第二章金融危機對金融體系與總體經濟之影響 25 蔡曜如 2007 8 (subprime mortgage) 2008 9 2009 11 (negative feedback loop) Tobin Q 1 2007
26 全球金融危機專輯 2-1 Tobin Q IMF (2008) Wilson (2008) 2000 2 ( 2-1) 2006 2007 4 (New Century Financial Corporation) 2007 ( 2-2) ( ) 2007
第二章金融危機對金融體系與總體經濟之影響 27 2-2 2-3 Libor (overnight index swaps, OIS) 2007 8 Fannie Mae Freddie Mac 2008 3 7 2008 9 2008 10 Libor OIS 250 (bps) 25-50 bps Libor 150 bps( 75 bps) 1970 2009 5 ( ) 2007 9 2-4 2007 1.25 1.60 122 86 3 2007 10 2008 4 30 2009
28 全球金融危機專輯 2-3 Repo 3 Bloomberg 2-4 (volatility) Bloomberg ( ) 2-5 2007 2008 4 10 2008 2007 2007 9 2008 50 2008 10 2009 3 11 30 2008 A
第二章金融危機對金融體系與總體經濟之影響 29 2-5 2008 (%) A -33.84-31.33-42.68-40.37-42.12-46.03-48.27-49.17-40.73-65.38 2009 11 30 Bloomberg 2009 A ( ) 2008 9 2-6 2008 (Asset Backed Securities Index, ABX) (Chicago Board Options Exchange, CBOE) (Credit Default Swap Index, CDX) 2008 4 2009 ABX
30 全球金融危機專輯 2-6 CDX ABX Bloomberg ( ) 2-7 2006 2008 (mortgage-backed securities, MBS) 4 2005 2006 2 2008 1.2 2006 3.3 2008 1 2008 MBS 1.3 2009 0.35 (covered bond) ( ) 2006 (adjustable rate mortgages, ARMs) 2008 (Alt-A mortgage) 2009 3 9.6%( 26.4%) 2009 3 4.5%( 15.4%) ( 2-8)
第二章金融危機對金融體系與總體經濟之影響 31 2-7 2009 6 IMF (2009f) 2-8 FED US Mortgage Bankers Association
32 全球金融危機專輯 ( ) 2008 10 (International Monetary Fund, IMF) 1.4 1980 ( 2-9) IMF 2009 10 2.8 5% 67% 33% 7% ( 2-1) 2-2 2009 12 1 (Citi Group) (UBS) (Royal Bank of Scotland) (Northern Rock) IKB (Fortis) AIG Goldman Sachs Morgan Stanley (Federal Deposit Insurance Corporation, FDIC) 2009 11 30 2009 124 17 ( 2-10) FDIC 2-9 2-1 ( ) ( ) ( ) (%) 654 371 1,025 8.2 497 107 604 7.2 480 333 813 3.6 1 165 36 201 5.1 2 97 69 166 2.1 1,893 916 2,809 5.0 1. 2. IMF2008 10 IMF(2008) 1. 2. IMF (2009e)
第二章金融危機對金融體系與總體經濟之影響 33 2-2 2009 12 2008 8 2,618 1 2,476 2,098 2 2,055 2,020 3 1,985 1,674 4 (BOA) 1,495 1,498 5 1,448 1,407 6 1,435 (BOA) 1,371 7 1,301 1,310 8 1,084 (BNP) 976 9 1,041 940 10 (UBS) 600 Bloomberg ( 2009.12.1 5 ) ( ) 2008 (deleverage) 5 2007 2-10 FDIC 2009 11 30 ( 2-11) 2009 3 2008 ( 2-12) 2-11 2-12 IMF WEO Database IMF WEO Database
34 全球金融危機專輯 2007 2006 2007 2-13 Case-Shiller 2006 2 2009 1 3 28% 2-14 2005 12 2009 1 45.9% 2009 10 5.1% 2008 2-23.7% 2009 6 2006 11 2009 10-13% IMF 2009 10 2008 2009 2007 5.2% 3% -1.1% 2007 2.7% 2009-3.4% 2007 2.1% 2.6% 2009-2.7% -4.4%( 2-3) (The Business Cycle Dating Committee of the National Bureau of Economic Research) 2007 12 2-15 2009 2 GDP 3.8% 1982 1 2-15 2-3 2-13 2-14 Bloomberg National Association of Realtors
第二章金融危機對金融體系與總體經濟之影響 35 2-15 IMF WEO database Bloomberg 2008 2009-5.4% -5.3% IMF 2009 11.9% 80 ( 2-16) 2007 8.3% 2009 2-3 2007 2008 2009 f 2010 f 5.20 3.00-1.10 3.10 2.70 0.60-3.40 1.30 2.10 0.40-2.70 1.50 2.70 0.70-4.20 0.30 0.00-0.70-5.40 1.70 2.60 0.70-4.40 0.90 8.30 6.00 1.70 5.10 6.30 5.20 1.70 4.00 5.50 3.00-5.00 1.80 8.60 5.50-6.70 2.10 10.60 7.60 6.20 7.30 13.00 9.00 8.50 9.00 9.40 7.30 5.40 6.40 6.30 4.80 0.70 4.00 6.20 5.40 2.00 4.20 5.70 4.20-2.50 2.90 IMF 2009 10 1.7% 5% ( 2-3) (World Bank) 107 2009 ( ) ( ) 5% ( ) 2-17 2009
36 全球金融危機專輯 2-16 2-17 IMF WEO Database IMF 2-18 2007 2009 2009 10 2009 6 ( 2-19) ( 2-20) IMF 2008 5 2008 9 2009 4 2-18 Bloomberg
第二章金融危機對金融體系與總體經濟之影響 37 ( 2-21) IMF V 2009 10 2-22 2008 10.2% 9.7% 1983 3 1999 1 1997 8 7 2008 2-19 2-20 Bloomberg 2-21 IMF WEO Database Bloomberg
