布魯金斯學會：美國金融市場流動性是否面臨危機

文/douglas j. elliott（布魯金斯學會研究員）

美國金融市場對我們整個經濟的運轉至關重要，例如，它能夠比銀行提供更多的信貸。多年來，巨大的金融市場一直是美國的競爭優勢，為投資者匹配有價值的企業和項目提供物有所值的手段。因此，目前關於市場流動性是否枯竭的討論非常重要，因為證券購買和出售能力對於市場運作具有關鍵性作用。

簡要來說，我認為我們需要重新調整一系列金融法規，因為我們有可能已經損害了潛在的市場流動性，雖然我並不支援這樣會導致金融危機的觀點。我也並不認為我們需要從根本上全面修訂有關規定。我采用了“recalibrate”（重新調整）一詞，旨在建議性地提出技術修正，而不是全面拋棄十分明智的改革。這是一個復雜的話題；我即將就市場流動性發表一個較長篇幅的報告，因此在本文中只提供概括性總結。

市場流動性是指證券買家和賣家進行有效交易的能力，通過大額購買和銷售進行的速度和交易成本進行評估。這些成本包括傭金或買賣差價以及市場價格波動造成的損失。后者的影響使得市場流動性和價格波動密切相關，因為當市場流動性較差時，交易量會導致價格波動更劇烈。

我們關心市場的流動性，因為它會影響投資者（例如那些存錢養老或讀大學的人）的收益以及企業、政府和其他借款人的成本。此外，流動性較差的市場更為動盪。在極端情況下，市場波動有可能引發或加劇金融危機。即使市場波動位於平均水平，它也能夠產生重大的影響，因此它是影響利率的因素。

市場的流動性在某種程度上一個復雜的問題，因為影響流動性的深層原因並不明確。幾乎所有人都認為，市場流動性比金融危機發生前更差，但是這究竟是否存在問題目前尚不得而知，因為這些流動性水平是不可持續的。更復雜的部分在於比較流動性和最佳的可持續水平，並對流動性進行預測。目前，就市場流動性的最佳水平或未來走向尚未達成一致意見。

盡管具有不確定性，決策者仍然要認真對待這一問題，並警惕可能產生的風險。我們的法律法規似乎適得其反，將會過度限制市場流動性，使得社會成本比金融穩定性創造的利益更高。需要明確的是，大部分的工作都產生了積極的影響；問題在於重新調整細節，以降低社會成本，同時維持核心利益。

為什么我認為有關規定適得其反？一系列法規的累積效應使得銀行和大型證券交易商充當市商更為困難及耗資不菲。（這些規則包括流動性覆蓋率、凈穩定資金比例和補充杠桿率等等）小型交易商、對沖基金和其他資產管理公司需要收拾殘局，但是他們有效完成這項任務的能力有限。市場可以通過轉向機構並引進電子市場進行調整，但是這些舉措能夠發揮的作用同樣有限。

從邏輯上講，最終的結果應該是減少流動性，而且我們已經看到交易商以造市為目的持有的證券庫存大幅減少，其他跡象也表明流動性有所降低。在過去的幾年中，有四五個事件表明，市場已經顯現出極端的波動性，這些事件可能因流動性較差被過分夸大。我們很難知道這些究竟是孤立的事件還是危險的冰山一角。

如果我們必須擔心的問題僅僅是我們目所能及的事件，那么我不會如此擔憂。我的擔憂源於市場流動性可能會在未來變得更糟。

首先，世界各地央行的寬鬆貨幣政策似乎已經為市場流動性提供了大力支援，同時抑制了價格波動。最終貨幣政策收緊時，市場流動性很可能成為問題。其次，在未來的幾年內，銀行和大型交易商幾乎肯定會進一步削減流動性供應，提高價格。許多提高成本的規則正在最後敲定階段或逐步推進中。

此外，交易商明白，如果采取重大舉措，而不是在數年內分散這種痛苦，他們將流失客戶。在其他金融圈中，我已經看到此類事件的發生；這些調整隨著時間的推移被普遍采用，因此還應該進行更多的調整。

總之，我們有充分的理由對市場流動性表示擔憂，並認為，政策制定者無意造成適得其反的效果。然而，我不同意部分分析人士認為會爆發災難性危機的意見。我認為，適得其反並不意味著我們必須重新進行重大的金融改革。我們需要嚴肅對待該問題，重新調整一系列技術措施，降低對市場流動性的危害，同時保證金融穩定性。

