2017年会出现全球金融危机吗？

我是一名固定收益分析师，对规律性的东西特别感兴趣。让我们来看下金融危机的规律：20世纪70年代布雷顿森林协议终止，到现在已有40年了，在其中的三个10年里，第七个年份都会出现金融危机，分别是1987、1997和2007年。此外，每次危机都有亚洲的份。例如，1987年被称为“黑色星期一”的股市危机虽发生在美国。但这次危机的源头可以追溯到（美国时间）周日晚间亚洲市场的恐慌情绪，它引发了一连串的结构性股票和衍生产品交易，进而造成市场失控。

利率平价套利活动引发了1997年的亚洲金融危机。套利者借入收益率低的低成本货币，然后投资于收益率较高的稳定货币，进而赚取利差，这被称为正向套利。这种行为也就是套利活动。理论上，利率和价格应该达到均衡状态，这样就不会出现套利。但那时的金融市场处于特殊阶段。日本希望控制日元汇率，以促进自身出口型经济的发展。其他和美元挂钩的亚洲国家则刚刚开放资本项目，并且正在用高收益率来吸引外国投资者。大量资金流入让资本运用能力捉襟见肘，1998年底当地政府终于出手干预，狂欢就此告终。

随着2007年美国RMBS（住房抵押贷款支持证券）次贷市场崩盘，全球金融危机首次露出端倪。2008年雷曼兄弟倒闭引发了全面危机。这次也是因为套利，但套利对象是信用评级，而非货币。银行可以收购减值贷款，然后将其转化为RMBS，并由愿意配合的评级机构给予偏高的评级。这些RMBS再通过CDO（担保债务凭证）进行再融资。这些CDO的评级以RMBS的评级为基础，不会按照真实表现进行调整。因此，如果RMBS的评级偏高，就会传导给CDO。这个RMBS-CDO市场成型于2004年，一直延续到银行再也没有能力销售减值贷款支持的证券。

我不是算命先生。不过就像电影《妙人奇迹》里的昌西•加德纳一样，每次危机都与我擦身而过。黑色星期一那天，我在芝加哥期货交易所的交易大厅里看着期货跌停。我在穆迪时，驻香港的林恩•埃克斯顿是我的同事。他很有见地，曾在1996年向我预警了即将到来的亚洲银行危机。作为资产支持证券分析师，全球金融危机爆发好几年前我就知道CDO正在堆积人们不愿见到的风险。实际上，我在1999年离开了评级行业，就是为了堵上那个不断扩大的黑洞。

全球金融危机以来，杠杆水平已经上升，各个市场的相互联系也更加紧密，但和对金融基础设施的要求相比，市场机构更聪明地利用信息的能力或许一直偏低。

因此，如果大家问我2017年是否会再次出现全球金融危机……我会说，可能性很大。它很可能始于2013年，目前已经处于全面展开状态。

译者：Charlie

审校：夏林

I am a fixed income analyst with a fascination for patterns. Here’s one to consider: since the Bretton Woods Agreement ended in the 1970s, there has been a financial crisis in the seventh year in three of the last four decades: 1987, 1997, 2007. One way or another, every crisis has involved Asia.

For example, the name for the 1987 stock market crisis is Black Monday. However, the crisis can be traced back to Asian market jitters the Sunday night before, which kick-started a cascade of structured stock and derivative trades and strained the market beyond its capacity.

Interest parity arbitrage trading fueled the Asian Crisis in 1997. It involves borrowing a cheap currency with low yields and investing in a stable currency with higher yields to earn spread income, known as positive carry. Hence the name, carry trades. In theory, rates and prices should reach an equilibrium so there is no arbitrage. But this was a special time in financial markets. Japan wanted to manage the yen to promote its export-oriented economy. Other Asian countries with currencies pegged to the dollar had just opened their capital accounts and were attracting foreign investors with higher yields. The money poured in and strained utilization capacity until local authorities interceded in late 1998, and the party ended.

The GFC surfaced first in 2007 with the collapse of the U.S. subprime RMBS market. In 2008, it turned into full-scale crisis when Lehman Brothers fell. This time was also a carry-trade, one involving credit ratings rather than currencies. Banks could buy impaired loans and make them into RMBS with inflated ratings provided by willing rating agencies. These securities were then refinanced in CDOs. The CDO ratings were based on original ratings on the RMBS-they were not updated with real performance information-so if the rating on an RMBS was inflated, it would flow through to the CDO. The RMBS CDO market lasted from 2004 until banks’ capacity to sell securities backed by impaired loans was exhausted.

I am not a fortune-teller. But, like Chauncey Gardiner in the movie Being There, I was personally close to every crisis. I watched futures prices go limit-down from the floor of the Chicago Board of Trade on Black Monday. My savvy Moody’s colleague in Hong Kong, Lynn Exton, gave me advance warning about the coming Asian bank crisis in 1996. As an ABS analyst, I knew CDOs were creating a buildup of unwanted risk years before the GFC. In fact, I left the ratings world in 1999 to plug the widening black hole.

Since the GFC, leverage has increased; the markets have become more interconnected; but the capacity of market institutions to use information more intelligently may not have kept up with the demands on financial infrastructure.

So, if you ask me whether we are going to have another global financial crisis in 2017…I would say the odds are good. This one probably started in 2013 and by now is well under way.