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금융구조의 경제적 분석과 금융위기에 대한 이해 PowerPoint PPT Presentation


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제 9 강. 미쉬킨 8 장. 금융구조의 경제적 분석과 금융위기에 대한 이해. 각국의 금융시스템을 경제적 관점에서 분석 해보면 결국 그 구조는 거래비용문제 , 역선택과 도덕적 해이문제 등에 어떻게 대응하고 있느냐의 관점에서 파악할 수 있다 . 금융위기의 전개 과정 또한 이러한 정보비대칭 문제의 심화 과정으로 이해될 수 있기도 하다. 목차. 1. 기업의 자금 조달 형태 2. 외부 자금의 원천 3. 미국 금융 구조의 주요 특징 4. 금융 구조 분석을 위한 핵심 개념들 5. 거래비용과 금융구조

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금융구조의 경제적 분석과 금융위기에 대한 이해

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6048654

9

8

,

. .


6048654

1.

2.

3.

4.

5.

6.

7. :

8.

9.


6048654

(equity)

:

(, )

,

:

:

,

, ,

, ,

(internal fund):

(external fund):


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.

.

.

()

.


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(1970-2000)

5% ,


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( 56%)

90% .

.

.

,

, , .

,

.

.


6048654

,,

.

Source: Andreas Hackethal and Reinhard H. Schmidt, Financing Patterns: Measurement Concepts and Empirical Results, The data are from 19702000 and are gross flows as percentage of the total, not including trade and other credit data, which are not available.


6048654

.

.

(marketable securities) .

( ) ( ) .

.

10% .

.


6048654

.

(collateral) .

.

: (unsecured debt)

(secured debt) .

=

, ,

, .

(restrictive covenants): (: )


6048654

(Transaction Costs)

, , (, , )

.

(Economy of Scale)

()

.

, .


6048654

(Economy of Scope)

.

.

(Asymmetric Information)

( )

.


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, .

.

.

(Adverse Selection)

.

.

.


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, (

) (

) ;

(lemons problem) .

(Moral Hazard)

. .

.

, ,

(hazard) .


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- (The Principal-Agent Problem)

(, ) (, )

.

(Conflict of Interest)

.

.

.

( ) .


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.

. .

. .

2002 - (Sarbanes-Oxley Act)

.


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(economies of scale)

( ) .

: (, )

Ex) 1 100 .

, , .

3 ( )


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2

:

.

.

: 1

.

2 ( ) 6 ( ) .


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(Lemons Problem)

.

() () . .

.

( ) () . , .


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: () .

(

)

.


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.

: , .

.

.

6 (, )


6048654

.

Standard & Poors, Moodys, Fitch, Value Line

.

(Free-rider problem)

.

.


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(The Enron scandal)

, .

Ex) (SEC; Securities and Exchange

Commission) ,

.

.


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(Financial Intermediation)

, .

,

.

, (non-traded) ,

,

.

.


6048654

(Net Worth)

= (asseets)- (liabilities);

if > 0: (normal), if < 0: (insolvent)

(lenders)

1)

2)

.

(,

.)

.(, .)

.


Equity debt

Ex)

: (Equity) ( Debt)

-

EX)():

():( )

.

.( )


6048654

() () .

, .

(stock option) .

.( ) , .

( ) . , , .


6048654

?

15 7 , 40

21,000

2001 10, 6 1 . (SEC)

97 6 . .

$200 .


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2001 12

: 5

: 13

Kenneth Lay 1 20 .

.

(off-books financial transactions)

.


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-

(state verification):

,

.

()

1)

2)

.

(Financial Intermediation)

.


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(Debt Contracts)

.

.

(

)


6048654

(Net Worth)

.

.

.


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.

:

, .

.

(Financial Intermediation)

1-4


6048654

:


6048654

?

! --- (financial repression)

(financial repression): (, + )

Ex) ( ) .

.


6048654

:

.

(, ) .

.


6048654

(Financial Crisis)

(, , )

.

.


6048654

3

(Currency Crisis; )

, .

( ) .

,(fundamental) .


6048654

97 : . . .

(panic): .

(self-fulfilling pessimism):

.

(herding):

(overshooting):

.


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(Banking System Crisis)

.

, 10% .

(, , ) (trust) (confidence) (credit crunch) (credit crisis) .


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, . .

. .

. (bank run) .

.


6048654

(NPL)?

(Nonperforming Loans)

3 ()(

, , (

) ) .

: ,

.

.

:

.

: ,

.

(NPL ratio)

2~3% .

6~ 7% .


6048654

5

(Loan Loss Reserves) .

(;

write-off) .

,

, .

FLC(Forward Looking Criteria)

97 .


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: (FLC)


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: ()


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:

) .


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:


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(Foreign Debt Crisis)

80 (insolvency) 97

.

.

(roll-over) (line of credit) .


6048654

97

3

.

97

.


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.

()

, ,

.

( ) .

-

(net worth) .

-

.

-

( ) .


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- (asset write-down)

.

.

.

(bank panics / banking crisis)

(credit crunch; , ) (credit crisis) .


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/ .

.

.


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.

(emerging markets) .

3 GDP 3% GDP 60%

.

.

GDP 5% .


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.

97 .


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/

/

/

3:

1:

2:


6048654

(Debt deflation) ?

deflate :

. , deflation , .

(liquidation) .

() .

Irving Fisher 1933 .

.


6048654

.

. .

. 1930 .

(deflation):

(disinflation):

( )


6048654

/

/

/

3:

()

1:

( )

2:


6048654

1 :

1:

2:

.


