2015年-IMF国际货币组织全球_Central_and_Commercial_Bank_Balance_Sheet_Risk_Before_During_and_After_the_Global_Financial_Crisis_54页_1004kb

Central and Commercial Bank Balance Sheet Risk Before, During, and After the Global Financial Crisis

Core Content

This working paper by Joseph Crowley, authorized for distribution by Luca Errico, analyzes the balance sheet risk of central banks (CBs) and depository corporations (DCs), particularly focusing on the period from 2002 to 2013. The study uses IMF SRF-based monetary data to explore trends in asset growth, currency composition, and cross-border exposures before, during, and after the global financial crisis (GFC).

Main Points

1. Asset Growth Trends

• Pre-Crisis Buildup: Most countries experienced a significant buildup of bank assets before the GFC, followed by a tapering but not a decline.
• Asset-to-GDP Ratio: The ratio of total assets of other depository corporations (ODCs) to GDP generally increased before and during the crisis.
• No Significant Unwinding: Following the GFC, there was little significant reduction in asset levels, with most countries returning to pre-crisis levels.
• United States Exception: In the U.S., asset levels never fell below 2002–05 levels as a ratio to GDP.
• Regional Variations: In some regions, such as the Middle East, North Africa, and Central Asia (MENACA), and Sub-Saharan Africa, asset growth was steady, while in others, like the U.S., asset levels declined as a share of GDP.

2. Cross-Border Exposures

• Net Claims on Nonresidents: Net positions of banks against nonresidents weakened globally, especially due to increased liabilities to nonresidents.
• MENACA and Non-Euro European Regions: These regions saw significant deterioration in nonresident balance, often in foreign currency (FC), which was exacerbated by oil price surges.
• CB Role: CBs offset the deterioration in ODCs' positions by building up buffers, which helped stabilize net international positions for most countries.

3. Currency Composition

• Stability in FC Shares: The foreign currency (FC) share of assets and liabilities of banks remained remarkably stable before, during, and after the GFC.
• No Major Shifts: Despite the crisis and globalization, the FC composition of DCs did not change significantly.
• CBs vs. ODCs: CBs had more volatile FC composition compared to ODCs, which were more stable in their FC exposure.

4. Exchange Rates and Dollarization

• Exchange Rate Regimes: Countries with less flexible exchange rates had higher volatility in FC positions, suggesting that exchange rate regimes may be influenced by foreign currency pressures.
• Dollarization Trends: The financial de-dollarization of Latin America is reflected in the data, indicating a shift away from U.S. dollar reliance.

5. Shadow Banking and Risk Management

• Shadow Banking Expansion: Shadow banking activity increased, but data on nonbank financial institutions were limited.
• Risk Mitigation: Banks responded to increased risk by increasing capitalization, which helped offset household debt accumulation.

6. Regional Analysis

• Euro Area: The Euro Area saw a steep increase in CB assets, but the non-euro region had a more pronounced increase in FC assets.
• Japan: The Bank of Japan's balance sheet contracted due to a liquidity trap.
• U.S. and Japan: The U.S. and Japan saw significant CB expansion post-crisis, particularly the U.S. Federal Reserve, due to its role as a safe haven.

7. Short-Term Liabilities and FC Exposure

• Short-Term FC Vulnerabilities: The net open position in short-term FC instruments showed a modest increase in vulnerabilities, though still lower than the average FC gap.
• Non-Euro Area Europe: This region had a significantly larger short-term FC gap, reaching over 15% of total assets in some cases.

Key Information

• The paper uses IMF SRF data for 136 member countries, excluding some with unique reporting formats or volatile data.
• The data reveal that while the GFC did not lead to a significant unwinding of assets in most countries, it did lead to increased risks and vulnerabilities in certain regions.
• CBs played a critical role in stabilizing the financial system by offsetting the negative impacts of ODCs' balance sheet deterioration.
• The stability in FC composition of ODCs suggests that factors other than exchange rate behavior influenced their balance sheet risk.
• Exchange rate flexibility and the presence of FC exposure were found to have a complex relationship, with less flexible regimes showing higher volatility in FC positions.

Summary of Findings

• Asset Growth: Most countries experienced a buildup of assets before the GFC, which largely remained post-crisis.
• Currency Stability: Despite the crisis, FC composition of ODCs remained stable, and CBs managed to absorb residual FC flows.
• Risk Offset: Increased household debt was offset by higher capitalization of banks.
• Regional Differences: The U.S. and Japan showed more significant CB expansion, while non-euro European countries and MENACA had more pronounced FC exposure.
• Exchange Rate Impact: Less flexible exchange rate regimes were associated with higher FC volatility, and CBs were less vulnerable to exchange rate movements due to their control over them.

Conclusion

The paper highlights the resilience of DCs' balance sheets in the face of the GFC, emphasizing the role of CBs in mitigating risks. It also underscores the importance of understanding the interplay between exchange rate regimes, FC exposure, and financial stability. The findings suggest that while the GFC did not lead to a significant reduction in asset levels, it did increase the complexity and vulnerability of balance sheet risk, particularly in regions with high FC exposure.