『ここで、私は、「流動性」という言葉を、資金流動性と市場流動性を包括する概念として使っています。しかし、「流動性」は、決して厳密に定義できるものではありませんし、定量的に正確に測定できるものでもありません。このため、「流動性」という言葉には、いくぶん曖昧さが残ることは認めざるを得ません。しかしながら、「流動性」の状況をある程度評価することは可能です。結局のところ、流動性は、中央銀行業務が始まった時から、経済の実体面と金融面の相互依存関係を理解するうえでの中心的な概念です。中央銀行の主な役割は、これまでも、そしてこれからも、流動性の番人(guardian of liquidity)だといえるでしょう。』
[外部リンク] P や社債の発行環境は改善しているものの、全体としては厳しい状態が続いているとの認識を共有した。』
『ある委員は、企業収益の低迷などを背景に、企業の資金調達を巡る不安は根強いと考えられるものの、在庫調整の進捗や原材料価格の低下などによって資金需要が減少するほか、資金供給面では、貸出が比較的高い伸びを続け、C P の発行環境も改善していることから、今後、企業金融の逼迫度合いは、次第に緩和していく可能性があると指摘した。』
『Conditions in short-term funding markets improved somewhat over the intermeeting period. In unsecured bank funding markets, spreads of dollar London interbank offered rates (Libor) over comparable-maturity overnight index swap (OIS) rates edged down, although Libor fixings beyond the one-month maturity stayed elevated. Spreads on A2/P2-rated commercial paper and AA-rated asset backed commercial paper narrowed a bit, on net, staying at the low end of their respective ranges over the past year.』
『Functioning in the repurchase agreement (repo) market showed additional improvement, as bid-asked spreads and "haircuts" on most collateral either narrowed or held steady, although repo volumes were still low. Consistent with modestly better conditions in the term repo market, all seven auctions under the Term Securities Lending Facility were undersubscribed over the intermeeting period, including two auctions that garnered no bids.』
『Trading conditions in the secondary market for nominal Treasury securities also showed some signs of improvement. Premiums paid for on-the-run Treasury securities fell, and average bid asked spreads for Treasury notes were relatively stable near their pre-crisis levels. Still, daily trading volumes for Treasury securities remained low.』
『The debt of the domestic private nonfinancial sector appeared to have contracted in the first quarter at about the same pace as in the fourth quarter of 2008. Activity in the mortgage market reflected mainly refinancing, and staff estimates indicated that residential mortgage debt contracted again in the first quarter, depressed by the very low pace of home sales, falling house prices, and write-downs of nonperforming loans.』
モーゲージも相場水準としての数値は改善しているけれども中身はまだまだという話ですな。
『Consumer credit was essentially flat in January and February. Expansion of nonfinancial business debt was tepid, as robust bond issuance was partly offset by declines in commercial paper and bank loans. Federal debt rose briskly in the first quarter.』
・Participants' Views and Committee Policy Actionのところから
これまた本当は全部読むのが吉なのでしょうけれども、同じく金融環境の所をベタ引用。
『Financial market developments over the intermeeting period were mainly seen as positive.』
ほほー。
『Equity prices increased, money markets were functioning better, and corporate issuance of bonds and convertible securities was relatively brisk. Measures of volatility and financial stress moved down and risk spreads narrowed in many markets, perhaps partly because of investors' perceptions of diminished downside tail risks. Even so, risk spreads remained unusually wide and markets continued to be fragile.』
でも改善は途上も途上と。
『Despite the improvement in financial markets, credit conditions stayed quite restrictive for many households and businesses. The April Senior Loan Officer Opinion Survey showed that a large net fraction of banks had tightened their terms and standards for credit during the previous three months, albeit a modestly smaller fraction than indicated by the January survey. Moreover, meeting participants noted that the volume of credit extended to households and businesses was still contracting as a result of shrinking demand, declining credit quality, capital constraints on financial institutions, and the limited availability of financing through securitization markets.』
4月のFOMC議事要旨 [外部リンク] their discussion of monetary policy for the intermeeting period, Committee members agreed that the Federal Reserve's large-scale securities purchases were providing financial stimulus that would contribute to the gradual resumption of sustainable economic growth in a context of price stability.』
『Members also agreed that it would be appropriate to continue making purchases in accordance with the amounts that had previously been announced--that is, up to $1.25 trillion of agency MBS and up to $200 billion of agency debt by the end of this year, and up to $300 billion of Treasury securities by autumn.』
