Ben S. Bernanke's speech on the crisis as a classic financial panic

Chairman Ben S. Bernanke

At the Fourteenth Jacques Polak Annual Research Conference, Washington, D.C.

November 8, 2013

The Crisis as a Classic Financial Panic

I am very pleased to participate in this event in honor of Stanley Fischer. Stan was my teacher in graduate school, and he has been both a role model and a frequent adviser ever since. An expert on financial crises, Stan has written prolifically on the subject and has also served on the front lines, so to speak--notably, in his role as the first deputy managing director of the International Monetary Fund during the emerging market crises of the 1990s. Stan also helped to fight hyperinflation in Israel in the 1980s and, as the governor of that nation's central bank, deftly managed monetary policy to mitigate the effects of the recent crisis on the Israeli economy. Subsequently, as Israeli housing prices ran upward, Stan became an advocate and early adopter of macroprudential policies to preserve financial stability.

Stan frequently counseled his students to take a historical perspective, which is good advice in general, but particularly helpful for understanding financial crises, which have been around a very long time. Indeed, as I have noted elsewhere, I think the recent global crisis is best understood as a classic financial panic transposed into the novel institutional context of the 21st century financial system.¹ An appreciation of the parallels between recent and historical events greatly influenced how I and many of my colleagues around the world responded to the crisis.

Besides being the fifth anniversary of the most intense phase of the recent crisis, this year also marks the centennial of the founding of the Federal Reserve.² It's particularly appropriate to recall, therefore, that the Federal Reserve was itself created in response to a severe financial panic, the Panic of 1907. This panic led to the creation of the National Monetary Commission, whose 1911 report was a major impetus to the Federal Reserve Act, signed into law by President Woodrow Wilson on December 23, 1913. Because the Panic of 1907 fit the archetype of a classic financial panic in many ways, it's worth discussing its similarities and differences with the recent crisis.³ 

Like many other financial panics, including the most recent one, the Panic of 1907 took place while the economy was weakening; according to the National Bureau of Economic Research, a recession had begun in May 1907.⁴ Also, as was characteristic of pre-Federal Reserve panics, money markets were tight when the panic struck in October, reflecting the strong seasonal demand for credit associated with the harvesting and shipment of crops. The immediate trigger of the panic was a failed effort by a group of speculators to corner the stock of the United Copper Company. The main perpetrators of the failed scheme, F. Augustus Heinze and C.F. Morse, had extensive connections with a number of leading financial institutions in New York City. When the news of the failed speculation broke, depositor fears about the health of those institutions led to a series of runs on banks, including a bank at which Heinze served as president. To try to restore confidence, the New York Clearinghouse, a private consortium of banks, reviewed the books of the banks under pressure, declared them solvent, and offered conditional support--one of the conditions being that Heinze and his board step down. These steps were largely successful in stopping runs on the New York banks.

But even as the banks stabilized, concerns intensified about the financial health of a number of so-called trust companies--financial institutions that were less heavily regulated than national or state banks and which were not members of the Clearinghouse. As the runs on the trust companies worsened, the companies needed cash to meet the demand for withdrawals. In the absence of a central bank, New York's leading financiers, led by J.P. Morgan, considered providing liquidity. However, Morgan and his colleagues decided that they did not have sufficient information to judge the solvency of the affected institutions, so they declined to lend. Overwhelmed by a run, the Knickerbocker Trust Company failed on October 22, undermining public confidence in the remaining trust companies.

To satisfy their depositors' demands for cash, the trust companies began to sell or liquidate assets, including loans made to finance stock purchases. The selloff of shares and other assets, in what today we would call a fire sale, precipitated a sharp decline in the stock market and widespread disruptions in other financial markets. Increasingly concerned, Morgan and other financiers (including the future governor of the Federal Reserve Bank of New York, Benjamin Strong) led a coordinated response that included the provision of liquidity through the Clearinghouse and the imposition of temporary limits on depositor withdrawals, including withdrawals by correspondent banks in the interior of the country. These efforts eventually calmed the panic. By then, however, the U.S. financial system had been severely disrupted, and the economy contracted through the middle of 1908.

The recent crisis echoed many aspects of the 1907 panic. Like most crises, the recent episode had an identifiable trigger--in this case, the growing realization by market participants that subprime mortgages and certain other credits were seriously deficient in their underwriting and disclosures. As the economy slowed and housing prices declined, diverse financial institutions, including many of the largest and most internationally active firms, suffered credit losses that were clearly large but also hard for outsiders to assess. Pervasive uncertainty about the size and incidence of losses in turn led to sharp withdrawals of short-term funding from a wide range of institutions; these funding pressures precipitated fire sales, which contributed to sharp declines in asset prices and further losses. Institutional changes over the past century were reflected in differences in the types of funding that ran: In 1907, in the absence of deposit insurance, retail deposits were much more prone to run, whereas in 2008, most withdrawals were of uninsured wholesale funding, in the form of commercial paper, repurchase agreements, and securities lending. Interestingly, a steep decline in interbank lending, a form of wholesale funding, was important in both episodes. Also interesting is that the 1907 panic involved institutions--the trust companies--that faced relatively less regulation, which probably contributed to their rapid growth in the years leading up to the panic. In analogous fashion, in the recent crisis, much of the panic occurred outside the perimeter of traditional bank regulation, in the so-called shadow banking sector.⁵ 

The responses to the panics of 1907 and 2008 also provide instructive comparisons. In both cases, the provision of liquidity in the early stages was crucial. In 1907 the United States had no central bank, so the availability of liquidity depended on the discretion of firms and private individuals, like Morgan. In the more recent crisis, the Federal Reserve fulfilled the role of liquidity provider, consistent with the classic prescriptions of Walter Bagehot.⁶ The Fed lent not only to banks, but, seeking to stem the panic in wholesale funding markets, it also extended its lender-of-last-resort facilities to support nonbank institutions, such as investment banks and money market funds, and key financial markets, such as those for commercial paper and asset-backed securities.

