
ch s hu v y l tp u tin ca dng tin n
s khng c thanh ton nu nh cc ti sn c s
mt kh nng thanh v ngng thanh ton. y l
nhm m c nguy c ri ro cao nht v thng
khng c giao dch.
9-17
Gi nh v cuc khng hong ti

chnh 20072009
Source: Case-Shiller U.S. National Composite House Price Index;

www.macromarkets.com/csi_housing/index.asp.
9-18
C phi Fed gy ra bong bng gi nh hay

khng?
Mt s nh kinh t lp lun rng chnh sch li sut
thp ca Fed trong giai on 2003-2006 gy ra
bong bng gi nh .
Taylor cho rng li sut Lin bang thp dn n li
sut cho vay th chp thp, cho nn khch thch
nhu cu nh v khuyn khch vic pht hnh cc
khon cho vay th chp di chun, c hai dn n
gi nh t tng cao v bong bng.
9-19
C phi Fed gy ra bong bng nh hay

khng? (contd)
Ch tch cc d tr lin bang M Ben Bernanke
phn i lp lun ny, ng ni rng th phm l s
gia tng cc sn phm th chp mi, n lm cc
khon thanh ton th chp gim, vic ni lng tiu
chun cho vay lm cho ngi mua nh a nhiu
tin hn vo th trng nh , v dng vn t cc
nc th trng mi ni.
Cuc tranh lun v vic liu chnh sch tin t gy
ra bong bng nh cn tip tc n ngy nay.
9-20
Gi chng khon v khng hong ti chnh

20072009
Source: Dow-Jones Industrial Average (DJIA). Global Financial Data;

www.globalfinancialdata.com/index_tabs.php?action =detailedinfo&id=1165.
9-21
M rng tn dng v khng hong ti

chnh 20072009
Source: Federal Reserve Bank of St. Louis FRED database; http://research.stlouisfed.org/fred2/categories/22.
9-22
KHNG HONG TI
CHNH NHNG
NN KINH T MI
NI
Cc ng lc ca cuc khng hong ti chnh

nhng nn kinh t th trng mi ni
Nhng ng lc ca cuc khng hong ti

chnh ti nhng nn kinh t th trng mi
ni c tm thy gng nh nhng nc
pht trin nhng vn c mt s khc bit
quan trng.
Trnh t cc giai on ca s kin trong cuc
khng hong ti chnh ti cc nn kinh t
mi ni c n t tring hnh 1.
9-24
Cc ng lc ca cuc khng
hong ti chnh
Khng hong ti chnh c th chia thnh 3
giai on
Giai ong 1: khi u cuc khng hong
Giai on 2: khng hong tin t
Giai on 3: khng hong ti chnh chnh thc
xy ra
9-25
Hnh 1 trnh t cc s kin trong cuc khng hong

ti chnh nhng nn kinh t mi ni
9-26
Giai on 1: khi u cuc khng

hong
Khng hong ti chnh c th bt u do:
Qun l yu km ca t do ha t chnh v ton
cu ha
S mt cn bng ti khon nghim trng
Cc yu t khc
9-27

hong(contd)
Qun l yu km ca t do ha ti chnh v
ton cu ha
T do ha ti chnh loi b cc hn ch i vi
cc nh ch ti chnh v th trng trong nc
Ton cu ha ti chnh- m ca nn kinh t
p tip nhn dng vn ca cc cng ty v th
trng ti chnh t cc quc gia khc.
T do ha ti chnh dn n s bng n cc
khon cho vay n c nh du bng nhng
khon cho vay ri ro do kim tra khng hiu qu
gim st khch hnh vay, gim st ca chnh ph
trong hot ng ca ngn hng lng lo.
9-28

hong (contd)
Ton cu ha ti chnh c xem nh l mt dn
sut, v n cho php cc ngn hng trong nc
c th vay nc ngoi.
Xut hin nhng thit hi ln trn bng cn i
k ton lm suy yu cc ngn hng v khin cc
ngn hng phi ct gim cho vay nhng khng
c ch th khc tham gia gii quyt cc vn
la chn i ngch v ri ro o c.
Kt thc bng n cho vay trong mt bin c cho
vay bi v quy nh an ton yu km v gim st
hn ch chp nhn ri ro qu mc.
Principal-agent problem as well - powerful
domestic business interests pervert the financial
liberalization process.
9-29
Stage One: Initiation of Financial

