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1、1Image pageThe Global Economic and Financial Crisis: 2007-?Michael R. RosenbergOctober 21, 20082Bulleted pageA Comparison of Financial CrisesIn 2007 U.S. Dollar Terms (US$ bn.)Source: IMF Global Financial Stability Report, October 2008, Chapter 1, p. 16.2.5% of GDP15% of GDP10% of GDP35% of GDPBanki
2、ng Losses in Constant US$ Terms (and as a Percentage of GDP)3Bulleted pageBloombergs Financial Conditions Index since 1992BFCIUS Index GP 4Bulleted pageECRI Leading Index of U.S. Economic GrowthECRWGROW Index GP 5Bulleted pageEquity Market VolatilityS&P 500 VolatilityVIX Index GP 6Bulleted pageOECD
3、Leading Economic Indicator Points to a Significant Slowdown2001-02 Worldwide Recession2007-08 Financial CrisisOG7MA005 Index GP 7Image page1. How Did We Get Into this Mess? A Macro Perspective 81.Global Savings Glut Low long-term interest rates2.Search for Yield Narrow credit spreads3.Easy Monetary
4、Policy Low Nominal and Real short- term interest rates 4.Great Moderation Trend decline in volatility of world output and inflation 5.Increased Risk Appetite Greater leverageTrends in Global Macro Forces in the Run-up to the 2007-08 Financial Crisis9“The financial crisiswas sparked by the end of the
5、 U.S. housing boom, which revealed theexcesses that occurred in subprime mortgage lending.“However,the problem was much broader than subprime lending.“Large inflows of capital into the United States stimulated a reaching for yield, an underpricing of risk, excessive leverage, and the development of
6、complex and opaque financial instruments that seemed to work well during the credit boom but have been shown to be fragile under stress.”Federal Reserve Chairman Ben Bernanke, “Stabilizing the Financial Markets and the Economy”, October 15, 2008Bernanke on the Global Savings Glut and the Subprime Cr
7、isis10Bulleted pageBretton Woods II U.S. Rest of the World SecuritiesUS$US$GoodsThe Rest of the World sells its goods to the U.S. while the U.S. sells its securities to the Rest of the World11Bulleted pageU.S. Current Account Balance as a Percentage of GDP.USLIBOIS Index GP 12Bulleted pageThe Global
8、 Savings Glut and the Determination of World Long-Term Interest RatesRest-of-World Interest RateRest-of-World Savings, InvestmentRoW SavingsRoW InvestmentreRoWrWORLDRoW Savings GlutRest of the World (RoW)RoW Equilibrium Interest RateU.S. Interest RateU.S. Savings, InvestmentU.S. SavingsU.S. Investme
9、ntreUSrWORLDU.S. Savings ShortfallU.S.U.S. Equilibrium Interest RateWorld Interest Rate13Bulleted pageU.S. Five-Year Yields and Nominal GDP GrowthFive Year Bond Yields Have Consistently Tracked the Level of Economic Activity(%)Source: Bloomberg14Bulleted pageU.S. Long-Term Interest Rates Have Been L
10、ow Relative to Economic ActivityThe Gap Between Five-Year Bond Yields and Nominal GDP GrowthU.S. Five Year Yield less Nominal GDP Growth (%)Source: Bloomberg15Bulleted pageCorporate Yield Spreads Baa Corporate /10-Year Treasury Yield Spread.BAA10Y Index GP 16Bulleted pageTaylor Rule OvershootThe Fed
11、 takes out an insurance policyTAYL 17Bulleted pageTighter Fed Policy Would Have Avoided Much of the Housing BoomActual Housing StartsPredicted Housing Starts Based on Actual Fed Funds RatePredicted Housing Starts Assuming the Fed Followed the Taylor Rule PrescriptionsSource: John B. Taylor, “Housing
12、 and Monetary Policy, September 2007. 18Bulleted pageThe Federal Reserves Easy Monetary Policy Was Transmitted to Emerging Market NationsU.S. Real Fed Funds RateU.S. Inflation ExpectationsrUSEmerging MarketspeUSEmerging Market Real Interest RateEM Inflations ExpectationsreEMU.S.rEMpeEMAB19Bulleted p
13、ageGlobal Resource Utilization and the Global Real Policy RateGlobal Resource Utilization (index)Global Policy Rate (index)Source: Bloomberg20Financial Excesses in the 2000sHousingEquity MarketCommoditiesBond MarketCarry TradesExchange RatesBubble, bubble, toil and trouble.21Image page2. The Role of
14、 Financial Conditions in Influencing Federal Reserve Policy 22Bulleted pageThe Role of Financial Conditions in the Transmission of Monetary PolicyChange in Policy RateChange in Economic ActivityFinancial ShockChange in Financial ConditionsReal (Output) ShockRelative Price ShockChange in Inflation23L
15、ibor Rates, Commercial Paper RatesMedium and Long-Term Interest RatesCredit SpreadsEquity PricesHousing PricesAsset-Price VolatilityBank Lending Conditions Why Financial Conditions Are Important in the Transmission of Monetary PolicyIncrease in Fed FundsDecrease in Fed Funds24Bulleted pageMoney Mark
16、et Spreads Have Blown Up U.S. Libor/OIS Spread.USLIBOIS Index GP 25Bulleted pageCredit Spreads Have Blown UpBaa Corporate/ Treasury Spread.BAA10Y Index GP 26Bulleted pageThe U.S. Equity Market Has Fallen Back to 2003 Levels S&P 500 IndexSPX Index GP 27Bulleted pageConstructing a Financial Conditions IndexBloombergs U.S. Financial Conditions Index Components
