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1

1990

1.

2

3

4

5

6

2.

2

Minsky, 1986, 2781

20

margins of safety

margin of errorKregel, 2008, p.4

Kregel 1997, p.543; 2008, p.4

2

uncertainty

Minsky, 1986, 227-228

Keynes, 1936, 152

1

Minsky, 1982, 98 2

2010

3

3

Kregel, 1997, p.544

hedge finance

speculative finance

Ponzi finance

3 1

3

4

Kregel, 2008 p.5 2

2010 48 3

1958 56-64

5

3.

GSE 194562.7% GSE 1974 9.6%

1 1990 1993 21.4%2008 11.1%

2012 15.9% 1950GSE 1974 86.3% 1980 1990

2007 88.0%

2012 76.9% GSE

12 2

1945 280%1959 50%

43.1% 1974 15.2%1980 1990

1993 30.2%2007

13.6%

1960 121974 17.5 19801991 1990 2000

2008

1950 19701980

1990

6

19901990

19901990

1990

1929

1933 GS 4

4 GS 1935 1933

L.110, Flow of Funds Accounts , Board of Governors of the Federal Reserve System..

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

90.0%

100.0%

1945

1947

1949

1951

1953

1955

1957

1959

1961

1963

1965

1967

1969

1971

1973

1975

1977

1979

1981

1983

1985

1987

1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

1 1945-2012 %

GSE

L.110, Flow of Funds Accounts , Board of Governors of the Federal Reserve System..CB09, Histrical Statistics of Banking, Commercial Bank Reports , Federal Deposit InsuranceCorporation.

0.02.04.06.08.010.012.014.016.018.020.0

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

1956

1958

1960

1962

1964

1966

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2 1956-2012

GSE

7

GS 1 23

5

1998 39

16

FRB

NY, 1933, pp.25-26

20

ibid., p.30

21

ibid.

1934 4

5 1989 7 2006

8

1933SEC

20

1930

1

1989 193-195 202-208

1998 1221960

1960

1960 3 6

1950 1960100% 1964

1966

1964 196670% 70 120 60%

FRB NY, 1967, pp.199-200 7

6

1950-51 55 591990 97

7 64 55%

9

1966

1989 253-2581967

1 19702 1980

1 19701972 MMMF

Money Market Mutual Fund CMA Cash Management Account8 1979

19809

2 1980

1980

8 CMA

9

19802003, 50-52

0.0

100.0

200.0

300.0

400.0

500.0

600.0

700.0

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

120.0%

140.0%

160.0%

1946

1948

1950

1952

1954

1956

1958

1960

1962

1964

1966

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

3 % 10 1946-1993

10

Wolfson, 1994, 113-118

1970

1 2

1990

19701982

1982 8

198010 1970

1

1

2

1960 1970 1980 16

17

1980

1980 2 S&L11 1984

Too Big to Fail

2 S&L

1

10 Wolfson, 1994, 2 11 S&L Wolfson 1994 2

11

1980

1989

FIRREA “Modernizing the Federal System”

1991 FDICIA

1980 S&L 1989 FIRREA1001

1994

1999

BHC

20

FHC 2003 56-61

2000 44-46

FDICIA

1991 FDICIA 1

2 3 4

5

2 5

2003, 56-58 12

3

12 10% 8-10% 6-8% 6%

5

12

1970

1980

1988 1 BIS I

1991 FDICIA

FDICIA I 8% 10%

10

1990

4.

1991 FDICIA

16

201956

FRB

1980 201984 J.P. Morgan

“Rethinking Glass-Steagall” SIA“Questioning Expanded Bank Powers”

J.P. BHC 1

13

BHC 21920

SIA 12

34

19201987 70-74

19801987 FRB

20

2000 40 20

1987 4

5% MBS CP

6 ABS

SIV Structured Investment VehicleAlpha Finance 1989 1

9 10%

1997 3 25%

13 1999

19801990

Mitchell, 2006, p.20 2013 199-204 2000 39-462003 54-55

13 JPMorgan Chase, Bank of America, Citigroup

3 BankAmericaRobertson Stephens Travelers J.P. Morgan American Century Travelers Citicorp

14

Originate to Distribute

Originate to Hold

4

5

15

SPV SPVSPV

SPV

MMMFMMMF

SPV

19901990

Citigroup 2003 2005CDO(Collateralized Debt Obligations) 63 201CDO 6 3 2007 1 6

CDO 2003 2006 52008%

Global CDO Issuance and Outstanding SIFMA Thomson Reutuers

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

0.0

100.0

200.0

300.0

400.0

500.0

600.0

2000 2001 2002 2003 2004 2005 2006 2007 2008

6 CDO2000/2008 10 %

16

2000 CDOMBS ABS CDO

CDS2003 6-12 14 7

SPV

SPV

3

60%30 10 CDO10%

40%

14 (2002)

(2010)

