世界金融危機と日本チャンスと課題 慶応義塾大学 ２００９年１月１０日 白井早由里
Part 1. State of Financial and Capital Markets Before the Subprime Loan Crisis
Foreign Stocks Held by US Investors As of end-2007 Source: Prepared based on US Treasury data.
US Stocks Held By Foreign Investors As of June 2007
Limited Currency Mismatches on US Side As of Dec. & June 2007
US Securities Held By Foreign Investorsby Type of Securities and Originating Country As of June 2007(Billions $)
Growing Foreign Reserves in East Asia (% World Foreign Reserves)
Cross-Border Banking Activities (June 2008) (Billions of US Dollars) Source: Prepared Based on BIS data.
US and Asia’s Foreign Asset Composition As of 2007 Source: Prepared Based on CEIC and US Gov. data.
Summary and Additional Points in Part I • US investment in foreign stocks was active and large • Europe > Asia > Latin America • US investment in foreign stocks was greater than foreign investment in US stocks • Europe: 2484 vs 1594, Asia: 1182 vs 560 ($ billions) • US government, agency, and firms were able to issue a large amount of LT bonds in US dollar • US creditors faced a limited degree of currency mismatch • US actively invested in foreign LT bonds issued in Cayman Islands (24%), UK (19%), and Australia (4%); and largely in US dollar • A decline in US investment would lead to the shortage of US dollars • US investors faced a limited degree of exchange rate risk
US was risk-taker (investing actively in foreign stock markets, while raising funds internationally through bond markets) • Europe was risk-taker (investing actively in US stocks, corporate bonds, ABS, CDO, etc.) • Asia was risk-averse (investing actively in US treasury securities and agency bonds) • Foreign ownerships of domestic stocks were large in many countries (% of total domestic stocks): 30% (Japan), 40% (Korea) 11% (US) • Cross-border banking activities were undertaken largely by US and European banks • UK banks played the most important intermediary role in terms of circulating bank money (mainly through accepting foreign deposits and investing in foreign deposits) • Japanese banks were most active among Asian banks, but their activities were largely concentrated on the asset side
Write-offs by Major Financial Institutions Have Concentrated in US and Europe As of October 2008 (Billions of US dollars)
Asa Result, • A decline in US investment abroad has occurred mainly through cross-border banking activities • A reduction in foreign bank loans and bank deposits by US banks • Also, a reduction in foreign bank deposits by US firms • Adversely affected other countries’ banking activities (e.g. Korea) • A decline in foreign investment in US has also emerged mainly through cross-border banking activities • Cuts in bank loans to US banks and firms, as well as bank deposits • Adversely affected credit availability and real economy in US ※ Cross-border banking activities have dropped significantly on the global level
US Investment Abroad ($ Millions) ※Minus indicates net outflows ※Minus indicates net outflows Source: Prepared based on IMF data
Foreign Investment in US ($ Millions) ※Plus indicates net inflows ※Plus indicates net inflows
Limited Exposure of Japanese Banks to Structured Credit Products As of June 2008 (Billion US dollars) Source: Prepared based on the Financial Services Agency data.
Factors Contributing to Limited Direct Damages in Japan • Small Banks’ Losses (caused directly by subprime loan crisis) • No removal of firewalls among banking, securities, and insurance • Cautious behavior (lessons from the banking crisis in the 1990s) • Dominant commercial banking Growing investment banking in US • Heavy reliance on deposits increasing wholesale finance in US and Europe • Earlier acceptance of Basel II (from end-2006) than US and Europe • Non-Existence of Serious Real Estate Bubbles in Japan • Greater Scale of Real Estate Bubbles in US (90% increase) in 2000-07 than Japan (50% increase) in 1985-90 • Small Household Debt Problems => Low Household Debt/GDP Ratios: Japan 70% 100% (US), 100% (UK), 110% (Australia) • Limited Cross-Border Liabilities by Banks ($ billion, Sep. 07): 660 (Japan) 6,943 (UK), 3,554 (US), 2,644 (France), 2,013 (Germany) ※ Greater Cross-Border Assets by Banks: 2,217 (Japan) 6,567 (UK), 2,852 (US), 3,920 (Germany)
As a result (until the Lehman Shock), • Continued Positive Credit Growth by Japanese banks (no severe credit crunch) • Relatively stable interbank market => low 3monthTIBOR/FB spread (about 0.5%), but higher dollar-denominated rates for foreign affiliates • Mild increase in corporate bond spreads (0.4% => 0.8%) due to strong financial positions of non-financial firms and ample liquidity • Increase in cross-border M&A • High Capital Adequacy Ratio (as of September 2008) Mizuho (11.5%), Mitsubishi-UFJ (10.7%), Mitsui-Sumitomo (12.5%)
Growing Issues • Sharp Stock Price Drop (withdrawals by investment trusts and foreign investors, declined corporate profits due to sluggish growth) • Gov. action: abolition of naked short selling, change in the current value accounting, extension of low capital gain and dividend taxes, capital injection scheme, and purchase of banks’ stocks by Banks Shareholdings Purchase Corp.) • Tightening of banks’ lending behavior (especially against SMEs) • Increase in the number of bankruptcy (construction, real estate) • Reflecting declining profits (after high growth period of 2002-07) (Gov. action: reduced policy rates, increased credit guarantees and policy loans) • Yen’s Appreciation (25%, rewinding of yen carry trade and global demand for yen as a safe currency) • Declining Export Growth • Japan’s trade deficits in August, October and November 2008
Stock Price Index (2000 M1=100) ※Foreigner’s Share before Sep. 08: Korea (30%), Japan (about 30%), Taiwan (32%), Thailand (31%), Indonesia (21%) Source: Prepared based on CEIC.
Movements of Exchange Rates 2007 M1=100 Appreciation Source: Prepared based on CEIC.
Shares of Exports to US and EU(% Total Exports) China 19% Japan 20% Korea 12% US Market EU Market Japan 15% Korea 15% China 20%
Chances and Challenges Faced By Japan and East Asia (1)Japan and Asia needs to develop a greater internal market for final goods • Promoting more self-complete trade integration through an increase in domestic demand (2) Japan and Asia need to circulate money within Asia: • Heavy dependence on US dollar and US (and EU) risk-taking money ※Need to develop international financial centers in Asia ※Japanese banks should increase cross-border banking activities (3) Japan should more actively engage in cross-border and domestic M&A • Large reserves, good balance sheets, low global stock prices, withdrawal of M&A by foreign investment funds and foreign firms) (4) Japan and Asia need to develop risk-free liquid assets (alternative to US treasury bills) • Promoting the use of JGBs abroad as reserve assets • Greater efforts to develop Asian bond markets (e.g., currency basket)
Challenge 1: More Independent Intra-Regional Trade in Asia Source: METI, White Paper 2007.
Growing East Asia’s Intra-Regional Trade EU 62% Asia 56% Source: IMF, Direction of Trade Database.
Challenge 3: Relatively Limited Outward FDI (¥100 Millions) ※Minus indicates net outflows Source: MOF.
Outward FDI Stock ($ Billions, 2005) Source: OECD.
Challenge 4: Need to Increase Demand for Debt Securities Held by Non-residents (%) 2006 Source: ADB
The Size of Bond Markets in East Asia Source: ADB