International Origins of the Financial Crisis 金融危机的国际起因

Philip H. Dybvig 大顽童 Washington University in Saint Louis 圣路易斯 华盛顿大学 Renmin University of China 人大 3rd Five-Star Forum 第三届五星论坛 Beijing June 28, 2010 北京， 2010 年 6 月 28 日

• I would like to express my thanks to the new Institute of Financial Studies (IFS) at SWUFE and especially to Liu Jun 。 We hope to build a leading center for research in finance and banking in China.

非常感谢西南财经大学金融研究院，特别 是刘俊院长。我们希望在中国创建一所前 卫的金融和银行研究中心。

Overview 概述

• plenty of blame to go around'' but 这场金融危机可以归咎于众多的祸因 • many aspects of the crisis flow from a single cause 但其实危机许多方面都来自一个简单的起因 • regulatory failure from Basle I and II is the main culprit 巴塞尔协议 I 和 II 的监管失败是主要的起因 • loss of Glass-Steagall didn't help 格拉斯 and 斯蒂格尔法案的废止也是原因之一 • I am happy people are paying more attention to liquidity, 值得高兴的是人们越来越关注流动性问题 • liquidity is important for understanding the depth and duration of the crisis, but 流动性对于理解危机的深度和持续性很重要 • liquidity is not the topic of this talk 但流动性问题并非是我演讲的主题

Why Deposit Insurance 为什么需要存款保险 Diamond-Dybvig (1983) • When banks hold illiquid assets they add value over competitive markets by improving risk sharing 当银行持有非流动性资产时，通过改善风险分担增加了价值 • Illiquidity of assets can make banks subject to failure due to rational runs by depositors even if bank assets are riskless 即使银行持有的资产都是无风险的，非流动性资产也可以 使银行在面临存款人理性挤兑的时候破产 • Deposit insurance can eliminate bank run 存款保险可以使银行消除挤兑

Deposit Insurance: good and bad 存款保险：优点与缺陷

• (good) protects consumers and reduces the need for their monitoring （优点）保护了消费者，减少了他们的监督 需要 • (good) prevents runs （优点）防止挤提

Deposit Insurance: good and bad

• (bad) transfers to gov't the downside risk taken on by bondholders in other firms （缺陷）将企业债券持有人的风险转移给了 政府 • (bad) makes bank problems a problem for the government and therefore the whole economy • （缺陷）使银行问题成了政府问题，甚至整 个经济的问题

Why regulation?

为什么需要监管 • usual incentive problem of debt: bank owners want to take on too much risk because they collect upside gains but do not bear downside risk 通常的债务激励问题：银行所有者愿意承担过多的风险，因 为他们可以享受收益，却不用承担状况恶化时的的风险 • especially big problem for banks because they are highly levered 高杠杆运作也是银行的大问题 • mitigating the problem (one solution) 缓解的办法 --publicly traded firms: restrictive covenants 公开发行债务的企业：限制性协议 --banks: regulatory oversight 银行业：监管

Traditional Regulation 传统的监管措施 • Bank examiners look at the books to check for: 监管者通过查账： • proper documentation 是否文档完备、属实 • sound lending practices 稳健的贷款操作 • capital adequacy 资本充足率 • evidence of fraud or other problems 是否有欺诈或其他问题

Glass-Steagall originally came into place because Huey Long hated J. P. Morgan and wanted to break up his empire. However, close to Steagall's motivation, it served a useful purpose in a modern economy because splitting investment banks from commercial banks and thrifts kept many dangerous positions outside the deposit insurance umbrella and implied that bank examiners mostly did not have to evaluate the most opaque and complex illiquid positions.