17

15

CDS

unconditional irrevocable2004 6

A

A CDSCDO

19908 1990

2000 2007 8 FF50%

FCIC, 2011 pp.114-115 2000FF

FF 15 MBB CMO Collateralized Mortgage Obligation

18

2006 9 3250 16 FF7620 4400

96301990

MMMF

9 MMMF1980 10%

2001 30%60%

MMMF

X =80 16 FDIC Call Report 2007 4

0

500

1,000

1,500

2,000

2,500

8 FF/ 1988Q1+2013Q1,-10

REIT

+200

0

200

400

600

800

1,000

1,200

1,400

1,600

9 FF/ 1988Q1+2013Q1,-10

MMMF GSEs

19

Y =88 9(Y-X)/X

(88-80)/8=10%

X P =100X X/P 1 1-X/P

1-80/100=20%

1 2007 4MBS 2-4% A CDO

2-4% ABS 3-5% A 8-15%B 10-20% CDO 15% A

CDO ABS MBS MMMFA B CDO

1997 66% ABS 3%3% Gordon and Metrick, 2010, pp.263-264

A CDO 25 50

20

MMMF

MMMF MMMF1 ABS 8-10%

A ABS 26 17 MMMF 1970

MMMF 1974

17 ABS Krieger(2010, p.49) A

ABS Financial Times 2008.7.1

2007 4 2008 80.25 30–3 8–12

10–15 25–4015 20

CDS 1 510–12 15–2018–25 35+

ABS CDOs: AAA 2–4 951

AA 4–7 951

A 8–15 951

BBB 10–20 951

50 1001

AAA CLO 4 10–20MBS 2–4 10–20

ABS 3–5 50–60

IMF, Global Financial Stability Report , October 2008, p.42

1 (%)

: Citigroup; Morgan Stanley Prime Brokerage; andIMF staff estimates.1Theoretical haircuts as CDOs are no longer accepted

21

23.8 84 2322 94 6001 20041 8680 2008 3 7573 1998

20023.3% 18

MMMF2008 154

1940 MMMF 195% 2 A 397

2 5% 2 A2 397 3

90 4

MMMF2008 165-167 19

MMMFMMMF

1994 1

MMMFMMMF

MMMF

18 FRB, Flow of Funds Accounts 19 MMMF

1940MMMF

SEC

22

MMMF MMMF

MMMF

SECNRSRO

MMMFANRSRO Richardson and White 2009 pp.102-103

NRSRO

2012215-216

Kregel, 2008, p.7

23

Minsky, 1982, 256-257

CDS

1991 FDICIA 101990

5.

MMMFABS CDO ABCP

Gorton and Metrick 2010 p.261-262FSB(2011, p.3) regular baking system

PIMCO

McCulley, 2007

24

Pozer et al.(2010)ABCP SIV

SPV MMMF

511

SPV

ABCP ABCPABCP

SPVMMMF ABCP

SIVABCP MMMF

25

ABCP SIV

ABCP Conduit SIV Structured Investment Vehicle AAA

ABCP(Asset-Backed Commercial Paper)

(Security Arbitrage) ABCP SIVABCP

ABCPABCP 2 ABCP

ABCP 2007 15480 ABCP

ABCP2140 ABCP RMBS CLO/CBO CMBS

9 ABCP 1740ABCPABS

SIV ABCP 930ABCP MTN SIV

4000 Acharya and Schnabl, 2009a, pp.91-92; 2009b, pp.12-13

26

ABCP 2001

1 5840 2007 7 1 2140 6 212 ABCP

SIV 2000ABCP

MMMF

SPV ABCP SIV6000 IMF ABCP

SIV 1.8 IMF, 2008, p.71

A ABS 20% 50%13

0

200

400

600

800

1000

1200

1400

2001

1

2001

7

2002

1

2002

7

2003

1

2003

7

2004

1

2004

7

2005

1

2005

7

2006

1

2006

7

2007

1

2007

7

2008

1

2008

7

2009

1

2009

7

2010

1

2010

7

2011

1

2011

7

2012

1

2012

7

2013

1

12 CP 2001.1.2013.2 10

CP CP ABCP

27

ABCP

ABCP

MMMF ABCP

3 12 3

3

ABCP ABCP

ABCP7 10% 2007 1ABCP 19.9% 2450 72.4% 8890

ABCP SIV25 Acharya &

Schnabel, 2009a, pp.86-92 MTN

30%

12%SIVs8%

2%

MMF26%

17%

5%

13 AAA ABS

28

SIV

1.8

HSBC ABCP 142007 1 MBS CMBS ABS 205

ABCP 14167 0.3% 6200

HSBC 6200 ABCP185

0.8% FCIC, 2011 p.114Acharya & Schnabel, 2009a,

p.89 20 IMF(2008) SIV1 364

ibid., p.71 3.153.77 205

54

20 Acharya & Schnabel(2009a, p.89) ABCP

I 8%ABCP

J.P.Morgan Chase 2008JPMC 2009

57-58 159-164

29

1991 FDICIA

1990

20079.2

20%

ABCP

6.