In both episodes, though, liquidity provision was only the first step. Full stabilization requires the restoration of public confidence. Three basic tools for restoring confidence are temporary public or private guarantees, measures to strengthen financial institutions' balance sheets, and public disclosure of the conditions of financial firms. At least to some extent, Morgan and the New York Clearinghouse used these tools in 1907, giving assistance to troubled firms and providing assurances to the public about the conditions of individual banks. All three tools were used extensively in the recent crisis: In the United States, guarantees included the Federal Deposit Insurance Corporation's (FDIC) guarantees of bank debt, the Treasury Department's guarantee of money market funds, and the private guarantees offered by stronger firms that acquired weaker ones. Public and private capital injections strengthened bank balance sheets. Finally, the bank stress tests that the Federal Reserve led in the spring of 2009 and the publication of the stress-test findings helped restore confidence in the U.S. banking system. Collectively, these measures helped end the acute phase of the financial crisis, although, five years later, the economic consequences are still with us.

Once the fire is out, public attention turns to the question of how to better fireproof the system. Here, the context and the responses differed between 1907 and the recent crisis. As I mentioned, following the 1907 crisis, reform efforts led to the founding of the Federal Reserve, which was charged both with helping to prevent panics and, by providing an "elastic currency," with smoothing seasonal interest rate fluctuations. In contrast, reforms since 2008 have focused on critical regulatory gaps revealed by the crisis. Notably, oversight of the shadow banking system is being strengthened through the designation, by the new Financial Stability Oversight Council, of nonbank systemically important financial institutions (SIFIs) for consolidated supervision by the Federal Reserve, and measures are being undertaken to address the potential instability of wholesale funding, including reforms to money market funds and the triparty repo market.⁷ 

As we try to make the financial system safer, we must inevitably confront the problem of moral hazard. The actions taken by central banks and other authorities to stabilize a panic in the short run can work against stability in the long run, if investors and firms infer from those actions that they will never bear the full consequences of excessive risk-taking. As Stan Fischer reminded us following the international crises of the late 1990s, the problem of moral hazard has no perfect solution, but steps can be taken to limit it.⁸ First, regulatory and supervisory reforms, such as higher capital and liquidity standards or restriction on certain activities, can directly limit risk-taking. Second, through the use of appropriate carrots and sticks, regulators can enlist the private sector in monitoring risk-taking. For example, the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) process, the descendant of the bank stress tests of 2009, requires not only that large financial institutions have sufficient capital to weather extreme shocks, but also that they demonstrate that their internal risk-management systems are effective.⁹ In addition, the results of the stress-test portion of CCAR are publicly disclosed, providing investors and analysts information they need to assess banks' financial strength.

Of course, market discipline can only limit moral hazard to the extent that debt and equity holders believe that, in the event of distress, they will bear costs. In the crisis, the absence of an adequate resolution process for dealing with a failing SIFI left policymakers with only the terrible choices of a bailout or allowing a potentially destabilizing collapse. The Dodd-Frank Act, under the orderly liquidation authority in Title II, created an alternative resolution mechanism for SIFIs that takes into account both the need, for moral hazard reasons, to impose costs on the creditors of failing firms and the need to protect financial stability; the FDIC, with the cooperation of the Federal Reserve, has been hard at work fleshing out this authority.¹⁰ A credible resolution mechanism for systemically important firms will be important for reducing uncertainty, enhancing market discipline, and reducing moral hazard.

Our continuing challenge is to make financial crises far less likely and, if they happen, far less costly. The task is complicated by the reality that every financial panic has its own unique features that depend on a particular historical context and the details of the institutional setting. But, as Stan Fischer has done with unusual skill throughout his career, one can, by stripping away the idiosyncratic aspects of individual crises, hope to reveal the common elements. In 1907, no one had ever heard of an asset-backed security, and a single private individual could command the resources needed to bail out the banking system; and yet, fundamentally, the Panic of 1907 and the Panic of 2008 were instances of the same phenomenon, as I have discussed today. The challenge for policymakers is to identify and isolate the common factors of crises, thereby allowing us to prevent crises when possible and to respond effectively when not.

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1. See Ben S. Bernanke (2012), "Some Reflections on the Crisis and the Policy Response," speech delivered at "Rethinking Finance," a conference sponsored by the Russell Sage Foundation and Century Foundation, New York, April 13. For the classic discussion of financial panics and the appropriate central bank response, see Walter Bagehot ([1873] 1897), Lombard Street: A Description of the Money Market (New York: Charles Scribner's Sons). Return to text

2. Information on the centennial of the Federal Reserve System is available at www.federalreserve.gov/aboutthefed/centennial/about.htm .Return to text

3. The Panic of 1907 is discussed in a number of sources, including O.M.W. Sprague (1910), A History of Crises under the National Banking System (PDF), National Monetary Commission (Washington: U.S. Government Printing Office), and, with a focus on its monetary consequences, Milton Friedman and Anna Jacobson Schwartz (1963), A Monetary History of the United States, 1867-1960 (Princeton, N.J.: Princeton University Press). An accessible discussion of the episode, from which this speech draws heavily, can be found in Jon R. Moen and Ellis W. Tallman (1990), "Lessons from the Panic of 1907 (PDF)," Federal Reserve Bank of Atlanta, Economic Review, May/June, pp. 2-13. Return to text

4. See Charles W. Calomiris and Gary Gorton (1991), "The Origins of Banking Panics: Models, Facts, and Bank Regulation," in R. Glenn Hubbard, ed., Financial Markets and Financial Crises (Chicago: University of Chicago Press), pp. 109-74. Return to text

