白芝浩是影子银行家:影子银行、中央银行和全球金融的未来

Perry Mehrling, Zoltan Pozsar, J. Sweeney, Daniel H. Neilson
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引用次数: 118

摘要

沃尔特•白芝浩(Walter Bagehot)所描述的现代影子银行体系和19世纪银行体系的核心都是批发货币市场,由央行提供流动性支持。我们将影子银行描述为“资本市场借贷的货币市场融资”,并构建了这样一个系统的模型,交易商做市并为融资和风险设定价格。利用这一模型,我们描述了基于市场的信贷体系的长期扩张及其在全球金融危机期间的迅速崩溃。该模型还阐明了以市场为基础的信贷体系的经济功能、央行在这一体系中的作用,以及美元融资市场的全球性特征。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Bagehot was a Shadow Banker: Shadow Banking, Central Banking, and the Future of Global Finance
At the heart of both the modern shadow banking system and the 19th century banking system described by Walter Bagehot is the wholesale money market, with the central bank providing a liquidity backstop. We characterize shadow banking as “money market funding of capital market lending” and construct a model of such a system with dealers making markets and setting prices for funding and risk. Using this model, we describe the secular expansion of the market-based credit system and its rapid collapse during the global financial crisis. The model also clarifies the economic functions of the market-based credit system, the role of the central bank in such a system, and the global character of US dollar funding markets.
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