『Some members noted that a further increase in the total amount of purchases might well be warranted at some point to spur a more rapid pace of recovery; all members concurred with waiting to see how the economy and financial conditions respond to the policy actions already in train before deciding whether to adjust the size or timing of asset purchases.』
複数の委員からは更なる買い入れ拡大の論議がって所ですか。
『The Committee reaffirmed the need to monitor carefully the size and composition of the Federal Reserve's balance sheet in light of economic and financial developments. The Committee also discussed its strategy for communicating the anticipated path of its asset purchases and the circumstances under which adjustments to that path would be appropriate. All members agreed that the statement should note that the timing and overall amounts of the Committee's asset purchases would continue to be evaluated in light of the evolving economic outlook and conditions in financial markets.』
これまた脚注を見ると元の論点はBrunnermeier, M., A. Crockett, C. Goodhart, A. Persuad and H. Shin (2009), “The Fundamental Principles of Financial Regulation,” International Centre for Monetary and Banking Studies & Centre for Economic Policy Research, Geneva Report on the World Economy, Vol. 11, 2009.にあるようで、そっちではもっと詳しい話があるので、そんなにざっくりとした話ではないのしょうけれども、まあ簡単にツッコミを。
『次に、「機能分化」と言う現象を証券化の特徴の第2 の点として挙げておきたいと思います。(途中割愛)こうした住宅ローンの貸付けから証券化商品の販売までの一連の工程は、OTD(Originate To Distribute)モデルと呼ばれています。OTD モデルの問題点は、モラルハザードを誘発しやすいという点です。モーゲージバンクは、住宅ローン債権を売却し、リスクを移転できるのであれば、住宅ローンの審査を真剣に行うインセンティブはありません。本来なら住宅ローンの申込者の信用度が基準に達していないようなケースでも、融資が実行されたであろうことは、容易に想像できます。これは、典型的なモラルハザードであり、「信用バブル」を生み出す素になったと考えられます。』
『I will move on to the third lesson and ask the following question: “Is it possible to solve problems with troubled assets at an early stage?” I find the answer is unfortunately negative: “It is very difficult”.』
『This is because when the valuation of troubled assets becomes highly uncertain, in the way Frank Knight described here in Chicago eighty-some years ago, a “wait and see” strategy may be the natural reaction for both sellers and buyers. So, private initiatives alone may not be sufficient to solve the problem. We have a list of such private attempts, with the fate of the M-LEC among them, as well as the Cooperative Credit Purchase Corporation in Japan in 1993.』
『What is the core of the problem? Lesson Four of the crises is that it is the difficulty in getting “reasonable estimates” of losses and a “reasonable pricing” of troubled assets, on which both sellers and buyers can agree, that leads to erosion in confidence. It is this erosion in confidence which then leads to an “excessive” aversion to uncertainty.』
『Firstly, troubled assets have had macro-systemic effects, including unprecedented levels of downside-correlation.』
『Secondly, these troubled assets’ losses were dynamic and evolved over time. The “estimated losses” increased continuously as the economy slid into stagnation. Valuation of these assets, based on pre-crisis norms, grossly and consistently underestimated the losses, leading to an erosion of confidence in valuation methods and ultimately in the solvency of the institutions with these assets.』
『Moreover, troubled assets were very heterogeneous, and the erosion of confidence in existing valuation methods set an adverse selection mechanism in motion, leading to a marked deterioration in market liquidity.』
『Once they lose confidence, these investors face “unknown unknowns” that they never dreamed of before. They then become “excessively” averse to uncertainty surrounding the future prospects of financial institutions. That is, they make decisions based on the “worst possible case scenario” and try to minimize the losses they would incur in this worst possible case. Their valuation of these financial institutions thereby turns out to be “excessively” pessimistic, and they become very sensitive to any news that supposedly has some bearing on the worst possible case scenario.』
『Moreover, they tend to “wait and see,” until they feel more confident about the valuation of troubled assets. The result of these factors and their erosion of confidence is a significant undervaluation of financial institutions at the trough of an economic downturn.』