5. As discussed in Bernanke, "Some Reflections on the Crisis" (see note 1), shadow banking, as usually defined, comprises a diverse set of institutions and markets that, collectively, carry out traditional banking functions--but do so outside, or in ways only loosely linked to, the traditional system of regulated depository institutions. Examples of important components of the shadow banking system include securitization vehicles, asset-backed commercial paper conduits, money market funds, markets for repurchase agreements, investment banks, and mortgage companies. Return to text

6. See Bagehot, Lombard Street, in note 1. Return to text

7. For a more comprehensive discussion of recent changes in the regulatory framework, see Daniel K. Tarullo (2013), " Evaluating Progress in Regulatory Reforms to Promote Financial Stability," speech delivered at the Peterson Institute for International Economics, Washington, May 3. Return to text

8. See Stanley Fischer (1999), "On the Need for an International Lender of Last Resort," Journal of Economic Perspectives, vol. 13 (Fall), pp. 85-104. Return to text

9. For example, see Board of Governors of the Federal Reserve System (2013), Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice (PDF) (Washington: Board of Governors, August). Return to text

10. For a more detailed discussion, see Daniel K. Tarullo (2013), "Toward Building a More Effective Resolution Regime: Progress and Challenges," speech delivered at "Planning for the Orderly Resolution of a Global Systemically Important Bank," a conference sponsored by the Federal Reserve Board and the Federal Reserve Bank of Richmond, Washington, October 18. Return to text

본드-스왑스프레드를 이용한 차익거래

최과장의 채권이야기(http://jin1413.tistory.com/?page=10)에서 발췌한 내용임을 밝힙니다.
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국고채는 정부가 원리금을 지급하기 때문에 위험이 없는 채권이다. 물론 국채 등급을 무디스 같은 신평사에서 메기기는 하지만 디폴트 위험은 없다고 보면 된다. 물론 만기까지 보유하지 않는다면 금리 변동에 따른 가치 변화의 위험은 있다. 하여튼 위험이 없는 채권은 금리가 낮다. 안전하기 때문에 issuer는 그만큼 싼 값에 펀딩하고 투자자는 조금 먹어도 마음이 편하다.

 

그렇다면 IRS 금리는 무엇인가? IRS는 고정금리와 변동금리가 교환되는 계약인데 그때의 고정금리를 IRS금리라고 한다. IRS거래를 헤지하기 위해서 스왑뱅크들끼리 스왑 거래를 하는 것을 감안하면 은행 크레딧으로 금리가 형성되어야 하고 당연히 국고채보다 높은 금리를 유지해야 하는 것이 상식이다. 그런데 우리나라는 안 그렇다. 아래 그래프를 보자.

현물(본드)금리-IRS금리 >0, 이 의미는 국고채 금리가 IRS금리보다 높다는 의미이다. 이는 한국IRS 시장 특유의 쏠림에 기인한다. 알다시피 시중 은행의 부동산 담보대출의 90%가 변동금리 대출이며 다른 대출 자산들도 거의 CD등에 연동되어 있는 변동금리 자산이다. 이를 은행은 금리가 변동하는 위험을 헤지하기 위해서 IRS시장에서 Receive Fixed 거래를 하는데 문제는 이를 받아줄 상응하는 규모의 Pay Fixed 수요가 없다는 것이다. Receive 수요가 많으면 IRS금리가 내리게 되고 이러한 현상들이 구조적으로 본드-스왑 스프레드 역전 현상을 고착화 시킨 것이다.

왜 IRS금리가 국고채 금리보다 낮게 형성이 되어 있는지 감 잡았다. 그러면 이를 이용해 어떻게 돈을 버는지 최근 금리를 사용해서 알아보자. 먼저 돈을 빌려야 한다(원래 차익거래는 내 돈 없이 하는 거다). 단기자금시장으로 가 보자. 단기자금시장에서 돈을 빌릴 수 있는 방법으로는 RP매도, 콜머니, CD발행 등이 있는데 여기서는 편의상 CD를 발행했다고 하자.

100억을 빌리고 그 대가로 CD금리를 준다. 그 100억으로 통안채를 산다. 그리고 스왑시장에서 Pay fixed, Receive floating 한다. 8/4일 통안채 1년 금리가 3.17%, IRS Pay금리가 3.13%이니까 차익거래자의 net payoff는 "-CD + 3.17% - 3.13% + CD = 0.04%"로 계산된다. 91일 이후 CD 만기가 왔을때 별 문제 없이 roll-over된다고 가정하고 1년 동안 이 구조를 그대로 가지고 가자. CD금리가 변동하더라고 IRS에서 수취할 CD도 같이 변동하니까 금리 변동위험은 없는셈이다. 수익이 크지는 않지만 무위험으로 얻을 수 있는 수익이 4bp이면 100억당 4백만원이니 레버리지 왕창 일으키면 예를 들어서 1조를 한다치면 4억을 그냥 먹을 수 있는 셈인데 왜 모든 투자자가 이런 전략을 실행하지 않을까?

시가평가, Mark-to-market하는 경우에는 본드-스왑 스프레드의 변화에 따라 daily 포지션의 valuation이 달라지기 때문이다. 스프레드가 축소되는 경우에는 문제가 없지만 확대되는 경우 즉, 통안채 1년 금리가 오르고 IRS 금리가 내릴 경우에는 포지션 손실이 누적되게 되고 증권사 등의 내부 손실한도에 걸려 포지션을 강제 unwinding해야되는 경우가 발생한다. 만원 지하철에 자리가 비었는데 사람들이 앉지 않는데는 다 이유가 있다.


1편이 국내기관의 스프레드 활용 전략이었다면 이번 2편은 외국인의 차익거래 전략이다. '현물금리 - IRS금리'가 아니라 '현물금리 - CRS금리'의 차이를 활용한 외국인의 차익거래를 설명해 보겠다.

