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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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9

8

,

. .


1.

2.

3.

4.

5.

6.

7. :

8.

9.


(equity)

:

(, )

,

:

:

,

, ,

, ,

(internal fund):

(external fund):


.

.

.

()

.


(1970-2000)

5% ,


( 56%)

90% .

.

.

,

, , .

,

.

.


,,

.

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.


.

.

(marketable securities) .

( ) ( ) .

.

10% .

.


.

(collateral) .

.

: (unsecured debt)

(secured debt) .

=

, ,

, .

(restrictive covenants): (: )


(Transaction Costs)

, , (, , )

.

(Economy of Scale)

()

.

, .


(Economy of Scope)

.

.

(Asymmetric Information)

( )

.


, .

.

.

(Adverse Selection)

.

.

.


, (

) (

) ;

(lemons problem) .

(Moral Hazard)

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(hazard) .


- (The Principal-Agent Problem)

(, ) (, )

.

(Conflict of Interest)

.

.

.

( ) .


.

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. .

2002 - (Sarbanes-Oxley Act)

.


(economies of scale)

( ) .

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:

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(Lemons Problem)

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6 (, )


.

Standard & Poors, Moodys, Fitch, Value Line

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(Free-rider problem)

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(The Enron scandal)

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Ex) (SEC; Securities and Exchange

Commission) ,

.

.


(Financial Intermediation)

, .

,

.

, (non-traded) ,

,

.

.


(Net Worth)

= (asseets)- (liabilities);

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

(lenders)

1)

2)

.

(,

.)

.(, .)

.


Ex)

: (Equity) ( Debt)

-

EX)():

():( )

.

.( )


() () .

, .

(stock option) .

.( ) , .

( ) . , , .


?

15 7 , 40

21,000

2001 10, 6 1 . (SEC)

97 6 . .

$200 .


2001 12

: 5

: 13

Kenneth Lay 1 20 .

.

(off-books financial transactions)

.


-

(state verification):

,

.

()

1)

2)

.

(Financial Intermediation)

.


(Debt Contracts)

.

.

(

)


(Net Worth)

.

.

.


.

:

, .

.

(Financial Intermediation)

1-4


:


?

! --- (financial repression)

(financial repression): (, + )

Ex) ( ) .

.


:

.

(, ) .

.


(Financial Crisis)

(, , )

.

.


3

(Currency Crisis; )

, .

( ) .

,(fundamental) .


97 : . . .

(panic): .

(self-fulfilling pessimism):

.

(herding):

(overshooting):

.


(Banking System Crisis)

.

, 10% .

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


, . .

. .

. (bank run) .

.


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(Nonperforming Loans)

3 ()(

, , (

) ) .

: ,

.

.

:

.

: ,

.

(NPL ratio)

2~3% .

6~ 7% .


5

(Loan Loss Reserves) .

(;

write-off) .

,

, .

FLC(Forward Looking Criteria)

97 .


: (FLC)


: ()


:

) .


:


(Foreign Debt Crisis)

80 (insolvency) 97

.

.

(roll-over) (line of credit) .


97

3

.

97

.


.

()

, ,

.

( ) .

-

(net worth) .

-

.

-

( ) .


- (asset write-down)

.

.

.

(bank panics / banking crisis)

(credit crunch; , ) (credit crisis) .


/ .

.

.


.

(emerging markets) .

3 GDP 3% GDP 60%

.

.

GDP 5% .


.

97 .


/

/

/

3:

1:

2:


(Debt deflation) ?

deflate :

. , deflation , .

(liquidation) .

() .

Irving Fisher 1933 .

.


.

. .

. 1930 .

(deflation):

(disinflation):

( )


/

/

/

3:

()

1:

( )

2:


1 :

1:

2:

.


:

( )

2 :

-

()

-

( )


3 :

- ( )

-

-

( )


(1994-1995)

90

-

(lending boom)

- ,

( )

1994 12 20


(1997-1998)

90

-

(lending boom)

- ,

( , )

1997


(2001-2002)

( )

2002 1 6


(2007-2009)

5

?