Crisis (contd)
Severe Fiscal Imbalances.
When governments in emerging market countries
cannot finance their large fiscal imbalances, they
often force banks to purchase their debts.
When investors lose confidence in the ability of
the government to repay this debt, they will
unload the bonds which causes their prices to
plummet.
Banks that hold this debt face a huge decline in
their net worth resulting in the decline of their
lending and worsening of adverse selection and
moral hazard problems
9-30
Stage One: Initiation of Financial

Crisis (contd)
Other additional factors
Other factors that play a role in the first stage in
crises are
A rise in interest rates from events abroad
A decline in asset price that causes a
deterioration in banks balance sheets from
asset write-downs
An increase in uncertainty due to unstable
political systems
9-31
Stage Two: Currency Crisis

Deterioration Of Bank Balance Sheets
Triggers Currency Crises
- When banks and financial institutions are in
trouble, governments cannot increase interest
rate.
- Speculators realize the governments inability to
defend the currency that it is likely to allow the
currency to depreciate. They engage in a feeding
frenzy and sell the currency in anticipation of its
decline.
- These sales rapidly use up the countrys reserves
of foreign currency until it no longer has the
resources to intervene in the foreign exchange
market and must allow a devaluation.
9-32
Stage Two: Currency Crisis

Severe Fiscal Imbalances Trigger Currency
Crises.
- When government budget deficits spin out of
control, foreign and domestic investors begin to
doubt the ability of the country to pay back its
government debt.
- They start pulling money out of the country and
selling the domestic currency resulting in a
speculative attack against the currency, which
eventually results in its collapse.
9-33
Stage Three: Full-Fledged Financial

Crisis
Emerging market economies denominate

many debt contracts in foreign currency
(usually dollars) leading to currency
mismatch
Unanticipated depreciation or devaluation of
the domestic currency increases the debt
burden of domestic firms in terms of
domestic currency.
This lead to an increase in adverse selection
and moral hazard problems followed by a
decline in investment and economic activity.
9-34

Crisis
A currency crisis can then lead to a
deterioration of firms balance sheets and
increases adverse selection and moral hazard
problems.
Twin crises - a concurrent currency crisis and
financial crisis.
The collapse of a currency lead to increase in
import prices followed by a rise in both actual
and expected inflation causing domestic interest
rates to rise.
This will cause reductions in firms cash flow and
reduction in investment and economic activity.
9-35

Crisis
The collapse in economic activity makes many
debtors no longer able to pay off their debts
resulting in losses for banks.
Sharp rises in interest rates and in the value of
foreign-currency-denominated liabilities also
have a negative effect on banks profitability
and balance sheets leading to a banking crisis
A further worsening of adverse selection and
moral hazard problems and a further collapse of
lending and economic activity.
9-36
Application: Crisis in South Korea, 1997

1998
Before 1997 crisis, South Korea was one of the
great economic success stories.
In the early 1990s, the Korean government
liberalized the financial markets and opened up their
capital markets to capital flows from abroad
resulting in a lending boom fuelled by massive
foreign borrowing.
However weak bank regulator supervision and a lack
of expertise in screening and monitoring borrowers
led to losses and erosion of banks net worth.
9-37

1998
Large family-owned conglomerates (chaebols)
dominated the economy (sales nearly 50% of the
countrys GDP).
They borrowed heavily and have little profits (return
on asset less than 3%) but because of the implicit
government guarantee, banks continued to lend to
them.
Because of them, Korean government accelerated
the process of opening up Korean financial markets
to foreign capital, expanded the ability of domestic
banks to make loans denominated in foreign
currency and allowed unlimited short-term foreign
borrowing by financial institutions.
9-38

1998
Many finance companies (some already owned by
the chaebols) transformed into merchant banks
which are allowed to borrow abroad. Chaebols could
thus borrow all the money that they needed and
these funds are channeled into unproductive
investments in steel, automobile production, and
chemicals.
When the loans went sour, the stage was set for a
disastrous financial crisis.
9-39

1998
A negative shock to export prices hurt the
chaeobols profit margins and the small-andmedium-sized firms that were tied to them.
A second major shock in January 23, 1997 created
great uncertainty for the financial system: Hanbo,
the fourteenth largest chaebol, declared bankruptcy
followed by five more of the thirty largest by the
end of the year.
And the stock market declined sharply by more than
50% from its peak (Figure 5).
9-40
FIGURE 5 Stock Market Index,

