masaaki.shirakawa@boj.or.jp
99 J 3 1999 6 1 i 10 i E-mail: masaaki.shirakawa@boj.or.jp
. -------------------------------------------------------------------------------------------- 1. --------------------------------------------------------------------------------------- 1 BOX. --------------------------------------------------------- 5. ----------------------------------- 8 BOX. --------------------------------------------------- 12 BOX. ----------------------------------------------- 16. ---------------------------------------------------- 21 BOX -------------------------------------------------------------------------------------------------- 29
1 2 3 4 1
1 1 1999 5 1 Libor 3 7 0.07%6 10 1 2 5 26 10 32 2 97 98 2 1998 280 57 42 1 2 2
21 13 3 3 3
3 BOX1 BOX1 market liquidity fund liquidity 1998 flight to quality flight to liquidity 98 9 3 FRB 1 4 firm 3 BIS1999 2 4 BIS 1999 2 4
2 / 4 5.1 1.0 0.6 0.5 0.5 BIS G10 5 6 3 1 5 11 6 1 1 1998 1999 5
- 7 l 5 10 0.07%0.03% 0.04%0.05%0.06%10 l 1997 6.9 7.0 7.7 22.0 21.9 6 7 1999 6
2 7 10 7 8 10 9 3 8 9 7 3 6 1 2 5 10 30 7 5 3 7
8 10 9 8
9 BOX2 / / BOX 2
1 10 7 10 2 l 3 1 5 10 20 3 10 5 10 l l 2 10
1997 1 TBFB FB 10 TB 10 10 11
10 0.04% 0.02%1998 10 162,590 10 33 11 11 0.02% 500 12
1990 BOX3 BOX 3 T 50 bp 45bp 5045 5045 50bp 45bp 5 T50bp 5.50 T+50bp T+45bp T+50bp 5.50 5 13
credit trading credit trading credit trading 11 price discovery 12 VaR Value at Risk1987 1998 12 14
1997 Institute of International Finance 3 13 14 15 13 Institute of International Finance1999 14 15 15
16 4 5 12 17 2 16 17 16
l 18 3 19 18 19 1999 3 17
l TB FB 4 TBFB 9 10% 13 90% 14 20 l 10 21 1 FBTB 7 10 20 BIS1999 21 1999 18
13G10 l l 15 100% 19
1% 22 36% 63% 23 Fedwire Treasury Direct Fedwire 24 l G EuroclearCEDEL 22 23 1906 1970 1980 1992 24 FBTB 20
4 25 26 13 10% 25 199921 26 21
27 OTC 28 BOX 29 1999 3 TB FB 1999 4 1999 9 27 EMU fungibility 1998 28 ISDA1999ISDA 199998 OTC 1,750 2,000 29 1999 22
FB 1999 4 1 TB30 1999 1999 3 1986 1990 DVPDelivery versus Payment(1994 ) RTGSReal Time Gross Settlement(2000 ) 30 1985 1996 1997 1999 1 1999 4 TB FB 1999 4 BOX 1990 1994 DVP 30 1998 23
RTGS TBFB 2 24
25
26 31 32 l G7 l l 31 1999 32 1999
l l l l l reo eopening 33 l T+3 T+1 34 35 l l 36 RTGS RTGS l 37 l 33 34 T+2T+1T+0 BIS1999 35 1999 36 36 37 27
28
BIS Market Liquidity: Research Findings and Selected Policy Implications1999 5 BIS Implications of Repo Markets for Central Banks 1999 3 1992 euro 1998 5 RTGS 1998 9 199921 99 11999 4 G7 99 21999 5 ISDAISDA 1999 Collateral Review1999 Institute of International FinanceReport of the Task Force on Risk Assessment 1999 29