『Firstly, we should avoid any “pro-cyclicality” of reforming zeal, such as strengtheningregulations in the downturn when it may further exacerbate the slump, or deregulating the industry in the upturn when vigilance is called for. Past experience, as exemplified in Lesson One, suggests we are very much prone to this tendency.』
『Secondly, we should also bear in mind that no regulation is perfect. The origins of financial crises often lie in financial institutions’ regulatory arbitrages and investors’ complacent behavior based on “plausible deniability”. Also, we live in a dynamic world and are always subject to innovations and structural changes so that, as we have just learned, it is virtually impossible to identify and eliminate in advance all possible causes of financial distress.』
『Thus, thirdly, we should prepare for the conceivably worst case in “normal” times, when confidence is still maintained. Lessons Three and Four show the fundamental problem of the financial crises is the difficulty in raising capital when it is most needed, because of the adverse feedback loop and erosion of confidence.』
『It is worth exploring the feasibility of macroeconomic pre-committed or pre-paid “safety-net” schemes to complement ex-ante regulations. In this regard, contingent capital schemes and their variants are particularly worth exploring when designing regulatory reforms for macro-systemically importantfinancial institutions.』
[外部リンク] Past Does Not Repeat Itself, But It Rhymes”: Four Lessons Learned from the Financial Crisies
ちゅうお題のスピーチです。ではその4つのご教訓とは何かと言いますと・・・・
○不良債権問題の時間的速さと広がりの加速度合いについて
まずは『1. Lesson One』です。講演の題名にもなっている言葉は
Mark Twainの言葉だそうで。
『The first lesson is encapsulated in Mark Twain’s famous line, “The past does not repeat itself, but it rhymes”. It is now fair to say that many thought Japan’s so-called “lost decade” was a problem peculiar to Japan, and also, by learning well from that problem, it was not going to be repeated elsewhere. Unfortunately, this has turned out not to be the case.』
『What made the difference to the time scale and acceleration? Innovations and structural changes over the last two decades have no doubt played an important role, namely globalization, advances in information communication technology, and financial innovations and sophistication. Indeed, compared with Japan in the 1990s, the current crisis is far more complex, interconnected and global.』
『The second lesson we have learned from the crises is that once an adverse feedback loop has been started, it is extremely difficult and costly to stop it and to restore confidence.』
『This was the essence of Japan’s experience; a series of fiscal stimulus packages and an accommodative monetary policy could not generate sustained economic growth, as the financial system was severely impaired and market confidence continued to be eroded. Injections of public capital in 1998 and 1999 were also, in retrospect, not sufficient to convince the market to jump-start the economy.』
『So when and how did Japan’s adverse feedback loop stop? With hindsight, perhaps the turning point was October 2002, when the Financial Services Agency urged major banks to halve their NPL ratios by the end of March 2005, and pledged to monitor their efforts continuously and rigorously. The Bank of Japan also urged banks to carry out more rigorous evaluations of NPLs, and to dispose of them promptly based on those evaluations.』
『In retrospect, the timing coincided with the reflection point at which the economy had just passed the trough of the 2001 recession, and began to recover, thanks to strong export demand due to the vigorous world economy.』
『This was also the time when substantial progress was being made in corporate restructuring with respect to the so-called “three excesses”: debt, employment and production capacity. This restructuring helped the final pick up. In this way, the Japanese economy was, in general, out of the woods around 2005, although some regional economies lagged behind, having benefited less from the global growth.』
[外部リンク] world economy remains in deep recession」というお話でしたが、さてこの部分は英語で何と言ってるでしょうと英語版議事要旨を珍しく見ると・・・・
[外部リンク] shared the view that overseas economic conditions had beendeteriorating as a whole.』
ほっほー(^^)。で、あたくしドブ板ドメスティック日本人(留学とか海外勤務とか何ですかそれ状態ですわ、あっはっは)でございますもんで、英語の表現の微妙な違いによる微妙なニュアンスってえのが今百歩判らんして、上記文章で最後に「as a whole」ってえのが付いているのと付いていないのとの違いがよー判らんのですが、あたしゃ何となく最後にヘッジクローズを入れてるようなニュアンスを感じるのですけど、これってどうなんすか??