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:

( )

2 :

-

()

-

( )


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3 :

- ( )

-

-

( )


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(1994-1995)

90

-

(lending boom)

- ,

( )

1994 12 20


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(1997-1998)

90

-

(lending boom)

- ,

( , )

1997


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(2001-2002)

( )

2002 1 6


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(2007-2009)

5

?

? ?

?

?

?


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?

.

(

)

:

.

. (complacency)

(prudence) .

/ .

. .

(interconnectedness)

. ,

.


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.. .

IMF 17: 1980

113 . 43, / 50,

20 .

.

,

. .

.

( Where next? .)


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? ?

GDP 25% 14 15 GDP 2 GDP 3 . .

GDP 70% 10 .

0%

1979 GDP 10% 30 2008 10 1.6% .

GDP 6% , 4% . .


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GDP

(2012, $)

1

2

3

4

6

15


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< >

, ,

: - .

. .

:

.

.

.


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(vulnerability) 90 .

81 . .

2000 Greenspan .

2001 .

.

.


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2002 , 2006 2007 .

.

80 , .

(CDS)

(OTC )

.

,

.


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2004 6 (consolidated supervised

entiries: CSE) Goldman Sachs,

Morgan Stanley, Merrill Lynch, Lehman Brothers, Bear

Sterns 5 (IB; investment bank)

( 15

) .

30 .

(SEC) 2008 9

CSE .


6048654

?

: (www.economistn.com)


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100 . 10, 15, 30 (mortgage), , .

80% .

, 20% down pay() .

, ,

(LTV; Loan to Value) 80

(prime)

.

(100) (80)

20 home equity

( ) .


6048654

(home equity) =

130

50 .

home equity loan .

home equity (-)

underwater . 2008

20% underwater .

(sub-prime)

.

( 90% ) .

2%-3%

.. ()


6048654

() , , . ().

MBS(Mortgage-Backed Securities;

) ABS(Asset-Backed Securities; )

. 90

.

90 ( 70 ) 70 .

MBS

.


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. MBS .

.

. MBS

CDO(Collateralized Debt Obligation

; ) .().

CDO ,

.

,

, .


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. . , 100 , 400~500 (leverage) . ().

,

.

.

100

400, 500

.


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, , , . . .


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()

20% (down payment)

30 ( )

.


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LTV (Loan to Value) = ( / )X100

.

FICO : FICO(Fair Isaac and Company) (300 850 )


6048654

(leverage)?

. .

, , ().

.

( ) ?

(leverage effect): ()

(, ) .

(leverage ratio): .

: (/)X100

: (/)X100

: ( /)X100


6048654

: = 50%

= ( )

= 3

1

2

= 1 5


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: = 30%

= 10%

= 3

1

1 5

= 1 2


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(leverage)

. .

.

. (deleverage; ) .

. , , .


6048654

(mortgage loan)

1999

2004 .

1

(15-20) 2

(MBS: Mortgage Backed Securities) ,

1

.

.


6048654

: (3 ) .

MBS .

( mortgage): (15-20)

MBS

( ).


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1992 1 2013 7


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10 20

1987 1 2013 7

Peaked in July 2006. More than doubled b/w Jan/00 and July 2006.


6048654

. ,

.


6048654

GDP ()


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(%)

(deleveraging)


6048654

<: Hartwig 2008>

*Based on data for last quarter reported (May or June 2008).

Source: The Perils of Leverage, North Coast Investment Research, Sept. 15, 2008


6048654

()

< >

shadow market


6048654

(Shadow Market)

(OTC)

80 .


6048654

( )

..

,

.

.


6048654

(Shadow Market)

OTC Derivatives

( CDS, CDO..)

,

(off-balance)

() (OTC ).

.()


6048654

CDS ?

(Credit Derivative Market) 10 (Shadow Market) . (Credit Default Swap; CDS) .

, . / . ( insurance .)


6048654

(CDS)

:

:

(, ,

)

99


6048654

IB 1

IB 4

IB 2

IB 3

CDS .

.

CDS

1)

(CPCR;

Counter Party Credit

Risk)

2) CDS

3) CDS

4)

5)


6048654

(CDS)

2007 , CDS GDP 4.5 62.2 . 2002 40 . 2008 12% 2001 .

<: Hartwig 2008>

101


6048654

(

)

RP(1)

CP (3)

(10 )

IB ?

>

:

(Equity)


6048654

( . )

(maturity mismatch) . ( ; borrow short and lend long )

IB . ( 20% (roll-over) !)


6048654

RP(1)

CP (3)

(10 )

(deleveraging)

:

:

(Equity)


6048654

:

(Margin spiral)

(Loss spiral)

: Brunnermeir(2008)


6048654

(Fire-sale externality): Too big to fail.()

(Network externality):

Too interconnected to fail

.

:

( )

1)

2) .


6048654

AIG

Too big to fail()


6048654

10

9 25

. JP

19

.

(0810 12 12) . FDIC .

4 .

: FDIC; Insurance Information Institute research, Hartwig(2008)


6048654

/ RP

1 RP

RP


6048654

90


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?

.

: (Clearing House) ,

(Registration system)

.

( , )

(mark-to-market) .

: (mark-to-

model) (mark-to-purchase price)

.

.


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(Held for Trading) :

1 . . .

(Available for Sale) : 1 . . .

(Held for Maturity) : .


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:

, (snapshot reporting)

.

(window dressing) .


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:

, IB, ,

.

.

.

:


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.

, .

< >

: (leveraging; )

.

(deleveraging; )

( ) .

.

.


6048654

?

. .

( international policy coordination) .


6048654

:

(Hoarding)

!

Bubble !

EXIT STRATEGY


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