CRS거래는 IRS거래와는 달리 원금이 교환된다. 100억, 환율 1000원이라면 CRS거래를 시작할 때 100억과 10mil이 교환이 된다. 그리고 만기까지 6개월에 한번씩 crs rate*notional과 6mo libor*notional이 교환된다. 만기에는 100억과 10mil이 반대로 교환된다. 스왑시장은 이자, 원금 등의 방향이 처음에는 매우 헷갈리기 때문에 기준을 정할 필요가 있다. 한방향에 익숙해지면 나머지는 다 반대로 해석하면 되기 때문이다. 'CRS Receive는 원화를 주고 달러를 받는 거래, 달러 차입할 때 CRS Receive한다' 정도만을 기억하고 일단 넘어가자.

외국인이 우리나라에서 하는 차익거래는 CRS Pay, 국채/통안채/산금채 등의 매수 combination이다. 아래 그래프를 보자. 2007년말 까지 950원 이하에서 놀던 원달러 환율이 2008년 초부터 불안불안 하더니 급등하기 시작한다. 리만 부도사태를 전후해서는 1500원 이상까지 올랐으니 1년 사이 거의 60% 가까운 평가절하이다. 초록색 라인의 환율이 급등할 때 빨간색 라인인 crs1년 금리는 급락세를 시현하였다. 2008년 11월에는 처음으로 (-) crs금리 값을 보이더니 2009년 1분기를 넘어서까지 (-) 값을 보였다.

CRS 시장의 관점에서만 보면 안전자산으로서의 달러 수요가 급증하면서 'CRS Receive'를 받아줄 pay 수요가 없으니 crs금리가 단기간에 마이너스까지 급락한 것이다. 국내 기관의 입장에서는 달러를 펀딩하고 원화를 주면서 6mo libor 금리 pay하면서 crs금리까지 receive하지 못하고 pay하는 상황까지 가게 된 것이다.

외국인 투자자 입장에서는 '땅짚고 헤엄치기 '상황이 발생한 것이다. 다시 John을 사례로 들어보자. John이 미국 단기자금시장에서 10mil을 6mo libor flat 금리로 빌렸다고 가정하자.(flat은 그 당시 상황을 볼 때 억측같기도 하지만 계산의 편의상 flat으로 가정한다) 10mil을 들고 2008년 11월 13일 한국 자본시장에 와 보니 crs1년이 -0.2%, 산금채 1년이 6.42%에 거래가 된다.

CRS 시장에서 일단 Pay position을 취하면서 가지고 온 10mil을 주고 원화 139억을 수취한다. (11월 13일 환율은 1391원) 이때 -0.2%를 주고, 6mo libor를 받는다. 받은 6mo libor를 미국에 보내면 일단 펀딩 코스트는 해결이된다. 일단 임대료는 건졌으니 다음부터는 내가 다 먹는거다. 손에 쥔 139억원으로 산금채 1년을 산다. 금리는 6.42%, CRS거래에서 -0.2%를 줘야하니 0.2%를 받는 셈이다. 결론적으로 John은 상기 일련의 거래를 통하여 산금채1년 + CRS금리 = 6.62%의 수익을 획득할 수 있다.(한국물에 대한 protection은 하지 않은 것으로 가정한 수익률이다.)

IRS 차익거래에서 설명하였듯이 Mark-to-market으로 차익거래 포지션이 daily평가 되기 때문에 둘 사이 스프레드가 더 벌어지는 경우 John은 손해를 본다. 그래프 보면 알겠지만 국내 채권 금리가 급락하면서 스프레드도 확 줄어들어 John에게는 아주 해피한 2009년이었을 것이다.

국제투자포지션 (IIP) 길라잡이

임경묵 박사님이 페북에 올린 글을 퍼서 아래에 옮깁니다. 아무래도 페북에 두면 나중에 읽고 싶을 때 찾기가 어려워서...
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도토리의 경제 읽기: IIP

2013년 9월 25일 오후 11:24

오랫만에 뵙겠습니다. 요즘 워낙 바빠서 점심시간도 시간을 내기가 어렵네요. 혹시 기다리신 분이 있다면 죄송합니다. ㅎㅎ
오늘은 국제수지 진짜 마지막 시간으로 자주 접하시기 힘든 IIP(International Investment Position)에 대해서 설명드리겠습니다.

경상수지로 잠깐 돌아가 볼까요?
경상수지는 국가 전체로 본 해외와의 거래로 나타난 가계부라고 말씀드렸죠? 그럼 경상수지 흑자가 계속나면 어떻게 될까요?

네! 맞습니다.
외환이 쌓이게 되겠죠?
쌓인 외환을 현찰로 가지고 있을 수도 있지만, 그럴 가능성은 낮을 거고 뭔가 수익성이 있는 해외자산에 투자하게 되는게 정상일 겁니다.
이렇게 되면 외화자산이 담긴 통장이 늘어날 겁니다.
그래서 대부분의 경우 경상수지 흑자가 지속적으로 나게 되면 그 나라는 순 외화자산을 보유하게 되는 것이 일반적입니다.
물론 일부는 정부에서 달러를 매입해서 외환보유고로 쌓이기도 하죠.

우리나라는 경상수지 흑자국이라는 말씀을 드렸었죠?
다시 한번 볼까요?

80년대초와 외환위기 이전을 제외하면 외환위기 이후 쭉 흑자를 내고 있습니다. (70년대 자료는 한은에서 제공하지 않아 잘 모르겠네요. 아는 분이 계시면 알려주셔도 좋겠습니다.) 80년부터 2012년까지 누적 경상수지 흑자를 계산해보니 무려 3천억달러 가량 됩니다. 엄청난 액수죠? 우리나라 1년 GDP가 1조달러를 좀 넘으니 현재 소득의 30% 정도의 외화자산이 있어야 합니다. 이자나 평가이익을 제외해도 그래야겠죠? 별 일이 없었다면......

