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在2007 - 2009年的金融危机中影子银行体系起到了至关重要的作用,其中最重要的作用之一就是创造了系统性风险。由于回购协议是影子银行体系中最大的一部分,在2007 - 2009年的金融危机也有必要关注影子银行系统债券回购的作用,然后讨论回购市场上有效的监管。此外,根据当前的法规,由于回购市场的系统性和结构性弱点,回购市场的监管运动应更多的关注金融机构的风险性系统,而不是个人。
在2007 - 2009年的金融危机中影子银行体系起到了至关重要的作用。联邦技术规范局(2011 b)的报告将影子银行定义为“发生在外部或部分以外的银行系统信用中介,但涉及杠杆和成熟转型”,以及影子银行系统作为“信用中介体系,包括普通银行系统以外的实体和活动”。它为企业在满足他们的资金需求上提供了一个更便宜和更有效的方式,并做为一个对常规银行填补而出现。然而,金融危机表明,影子银行体系仍可以制造处许多风险,其中最重要的一个是系统性风险。
第一章，引言-Chapter 1，INTRODUCTION
影子银行体系-The Shadow Banking System
The shadow banking system played a crucial role in the 2007-2009 financial crisis that, in which one of the most important role is the creation of systemic risk. Since repurchase agreements are the largest part of the shadow banking system, it is necessary to focus on the role of repo in the shadow banking system as well as in the 2007-2009 financial crisis, then discuss for effective regulation on repo market. In addition, for the repo market's systemic nature and structural weaknesses, regulatory exercise on repo market should focus more on systemic risk of financial institutions, rather than individual, as the current regulations.
The shadow banking system played a critical role in the 2007-2009 financial crisis. The FSB (2011b) report has defined shadow banking as "credit intermediation which occurs outside or partially outside the banking system, but which involves leverage and maturity transformation", and the shadow banking system as "the system of credit intermediation that involves entities and activities outside the regular banking system". It provides a cheaper and more efficient way for corporations to meet their needs on funding, and was emerge as a complement to regular banking. However, the financial crisis shown that the shadow banking system can also create a number of risks, in which the most important one is systemic risk.
A repurchase agreement is a financial contract that market participants used it as a financing method to meet short and long term liquidity needs, in which one participant borrows cash from the other by pledging a financial security as collateral. In U.S. repo market, a series of regulatory changes in the 1980s made the repo market an attractive source of short-term financing for primary dealers to finance their positions in the debt of the U.S. government, federal agencies, corporations, and federal agency mortgage-backed securities. Moreover, another significant change in 2005 makes repo transactions eligible for bankruptcy safe harbor protection based on any stock, bond, or security. In addition, the rapid growth of money holding by institutional investors, pension funds, mutual funds, states and municipalities, and non-financial firms is another main driver for increasing use of repos. Unfortunately, there is no official data of the overall size of the repo market in U.S..
Since repos are the largest part of the shadow banking system, and shadow banking is seen to rely on wholesale funding such as repo as the deposits issued by traditional banks, and even seen as more dependent on these sources of funding than traditional banks are on deposits, it is necessary to focus on the role of repo in the shadow banking system as well as in the 2007-2009 financial crisis, and discuss the effective regulation on repo market.
1.1目的和研究目标-1.1 Aim and Research Objectives
The primary aim of this research is:
Shadow Banking System and Repo Market
during 2007-2009 Financial Crisis:
the Implications for Repo Regulation
In particular, the research will address the following research aspects:
Study the classical researches on shadow banking system, repo market and regulations.
Discuss the critical role of repo in 2007-2009 financial crisis and the necessity of repo regulation.
Summarize and discuss recent financial regulation, and give the implications for the future.
1.2论文的结构-1.2 The Structures of Dissertation
There are 6 chapters in this dissertation, the first chapter is the introduction which introduces the reasons for writing, research aim and objectives.
The second chapter briefly introduce the background of the dissertation. First give a definition on "shadow banking system", discuss its role in financial system, and point out its differences compared to traditional banking system. Then provide the definition of repurchase agreement, explaining how it works, outlining a profile of the U.S. repo market, and describing how it came to play such an important role in the shadow banking system.
The third chapter overview classic literatures related to the shadow banking system, repo market and financial regulations.
The fourth chapter using data to help understand the changes in financial crisis, and then discuss the critical role that repos play in the current financial crisis.
The fifth chapter focus on repo regulation, which overview the regulatory framework of repo market, summarize current regulatory exercises in several countries, and then articulate the implications for future repo market regulation.
The last chapter is the conclusion of the research, which summary the main ideas in the paper.
第二章.论文的背景-Chapter 2. Background of Dissertation
2.1影子银行系统-2.1 Shadow Banking System
FSB (2011a) mentions that the emergence of the term “shadow banking system” reflected a recognition of the increased importance of entities and activities structured outside the regular banking system that perform bank-like functions. The recent financial crisis demonstrated that shadow banking is highly interrelated with the regular banking system and can have an significant impact on financial stability. In the later report, FSB (2011b) defined shadow banking as "credit intermediation which occurs outside or partially outside the banking system, but which involves leverage and maturity transformation", and the shadow banking system as "the system of credit intermediation that involves entities and activities outside the regular banking system".
The traditional banking system based on making and holding loans with insured savings as the main source of funds, it borrowing short-term from other banks and lending long-term to the retail consumer.
The shadow banking system based on the business of packaging and reselling loans, it provides a cheaper and more efficient way for corporations to meet their needs on short-term funding, in which repos and asset-backed commercial paper (ABCP) are the main source of funds. These banks provide credit both directly and indirectly through three different processes of financial transformation:
Credit transformation, which means they enhance the credit quality to offer a range of seniority and duration, and a corresponding range of risk and return, from short-term AAA down to equity;
Maturity transformation, by which they finance long-term assets with short-term liabilities, it makes their liabilities much shorter term than their assets, and exposes short-term investors to market liquidity and duration risks;
Liquidity transformation, by which they fund illiquid assets with liquid liabilities, it causes the same result as maturity transformation through different techniques.
According to one measure of the size of the shadow banking system from FSB (2011), it grew rapidly before the financial crisis, from an estimated $27 trillion in 2002 to $60 trillion in 2007, and remained at around the same level in 2010. Gorton and Metrick (2010a) argue that the force from both supply and demand side cause the rapid development of shadow banking system before the current crisis: a series of innovations and regulatory changes eroded the competitive advantage of banks; and bank demand for collateral for financial transactions gave impetus to the development of securitization and the use of repos as a money-like instrument.
On the one hand, it should be recognised that intermediating credit through shadow banking can offer advantages to the financial system. First, shadow banking system provide an alternative source of funding for market participants to bank deposits. Second, since some non-bank entities increased specialization, it provide more efficiently credit resource to meet the specific needs in the economy and reduce the cost the investors. Third, it constitute an alternative source to diversify risk other than traditional banking system. |