附英文全文：

us financial markets are critical to the functioning of our entire economy, providing more credit, for example, than banks do. our unusually large financial markets have been an american competitive advantage for years, providing a cost-effective means of matching investors with worthy companies and projects. therefore, the current debate about whether market liquidity is drying up is an important one, since the ability to buy and sell securities is central to market functioning.

the short answer is that i believe we need to recalibrate a series of financial regulations, because there is a real risk that we have damaged underlying market liquidity, although i do not subscribe to the doomsday scenarios where this produces a financial crisis. nor do i think we need to radically overhaul the regulations. i use the term “recalibrate” advisedly, to suggest technical corrections, not a wholesale abandonment of broadly sensible reforms. this is a complex topic; i will soon be issuing a much longer report on market liquidity and will therefore only provide a summary here.

market liquidity refers to the ability of buyers and sellers of securities to transact efficiently and is measured by the speed with which large purchases and sales can be executed and the transaction costs incurred in doing so. these costs include both the explicit commission or bid/ask spread and the, often larger, loss from moving the market price by the act of making the bid or offer for a large block. this latter effect ties market liquidity to price volatility, as transaction volumes lead to bigger price movements when markets are illiquid.

we care about market liquidity because it affects the returns for investors, such as those saving for retirement or college, and the costs to corporations, governments, and other borrowers. further, illiquid markets are more volatile. at the extreme, volatility can trigger or exacerbate financial crises. even the average level of volatility matters, as it is factored into the interest rates demanded by investors and paid by borrowers.

market liquidity is a complicated issue in part because it is not clear what is happening to underlying liquidity. pretty much everyone agrees that markets are less liquid than they were in the run-up to the financial crisis, but it is not clear that this is a problem, since those liquidity levels were unsustainable. the harder parts are to compare liquidity to an optimal sustainable level and to project liquidity into the future. there is no agreement on either the optimum level or the future course of market liquidity.

despite the uncertainties, policymakers are right to take this issue seriously and to worry about the risks. we appear to have overshot in our regulations in a way that will cramp market liquidity excessively, producing more social costs than the benefits of greater financial stability. to be clear, most of what has been done is positive; it is a matter of recalibrating the details to reduce the social costs while keeping the core benefits.

why do i think it likely that we have overshot? the cumulative effects of a series of regulations have made it substantially more difficult and expensive for banks and large securities dealers to act as market makers. (these rules include the liquidity coverage ratio, the net stable funding ratio, the supplementary leverage ratio, various changes to the capital rules under the basel capital accords, the volcker rule, and others.) smaller dealers, hedge funds, and other asset managers will pick up some of the slack, but there are real limitations on their ability to do so cost-effectively. the markets can also adapt, such as by moving to agency rather than principal models and by embracing electronic markets, but, again, there are some serious limits on how far these moves can go.

the net result should logically be decreased liquidity and we have already seen much lower securities inventories held for market-making purposes by dealers along with some other signs of lessened liquidity. there have also been four or five incidents in the last couple of years in which markets showed extreme volatility that may have been exaggerated by lower liquidity, such as the “taper tantrum” in the bond markets. it is difficult to know if these are isolated incidents or the tip of a dangerous iceberg.

if all we had to worry about was what we have seen already, then i would not be worried very much. my concerns stem from the probability that market liquidity will get considerably worse going forward. first, the very loose monetary policy of central banks around the world appears to have provided considerable support for market liquidity while also holding down price volatility. when monetary policies eventually tighten, market liquidity is likely to be more of a problem. second, banks and large dealers are almost certain to cut back further on their liquidity provision and to raise their prices over the next couple of years. many of the rules that increase their costs are only now being finalized or are being phased in over time. further, dealers know they will lose customers if they make one big move, rather than spreading the pain over multiple years, especially if their competitors take smaller steps. i have seen it in other financial cycles; these adjustments get spread over time, so there should be more to come.

in sum, there are good reasons to worry about market liquidity and to believe that policymakers have unintentionally overshot. however, i do not subscribe to the disaster scenarios that some suggest, nor do i think the overshooting means that we have to redo financial reform in major ways. this is a matter of taking the issue seriously and recalibrating a series of technical measures to reduce the damage to market liquidity without increasing the risks to financial stability in any significant way.（完）

【智庫簡介】

布魯金斯學會（brookings institution）

布魯金斯學會成立於1916年，總部位於華盛頓特區，是美國最具影響力的智庫之一，主要研究社會科學尤其是經濟與發展、都市政策、外交政策及全球經濟發展等議題。在《2014年全球智庫年度報告》（the global go to think tanks 2014）中，布魯金斯學會在全球（含美國）150大智庫中列第1名。網址：http://www.brookings.edu/