『輸出は大幅に減少しているとの見方で一致した。複数の委員は、2 月の実質輸出の前月比減少幅が縮小していることに言及したうえで、中国やN I E s からの引き合いの増加や現地の在庫調整の進捗などを背景に、3 月短観における先行きの海外での製商品需給判断が幾分改善するなど、輸出を巡る環境が好転しつつあると述べた。これを受けて、委員は、当面、輸出の減少テンポは緩やかになるとの認識を共有した。ただし、何人かの委員は、その先については、海外経済の動向など、輸出を巡る環境の不確実性は高いと付け加えた。』
『生産について、委員は、内外需要の減少や在庫調整圧力を背景に、大幅に減少しているとの見方で一致した。先行きについて、委員は、I T や自動車関連の在庫調整の進捗を受けて、予測指数が下げ止まっており、減少テンポは緩やかになるとの認識を共有した。ある委員は、内外需要の先行きについての不確実性は高く、販売減少に伴い流通在庫が増加する可能性があるため、在庫調整圧力が高まるリスクには留意する必要があると述べた。』
一方でBOEは量的緩和とは何ぞやというページを用意して、[外部リンク] of England Maintains Bank Rate at 0.5% and Increases Size of Asset Purchase Programme by £50 Billion to £125 Billion
『The world economy remains in deep recession. Output has continued to contract and international trade has fallen precipitously. The global banking and financial system remains fragile despite further significant intervention by the authorities.』
世界経済は深いリセッションだわ国際金融システム脆弱だわということですかそうですか。
『In the United Kingdom, GDP fell sharply in the first quarter of 2009. But surveys at home and abroad show promising signs that the pace of decline has begun to moderate.』
個人関連の経済指標にちょっと下げ止まりの兆しとな。で、物価の話。
『CPI inflation was 2.9% in March, significantly higher than the 2% inflation target.』
『Past falls in sterling have continued to put upwards pressure on inflation. But the degree of spare capacity in the economy has increased and the loosening in the labour market has contributed to a sharp easing in pay pressures. CPI inflation is likely to drop below the 2% target later this year, driven in part by diminishing contributions from food and energy prices. The substantial margin of spare capacity in the economy should continue to bear down on inflation thereafter.』
『The Committee noted that the outlook for economic activity was dominated by two countervailing forces.』
ほうほう。
『The process of adjustment in train in the UK economy, as private saving rises and banks restructure their balance sheets, combined with weak global demand, will continue to act as a significant drag on economic activity.』
『But pushing in the opposite direction, there is considerable economic stimulus stemming from the easing in monetary and fiscal policy, at home and abroad, the substantial depreciation in sterling, past falls in commodity prices, and actions by authorities internationally to improve the availability of credit. That stimulus should in due course lead to a recovery in economic growth, bringing inflation back towards the 2% target.』
『In the light of that outlook and in order to keep CPI inflation on track to meet the 2% inflation target over the medium term, the Committee judged that maintaining Bank Rate at 0.5% was appropriate.』
『The Committee also agreed to continue with its programme of purchases of government and corporate debt financed by the issuance of central bank reserves and to increase its size by £50 billion to a total of £125 billion.』
『The Committee expected that it would take another three months to complete that programme, and it will keep the scale of the programme under review.』
