全球去杠杆化之影响与因应对策.pdf

Journal of Futures and Options Vol.3 No1 May 2010 全球去槓桿化之影響與因應對策 Global Deleveraging －Impacts and Policy Responses 摘要 本文探討去槓桿化之理論與實務議題，及全球去槓桿化過程中對我國資產價格泡 沫之影響。高槓桿與信用泡沫是全球的問題，全球去槓桿化常在金融危機後進 行，目前已從 5個國家的 10個部門展開，對金融與經濟產生嚴重衝擊，造成泡 沫破滅、信用緊縮、流動性短缺、貨幣政策失效與經濟衰退。實證發現，全球槓 桿累積與去槓桿化過程會透過擴大我國之產出缺口、信用寬鬆、外資流入及寬鬆 貨幣政策而引起國內股價與房價之資產泡沫風險，有必要採取總體審慎政策與寬 鬆貨幣政策以降低其衝擊。 關鍵字： 槓桿、去槓桿化、資產價格泡沫 ABSTRACT This paper examines the theoretical and practical issues of deleveraging and the impacts of global deleveraging on the issues of Taiwan’s asset price bubbles. The high leverage levels and credit bubble are a global problem. Global deleveraging has only just begun within the household, busine ss, and government sectors in mature economies and nearly always follows credit bubble and financial crisis. The financial and economic unfavorable impacts of deleveraging are serious, including bubble bursts, credit crunches, liquidity shortage, malfunctioning of monetary policy and economic recession. Empirical studies shows that global buildup of leverage and deleveraging will increase the risks of Taiwan’s asset price boom/bust through wider Taiwan’s output gap, loosening credit conditions, rising capital inflows and loose monetary policy. Macro-prudential policy and accommodating monetary policy are necessary to mitigate deleveraging impact. Keywords ：leverage 、deleverage 、asset price bubble 1 Journal of Futures and Options Vol.3 No1 May 2010 壹、前言 金融槓桿（leverage ）是衡量金融資產暴險的指標，槓桿的定義多樣化，主 要有兩種方式，資產負債表槓桿（資產 /淨值）與風險基礎槓桿，後者是相對於 資本的經濟風險，也就是風險值槓桿（ VaR Leverage ）的觀念，Basel採用此一觀 念將槓桿定義為風險對資本的比率，而金融槓桿種類至少 6種 2