当前国际金融危机的实质

2020/4/281当前国际金融危机的实质及其理论根源汪祖杰教授南京审计学院金融学院院长经济学博士2008.10.152020/4/282讲题：•一、现实与解释•二、当前金融危机的实质•三、当前金融危机理论根源•四、结论、对策与制度变革2020/4/283•一、现实与解释•（一）金融危机的定义与影响2020/4/284•（1）金融危机的定义•——比较权威的定义是由戈德斯密斯（1982）给出的，是全部或大部分金融指标——短期利率、资产（资产、证券、房地产、土地）价格、商业破产数和金融机构倒闭数——的急剧、短暂和超周期的恶化。其特征是基于预期资产价格下降而大量抛出不动产或长期金融资产，换成货币。2020/4/285•（2）金融危机的类型：•货币危机(CurrencyCrises)；•银行危机(BankingCrises)；•外债危机(ForeignDebtCrises)；•信用危机(CreditCrises)。2020/4/286•（3）美国金融危机和国际金融危机•Ⅰ、美国金融危机：•次贷危机；投资银行全军覆没；信贷市场和股市危机；实质经济危机。•首先，次贷危机的3表现：2020/4/2871）房市的持续下降2020/4/288a）查封量剧增Morethan272,000homesreceivedatleastoneforeclosure-relatednoticeinJuly2008,up55%fromabout175,000inJuly2007andup8percentfromJune.1inevery464U.S.householdsreceivedaforeclosurefilinginJuly2008.=12020/4/289Foreclosure2020/4/2810b）二手房交易量大幅下降Nationwide,themedianexistingsinglefamilyhomepricedown7.6%to$206,500from$223,500inthesecondquarterof2007.=12020/4/2811c）新房销售下降June2007–June2008）房价下降FromJune30,2007toJune30,2008Sacramento,Calif.-35.6%CapeCoral,Fla.-33.1%Riverside,Calif.-32.7%,LosAngeles,Calif.-29.6%LasVegas,Nev.-23.6%Phoenix,AZ-22.5%2020/4/28132）次贷的规模和坏帐•ThevalueofU.S.subprimemortgageswasestimatedat$1.3trillionasofMarch2007–Howsevereissubprimemess?-Realestate-MSNBC.com(2008).•Over7.5millionsubprimemortgagesoutstanding.–FRB:Speech,Bernanke--TheSubprimeMortgageMarket--May17,2007•Approximately16%ofsubprimeloanswithadjustableratemortgageswere90-daysdelinquentorinforeclosureproceedingsasofOctober2007,roughlytripletherateof2005.–FRB:Speech--Bernanke,TheRecentFinancialTurmoilanditsEconomicandPolicyConsequences--October15,2007•ByJanuaryof2008,thedelinquencyratehadrisento21%.•FRB:Speech--Bernanke,FinancialMarkets,theEconomicOutlook,andMonetaryPolicy--January10,20082020/4/2814什么是次级贷款?正级贷款的条件Creditscoreabove620(creditscoresarebetween350and850withamedianintheU.S.of678andameanof723)Nomorethan55%ofnetincomepaysforhousingandotherdebtCombinedloantovalueratioof90%,withatleast10%downpayment.2020/4/2815什么是次级贷款?•Twoormoreloanpaymentspaidpast30daysdueinthelast12months,oroneormoreloanpaymentspaidpast90daysduethelast36months;•Judgment,foreclosure,repossession,ornon-paymentofaloaninthepast;•Bankruptcyinthelast7years;•FICOoflessthan620orotherbureauorproprietaryscoreswithanequivalentdefaultprobabilitylikelihood.2020/4/28163）房产空置率达到历史高位•Thehomeownervacancyrate,rosetoarecord2.9%inthefirstquarterfrom2.8%inthefourthquarter,about1%higherthannormal,accordingtonewCensusBureaudata.•From1995untilthefourthquarterof2005,therateheldbetween1.5%and2%.•About2.2millionvacanthomeswereforsaleinthefirstquarter,aboutonemillionmorethanwastypicalbeforethehousingbubbleburst.•WSJApril29,20082020/4/2817RecordVacancies•Arecord4.1millionvacanthomesareforrent,withtherentalvacancyraterisingto10.1%inthefirstquarter.•WSJApril29,20082020/4/2818HistoricalBackgroundGDP-2-101234567899-II00-I00-IV01-III02-II03-I03-IV04-III05-II06-I06-IV07-IIISeries1Series2BureauofEconomicAnalysis2020/4/2819FederalReserveResponseAggressiveInterestRateCut6.5%May16,2000to1%June25,20032020/4/2820其次，次贷形成的过程???信用不好者为何不自量力大量买房?私有金融机构为何愿意贷款?巨额贷款的资金来源?2020/4/28211）从泡沫到泡沫网络-房产信心的破灭和膨胀2020/4/2822历史背景HistoricalBackgroundNASDAQBubbleBurst2020/4/2823历史背景HistoricalBackgroundDowJonesCrash2020/4/2824GDP1999–2008(2季度)-2-101234567899-II00-I00-IV01-III02-II03-I03-IV04-III05-II06-I06-IV07-IIISeries1Series2BureauofEconomicAnalysis2020/4/28252）美联储连续大幅降息AggressiveInterestRateCut6.5%May16,2000to1%June25,20032020/4/28263）大量资金从股市转向房市房价持续上升,新的泡沫逐步形成2020/4/28274）房价飙升Increasebyover80%Standard&Poor's/CaseShillerhomepriceindexApril29,20082020/4/2828HousingBoom2020/4/2829HousingBoomFrom1987until1999,realhousepricesstayedroughlywithintherangeof$125,000to$150,000.Since2000,realhousepriceshaverisenabovethetopofthisrange.TheU.S.medianpricewasatapproximately$206,200asofthefourthquarterof2007.38%higherthantheprevioushousingboompeakofaninflation-adjusted$149,300in1989.2020/4/2830HousingBoom2020/4/2831California•From2001to2006,thefollowingareasexperiencedover80%pricegrowthininflation-adjustedterms•Tampa,Florida•Miami,Florida•SanDiego,California•LosAngeles,California•LasVegas,Nevada•Phoenix,Arizona•WashingtonDC2020/4/2833$weetHome2020/4/28342020/4/28355）成本和房价脱节造造造2020/4/28366）繁荣的建筑业2020/4/2837HomeOwnership2020/4/28388）买——贷——•2/28贷款•Verylowratefirsttwoyears•不查收入的贷款•无(低)首付贷款•重新贷款•出卖偿贷,赢利.•风险?2020/4/2839其三，结果：百年不遇的金融危机房屋建造过多.房地产建筑业的高速增长加速了GDP的增长.美联储开始加息以防通涨2020/4/2840GDP1999–2008(2季度)-2-101234567899-II00-I00-IV01-III02-II03-I03-IV04-III05-II06-I06-IV07-IIISeries1Series2BureauofEconomicAnalysis2020/4/2841FederalReserveResponseAggressiveInterestRateCut6.5%May16,2000to1%June25,20032020/4/2842房屋库存增加销售放慢危机初现•利息上升，房价下降；•2/28贷款利息上调，支付困难；•负资产，无法重新贷款；•房屋