최근 미국 금융위기에서의 시장악화기제

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As portfolio insurance played a market amplification mechanism in 1987 Black Monday. leverage played a similar role in recent credit crisis that initiated from the United States of America. In addition, unsophisticated regulations as well as securitization made matters worse, since they also included ingredients of market amplification mechanisms. As far as leverage is concerned, it tends to magnify the return on equity. As a result, leverage moves together with the size of asset; when the asset size goes up, financial institutions such as investment banks use more leverage, but when the size of asset falls, they are forced to reduce leverage. In the falling market, regulations like marking to market and VaR would aggravate the market fall in terms of amplification mechanism. Based on Krugman's idea(2008), I propose the model where leverage plays a key role in amplifying the market in terms of the risky asset. In so doing, I assume that there are two players in the market, one is the aggressive investor who is willing to use leverage, and the other is the defensive investor who could be thought as a normal risk-averse investor. According to the model, the equilibrium price of risky assets rises with more leverage when the size of risky assets becomes larger, but falls with de-leveraging when the size of risky assets shrinks. I have also found two interesting portfolio implications when the aggressive investor becomes a representative agent; one, the optimal portfolio selection is influenced by the size of risky assets, and two, despite the fact that the aggressive investor is assumed to be risk-neutural, we end up having the optimal portfolio choice that is very similar to that of the mean-variance framework. The latter indicates that the aggressive investors, due to VaR constraint, make choices in such a way that they use more leverage in booming market, but follow the deleveraging process in falling market. Note that investment banks can be thought of as the aggressive investors. The statistics from 1992 to 2008 show that investment banks use leverage pro-cyclically, meaning that in booming market when the size of risky assets goes up, the investment banks use more leverage, but in falling market when the size of risky assets falls, they do deleveraging. This has an interesting implication from central banks' perspectives as well. If one of central banks' goals needs to pursue the stability of financial markets, they need to be concerned about the size of financial institutions' balance sheet. This is due to the fact that the size of risky assets tend to move together with business cycle, and so does leverage. Many central banks have recently changed their approaches of price stability from ‘Inflation Targeting' to ‘Monetary Targeting.' However, my study shows that ‘Monetary Targeting' appears a superior approach in the sense that it could better reflect the size of financial institutions' balance sheet. Recent credit crisis originated from the United States is challenging the modelling framework based on new classical economy. Although capital markets turn out not to be perfect unlike what we used to think before the crisis, the modelling framework based on the new classical economics won't be able to explain the crisis, not to mention predicting it. Some say that it is time to revive Keynesian economics, and others argue that we need a model which can incorporate more realistic features of economic realities thanks to the recent development of computer simulation. I think that it is still early to answer this question, though. By the model that I propose in the paper, I could explain a part of recent credit crisis, especially in terms of market amplification mechanism intrigued by leverage.