IIP(한글로는 국제투자대조표라 불립니다.)는 우리나라가 해외에 보유한 외화 금융자산과 외국인이 우리나라에 보유한 금융자산의 현황을 보여주는 표입니다. 여기에는 주식, 채권, 해외직접투자, 대출 등 모든 금융상품이 다 포함됩니다. 부동산 등 실물자산이 빠져 있다는 한계는 있죠. 통계를 작성하기 쉽지 않아서 자주 발표되지 않고, 공식적으로 발표가 정기화 된지도 상대적으로 오래되지 않아서 잘 알려져 있지 않습니다.
그렇다면 2012년 기준으로 우리나라는 얼마의 해외 금융자산을 가지고 있을까요? (이건 외환보유액 포함입니다.)

8천 400억 달러입니다.
어라? 경상수지 누적 흑자는 3천억 달러인데? 어떻게 8천억이 넘는 해외 금융자산을 가지고 있지? 하실 수 있습니다. 경상수지 이외에 자본수지도 있죠? 외국인이 우리나라 자산을 사면서 국내에서 원화로 바뀐 달러는 다시 우리나라 사람들이 해외자산을 사는데 사용될 수 있습니다. 따라서 누적 경상수지 이상의 해외자산을 가질 수 있는 것이죠. 하기는 외환보유액만도 3천억 달러가 넘으니까요.

그럼 외국인이 보유한 우리나라의 금융자산은 얼마나 될까요?
9천 400억달러가 넘습니다.
헉!

뭐빠지게 일하고 검소하게 살아서 3000억 달러의 누적 경상수지 흑자가 있는데? 왜 Net(우리의 해외보유금액 - 외국인의 우리나라 보유금액)이 마이너스 천억불이나 되는 걸까요?

갑돌이 나옵니다.
갑돌이는 열심히 일해서 100억달러의 경상수지 흑자를 냈습니다.
일 잘하는 나라 같아서 갑순이국이 50억달러를 갑돌이국에 주식으로 투자했습니다. (자본수지 흑자죠?)
갑돌이는 100억달러의 경상수지 흑자와 50억달러의 자본수지 흑자를 합해서 150억 달러의 외환이 생겼네요.
저기 BRICS라는 나라들에 투자하면 좋을 거라고 해서 150억 달러를 투자했습니다.
현재 상태로 보면 갑돌이가 보유한 해외 금융자산은 150억 달러, 갑순이가 보유한 우리나라 금융자산이 50억달러이니 Net IIP는 100억달러입니다. 경상수지 흑자와 같죠?
1년 후.....논의의 편의를 위해 경상수지는 0이었다고 하겠습니다.
갑돌이국 주식은 엄청 올라 두배가 되었습니다. 갑순이의 보유금액은 100억달러가 되어 버렸네요.
그런데....이런 BRICS 주식은 반토막이 나버렸습니다. ㅜㅜ
그럼 IIP는 어떻게 될까요? 작년만해도 +100이었는데, 이제 75-100 = -25억 달러가 되었네요.
이렇게 누적 경상수지가 흑자라도 투자 성과에 따라 IIP는 완전히 다른 모습을 보이게 됩니다.

눈치 채셨겠지만, 우리나라가 3000억달러 누적 경상수지 흑자를 기록했음에도 현재 Net IIP가 마이너스인 것은 우리나라의 해외 금융투자 실적이 외국인의 국내 투자실적보다 훨씬 부진했기 때문입니다. 우리나라 금융 역량이 부진한 탓이겠지만....억울하기도 합니다.

시계열로 IIP를 한번 볼까요? 2007년이 최악이었고, 조금씩 나아지기는 합니다. 외국인의 경우 우리나라 주식을 많이 가지고 있어서 우리나라 주식시장이 많이 오르면 Net IIP는 더 나빠지는 경향이 있습니다. 아직도 경상수지 흑자를 최근 기준으로 2년 정도 더 내야 0 근처로 가니....괴로운 이야기입니다. 물론 외국인이 투자를 더 잘한다면 경상수지 흑자를 내더라도 0으로 가는데 시간이 더 걸리겠지만요.

다른 나라는 어떨까요?
전반적으로 경상수지 흑자를 내는 국가들이 IIP가 +인 경우가 많습니다.
국가별 비교라는 측면에서 GDP 대비 Net IIP를 그려봤습니다. 싱가폴, 대만, 일본 다 상당한 +를 기록중이네요. 부럽습니다.
사실 국가를 사람에 비유하면 젊을 때 경상수지 흑자를 많이 쌓아두었다가, 고령화되거나 성숙되면서 해외 자산을 많이 축적해두고 해외에서 나오는 소득으로 살 수 있으면 좋습니다. 그런 의미에서 우리나라가 미래에 대비해서 준비해야 할 것이 많은 상황이기는 합니다.



그동안 국제수지 강의 재밌게 읽어주셔서 감사합니다.
다음번에는 정말 환율로 찾아뵐께요!

다녀가신 흔적도 남겨주시면 좋겠습니다. 얼마나 많은 분들이 읽고 계신지를 아는 것은 제게도 힘이 되거든요.

Krugman's on gold price: deflationary of inflationary?

