我是一名固定收益分析師，對規(guī)律性的東西特別感興趣。讓我們來看下金融危機的規(guī)律：20世紀(jì)70年代布雷頓森林協(xié)議終止，到現(xiàn)在已有40年了，在其中的三個10年里，第七個年份都會出現(xiàn)金融危機，分別是1987、1997和2007年。此外，每次危機都有亞洲的份。例如，1987年被稱為“黑色星期一”的股市危機雖發(fā)生在美國。但這次危機的源頭可以追溯到（美國時間）周日晚間亞洲市場的恐慌情緒，它引發(fā)了一連串的結(jié)構(gòu)性股票和衍生產(chǎn)品交易，進而造成市場失控。

利率平價套利活動引發(fā)了1997年的亞洲金融危機。套利者借入收益率低的低成本貨幣，然后投資于收益率較高的穩(wěn)定貨幣，進而賺取利差，這被稱為正向套利。這種行為也就是套利活動。理論上，利率和價格應(yīng)該達到均衡狀態(tài)，這樣就不會出現(xiàn)套利。但那時的金融市場處于特殊階段。日本希望控制日元匯率，以促進自身出口型經(jīng)濟的發(fā)展。其他和美元掛鉤的亞洲國家則剛剛開放資本項目，并且正在用高收益率來吸引外國投資者。大量資金流入讓資本運用能力捉襟見肘，1998年底當(dāng)?shù)卣K于出手干預(yù)，狂歡就此告終。

隨著2007年美國RMBS（住房抵押貸款支持證券）次貸市場崩盤，全球金融危機首次露出端倪。2008年雷曼兄弟倒閉引發(fā)了全面危機。這次也是因為套利，但套利對象是信用評級，而非貨幣。銀行可以收購減值貸款，然后將其轉(zhuǎn)化為RMBS，并由愿意配合的評級機構(gòu)給予偏高的評級。這些RMBS再通過CDO（擔(dān)保債務(wù)憑證）進行再融資。這些CDO的評級以RMBS的評級為基礎(chǔ)，不會按照真實表現(xiàn)進行調(diào)整。因此，如果RMBS的評級偏高，就會傳導(dǎo)給CDO。這個RMBS-CDO市場成型于2004年，一直延續(xù)到銀行再也沒有能力銷售減值貸款支持的證券。

我不是算命先生。不過就像電影《妙人奇跡》里的昌西?加德納一樣，每次危機都與我擦身而過。黑色星期一那天，我在芝加哥期貨交易所的交易大廳里看著期貨跌停。我在穆迪時，駐香港的林恩?埃克斯頓是我的同事。他很有見地，曾在1996年向我預(yù)警了即將到來的亞洲銀行危機。作為資產(chǎn)支持證券分析師，全球金融危機爆發(fā)好幾年前我就知道CDO正在堆積人們不愿見到的風(fēng)險。實際上，我在1999年離開了評級行業(yè)，就是為了堵上那個不斷擴大的黑洞。

全球金融危機以來，杠桿水平已經(jīng)上升，各個市場的相互聯(lián)系也更加緊密，但和對金融基礎(chǔ)設(shè)施的要求相比，市場機構(gòu)更聰明地利用信息的能力或許一直偏低。

因此，如果大家問我2017年是否會再次出現(xiàn)全球金融危機……我會說，可能性很大。它很可能始于2013年，目前已經(jīng)處于全面展開狀態(tài)。

譯者：Charlie

審校：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.