2012年-IMF国际货币组织全球_Money_and_Collateral_21页_1mb

Summary of "Money and Collateral" by Manmohan Singh and Peter Stella

Core Content

This working paper by Manmohan Singh and Peter Stella explores the relationship between money, collateral, and liquidity in the context of the 2008 financial crisis. It emphasizes the evolution of financial systems, particularly in the U.S., and the implications of securitization and collateral chains on monetary policy and financial stability.

Main Points

• Traditional Banking View: In the traditional framework, money and credit are seen as counterparts on either side of the balance sheet. Banks create liquidity through maturity transformation, converting less liquid loans into money.

• Securitization and Liquidity: The advent of securitization and electronic trading allowed for the expansion of collateral-backed assets into highly liquid or money-like assets. This increased the scope of financial intermediation but also introduced new risks.

• Liquidity and Collateral: The paper distinguishes between different types of collateral, namely C1 (safe, always accepted as collateral) and C2 (collateral that loses value during market stress). It highlights the importance of ultimate liquidity, defined as D (central bank deposits) plus C1 held by banks, as a more comprehensive measure of liquidity than just central bank money.

• Money Multiplier: The money multiplier (m) measures the efficiency of the financial intermediary sector. The adjusted money multiplier focuses on the role of central bank deposits (D) and safe collateral (C1) in supporting financial liabilities. It shows that the adjusted multiplier has grown significantly since the 1980s, indicating increased reliance on non-bank financial intermediaries and securitized assets.

• Post-Crisis Liquidity Shortage: The 2008 crisis led to a disintermediation process, reducing the money multiplier and creating a liquidity shortage. The drop in the value of C2 collateral and the increased haircuts on it exacerbated the situation. Central banks and treasuries responded by increasing the monetary base and swapping C2 for C1, but this did not fully resolve the liquidity crisis.

• Role of Central Bank Money: Central bank money (D) is risk-free in nominal terms but has lower yield compared to other assets. Non-financial entities prefer holding C1 (e.g., U.S. Treasury bills) for both yield and liquidity, even though they are not directly backed by D. The paper argues that the supply of C1 is crucial for maintaining market liquidity and that central banks must consider more than just substituting D for C2.

• Safe Assets and Fiscal Policy: The paper discusses the demand for safe assets, such as Treasury bills, and how their supply is influenced by budgetary needs and market conditions. The U.S. Treasury has historically issued a predictable amount of short-term debt, but this may not be sustainable in the current environment where interest rates are near zero.

• Collateral Chains and Market Dynamics: Collateral chains are central to understanding how liquidity is created and maintained in the financial system. The paper suggests that the shadow financial system has played a key role in expanding the scope of collateral, but its lack of regulation contributed to systemic risk.

• Policy Implications: The authors highlight the need for central banks to consider the broader implications of liquidity provision, including the potential for market segmentation and arbitrage. They also suggest that treasuries may need to take on more roles in providing liquidity relief, especially given the fiscal risk involved.

Key Information

• The ratio of financial market debt to liquid assets rose exponentially in the U.S. from 1980 to the 2008 crisis.
• The adjusted money multiplier (m) is a better indicator of liquidity risk than the traditional money multiplier.
• C1 (safe collateral) is primarily determined by the sovereign and central bank, while C2 is market-sensitive and subject to value loss during crises.
• The 2008 crisis led to a sharp decline in the ratio of financial sector liabilities to ultimate liquidity, as C2 assets became less acceptable.
• The Fed's interest rate on excess reserves (25 bps) is higher than the safe asset yield (e.g., 13 bps for T-bills), creating a wedge that reflects market segmentation and the cost of deposit insurance.
• The U.S. Treasury has historically issued a predictable amount of short-term debt, but this may not be sustainable in a low-interest-rate environment.
• The TBAC report suggests that the Treasury should allow for negative yield auctions and issue floating rate notes (FRNs) to manage the transition in the yield curve.
• The disintermediation process post-crisis has led to a reassessment of acceptable collateral, increased haircuts, and a rise in liquidity risk.

Conclusion

The paper concludes that the financial system's reliance on securitized and non-bank collateral has increased liquidity risk. Central banks must consider the broader implications of liquidity provision, including the need to inject liquidity against illiquid assets and the potential for market segmentation. The authors argue that the provision of liquidity relief through collateral substitution should be a key consideration in both monetary and fiscal policy.