Międzybankowy rynek pieniężny i zarażenie

• Autorzy: Marek Lubiński

Warianty tytułu

The Interbank Money Market and Contagion Risk

• Języki publikacji: PL

Abstrakty

Przedmiotem analizy w artykule jest rola międzybankowego rynku pieniężnego w czasie kryzysu finansowego. Zastosowaną metodą badawczą jest krytyczny przegląd literatury teoretycznej i badań empirycznych. Ostatnio literatura sugeruje, że uzależnienie banków od hurtowego rynku pieniężnego może stać za trudnościami wielu z nich. Sprawny rynek międzybankowy zapewnia efektywny transfer płynności od podmiotów nadwyżkowych do deficytowych, umożliwiając skuteczniejsze pośrednictwo. Ponadto banki powszechnie w coraz większym stopniu polegały na rynku hurtowym jako uzupełnieniu depozytów na żądanie jako źródła finansowania. Powszechne uzależnienie banków od krótkookresowych środków hurtowego rynku pieniężnego uczyniło z niego, obok podobieństwa portfela i zachowań stadnych, jedno z potencjalnych źródeł zarażenia Przez wiele lat nieubezpieczony rynek międzybankowy traktowany był jako wzorcowy przykład rynku efektywnego. Tym niemniej w czasie ostatniego kryzysu finansowego wiele, wydawałoby się niepodważalnych, pewników zostało obalonych. Dlatego w artykule dokonano przeglądu literatury zarówno na temat efektów zewnętrznych, jak i skutków zakłóceń w funkcjonowaniu rynków pieniężnych. Jedną z najbardziej uderzających cech kryzysu było, wynikające ze zmiany zachowania inwestorów, zamrożenie rolowania długu krótkookresowego. Wspólnym rysem zachowania inwestorów w czasie epizodów kryzysowych był nie tyle wzrost ich ekspozycji na ryzyko, ile raczej uwzględnienie niepewności w sensie Knighta jako niemierzalnego ryzyka. Powoduje to między innymi uwzględnienie w postępowaniu najbardziej pesymistycznego scenariusza. Niepewność z systemu finansowego zwłaszcza po upadku Lehman Brothers była następnie transmitowana do sfery realnej gospodarki za pośrednictwem spodziewanego zacieśnienia akcji kredytowej, ostrożnościowych oszczędności oraz odroczenie inwestycji, co w sumie złożyło się na ograniczenie popytu. (abstrakt oryginalny)

EN

The article analyzes the role of the interbank money market during financial crises. The research method used by the author includes a critical review of theoretical literature and empirical studies. Recently various publications have suggested that the failure of some institutions may have been brought about by banks and their excessive reliance on wholesale funds, the author says. Well-functioning interbank markets effectively channel liquidity from institutions with a surplus of funds to those in need, allowing for more efficient financial intermediation. Financial institutions worldwide have increasingly relied on wholesale funding to supplement demand deposits as a source of funds, thus becoming vulnerable to a sudden dry-up of these sources of funds. The reliance of financial institutions worldwide on short-term wholesale funds is among the possible sources of financial linkages, in addition to common portfolio investors and herding. For many years, the unsecured interbank market has been considered the archetype of an efficient market. Nevertheless, during the latest financial crisis, many of the certainties concerning interbank markets suddenly disappeared. The article reviews the most significant literature on some externalities and their effect on money market malfunctioning. One of the many striking features of the 2007-2009 crisis was a sudden freeze in the market for the rollover of short-term debt due to changes in investor behavior. The common aspects of investor behavior across crisis episodes indicate that they involved Knightian uncertainty (i.e., immeasurable risk) and not merely an increase in risk exposure, the author says. He adds that uncertainties in the financial system were transmitted to the real economy after the collapse of Lehman Brothers as expectations of future credit tightening, higher precautionary savings and the postponement of investment took a sudden and widespread toll on global demand. (original abstract)

Słowa kluczowe

PL

Rozliczenia międzybankowe; Rynek międzybankowy; Rynek pieniężny; Kryzys finansowy; Niepewność

EN

Interbank settlements; Interbank market; Money market; Financial crisis; Uncertainty

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2013
• Numer: nr 5-6
• Strony: 19--41

Twórcy

autor

Marek Lubiński

• Szkoła Główna Handlowa w Warszawie

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