サブプライム問題に関連して

　Rodrick先生に先を越された（笑）*1というのは兎も角、VOXに掲載されているCecchetti教授の論説は、FAQ形式でサブプライム問題の本質や、先週の米EU日の介入のメカニズムが詳細に記載されていて参考になります。あと、BuiterとSibertの論説も。こちらは所謂FEDビューって奴ですね。我が国も株価は下落し、円高になっているわけですが、日銀サイドからは何かアナウンスメントはないもんなんでしょうか。丁度来週重要な会合がありましたっけ・・。

Cecchetti論説
http://www.voxeu.org/index.php?q=node/466
BuiterとSibertの論説
http://www.voxeu.org/index.php?q=node/459
Wyplosz氏の論説
http://www.voxeu.org/index.php?q=node/471

※余談ですが、VOXは確かNew Economistで紹介されていまして、早速アンテナ登録したのですが、Krugman、Baldwin,Eichengreen,Bagwatti等々の論説も掲載されていて興味深いものがありますね。

(追記）とりあえず読了。この問題について広く認識された事実は以下の三点でしょう。

• 1.元々住宅バブルの問題は予期されていない事実ではなく、正常化に向かいつつあったこと。
• 2.サブプライムローンはある程度のダメージは伴うかもしれないが市場で吸収可能であること。
• 3.上記二点と合わせて、過去の危機の教訓から金融システムは危機に対する耐性を強めており、適切な対応さえ行えばやがては収束していくであろうこと。

そしてこれらを踏まえつつ、以下のWyplosz氏の論説（抜粋部分）を読むことで現在の状況が浮かび上がるのではないでしょうか。

The next big disagreement is whether things will become worse. It is easy to build scenarios that lead to disaster. Many excellent stories circulate and, like any good horror stories, they ring true. They usually describe hedge funds with serious exposure to subprime loans as quickly trying to restore solvency by selling their best assets, pushing their value down. Even hedge funds that are not exposed to bad loans may be fighting for their lives if their clients withdraw funds, either because they are worried or because they must, given their own regulations or rules. Rating agencies are then forced to downgrade loads of assets and funds whose fundamentals are perfectly safe, simply because they are being downloaded on the market. At that stage, 1929 starts looking heavenly in comparison with what happens next. Well, that could be what is in store. But note that it does not have to be so.

Remember first that, on its own, the mortgage crisis is small beer. Recall next that most serious financial institutions must have made adequate provisions to face this long-expected crisis, some call it normalization. Note that the large central banks have shown that they have learnt the lesson from past crisis and quickly moved to provide the interbank markets with the required liquidity. The situation is basically sound. But financial markets are always subject to self-fulfilling prophecies: if they believe that things will go wrong, things go wrong. That’s where we stand now.
Isn’t it very frustrating to find ourselves, once again, on the verge of disaster and realize that our well-being depends on the whims of a few financiers not particularly known for being sedate? Why can’t we prevent this once and for all? The sad thing is that armies of regulators and supervisors have being doing just that for years and years. Remember Basel II, meant to be even better than Basel I? Nowadays banks are so tightly regulated that it is almost not fun anymore to be a banker. Well, almost. Banking is about lending, and lending is risky. In addition, as we all know, high risk means high (expected) return. Naturally, bankers have responded to regulation by carrying out with lending, risky and not risky, but they have been subcontracting the risk that they are not supposed to hold. The great securitization wave is partly a consequence of the great regulation operation.

The deeper moral is simple. Financial markets exist to do risky things. The more risk they take, the higher the (expected) returns. You can use regulation to squeeze risk out of a segment of the market, say banks, but you don’t eliminate the risk, you just move it elsewhere. New segments, say hedge funds, emerge to take over the risk and the high (expected) returns that go with it. The problem is that little is known of the new segment and its players, so the armies of regulators and supervisors that protect us look in the wrong direction because they don’t know where to look. There has been much talk about regulating the hedge funds; it might happen, so the game will move elsewhere. The only way to eliminate financial crises is to fully eliminate risk. Kim Jung Il knows how; eliminate financial institutions. But that means no (expected) returns.

とか何とか言っているうちにさらに新しい論説が（笑）。

*1:昨日あたりから丁度Cecchetti論説を勉強しつつ備忘録を作ろうと準備してたところでした（汗