2

1. 2. 3. Debt Management Office 4. 5. 6. Tel03-3201-0231 E-Maileiji.fukazawa@mizuho-ri.co.jp 1

2

4 5 5 5 7 8 11 11 11 14 19 22 23 23 25 26 29 31 32 32 32 36 36 41 44 46 47 3

2003 3 1990 IMF and the World Bank(2001) 1 4

Contingent Liability 1983 1 Polackova(1999)Currie(2000) Fiscal Risk Matrix 22 (Explicit Direct Liabilities) (Implicit Direct Liabilities) 2 (Explicit Contingent Liabilities) 1 2 5

(Implicit Contingent Liabilities) 4 6

1Fiscal Risk Matrix 3 3 Ct12 dc1/1++ C2/1+ 2 +C /1+ 7

Government Assets and Liabilities (2000)(2001)(2002)(2003) 2 8

Currie(2000) Currie(2000) 9

3 10

1998 4 5 1990 2001 58.7 6 3 2001 20.0 7 17.7 7.9 2001 3.8 2001 3 6,000 4 5 22 6 7 2001 57 6 10 10 16 15 11

4 5 12

6 13

2003 4 2001 344.3 239.3 104.9 2001 1 6,140 2001 1,131 8 3.5 2003 2 73 32 91 9 39 6 2000 15.8 8 9 14

11.3 7 10 10 2001 15

(1999) (1999) 2001 159.2 11 12 (1999) 28 11 12 (2003) 16

82002 52 17

9 2001 37.0 1998 101998 1998 10 13 14 15 16 13 1998 10 2000 3 20 1999 2001 3 10 14 15 4,500 2,900 1,600 1999 2,900 2000 9,453 8 16 2001 3.1 109 5.250 1 2.95 18

10 11 17 17 2000 2001 19

18 19 2001 18 19 20

11 21

12 12 ( 22

Brixi and Mody (2000)3 3 Currie(2002) Debt Management Office Mody and Patro (1996) 100 20 15 85 Currie and Velandia (2000) Small Business Administration710 8010 7575 1997 3 20 Mody and Patro (1996) 23

Currie(2002) 1984 Storey(1994)Cowling(1995)Cowling and Clay(1995) 2001 Lewis and Mody (1997) Currie(2002) Mody and Patro (1996) 4 the Swedish National Debt Office Currie(2002) Mody and Patro (1996) 7(a) 24

Currie and Velandia (2000) 2001 3 and the World Bank (2001) Currie(2002) 21 Weil(1992) Ramaswamy(2002) Towe (1993) 21 25

Currie(2002) Mody and Patro (1996) Towe (1993)U.S. Congress(1989) Brixi and Mody (2000) Currie(2002) Towe (1993) Mody and Patro(1996) the Market-Valuation Method 26

Option Pricing Method 22 General Accounting Office(1994)Mody and Patro(1996) 23 13 Subsidy Cost 1991 22 2 Black and Scholes(1972) Mody and Patro (1996) 23 27

13 appropriation Credit Program Account outlay Financing Account GAO 1980 1986 Mody and Patro (1996) Currie(2002) Currie and Velandia(2000) 28

Currie and Velandia (2000) 24 Currie(2002) Currie and Velandia (2000) Lewis and Mody (1997) 2001 3 and the World Bank (2001) Currie and Velandia (2000) Currie(2002) 24 Lewis and Mody (1997) additive approach Value-at-Risk approach 2 Delta-Gamma approach 25 29

14 14 1970 80 Currie and Velandia (2000) 30

The Asset and Liability Management BranchCurrie and Velandia (2000) 1998 Contingent FundGeneral Directorate of Public Credit Currie(2002) 26 (2003b) Lewis and Mody (1997) 2 Currie(2002) Currie(2002) 26 2003 31

12 3 11 2001 32

27 (2001b) 28 1990 3 37 24 29 100 27 1999 12 28 (2001b) 29 2 33

4 5 1 2000 2001 30 15 Hausman 31 30 31 34

15 (2001b) 35

1990 32 33 (2002) 32 (2003)1997 1,800 2002 19,520 1999 1.6 1.3 2002 1.9 1.7 33 36

50 16 16 1999 37

17 (2003) 34 (2002) 1990 3 37 27 35 10 36 34 (2002) 2000 23 12 35 2003 22 5 36 (2003) 38

39

17 40

37 38 37 38 41

39 Currie and Velandia (2000) (2003b) 3 40 National Savings and InvestmentsNational Savings Certificates (2003b) (2003b) 18 2001 39 40 1966 U.S. Savings Bonds 42

3 (2001) 41 Currie(2002) 18 41 2001 43

2 42 2001 12 18 2003 43 3 42 2002 6 3 43 2002 10 18 42 7 2005 2002 12 6 2006 44

General Obligation BondsRevenue Bonds 2 45

44 44 2001 46

1990 Federal Credit Reform Act1991 10 1990 OBRA90 Subsidy Cost Subsidy Cost 5 Credit Program Account Financing AccountLiquidating AccountNon-credit AccountReceipts Account Credit Program Account Financing Account Credit Program Account Appropriation 1 47

AppropriationBudget Authority 2 Appropriation Credit Program Account Financing Account Outlay 3 Financing Account Financing Account Credit Program Account Financing account Appropriation Appropriation 1 Appropriation 2 Budget AuthorityAppropriation (1997) Outlay 3Budget Authority Outlay 48