2006 9

20076

MBS

30

MMMF NRSRO

21 7 IKB SIVABCP IKB

2007 8 ABCP7

1 2147 ABCP 2008 7 7561 40%

CDO1 2008 3

MMMFJ.P. Morgan Chase

MMMF

2007 MMMF

2008 97.85 MMMF

2008 2008 150-151 MMMFMMMF

2011 112-113

21 IMF(2008)

2007 8 7 A MBSB 5-7

ibid., p.62

31

1

CP

MMMF

2008 9MMMF

MMMF CP

CDS

B2004 6

12 2006 61002 1700

3 2600 12 220147

3.6%

32

2008

2007 12

2008 6MBIA MBIA 29

4529 24

2 22 CDS

2008 9 FRBAIG 2008 2 780 23

CDS 58754410 CDS 5.7

CDS2007 2 1 216

CDS 7 165AIG

1302009 187-189

2007 8ABCP SIV

22 2008 6 19 7 19 23 AIG, 10-Q

33

Acharya & Schnabel, 2009a, p.87 J.P. Morgan Chase ABCP

J.P. MorganJPMC, 2009, 161

SIVAcharya & Schnabel, 2009a, pp.89-93

92008 1.3 8880 2009

2010 1 7000

Citigroup

Citigroup 7 SIV

0

200

400

600

800

1000

1200

1400

1600

1800

2000

'60.0%

'40.0%

'20.0%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

120.0%

140.0%

160.0%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

15 2000'2011 % 10

34

2007 8 870 53% AAA 43% AA12 490

24 20079 ABCP 733

6903434 25

1990

A ABS 50%

1980

2 1990

7.

1990

24 Citigroup Press Release, December 13, 2007 25 Citigroup, 10-Q 2007 3

35

CDS

2007 8

2007 6 CP

Acharya, Viral V. and Philipp Schnabel (2009a) “How Banks Played the Leverage Game,” In

Restoring Financial Stability, ed. by Acharya, V. A. & M. Richardson, New York University

Stern School of Business, John Wiley & Sons

2011 .

― (2009b) “Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial

Paper During the Financial Crisis of 2007-09,” NBER Working Paper No.16079, June.

Financial Crisis Inquiry Commission (2011) The Financial Crisis Inquiry Report, Official

Government Edition.

Financial Stability Board (2011) “Shadow Baking: Strengthening Oversight and Regulation,”

Recommendation of the Financial Stability Board, 27 October 2011.

Federal Reserve Bank of New York 1933 The Banking Act of 1933.

1967 “Term Lending by New York City Banks in the 1960’s,” Monthly Review, October,

pp.199-203. ― 1936 The General Theory of Employment, Interest and Money, London: Macmillan.

36

1995

Gorton, Gary and Andrew Metrick (2010) “Regulating the Shadow Banking System,” Brookings

Papers on Economic Activity, Vol.41, Issue 2, pp.261-312.

International Monetary Fund (2008) Global Financial Stability Report, April.

J.P. Morgan Chase (2009) 2008

Kregel, Jan A. 1997 "Margins of Safety and Weight of the Argument in Generating Financial

Fragility", Journal of Economic Issues, Vol. XXXI, No.2, June.

― 2008 “Using Minsky’s Cushions of Safety to Analyze the Crisis in the U.S. Subprime Mortgage

Market,” International Journal of Political Economy, Vol.37, No.1, pp.3-23.

Krieger, Sandy(2010), “Understanding the Response of the Federal Reserve to the Recent Financial

Crisis,” FRBNY, April 12.

McCully, Paul (2007) “Teton Reflections,” Global Central Bank Focus, PIMCO, August/September.

Minsky, Hyman P. 1982 Can “it” Happen Again?, Armonk, N.Y.: M.E.Sharp.

2003

― 1986 Stabilizing an unstable economy, New Haven: Yale University Press.

1989

Mitchell, Donna(2006) “SIV market grows, so do 'SIV-lites',” Asset Securitization Report, Vol. 6

Issue 33, p.1, p,20.

Pozer, Zoltan, Tobias Adrian, Adam Ashcraft and Hayley Boesky (2010) “Shadow Banking,”

Federal Reserve Bank of New York Staff Report, No.458, July 2010.

Richardson, Matthew and Lawrance J. White(2009) “The Rating Agencies; Is Regulation the

Answer?,” In Restoring Financial Stability, ed. by Acharya, V. A. & M. Richardson, New York

University Stern School of Business, John Wiley & Sons. ―

2011

Wolfson, Martin H. (1994) Financial crises : understanding of postwar U.S. experience, M.E.

Sharpe, Armonk, N.Y..

1995

2011 FRB― ―

73 97-120

2002

1998

12 103-125

2008 MMF

163-173

2004 N-86

37

2013 13 4185-212

2012 ―

214-238

2007 ABCP 2007

18-25

2008 2008

146-163

― 2009 AIG

2009 186-196

1987

69 5 6 289-313

― 2006

1997

Ellen Taylor, Trader’s Guide to the Repo Market, Asset International Inc., 1995.

1998 1

12 37-43

1989

2008 4 13

2007

2000 8 3

36-47

2003

15 12

1990 (1946 65 )- -

172 68-154

2008 MMF

150-156

2003 CDO

2010

52 45-59