隗より始めよ

今後はいろいろ考え始めます。

金融市場ストレスインデックスメモ

f:id:mazarimono:20181118221029j:plain

2008年の世界金融恐慌の際にエリザベス女王はこうお尋ねになったそうです。

「どうして誰も気づかなかったの??」

During a briefing by academics at the London School of Economics on the turmoil on the international markets the Queen asked: "Why did nobody notice it?"

www.telegraph.co.uk

おっおう・・・。でもほんまやなw

その言葉がきついパンチとなったのか分かりませんが、その後、米国の連銀は金融市場のストレス度合いを測る指数を作りました。

カンザスシティ連銀とセントルイス連銀の二つの連銀がそれを出しました。前者は11のパラメーターからなり指数の更新度合いは月次、後者は18のパラメーターから作られ更新は週次です。先に作られたのはカンザスシティ連銀のものです。

二つもあっては分かりにくいと考えるのか、参照できるのが二つもあってうれしいと考えるのかどっちかというと、まぁ後者ですが、中身の違いなんかを見たことがなかったので調べてメモを作りました。

どっちかというとカンザスシティ連銀の方が、マニアからすると興味深い作りとなっています。一方でセントルイス連銀の方は単純な市場データを使っているので、普通の人でも各要素を監視しやすいかなぁと思いました。

カンザスシティ連銀の資料はPDF46ページもある大作です。考え方とか書いてあるので、金融の勉強したいわーって人にはこれを読むのはかなり良い教材となると断言できます。なんというか、日本の気合の金融とは違ってちゃんとCAPMとか使って数値作ってんだなぁってのが見えるだけでもよいような気がw
また、Appendixにどうやって作ってんだというパラメータの計算方法も書いています。下のメモにも貼っていますが、株価と債券価格の関係をどう計算するとか、銀行株の特異なボラティリティをどう計算するかとか、他セクターと銀行株の比較とかどうやるか分かって面白かったです。銀行株を抜き出して観察しているというだけもちょっとおもしろかったのですが。
そのほかにも面白いことが載ってそうなのであったらコメント欄に書き込んでもらえると嬉しいです!

https://www.kansascityfed.org/PUBLICAT/ECONREV/pdf/09q2hakkio_keeton.pdf

以下には私が作ったメモを張り付けておきます。

Stress Test: Reflections on Financial Crises (English Edition)

Stress Test: Reflections on Financial Crises (English Edition)


金融市場ストレスインデックス

  • Kansas city連銀の出すものと、St.Louis連銀の出すものがある。

  • 前者はマンスリー、後者はウィークリー。

  • 頻度が高い方が動きが分かりやすい一方で、ノイズが多くボラタイルとなる。

Kansas連銀
https://fred.stlouisfed.org/series/KCFSI
https://www.kansascityfed.org/PUBLICAT/ECONREV/pdf/09q2hakkio_keeton.pdf

パラメーター(11種類)
- TED Spread(3-month LIBOR/T-Bill Spread)
- 2-Year swap spread
- Off the run / On ther run 10year yeild spread
- Aaa / 10-year Treasury spread
- Baa / Aaa spread
- High-yield bond / Baa spread
- Consumer ABS/ 5-year Treasury
- Correlation between resurns on stocks and Treasury Bonds
The stock-bond correlations are computed using rolling three-month windows. The Merrill-Lynch total return index for 2-year Treasury notes is used for bonds, and the S&P 500 total return index is used for stocks. In both cases, the daily total return is measured as the log difference in the total return index. For each month, the business day closest to the 15th is selected. The correlation coefficient between daily bond and stock returns is then computed using the 66 business days leading up to and including the chosen day
- VIX
- Idiosyncratic volatility of bank stock price
Idiosyncratic - 特異な、独特の
For each month, the idiosyncratic volatility of bank stock prices is derived in three steps. The first step is to estimate a Capital Asset Pricing Model (CAPM) regression of the daily return on the bank stock index published by SNL Financial against the daily return on the S&P 500 index, using data for the previous 12 months. For each index, daily returns are measured as the log difference in the total-return index. The second step is to use the estimated coefficients from the CAPM regression and the daily returns on the S&P 500 to calculate the residual return on the SNL bank stock index for each day of the month. The last step is to calculate the standard deviation of these daily residual returns for the current month.
- Cross-section dispersion of bank stock returns
The cross-section dispersion of bank stock prices is computed using daily data for the 100 largest commercial banks. For each month, the dispersion measure is calculated in four steps. The first step is to choose the 100 largest commercial banks in terms of market value and estimate a CAPM regression of the daily return on each bank’s stock index against the daily return on the S&P 500 index, using data for the previous 12 months. As before, daily returns are measured as the log difference in the totalreturn index. In the second step, the estimated coefficients from the bank-level CAPM regressions and the daily returns on the S&P 500 are used to calculate the residual return for each bank for each day of the current month. The third step is to add the daily residual returns to obtain the monthly residual return for each bank. The last step is to calculate the interquartile range for these monthly residual returns—the difference between the top and bottom quartiles. The daily stock price data were taken from CRSP for the period through December 2008 and from SNL Financial for the first three months of 2009.

St.Louis連銀
https://fred.stlouisfed.org/series/STLFSI
https://files.stlouisfed.org/files/htdocs/publications/net/NETJan2010Appendix.pdf

パラメーター(18種類)
- FF Rate
- 2-year Treasury
- 10-year Treasury
- 30-year Treasury
- Baa Rated corporate
- Merrill Lynch High-Yield Corporate Master 2 Index
- Merrill Lynch Asset-Backed Master BBB-Rated
- Yield Curve : 10Year minus 3-month Treasury
- Corporate Baa-rated bond minus 10year Treasury
- Merrill Lynch High-Yield Corporate Master II Index minus 10-year Treasury
- 3-month London Interbank Offering Rate–Overnight Index Swap (LIBOR-OIS) spread
- 3-month Treasury-Eurodollar (TED) Spread
- 3-month commercial paper minus 3-month Treasury Bill
- J.P. Morgan Emerging Markets Bond Index Plus
- VIX
- Merrill Lynch Bond Market Volatility Index (1-month)
- Breakeven inflation rate
- Vanguard Financials Exchage-Traded-Fund

memo
- Agreeing on a more specific definition is not easy, because no two episodes of financial stress are exactly the same. Still, economists tend to associate certain key phenomena with financial stress.
- Uncertainty about the fundamental values of financial assets can also increase when financial innovations make it difficult for lenders and investors to even assign probabilities to differ-ent outcomes.
- Lacking any historical experience on which to draw, investors may con-clude in such situations that they cannot even form a judgment about the probabilities of returns to the new products.
- Asymmetry of information is said to exist when borrowers know more about their true financial condition than lenders, or when sellers know more about the true quality of the assets they hold than buyers.
- One common sign of financial stress is a sharply decreased willingness to hold risky financial assets.
- A final sign of financial stress is a sharply decreased willingness to hold illiquid assets.