Global Banking Glut and Loan Risk Premium

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1、GlobalBankingGlutandLoanRiskPremiumHyunSongShinMundell-FlemingLectureIMFAnnualResearchConferenceNovember10-11,2011Fleming(1962)andMundell(1963)•elevatedcapitalflowsasaseparatemodelingcomponent•...notmerelyasresidualtotherealsideoftheeconomy•Capitalflowsarebackinfocus,bothfor

2、advancedandemergingeconomies•TimetotakestockofchangesinfinancialsystemsinceFleming(1962)andMundell(1963)1FocusonBankingSector•Bankingsectorasdriverofgloballiquidityconditions•Globalbanks(esp.Europeanglobalbanks)astransmissionchannelofgloballiquidityconditions•USdollarascurr

3、encyunderpinningglobalbankingsystem2BISBankingStatistics•BISlocationalbankingstatistics—Classificationbasedonresidence—Branches/subsidiariesofglobalbanksclassifiedunderhostcountry—Consistentwithbalanceofpaymentsandnationalincomestatistics—Cross-borderclaims•BISconsolidatedba

4、nkingstatistics—Classificationbasedonnationalityofparent—Foreignclaims=cross-borderclaims+localclaims—Internationalclaims=cross-borderclaims+localclaimsinforeigncurrency312.0U.S.dollarassetsof10.0banksoutsideUS8.0Euroassetsofbanksoutsideeurozone6.0TrillionDollarsSterlingass

5、etsof4.0banksoutsideUK2.0Yenassetsofbanks0.0outsideJapan-2.0YenliabilitiesofbanksoutsideJapan-4.0Sterlingliabilitiesof-6.0banksoutsideUK-8.0Euroliabilitiesofbanks-10.0outsideeurozone-12.0Mar.1999Dec.1999Sep.2000Jun.2001Mar.2002Dec.2002Sep.2003Jun.2004Mar.2005Dec.2005Sep.20

6、06Jun.2007Mar.2008Dec.2008Sep.2009Jun.2010U.S.dollarliabilitiesofbanksoutsideUS4Figure1:Cross-borderforeigncurrencyclaimsofBISreportingbanksbycurrency(Source:BISlocationalbankingstatistics,Table5A)11.0Trillion2008Q1Dollars10.0UScharteredcommercial9.0banks'totalfinancial8.0

7、assets7.0USdollarassetsof6.0banksoutsideUS5.04.03.02.01999Q12000Q22001Q32002Q42004Q12005Q22006Q32007Q42009Q12010Q2Figure2:USdollarcross-borderforeigncurrencyclaimsandUScommercialbanktotalassets(Source:FlowofFunds,FederalReserveandBIS5locationalbankingstatistics,Table5A)Fig

8、ure3:USDollar-denominatedassetsandliabilitiesofeuroareabanks6(Source:ECBFinancialStabilit