South Korea, 19951999
9-41

1998 (contd)
The decline in net worth decreases the value of
firms collateral and increases their incentives to
make risky investments because there is less equity
to lose if the investments are unsuccessful.
The increase in uncertainty and stock market
declines, along with the deterioration in banks
balance sheets, worsens adverse selection and
moral hazard problems.
The weakening of the economy, along with the
deterioration of bank balance sheets, ripened the
South Korean economy for a currency crisis and
send the economy into a full-fledged financial crisis
and a depression.
9-42

1998 (contd)
A speculative attack on Koreas currency was
inevitable because of the weak balance sheets in
the financial sector and the large amount of
short-term external borrowing.
In July 1997, Thai baht collapsed and
speculators recognized that the banking sector in
South Korea was also in trouble and that the
Korean central bank could no longer defend the
currency so they pulled out of the won leading to
a speculative attack.
9-43

1998 (contd)
Because of the speculative attack, the value of the
won dropped by nearly 50% .
Because both nonfinancial and financial firms had so
much foreign currency debt, the drop in won
doubled the value of their foreign-denominated debt
causing a severe erosion of their net worth.
Banks also had to pay these loans back so quickly
because their borrowings are short term therefore
increasing their liquidity problems.
The government stepped in to guarantee all bank
deposits and prevent a bank panic, but the loss of
capital meant that banks had to curtail their
lending.
9-44

1998 (contd)
The curtailment of lending led to a further
contraction of AD and real GDP while unemployment
rose sharply.
Due to the currency crisis, iinflation, however, did
not fall but rose: the collapse of the South Korean
currency raised import prices and weakened the
credibility of the Bank of Korea as an inflation
fighter.
These factors led to a decline in output and rise in
inflation.
9-45

1998 (contd)
To compensate for the high inflation and because a
tight monetary policy recommended by the IMF,
market interest rates soared to over 20%.
A drop in cash flows forced firms to obtain external
funds and increased adverse selection and moral
hazard problems in the credit markets resulting in a
further contraction in investment and thus in
aggregate demand.
9-46
Application: The Argentine Financial Crisis,

20012002
Argentina had a well-supervised banking system but
always had difficulty controlling its budgets.
The recession in 1998 led to declining tax revenues and
a widening gap between government expenditures and
taxes.
The large fiscal imbalances make it difficult for the
government to sell its bonds, so it coerced banks into
absorbing government debt.
By 2001, investors lost confidence that the Argentine
government can repay its debt and the price of the debt
plummeted, leaving big holes in banks balance sheets.
9-47

20012002
Deterioration of bank balance sheets and loss of
deposits led the banks to cut back on their lending
worsening the adverse selection and moral hazard
problems.
Decline in lending led to a contraction of aggregate
demand with inflation and output declining, and
unemployment rising.
All these set the stage for the next stage of the
crisis, a bank panic.
9-48

20012002
In October 2001, default on government bonds
became inevitable as tax revenues continued to fall
and negotiations between the central government
and the provinces to improve the fiscal situation
broke down.
Bank run began in November, with deposit outflows
of $1 billion a day forcing the government to close
banks temporarily in December and impose a
restriction called the corralito (small fence), under
which depositors could withdraw only $250 in cash
per week.
9-49

20012002
The bank panic made it impossible for the
government to keep interest rates high as it would
destroy the banks
The government can no longer defend the peso and
preserve the currency board leading to a speculative
attack
The governments dire fiscal position made it unable
to pay back its debt, providing another reason for
the investors to pull money out of the country.
On December 23, 2001, the government announced
the suspension of external debt payments for at
least sixty days and on January 2, 2002, the
government abandoned the currency board.
9-50

20012002
The peso decrease sharply from $1.00 to less than
$0.30 by June 2002 before stabilizing at $0.33
(Figure 11) with devastating effects on balance
sheets because of the high debt denominated in
dollars.
The banks found their balance sheets in a
precarious state because of the losses on
government debt, the rising loan losses and huge
deposit outflows and since they lack resources to
lend, they could no longer solve adverse selection
and moral hazard problems.
As for foreigners, they were unwilling to lend and
pulling their money out of the country.
9-51
FIGURE 11 Argentine Peso,

19982004
9-52

20012002
With the financial system in jeopardy, financial flows
came to a grinding halt.
The corralito further weakened the economy by making it
more difficult to get cash causing a sharp slowdown in
the large underground economy.
The fall of peso raised import prices, which directly fed
into inflation, and weakened the credibility of the
Argentine central bank to fight inflation.
The effects are bigger than in South Korea.
9-53

