Kredito krizė 2007
Alea bloge aptikau gerą nuorodą: Gary Gorton, Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007.
Pranešimas probankinis, parengtas FED’o (JAV Federalinio rezervų banko) gegužės mėnesio konferencijai, išvados ir rekomendacijos – niekam tikę, tačiau labai gerai atskleista svarbi dabartinės finansų krizės dalis – shadow banking (repo) kredito sistemos šokas.
Labai trumpai: pasaulį ištikęs ekonominis sukrėtimas buvo kur kas didesnis, nei būtų galima paaiškinti JAV rizikingų būsto paskolų nuvertėjimu. Subprime šokas išprovokavo kredito sistemos susitraukimą (deleverage), straipsnyje aprašyta šio proceso dinamika ir mastai, taip pat gana aiškiai nubrėžtos turimų/prieinamų žinių apie pasaulyje vykstančius kredito procesus ribos.
Informacija pateikta puikiai, nieko panašaus neteko matyti lietuviškame internete, o ir angliškame tokių išsamių ir prieinamai parašytų tekstų retai pasitaiko.
Rekomenduoju visiems, ką domina ekonomika ir finansai. 53 psl. pdf, parsisiuntimui reikalinga nemokama registracija. Darsyk pakartosiu, kad vertingos ne išvados ir receptai, o pats problemos aprašymas.
The Libor-OIS spread jumps in August 2007, and again when Lehman fails. Other securitized asset classes, with nothing to do with subprime, like credit card receivables, auto loans, and student loans, all move with the proxy for the state of the inter-bank market, not with the ABX. See Gorton and Metrick (2009). The key question for understanding the panic is: Why were non-subprime-related asset classes affected? Subprime mortgage originations in 2005 and 2006 totaled about $1.2 trillion (see Gorton (2008)), a large number to be sure, but not large enough to cause a systemic crisis. How was the shock turned into a panic?
The shock was combined with asymmetric information about the locations and sizes of exposures to subprime. Like the panics during the National Banking Era, it was not clear which firms had the largest exposures. During the National Banking Era, depositors did not know which banks were more likely to fail during the recession. They just knew that they were exposed to the risk that their bank would be insolvent during the recession, just when they might be unemployed. So, they “ran” to their bank to withdraw cash. The banks’ equity cushion and their assets—the collateral—were not to be trusted.
The same mechanism operated this time. The “depositors” are firms that have deposited money in the form of (reverse) repo, and received a bond as collateral. Prior to the panic, repo haircuts were zero. The run occurs in the repo market.
A. The Run on Repo
Uncertain about the solvency of counterparties, repo depositors became concerned that the collateral bonds might not be liquid; if all firms wanted to hold cash – a flight to quality—then collateral would have to decline in price to find buyers. This is the crucial link between the subprime shock and other asset categories. Gorton and Metrick show that the other asset classes start to deteriorate in August 2007, when the LIBOR-OIS spread jumps, even though the subprime fundamentals, as measured by the ABX, had been deteriorating for months prior to that.
The run on repo is, again, akin to previous panics. “Withdrawal” corresponds to an increase in haircuts. So, previously when $100 was “deposited,” collateral in the form of a bond worth $100 in the market was acceptable. In August 2007, the haircuts went up in some important asset classes. Say, the haircut increases to five percent. Then the depositor deposits only $95 in exchange for collateral worth $100.
The figure below shows the average repo haircut on seven categories of structured debt. The figure is based on data from Gorton and Metrick (2009), which also has the details underlying this figure. Also see Gorton (2009). The figure is a picture of the panic. Haircuts were zero until August 2007. After that, haircuts rise and continue to rise.
Paskutiniai autoriaus duomenys (maždaug iki “žaliųjų daigelių” šių metų kovą) rodo ~47% haircut išvestinių aktyvų repo sandoriuose.
Akivaizdu, kad šis rodiklis apžvelgiamoje ateityje negrįž į 2007-ųjų “normas”. Krizė tęsis ilgai.
Papildymas: ABCP: Largest Drop in 6 Months (Alea).
Panašūs (automatiškai atrinkti) įrašai:
- Dombrovskis inicijuoja būsto paskolų reformą (atnaujinimai teksto pabaigoj)
- Islandija atskleidė ECB kompromituojančius faktus
Temos: Ekonomika · Žymos: defliacija, kreditas, rizika
on 2009.05.21 at 19:49
· Nuoroda
O kad nereiketu registruotis, gal gali ideti kur nors ta pdf ataskaita? As netingiu to daryti, bet kiti tinges ir neperskaitys sios svarbios informacijos del tavo tingumo..
on 2009.05.21 at 22:42
· Nuoroda
FED’as įdėjo:
http://www.frbatlanta.org/news/CONFEREN/09fmc/gorton.pdf
ir pranešimo PPT versija:
http://www.frbatlanta.org/news/CONFEREN/09fmc/gorton.ppt