Taken from the Krugman's blog

September 6, 2011, 9:18 pm 240 Comments

Treasuries, TIPS, and Gold (Wonkish)

(Yes, it’s 4:30 AM where I am. I found myself wide awake, thinking about gold prices. You got a problem with that?)
In assessing economic prospects since the financial crisis of 2008, there have been two kinds of people: people who divide people into two kinds and people who don’t inflationistas and deflationistas. The inflationistas look at budget deficits and monetary base, and see severe inflation and soaring interest rates as the obvious outcome; the deflationistas say, hey, we’re in a liquidity trap, so monetary base is sterile and budget deficits are just soaking up some but not all of the world’s excess saving.
I am, of course, a big deflationista, and as I see it record low interest rates strongly vindicate my position. As I like to point out, if you’d believed the inflationistas at the Wall Street Journal and elsewhere, you would have lost a lot of money.
But what about gold? As some readers and correspondents love to point out, you would have made a lot of money if you’d bought gold early in this mess. So doesn’t that vindicate the inflationistas, to some extent?
My usual response has been that I have no idea what drives the price of gold, to say that it’s a market driven by hoarding in Asia, Glenn Beck followers, whatever. But maybe I’ve been too flip here. Why not think about what actually should be driving gold prices? And I mean think about it, rather than going for slogans about inflation, debased currencies, and all that.
Well, I’ve been thinking about it — and the answer surprised me: soaring gold prices may be quite consistent with a deflationista story about the economy.

OK, how do we think about gold prices? Well, my starting point is the old but very fine analysis by Henderson and Salant (pdf), which was actually the inspiration for my first good paper, on currency crises. H-S suggested that we start by modeling gold as an exhaustible resource subject to Hotelling pricing.
Here’s how it works. Imagine that there’s a fixed stock of gold available right now, and that over time this stock gradually disappears into real-world uses like dentistry. (Yes, gold gets mined, and there’s a more or less perpetual demand for gold that just sits there; never mind for now). The rate at which gold disappears into teeth — the flow demand for gold, in tons per year — depends on its real price:

Crucially, at least for tractability, there is a “choke price” — a price at which flow demand goes to zero. As we’ll see next, this price helps tie down the price path.
So what determines the price of gold at any given point in time? Hotelling models say that people are willing to hold onto an exhaustible resources because they are rewarded with a rising price. Abstracting from storage costs, this says that the real price must rise at a rate equal to the real rate of interest, so you get a price path that looks like this:

Obviously there are many such paths. Which one is correct? Given rational expectations (I know, I know) the answer is, the path under which cumulative flow demand on that path, up to the point at which you hit the choke price, is just equal to the initial stock of gold.
Now ask the question, what has changed recently that should affect this equilibrium path? And the answer is obvious: there has been a dramatic plunge in real interest rates, as investors have come to perceive that the Lesser Depression will depress returns on investment for a long time to come:

What effect should a lower real interest rate have on the Hotelling path? The answer is that it should get flatter: investors need less price appreciation to have an incentive to hold gold.
But if the price path is going to be flatter while still leading to consumption of the existing stock — and no more — by the time it hits the choke price, it’s going to have to start from a higher initial level. So the change in the path should look like this:

And this says that the price of gold should jump in the short run.
The logic, if you think about it, is pretty intuitive: with lower interest rates, it makes more sense to hoard gold now and push its actual use further into the future, which means higher prices in the short run and the near future.
But suppose this is the right story, or at least a good part of the story, of gold prices. If so, just about everything you read about what gold prices mean is wrong.
For this is essentially a “real” story about gold, in which the price has risen because expected returns on other investments have fallen; it is not, repeat not, a story about inflation expectations. Not only are surging gold prices not a sign of severe inflation just around the corner, they’re actually the result of a persistently depressed economy stuck in a liquidity trap — an economy that basically faces the threat of Japanese-style deflation, not Weimar-style inflation. So people who bought gold because they believed that inflation was around the corner were right for the wrong reasons.
And if you view the gold story as being basically about real interest rates, something else follows — namely, that having a gold standard right now would be deeply deflationary. The real price of gold “wants” to rise; if you try to peg the nominal price level to gold, that can only happen through severe deflation.
OK, none of this necessarily rejects other hypotheses about gold; in particular, there could be a bubble over and above the Hotelling aspect. But the crucial message is, I think, right: If you believe that gold prices are signaling an inflationary threat, I have to tell you, I do not think that price means what you think it means.
Update: Larry Summers directs me to a 1988 paper he wrote with Robert Barsky (pdf) with a similar theme, although applied to the gold standard era rather than recent events.

Purpose of the M.P. in the midst of the Crisis

This is the speech made by Yongbeum Kim, Vice Governor of FSC, Korea.

In Kim's words:

I want to thank the Bank of Korea and the Governor Kim for inviting me to this conference. It is a distinct honor to participate in and learn from a very timely and important discussion on the topic of Central Bank’s roles in the credit market. As a regulatory agent in a non-reserve currency country, this topic is important to me and the Korean economy. I hope the presentations and discussions here will bring some direction, opportunities and risk-assessment for the expanding role of central banks from around the world.

One of my favorite TV shows when I was studying in the States was Star Trek. I am probably carbon dating myself by admitting this fact. But I do recall enjoying the “cutting-edge” si-fi at that time. At the intro of each episode, Captain Kirk starts the show by saying “to boldly go where no man has gone before”. In some ways, I feel like this comment fittingly describes current state of global economy and markets. Over the past 10 years, governments and central banks around the world have engaged in very “unorthodox” policies to “save” the global economy and markets. From my vantage point, the jury is still out on how all these complex alphabet soup of emergency policies (TARP, QE1,2,3, LTRO etc) will work themselves out and how it will shape the economic and financial markets for the generations to come. The uncertainty and questions come from the fact that the global policy makers have not done what we are doing now, certainly not at this scale. It looks like the global economy is headed where it has not gone before. This is the challenge we face today.

In a way, I see many countries around the world exhausting both fiscal and monetary tools to “fix” their economy. One casual observation is that many are treating the current set of problems as a classic supply-demand imbalance driven growth-deficiency cycle. In other words, the remedies adopted by both fiscal and monetary policies are suited for an “income statement” cycle. What I do sense from my perspective is that the current global cycle is not an “income statement” cycle. It is a classic “balance sheet cycle”. The only difference is that it is BIG and it links either directly or indirectly, all corners of the global economy and markets. We can try to discuss and identify “how did we get here?” I am afraid this is probably a topic for another conference… However, the reason why I am trying to make a distinction between and an income statement or a balance sheet cycle is that the policy remedies and the effectiveness of them will be different depending on which “cycle” we are experiencing.