38 全球金融危機專輯 2-22 Bloomberg 8 5.9% 2009 3 2 2009 10 2007 6 3.3% 5.2% 2007 9 1.7% 2009 9 3.4% ( ) 2008 ( 2-23) JOC( (CPI) CPI ( 2-24) IMF 2009 10 CPI 2008 3.4% 2009 0.1% CPI -0.4% -1.1% 2008 9.3% 2009 5.3% 2009 2 1 10 CPI -1.5% -1.1% -0.8%( 2-4) ) 2008 7 2008 69% 52% 2009 3 2-23 9 70 80 JOC ( ) 2008 Bloomberg
第二章金融危機對金融體系與總體經濟之影響 39 2-24 IMF WEO Database 2-4 2006 2.0 0.60 1.0 2.2 3.6 4.6 6.2 13.1 1.7 5.8 2007 2.0 1.80 2.1 2.5 2.0 2.2 2.8 5.8 4.8 6.4 2008 4.3 3.53 6.5 4.7 5.4 5.5 9.3 9.5 5.9 8.3 2009 ( ) 0.4-0.8 0.4 2.8 0.7-1.5 3.3 5.4-1.1 10.0 1-10 1-10 1-9 1-10 1-10 1-10 1-10 1-10 1-10 1-9 Bloomberg 1996 2-25 GDP IMF GDP 2005-1.65% 2009-0.65% 2010-0.54% IMF WEO Database ( 2-25)
40 全球金融危機專輯 2008 2-26 GDP ( 2-26) 2009 4 (G20) G20 2010 5 GDP IMF G20 GDP 2009 2% 2010 1.5% 2009 2010 GDP 6 2007 6 OECD 2007 GDP -2.7% -2.9% 2009-12.8% -10.2% 2010-14.0% -11.2% IMF 2009 6 2008 GDP IMF (2009b) GDP OECD Economic Outlook 85 Database
第二章金融危機對金融體系與總體經濟之影響 41 2008 2008 3 2009-2.53% ( ) 1990 2008 9 8 ( ) 2008 3 2009 1-26.87% 1974 2 ( 2-27) 2009 1.09 ( 2-28) ( ) 2008 5 ( 2-29) 9 2008 ( 2-30) ( 2-31) 2008 3 2003 2 SARS 2008 0.57%( 2-32) 2009 3 2007 4.65 2-27 (YOY) 2-28
42 全球金融危機專輯 2-29 2-30 2-31 2-32 (YOY) 2-33 2-34
第二章金融危機對金融體系與總體經濟之影響 43 ( ) 2008 2 2008 3 2008 4 29.49% 2009 4 8.94% 2010 6.85%( 2-33) 2009 8 6.13% ( 2-30) 10 5.96% 65.3 2008 2009 6 35.5 (CPI) ( 2-34) 2007 9 CPI 3% 2008 7 5.81% 2009 2 2008 251 2009 3 331 ( 2-35) 2008 17.5 3 125 140 2009 3 101.4 2009 10 3,412 ( ) 2008 4.5% 2008 4 0.67% 2009 2-35
44 全球金融危機專輯 2-36 ( 2-36) 2000 2006 3 10% 8% 1930 2009 -
第二章金融危機對金融體系與總體經濟之影響 45 ( 1) ( 2) ( home equity reverse mortgage home-equity lines of credits HELOCs housing equity withdrawal HEW ) (home equity) ( 3) 20 ( 4) Ginnie Mae Freddie Mae Fannie Mac (GSEs) MBS MBS ( 5) Fed (Senior Loan Officer Opinion Survey on Bank Lending Practices) (The Euro Area Bank Lending Survey)(Credit Conditions Survey) (Bank Lending Survey) ( 6) GDP
46 全球金融危機專輯 (2009) 5 (2009) 3 (2009) 57 6 (2009) 58 12 Bank for International Settlements (2009), Rescue, Recovery, Reform, BIS 79th Annual Report, June. Board of Governors of the Federal Reserve System (2009), Monetary Policy Report to the Congress, July 21. International Monetary Fund (2008), Assessing Risks to Global Financial Stability, Global Financial Stability Report, Chapter 1, October. International Monetary Fund (2009a), Global Prospects and Policies, World Economic Outlook, Chapter 1, April. International Monetary Fund (2009b), Global Prospects and Policies, World Economic Outlook, Chapter 1, October. International Monetary Fund (2009c), Country and Regional Perspectives, IMF, World Economic Outlook, Chapter 2, October. International Monetary Fund (2009d), From Recession to Recovery: How Soon and How Strong? Global Financial Stability Report, Chapter 3, April. International Monetary Fund (2009e), The Road to Recovery, IMF, Global Financial Stability Report, Chapter 1, October. International Monetary Fund (2009f), Restarting Securitization Markets: Policy Proposals and Pitfalls, IMF, Global Financial Stability Report, Chapter 2, October. Organisation for Economic Co-operation and Development (2009), Beyond the Crisis: Medium-term Challenges Relating to Potential Output, Unemployment and Fiscal Positions, OECD Economic Outlook 85, June. ( 98 12 )