サブプライム問題が金融危機に発展したメカニズムを探る

●Markus K. Brunnermeier, “Deciphering the 2007-08 Liquidity and Credit Crunch（pdf）”（Journal of Economic Perspectives (forthcoming), 草稿版）

　In this light, it seems important to understand the amplification mechanisms that explain why the mortgage crisis has caused such large dislocations and turmoil in the financial markets. The first mechanism involves liquidity spirals that arise from deterioration in borrowers' balance sheets. When asset prices and market liquidity drop during times of crisis, funding requirements for financial institutions increase. This happens because the collateral value of the assets on borrowers’ balance sheets erodes and margins rise or investors are unable to roll over their short-term liabilities. Higher margins force financial institutions to cut back on leverage, exacerbating the initial price decline. A key problem is the maturity mismatch caused by leveraged financing.
　A second amplification mechanism works through the lending channel. Uncertainty about future funding needs, combined with potentially limited access to the lending market at that time, can lead to hoarding and interest rate surges in the interbank market. A third mechanism is runs on financial institutions. Runs occur when each individual financier has an incentive to curtail funding before others do so. Finally, when financial institutions are lenders and borrowers at the same time, network and gridlock risk might emerge. In a gridlock situation, each individual institution is unable to pay its obligation only because the others are not paying theirs. While coordination might resolve this, it is difficult in today’s complex and interwoven financial system.

Yet another Sheep（“Microeconomics to the Rescue”）経由。
明日、じゃないもう日付変わってるから今日研究室行ってコピーしてこよ。