Korea too had a major cycle not too long ago. In 1997, Korea faced a major financial crisis. We identified early that it is a balance sheet cycle and adopted policy remedy accordingly. We cleaned up bad assets, recapitalized the banking system, and adopted new sets of policies to prevent repeat of such situations. Korea was fortunate enough to recover from the financial crisis faster and in my humble opinion is now stronger. In looking back, what if we did not do this but just have the Bank of Korea lower interest rate to zero. Meaning, how would Korea’s recovery looked if we treated it as a classic income statement recession. Would zero interest rate have fixed the problem? That probably made it easier for some to recover but it would not have fix the primary structural problem—inability for the banking system to lend as long as it is fighting a NPL cycle, no matter how low the interest rates get. Some call this a liquidity trap. Many OECD countries are reporting record low post WWII money velocity figures. This diminishing marginal effectiveness of incremental additional liquidity should be an early warning sign that 5-years after the major market cycle, we are still fighting a balance sheet crisis. This should be an important recognition as we discuss merits of additional and new measures.

As I mentioned earlier, we are now becoming experts on unorthodox monetary policies around the world. In general, at the global central bank meetings, I hope we do not start something like 300% Club. Meaning there is an exclusive club whose membership invitation only goes out to the central bank whose balance sheet increased by 300% over the past few years. Or a $5 trillion club… Sorry this is my poor attempt at humor. In all seriousness, the pace of central banks’ balance sheet expansion has been fast and furious. I think we should pause and think about what this accomplished.

One benefit of being a regulator is that I can say things without writing an extensive research paper. So here is my two cents worth on what the unorthodox monetary policies around the world accomplished over the past few years. First, for the reserve currency countries, it bought time. What the Fed did not do earlier this month says that the economy is still fragile and not being able to digest the impact of an exit. What if this “zero” interest rate policy becomes a permanent feature for the reserve currencies? It may continue to buy time and prevent its economy from slowing but collateral damage for the financial market bubble and economic bubble for the non-reserve currency countries will be quiet damaging. What we have not done is to discuss the true costs of such unorthodox monetary policy measures. This “avoid pain at all cost” logic can cause some collateral damage—in some cases, I can see moral hazard and market imbalance as some side-effects of such aggressive central bank actions.

Also, what I have seen lately is central banks getting more directly involved with credit formation. Over the past few years, central banks have been setting cost of credit artificially as a temporary stop-gap measure. As what started as a short-term measure becomes permanent feature, I see central banks expanding its role and getting directly involved in credit creation. In many cases, I see this development when the fiscal policy gets maxed out. It looks as though, we now have central banks expanding its role as an extension of a fiscal policy.

I personally do not have problems for the central bank’s involvement in credit formation, especially if the government’s balance sheet is sound and has room to expand. Whatever is the setup, I believe that the central bank initiated credit formation should not be done independently. Since, it will impact the overall economy and markets. As such, this type of activity should be treated like a credit or resource allocation. It should be conducted in discussion as a part of economy wide credit and resource allocation.

In the current challenging environment, we are faced with challenges that we have not experienced. As the global community navigates this turbulent water, what I hope for is for each country to think about the implications of their actions to others around the world. In some ways, countries like Korea, medium-sized non reserve currency country, challenges are immense. We can only play defense but playing defense only is not a popular strategy at home.

I hope that there could be more of these types of open discussions and sharing of what we are thinking and doing. At the end of the day, we are now all in this turbulent water together. We need to share and figure the solution out together.

It was my general comment on the issue so far. And if you need more detailed information, please refer to the additional technical note separately prepared in the back of the room.

Once again, thank you for this opportunity to share my views and thoughts.

CRS, IRS and swap basis

원화와 외화가 만나 주인을 바꾸는 외환시장과 달리, 외환스왑시장은 원화와 외환을 가진 사람이 만나 일정기간 서로 돈을 빌려줬다 다시 받기로 약속하는 시장입니다. 외환시장과 외환스왑시장은 서로 영향을 주고 받기 때문에 환율의 동향을 예측하려면 양쪽의 상황을 모두 살펴야죠.

외환스왑시장에서 중요한 두가지 지표는 통화스왑(CRS) 금리와 이자율스왑(IRS) 금리가 있습니다. CRS 금리는 원화를 빌려주고 달러를 빌리는 사람이 받는 금리입니다 (달러를 빌려주고 원화를 빌리는 사람이 받는 금리는 리보 (LIBOR) 금리이기 때문에 따로 결정할 필요가 없습니다).

예를 들어, A라는 은행이 1000달러가 있고, B라는 은행이 120만원이 있다면, 환율을 1달러/1200원으로 정하고 1년간 1000달러와 120만원을 맞교환합니다. 그리고 서로 돈을 빌린데 대한 이자를 교환해야 하는데, A은행은 B은행측에 CRS 금리만큼을 내고, B은행은 A은행에 LIBOR 금리 만큼을 냅니다.

이자율스왑 (IRS)은 서로 다른 종류의 이자를 맞교환하는 방식입니다. 예를 들어, C라는 은행은 CD금리로 돈을 빌렸습니다. 그런데 CD금리가 변하면 이자를 더 많이 내야 할 수도 있기 때문에, C은행은 안전하게 고정금리로 내기 원합니다. 이럴 때 이자율스왑을 이용하면 이자율을 고정할 수 있죠. 이렇게 고정금리 이자를 주고 변동금리 이자를 받는 이자율스왑을 IRS 페이라고 합니다 (IRS 리시브는 반대겠죠).