? ?

?

?

?


?

.

(

)

:

.

. (complacency)

(prudence) .

/ .

. .

(interconnectedness)

. ,

.


.. .

IMF 17: 1980

113 . 43, / 50,

20 .

.

,

. .

.

( Where next? .)


? ?

GDP 25% 14 15 GDP 2 GDP 3 . .

GDP 70% 10 .

0%

1979 GDP 10% 30 2008 10 1.6% .

GDP 6% , 4% . .


GDP

(2012, $)

1

2

3

4

6

15


< >

, ,

: - .

. .

:

.

.

.


(vulnerability) 90 .

81 . .

2000 Greenspan .

2001 .

.

.


2002 , 2006 2007 .

.

80 , .

(CDS)

(OTC )

.

,

.


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 .


?

: (www.economistn.com)


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

80% .

, 20% down pay() .

, ,

(LTV; Loan to Value) 80

(prime)

.

(100) (80)

20 home equity

( ) .


(home equity) =

130

50 .

home equity loan .

home equity (-)

underwater . 2008

20% underwater .

(sub-prime)

.

( 90% ) .

2%-3%

.. ()


() , , . ().

MBS(Mortgage-Backed Securities;

) ABS(Asset-Backed Securities; )

. 90

.

90 ( 70 ) 70 .

MBS

.


. MBS .

.

. MBS

CDO(Collateralized Debt Obligation

; ) .().

CDO ,

.

,

, .


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

,

.

.

100

400, 500

.


, , , . . .


()

20% (down payment)

30 ( )

.


LTV (Loan to Value) = ( / )X100

.

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


(leverage)?

. .

, , ().

.

( ) ?

(leverage effect): ()

(, ) .

(leverage ratio): .

: (/)X100

: (/)X100

: ( /)X100


: = 50%

= ( )

= 3

1

2

= 1 5


: = 30%

= 10%

= 3

1

1 5

= 1 2


(leverage)

. .

.

. (deleverage; ) .

. , , .


(mortgage loan)

1999

2004 .

1

(15-20) 2

(MBS: Mortgage Backed Securities) ,

1

.

.


: (3 ) .

MBS .

( mortgage): (15-20)

MBS

( ).


1992 1 2013 7


10 20

1987 1 2013 7

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


. ,

.


GDP ()


(%)

(deleveraging)


<: 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


()

< >

shadow market


(Shadow Market)

(OTC)

80 .


( )

..

,

.

.


(Shadow Market)

OTC Derivatives

( CDS, CDO..)

,

(off-balance)

() (OTC ).

.()


CDS ?

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

, . / . ( insurance .)


(CDS)

:

:

(, ,

)

99


IB 1

IB 4

IB 2

IB 3

CDS .

.

CDS

1)

(CPCR;

Counter Party Credit

Risk)

2) CDS

3) CDS

4)

5)


(CDS)

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

<: Hartwig 2008>

101


(

)

RP(1)

CP (3)

(10 )

IB ?

>

:

(Equity)


( . )

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

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


RP(1)

CP (3)

(10 )

(deleveraging)

:

:

(Equity)


:

(Margin spiral)

(Loss spiral)

: Brunnermeir(2008)


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

(Network externality):

Too interconnected to fail

.

:

( )

1)

2) .


AIG

Too big to fail()


10

9 25

. JP

19

.

(0810 12 12) . FDIC .

4 .

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


/ RP

1 RP

RP


90


?

.

: (Clearing House) ,

(Registration system)

.

( , )

(mark-to-market) .

: (mark-to-

model) (mark-to-purchase price)

.

.


(Held for Trading) :

1 . . .

(Available for Sale) : 1 . . .

(Held for Maturity) : .


:

, (snapshot reporting)

.

(window dressing) .


:

, IB, ,

.

.

.

:


.

, .

< >

: (leveraging; )

.

(deleveraging; )

( ) .

.

.


?

. .

( international policy coordination) .


:

(Hoarding)

!

Bubble !

EXIT STRATEGY


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