格拉斯 斯蒂格尔法案实施最初是因为 Huey Long 憎恶 J. P. Morgan ，想分拆他的金融帝国。然而， 格拉斯 寸。 斯蒂格尔法的动机却服务了现代经济。因 为它将投资银行从商业银行中分离出来，将许多 危险的头寸置于存款保险的保护之外，意味着银 行监管者不必估量最不透明和复杂的非流动性头

End of Traditional Regulation 传统 监管的终结

• Banks complained: stringent regulation makes it hard to compete internationally 银行抱怨：严格的监管不利于其在国际市场上竞争 • Regulators did not want to be part of a race to the bottom 监管者也不愿意做落后者 • “ solution” -- uniform international regulatory requirements 解决方法：需要统一的国际监管 • can ensure a level playing field without a race to the bottom 确保公平的竞争规则

Basle I capital requirement based on asset class Basle I 的资本充足率要求基于资产类别 Basle II better handling of interest rate risk and other risks use your own model with feedback for opaque model Basle II 在处理利率风险和其他风险方面处理 得更好，主要是对于不透明的模型，采用 了反馈机制

Problems with Basle 巴塞尔协议的问题

• handling of opaque securities based on wishful thinking 基于主观愿望来处理不透明的证券 --feedback is useless for catastrophic failures 反馈机制对于灾难性的失败来说没有任何作用 • informational disadvantage to traditional regulation 传统监管的信息缺陷 --cannot use examiners with discretion and maintain a level playing field —— 不能采用审慎性监管者和维护公平竞争环境

--exception: Canada. The banks complained a lot, but they are still open.

—— 例外：加拿大。 In principle, Basle I and II do not preclude prudent regulation by domestic bank examiners, but that seems to be the exception, not the rule Basle I 和 II 基本上也不排除国内监管者采用 审慎性监管，但是不是规则

Three pillars of Basle

• Capital requirements (flawed as we have mentioned) • Market discipline (does not improve incentives significantly because agents are looking after their own interests - Continental Illinois a good example) • Regulatory oversight (tends to be diluted, and if not it defeats the whole purpose)

Lessons

教训 • International regulation not a magical cure (duh) 国际监管并没有魔力 • Bring back the bank examiners 银行监管者的回归

• Bring back some version of Glass-Steagall 重启格拉斯 斯蒂格尔法案的一些措施 --Manage risk by limiting what activities should take place under the deposit insurance umbrella 对存款保险保护的一些银行业务进行限制 --Glass-Steagall protects regulators from having to deal with unfamiliar complicated positions 格拉斯法也能免于监管者对付不熟悉又复杂的头寸 --Narrow/100%-reserves banking (only liquid riskless assets) a good idea?

缩小银行业务 / 银行保持 100% 的储备（只有具有流动性的无 风险资产）？ --My assessment of the probability that bank regulators can do a competent job used to be high but I am not so sure now 我一直认为银行监管者可以胜任其工作，但是现在却不那么 肯定了

The New Legislation

• Too early to be sure • Contains lots of compromises that seem to endanger banks (can hold some hedge funds etc., not good for bank stability or giving regulators a manageable problem) • According to one of the drafters, there are three unintended consequences on each page.

Some current and recent papers

• http://phildybvig.com/somepapers.html

• "Consensus in Diverse Corporate Boards," with Nina Baranchuk, Review of Financial Studies 22, 2009, 715-747.

• "Portfolio Performance and Agency," with Heber Farnsworth and Jennifer Carpenter, Review of Financial Studies 23, 1-23.

• "Lifetime Consumption and Investment: Retirement and Constrained Borrowing," with Hong Liu, Journal of Economic Theory 145, 2010, 885-907.

papers cont.

• "Renegotiation-proof Contracting, Disclosure, and Incentives for Efficient Investment," with Nina Baranchuk and Jun Yang, Journal of Economic Theory, forthcoming.

• "Increases in Risk Aversion and the Distribution of Portfolio Payoffs," with Yajun Wang • "Operating Efficiency and Corporate Governance," with Mitch Waretchka • "Screening of Possibly Incompetent Agents," with Nina Baranchuk

papers cont.

• "Optimal Casualty Insurance, Repair, and Regulation in the Presence of a Securities Market," with An Chen • "Verification Theorems for Investments Problems with and without Endogenous Retirement," with Hong Liu • "High Hopes and Disappointments" with Chris Rogers (preliminary)

Thanks

谢谢！