چگونه بحران وامهای بدون پشتوانه جهانی می شود :مدارک و شواهد از اسپردهای پیش فرض مبادله اعتبار بانکی

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times along with short-term global economic prospects. But the importance of common factors rose steadily to exceptional levels from the outbreak of the Subprime Crisis to past the rescue of Bear Stearns, reflecting a diffuse sense that funding and credit risk was increasing. Following the failure of Lehman Brothers, the interdependencies briefly increased to a new high, before they fell back to the pre-Lehman elevated levels – but now they more clearly reflected heightened funding and counterparty risk. After Lehman's failure, the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected.

One enduring question about the financial turbulence that engulfed the world starting in the summer of 2007 is how problems in a small corner of U.S. financial markets – securities backed by sub-prime mortgages accounting for only some 3 per cent of U.S. financial assets – could infect the entire U.S. and global banking systems. Moreover, while the banking system became affected in a generalized fashion by the crisis, the fortunes of banks differed substantially in terms of the market assessment (e.g. differentials in the impact on their share prices) and on the scale of government intervention received. In particular, whether the decision to let Lehman Brothers fail was a critical mistake that unleashed a global economic and financial tsunami will be debated for years. Some say that the authorities should have known that investors perceived banks' fortunes as intertwined, so that letting one fail was bound to undermine confidence in the others. Others say that Lehman Brothers was unique and everyone knew it.1 The crisis that affected the global financial system, in this view, did not reflect the decision to let this one institution fail. Rather it reflected deteriorating global economic and financial conditions that undermined the position of banks as a class. This paper seeks to shed further light on these issues. We analyze the risk premium on debt owed by individual banks as measured by banks' credit default swap (CDS) spreads, focusing on the CDS spreads of the 45 largest financial institutions in the U.S., the U.K., Germany, Switzerland, France, Italy, Netherlands, Spain and Portugal.2 We use principal components analysis (PCA) to extract the common factors underlying weekly variations in the CDS spreads of individual banks. If the spreads for different banks move independently, then we can infer that the risk of bank failure is driven by bank-specific factors. If they move together, then we infer that banks are perceived as subject to common risks. This provides us with the first bit of evidence on how the crisis spread. In addition to estimating the importance of common factors, we attempt to ascertain what they reflect. We examine the association between the common factors on the one hand and real economy influences outside the financial system, transactional relationships among banks, and transactional influences between banks and other parts of the financial system on the other hand.3 We reach the following conclusions. The share of common factors was already quite high, at 62 percent, prior to the outbreak of the Subprime Crisis in July 2007. Banks' fortunes rose and fell together to a considerable extent, in other words, even before the crisis. These common factors were associated with U.S. high-yield spreads – the premium paid relative to Treasury bonds by U.S. corporations that had less than investment grade credit ratings – which we take as an indicator of the perceived probability of default by less creditworthy U.S. corporations, and in turn reflects economic growth prospects.4 For obvious reasons, those defaults and the growth performance that drives them have major implications for the condition of the banking system even in normal times. The share of the variance accounted for by common factors then rose to 77 percent in the period between the July 2007 eruption of the Subprime Crisis and Lehman's failure in September 2008. This is indicative of a perception that banks as a class faced higher common risks than before. At the same time, the measured association between the common factors and U.S. high-yield spreads declined, while the association with measures of banks' own credit risk and of generalized risk aversion increased (Brunnermeier, 2009; Dwyer and Tkac, 2009). An interpretation is that the Subprime Crisis made investors more wary of the risks in bank portfolios for reasons largely independent of the evolution of the real economy but that lack of detailed information on those risks led them to treat all banks as riskier rather than discriminating among them. Following Lehman's failure, there was a further brief increase in the share of the variance accounted for by the common components. Then, although the level of CDS spreads remained high, the share of their variance accounted for by the common component fell back relatively quickly to levels below those that prevailed just before the Lehman episode. In other words, the common movements declined from their peaks but remained at the post-Bear Stearns elevated levels. Thus, the perception persisted that the banks' fortunes were linked. The association between the common factors and high-yield corporate spreads also reemerged, evidently reflecting the perception that a global recession was now in train. More importantly, the common component of CDS spreads became more highly related with measures of funding and credit risk as measured by spreads in the asset-backed commercial paper market and LIBOR minus the overnight index swap. An interpretation is that whereas in the July 2007–September 2008 period investors became more aware of systemic risk in an unfocused sense, Lehman's failure caused that common risk to be more concretely identified with both developments in the real economy and specific problems in the financial system. In sum, then, our answer to the question posed in the title is as follows. Banks fortunes rise and fall together even in normal times. But the importance of common factors rose to exceptional levels between the outbreak of the Subprime Crisis and the rescue of Bear Stearns, reflecting increased diffuse sense that credit risk was increasing. The period following the failure of Lehman Brothers then saw a further increase in those interdependencies, reflecting heightened funding and counterparty risk. In addition there were direct spillovers, as opposed to common movements, from the CDS spreads of U.S. banks to those of European banks. After Lehman's failure the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected. It is helpful to be clear about what this paper does not do. It does not pinpoint any one bank or set of banks as systemically important. Rather, the extent of co-movement in spreads points to tendencies of the degree to which the system is perceived to be tied to common factors. An individual bank within the set examined may be more or less tied to the common factors to the extent that it has a larger or smaller extent of idiosyncratic risk. Ultimately, then, the methodology outlined here is a guide for policy only to the extent that it highlights overall trends. The task of determining the systemic importance of an individual bank requires examining the data in the books of the banks – or worse, data that should be on the books but is not. The rest of the paper is organized as follows. Section 2 specifies a dynamic factor model in which common latent factors explain the movement of the CDS spreads of the 45 banks in our sample. The model is estimated using PCA in recursive fashion, allowing the contributions of the components to change over time. In Section 3, we consider the possibility of additional spillovers from inter-bank exposures that go beyond the common movements identified by the latent factors. Then in Section 4, we describe the changing relations between these latent factors and a number of high frequency financial series. We also provide a sensitivity analysis to check the robustness of our results. A final section concludes.