2001 52 4 2001 3 2001 95 2002 4 2002 2003 4 2003 2003 5 2003 2003 5 2003 2002 7 2002 47 1998 10 1998 Vol.52,No.12001 1 2001 2001 15 1998 2001 3 46 2003 1 2003 105 2003 3 2003 1995 21 2000 6 29 49

9 1997 49 1999 3 1999 2001 6 2001 2000 2003 1 2003 2003 5 2003 1997 2001 3 2003 3 5 2003 7 2003 7 29 2003 2001 6 2002 9 10 2000 10 11 2001 9 12 2002 9 13 2003 9 Black, Fischer, and Myron Scholes, the Valuation of Option Contracts and a Test of Market Efficiency, Journal of Finance, Vol.27, May, 1972 Bosworth, Barry P., Andrew S. Carron, and Elizabeth H.Rhyne, The Economics of Federal Credit Programs, The Brookings Institution, 1987 Brixi, Hana and Ashoka Mody, Priorities for Management of Contingent Liabilities, The World Bank, May, 2000 Budget of the United States Government, Analytical Perspectives, various issues 50

Cowling, M., Initial Tests on the Sensitivity of the Parameters of the UK Loan Guarantee Scheme,Public Finance 50,1995 Cowling, M. and Clay, N., Factors Influencing Take-Up Rates on the Loan Guarantee Scheme,Small Business Economics 7,1995 Currie, Elizabeth, The Potential Role of Government Debt Management Offices in Monitoring and Managing Contingent Liabilities, World Bank, January, 2002 Currie, Elizabeth, and A.Velandia, Risk Management of Contingent Liabilities Within a Sovereign Asset-Liability Framework, Network Working Paper, R-399, World Bank, January, 2000 Doi, Takero and Takeo Hoshi, Paying for the FILP, NBER Working Paper, No.9385, November, 2002 Easterly, William, When is Fiscal Adjustment an Illusion?, World Bank, 1998 General Accounting Office, U.S. Needs Better Method for Estimating Cost of Foreign Loans and Guarantees,GAO/NSIAD/GGD-95-31,1994 Honohan, Patrick, and Daniela Klingebiel,Controlling the Fiscal Costs of Banking Crises, Policy Research Working Paper 2441, World Bank, 2000 The fiscal cost implications of an accomodating approach to banking crises, Journal of Banking & Finance, vol.27,no.8,august,2003 and the World Bank, Guidelines for Public Debt Management, March 21, 2001 Kashyap, A.K., Sorting Out Japan s Financial Crisis, NBER Working Paper, No.9384, December, 2002 Merton, Robert C.,An Analytical Derivation of the Cost of Deposit Insurance and Loan Guarantees, Journal of Banking and Finance, Vol.1, June, 1977 Lewis, Christopher. M. and Ashoka Mody, The Management of Contingent Liabilities : A Risk Management Framework for National Governments, in Timothy Irwin and others,eds., Dealing with Public Risk in Private Infrastructure, World Bank, 1997 Ma, Jun.,Monitoring Fiscal Risks of Subnational Governments : Selected Country Experiences, Government at Risk : Contingent Liabilities and Fiscal Risk, edited by Hana Polackova and Allen Schick, Oxford University Press, 2002 Mody, Ashoka and Dilip Patro, Methods of Loan Guarantee Valuation and Accounting, in Ashoka Mody, ed., Infrastructure Delivery : Private Initiative and the Public Good, The Economic Development Institute, The World Bank, November, 1996 Polackova, Hana, Government Contingent Liabilities : A Hidden Fiscal Risk to Fiscal 51

Stability, Policy Research Working Paper,1989, World Bank, 1998 Contingent Government Liabilities : A Hidden Fiscal Risk, Finance & Development, IMF, March, 1999 Ramaswamy, Krishma, Analytical Techniques Applicable to Government Management of Fiscal Risk, Government at Risk : Contingent Liabilities and Fiscal Risk, edited by Hana Polackova and Allen Schick, Oxford University Press, 2002 Storey, D.J., Understanding the Small Business Sector, Routlede, London, 1994 Sundaresan, Suresh M., Institutional and Analytical Framework for Measuring and Managing Government Contingent Liabilities, Government at Risk : Contingent Liabilities and Fiscal Risk, edited by Hana Polackova and Allen Schick, Oxford University Press, 2002 Towe, Christopher, Government Contingent Liabilities and Measurement of Fiscal Impact, How to Measure the Fiscal Deficit : Analytical and Methodological Issues, Edited by Mario I. Blejer and Adrienne Cheasty, IMF, Washington,DC., 1993 U.S.Congress, Congressional Budget Office, Credit Reform : Comparable Budget Costs for Cash and Credit, Government Printing Office, 1989 Assessing the Public Costs and Benefit of Fannie Mae and Freddie Mac, A CBO Study, May, 1996 Weil, Phipippe, The Budgetary Arithmetic of Loan Guarantees and Deposit Insurance, Carnegie-Rochester Conference Series on Public Policy 37,1992 White, Lawrence J. Reforming Fannie and Freddie : Privatization is the Way, Working Paper, Department of Economics, Stern School of Business, New York University, 2002 World Bank, Contingent liabilitiesa threat to fiscal stability, PREM notes, No.9, World Bank, November, 1998 52

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