CRS금리에서 IRS금리를 뺀 값을 스왑 베이시스 (swap basis)라고 부릅니다. 스왑 베이시스는 한국에서 달러를 얼마나 쉽게 구할 수 있느냐를 보여주죠. 예를 들어, CRS 금리가 높고 (즉, 달러를 구하기가 쉽고) 국내의 이자율이 낮다면 (즉, IRS 금리가 낮다면), swap basis는 플러스가 될 것입니다. 반대로, CRS 금리가 낮고 (즉, 달러를 구하기가 어렵고) 국내의 이자율이 높다면 (즉, IRS 금리가 높다면), swap basis는 마이너스가 될 것입니다.

현재 한국은 달러를 구하기가 어려워 16일에는 CRS 금리가 0%까지 내려갔고, 금리는 계속 올라 1년물 IRS가 6% 가까이 올라갔습니다. 따라서 스왑 베이시스는 1년물 기준으로 -598bp (베이시스 포인트), 즉 5.9%까지 내려갔습니다. 이는 사상 최저치로서, 그만큼 달러를 구하기가 쉽지 않다는 뜻입니다.

한국은행에서는 이러한 스왑시장의 혼란을 막고자 경쟁입찰 방식으로 시중 은행에 직접 달러를 공급하기로 했습니다. 하지만 한국은행이 달러를 무한정 보유한 것도 아니고, 외국에서 달러가 공급되지 않는다면 언젠가 한국은행의 달러도 바닥날 수 밖에 없습니다. 따라서 지금 처럼 외국에서 달러가 들어오지 않는 상황이 오래된다면 한국으로선 대단히 큰 위기를 겪을 수 밖에 없습니다.

결국 앞으로 몇달 내에 해외의 신용경색이 완화되어 한국으로 달러가 들어오지 않는다면 한국은 매우 어려운 상황에 빠지게 됩니다. 반대로, 해외의 신용경색이 빠르게 풀리고 한국으로 다시 달러가 들어오기 시작한다면, 한국경제는 숨통이 트게 되겠죠. 특히 정부와 한나라당이 은행의 대외채무를 보증하는 방안에 합의했다고 하는데, 이에 대한 외국의 반응이 주목됩니다. 문제는 아이슬란드를 비롯한 수많은 국가가 국가 부도에 직면한 지금, 외국의 금융기관이 한국을 믿고 돈을 빌려주기가 쉽지 않다는 점입니다. 게다가 북한의 '중대발표 임박설'까지 나도는 마당에, 어떻게 될 찌 모르는 나라에 돈을 빌려주기가 쉽지 않겠죠. 어쨌든 아직 희망을 포기하기는 이르지만, 그렇다고 안심할 수도 없는 상황임은 분명해 보입니다.

스왑 베이시스가 플러스라는 것은 CRS 금리가 IRS 금리보다 높다는 것을 의미한다. 곧 해외에서 자금을 조달하는 것보다 국내에서 조달하는 게 비용이 적게 든다. 이에 따라 해외에서 채권을 발행하던 기업들이 이제 국내시장으로 눈을 돌릴 것이라는 기대도 커지고 있다. 발빠른 기업들은 벌써부터 스왑뱅크 등에 관련 내용을 문의하고 있는 것으로 알려졌다.

국내은행 한 스왑딜러는 "기업별 신용도에 따라 발행금리가 다르지만, 일부 기업들은 해외에서 발행할 때와 국내에서 발행할 때의 금리레벨을 타진하고 있다"며 "스왑 레이트가 좁혀지자 이에 대한 기업들의 관심이 커지고 있다"고 전했다.

 

<출처: Flowerrain.com>

Plucking model

Milton Friedman's "plucking model" is an interesting alternative to the natural rate of output view of the world. The typical view of business cycles is one where the economy varies around a trend value (the trend can vary over time also). Milton Friedman has a different story. In Friedman's model, output moves along a ceiling value, the full employment value, and is occasionally plucked downward through a negative demand shock. Quoting from the article below:

In 1964, Milton Friedman first suggested his “plucking model” (reprinted in 1969; revisited in 1993) as an asymmetric alternative to the self-generating, symmetric cyclical process often used to explain contractions and subsequent revivals. Friedman describes the plucking model of output as a string attached to a tilted, irregular board. When the string follows along the board it is at the ceiling of maximum feasible output, but the string is occasionally plucked down by a cyclical contraction.

Friedman found evidence for the Plucking Model of aggregate fluctuations in a 1993 paper in Economic Inquiry. One reason I've always liked this paper is that Friedman first wrote it in 1964. He then waited for almost twenty years for new data to arrive and retested his model using only the new data. In macroeconomics, we often encounter a problem in testing theoretical models. We know what the data look like and what facts need to be explained by our models. Is it sensible to build a model to fit the data and then use that data to test it to see if it fits? Of course the model will fit the data, it was built to do so. Friedman avoided that problem since he had no way of knowing if the next twenty years of data would fit the model or not. It did. I was at an SF Fed Conference when he gave the 1993 paper and it was a fun and convincing presentation.
Let me try, within my limited artistic ability, to illustrate further. If you haven't seen a plucking model, here's a graph to illustrate (see Piger and Morley and Kim and Nelson for evidence supporting the plucking model and figures illustrating the plucking and natural rate characterizations of the data). The "plucks" are the deviations of the red line from blue line representing the ceiling/trend:

Notice that the size of the downturn from the ceiling from  a→b (due to the "pluck") is predictive of the size of the upturn from b→c that follows taking account of the slope of the trend. I didn't show it, but in this model the size of the boom, the movement from b→c, does not predict the size of the subsequent contraction. This is the evidence that Friedman originally used to support the plucking model. In a natural rate model, there is no reason to expect such a correlation. Here's an example natural rate model:

Here, the size of the downturn a→b does not predict the size of the subsequent boom b→c. Friedman found the size of a→b predicts b→c supporting the plucking model over the natural rate model.