We have analyzed common factors in bank credit default swaps both before and during the credit crisis that broke out in July 2007 in order to better understand how this crisis spread from the sub-prime segment of the U.S. financial market to the entire U.S. and global financial system. We showed first that common factors in CDS spreads are present even in normal times; they reflect the impact of the macroeconomy – the ultimate common factor from this point of view – on banks as a group. But the importance of the common factor increased significantly between the eruption of the Subprime Crisis in July 2007 and the failure of Lehman Brothers in September 2008. This increase in the common factor seems to have been associated with a proxy for the banking-sector credit risk premium, especially in the period prior to the rescue of Bear Stearns. In contrast, the association with the state of the real economy, which had been evident prior to the crisis, appears to have been somewhat attenuated. In other words, in this abnormal period investors were not yet concerned so much with the prospect of a global recession that would impact the banks' loan books as with other credit risks affecting the banks – connected, presumably, with their investments in sub-prime related securities. After the failure of Lehman Brothers the importance of the common factor remained elevated. But where movements in that factor had previously been related to diffuse measures of generalized banking-sector credit risk, they now became increasingly linked to measures of funding risk. In addition, the association of the common factor with the real economy reasserted itself, as evidence of the deepening recession mounted. What does this evidence imply for policy decisions taken in this period? With benefit of hindsight (which is what a retrospective statistical analysis permits), we can see a substantial common factor in banks' CDS spreads that could have alerted the authorities to the risks of allowing a major financial institution to fail. The further increase in that common factor in the period between the outbreak of the Subprime Crisis and the critical decision concerning Lehman Brothers should have implied further caution in this regard. It was not the implications of any impending economic slowdown about which investors were primarily worried in this period; rather the concern was about the state of the banks' asset portfolios and, presumably, their investments in securities in particular. The heightened co-movement at least in part reflected incomplete knowledge about the magnitude of toxic asset positions in this relatively early stage of the crisis and, hence, raised the possibility that instability could spread more quickly and widely than assumed in the consensus view. In the event, Lehman Brothers was allowed to fail, after which the sensitivity of the CDS spreads of global banks as a group experienced heightened sensitivity to the whole range of economic and financial variables. As those variables deteriorated, the result was a perfect storm.