20012002
The rise in commodity prices in the rest of the world
led to increased demand for Argentinas exports.
By the end of 2003 economic growth was running at
an annual rate of around 10%, and unemployment
had fallen below 15% and Inflation fell to below 5%.
9-54
Box: When an Advanced Economy Is like an

Emerging Market Economy: The Icelandic
Financial Crisis of 2008
In 2003, Icelandic government sold its its state
owned banks to local investors as part of a financial
liberalization process.
These investors set up overseas branches and
borrowed heavily from short term wholesale funding
markets which are then are channelled into highrisk investments
The heavy borrowing in foreign currencies lead to a
severe currency mismatch like in many emerging
market countries.
The regulatory system in term of supervision of
bank risk-taking is also ineffective.
9-55
Box: When an Advanced Economy Is like an

Emerging Market Economy: The Icelandic
Financial Crisis of 2008 (contd)
The wholesale lending system was shut down in
October 2008 with the failure of Lehman Brothers.
Because they are so large, not even the government
could credibly rescue the banks from failure.
Foreign capital fled Iceland, and the value of the
Icelandic krona tumbled by over 50% leading to a
full-scale financial crisis.
The economy went into a severe recession and
relationships with foreign creditors became tense,
with the United Kingdom even freezing assets of
Icelandic firms under an antiterrorism law.
9-56
Policy and Practice: Preventing

Emerging Market Financial Crises
Policies that can help make financial crises in
emerging market countries less likely
Beef Up Prudential Regulation and Supervision of
Banks
Encourage Disclosure and Market-Based
Discipline
Limit Currency Mismatch
Sequence Financial Liberalization
9-57

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Chuyn 4

Khng hong ti chnh l g?

2013 Pearson Education, Inc. All rights reserved.

Nguyn nhn khng hong ti chnh

Khng hong ngn hng

Tnh bt n gia tng

2013 Pearson Education, Inc. All rights reserved.

Nguyn nhn khng hong ti chnh

S mt cn bng trong chnh sch ti kha

2013 Pearson Education, Inc. All rights reserved.

Din bin ca khng hong nhng nn kinh

Giai on 1: khi u ca cuc khng hong

Giai on 2: khng hong ngn hng

2013 Pearson Education, Inc. All rights reserved.

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Cuc khng hong ti

S sp th trng chng khon

2013 Pearson Education, Inc. All rights reserved.

S : Thng tin gi chng khon trong thi

Source: Dow-Jones Industrial Average (DJIA). Global Financial Data;

2013 Pearson Education, Inc. All rights reserved.

S 3 M rng tn dng trong thi k i

Source: Federal Reserve Bank of St. Louis FRED database;

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: khng hong ti chnh

Hnh thc bng bng nh

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Khng hong ti chnh

Pht sinh cc vn quan h i l

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Khng hong ti chnh

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Khng hong ti chnh

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Khng hong ti chnh

Cc cng ty cao cp (i gia) mt kh nng

2013 Pearson Education, Inc. All rights reserved.

Nghin cu: Khng hong ti chnh ton cu

Nhng nhn nhn tin trnh phc hi?

2013 Pearson Education, Inc. All rights reserved.

2013 Pearson Education, Inc. All rights reserved.

Ngha v n th chpNgha v n th chp

2013 Pearson Education, Inc. All rights reserved.

Gi nh v cuc khng hong ti

Source: Case-Shiller U.S. National Composite House Price Index;

2013 Pearson Education, Inc. All rights reserved.

C phi Fed gy ra bong bng gi nh hay

2013 Pearson Education, Inc. All rights reserved.

C phi Fed gy ra bong bng nh hay

2013 Pearson Education, Inc. All rights reserved.

Gi chng khon v khng hong ti chnh

Source: Dow-Jones Industrial Average (DJIA). Global Financial Data;

2013 Pearson Education, Inc. All rights reserved.

M rng tn dng v khng hong ti

Source: Federal Reserve Bank of St. Louis FRED database; http://research.stlouisfed.org/fred2/categories/22.

2013 Pearson Education, Inc. All rights reserved.

Cc ng lc ca cuc khng hong ti chnh

Nhng ng lc ca cuc khng hong ti

2013 Pearson Education, Inc. All rights reserved.

2013 Pearson Education, Inc. All rights reserved.

Hnh 1 trnh t cc s kin trong cuc khng hong

2013 Pearson Education, Inc. All rights reserved.

Giai on 1: khi u cuc khng