Politická ekonomie
Politická ekonomie
Politická ekonomie
TEORETICKÝ ČASOPIS • ISSN 0032-3233 (Print) • ISSN 2336-8225 (Online)

Politická ekonomie Vol. 65 No. 6

Kríza likvidity a finančná nákaza v rokoch 2007–2009: ponaučenie do budúcnosti

DOI: https://doi.org/10.18267/j.polek.1170

[plný text (PDF)]

Miroslav Titze

The paper explains modern liquidity crisis and financial contagion from shadow banking systém to money market in 2007–2009. Liquidity shock was massive due to high connectivity with the quality of underlying (securitized) assets. Thus, the problem of solvency was main driver of the liquidity crisis on the interbank market. Counterparty risk was transmitted to the money market through various channels: direct or indirect exposition to shadow banking, confidence channel, asset price channel and wholesale funding run. The structure of paper is following: first part analyzes financial market infrastructure of shadow banking, wholesale funding (originate-todistribute) model and ABCP market; the second one describes financial market turmoil and contagion to the money market. Liquidity crisis strongly hit many segments of the money market: unsecured money market, repo market, FX swap market, Eurodollar market. Liquidity crisis was severe due to strong correlation between counterparty risk and liquidity premium as well between funding and market liquidity. Monitoring of the main causes of the liquidity crisis in his early stages is important for the fast reaction by central banks in terms of collateral quality and quantity of the reserve´s supply.

JEL klasifikace: E43, E50, E52

Adrian, T., Shin, H. S. (2009). The Shadow Banking System: Implication for Financial Regulation. Banque de France, Financial Stability Review, 13, 1–10.

Ashcraft, A. B., Schuermann, T. (2008). Understanding the Securitization of Subprime Mortgage Credit. Federal Reserve Bank of New York. Staff Report No. 318, https://doi.org/10.2139/ssrn.1071189

Baba, N., Packer, F. (2009). From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers. BIS. WP No. 285, https://doi.org/10.2139/ssrn.1458296

Bakk-Simon, K. a kol. (2012). Shadow Banking in the Euro Area: an Overview. European Central Bank. Occasional Paper Series No. 133.

Bernanke, B. (2005). The Global Saving Glut and the U.S. Current Account Defi cit. Remarks at the W.A. Sandridge Lecture at Virginia Association of Economists. 32nd Annual Meeting, Richmond, 10. March, 2005

Borio, C. (2009). Ten Propositions about Liquidity Crises. BIS. Working Paper No. 293, https://doi.org/10.2139/ssrn.1511622

Blommestein, H. J., Keskinler, A., Lucas, C. (2011). Outlook for the Securitisation Market. OECD Journal: Financial Market Trends, 1, 259–276, https://doi.org/10.1787/fmt-2011-5kg55qw0jzf5

Brunnermeier, M. K. (2009). Deciphering the Liquidity and Credit Crunch 2007–2008. Journal

of Economic Perspectives, 23(1), 77–100, https://doi.org/10.1257/jep.23.1.77

Brunnermeier, M. K., Pedersen, H. L. (2007). Market Liquidity and Funding Liquidity. NBER. Working Paper No. 12939,

Cecchetti, G., Disyatat, P. (2010). Central Bank Tools and Liquidity Shortages. FRBNY Economic Policy Review, August 2010.

Cheun. S., Koppen-Mertes, I., Weller, B. (2009). The Collateral Frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the Financial Market Turmoil. ECB. Occasional Paper Series No. 107, December 2009.

Claessens, S., Pozsar, Z., Ratnovsi, L., Singh, M. (2012). Shadow Banking: Economics and Policy. International Monetary Fund, Staff discussion note 12/12, December 4, 2012.

Fender, I., McGuire, P. (2010). Bank Structure, Funding Risk and the Transmission of Shocks across Countries: Concepts and Measurement. BIS Quarterly Review, September 2010

FICR (2011). The Financial Crisis Inquiry Report. The Financial Crisis Inquiry Commission, January 2011, ISBN 978-0-16-087983-8.

Foster, B., Magdoff , F. (2012). Velká fi nanční krize: příčiny a následky. Grimmus, c2009. ISBN 978-80-902831-1-4.

IMF (2014). Global Financial Stability Report: Risk Taking, Liquidity, and Shadow Banking Curbing Excess while Promoting Growth. Washington: International Monetary Fund, October 2014, ISBN 978-1-49839-005-7.

Johnson, G., Santor, E. (2013). Central Bank Liquidity Provision and Core Funding Markets.

Conference Volume 2013, pp. 111–141, Federal Reserv Bank of Australia.

Kacpercyzk, M., Schnabl, P. (2010). When Safe Proved Risky: Commercial Paper During the

Financial Crisis of 2007–2009. Journal of Economic Perspectives, 24(1), 29–50, https://doi.org/10.1257/jep.24.1.29

Oganesyan, G. (2013). The Changed Role of the Lender of Last Resort: Crisis Responses of the Federal Reserve, European Central Bank and Bank of England. Institute for International Political Economy. Berlin WP No. 19/2013.

Packer, F., Stever, R., Upper, CH. (2007). The Covered Bond Market. BIS Quarterly Review, September 2007.

Pozsar, Z., Adrian, T., Ashcraft, A., Boesky, H. (2012). Shadow Banking. Federal Reserve Bank of New York. Staff Report No. 458, Revised February 2012.

Taylor, J. B., Wiliams, J. C. (2008). A Black Swan in the Money Market. Federal Reserve Bank of San Francisco. WP 04/2008.

Taylor, J. B. (2008). The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong. Keynote Speech, Bank of Canada, November 2008.

Titze, M. (2016). Swapové linky Federálneho rezervného systému – medzinárodný veriteľ

poslednej inštancie. Acta Oeconomica Pragnesia, 24(4), 3–23, https://doi.org/10.18267/j.