剑桥-美元贬值的金融灾难压力测试（英）-2023_市场营销策划_重点报告202301202_doc.docx

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1、DOLLARDEPOSEDSTRESSTESTSCENARIOCambridgeCentreforRiskStudiesCambridgeRiskFrameworkDe-AmericanizationoftheGlobalFinancialSystemCentreforRiskStudisUniversityofCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomen

2、quiries.risk(jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisa

3、tionssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor,what-ifstudie

4、sanddonotconstituteforecastsofwhatislikelytohappen.De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposedContents1 ExecutiveSummary42 FinancialCatastropheStressTestScenarios83 De-AmericanizationoftheGlobalFinancialSystemasaFinancialCatastrophe124 DefiningtheScenario145 TheScenario166

5、MacroeconomicAnalysis177 ImpactonInvestmentPortfolio238 MitigationandConclusions309 Bibliography31De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposed1ExecutiveSummaryTheriseandfallofdominantcurrencies,associatedwithtradeandlinkedtofinancialandpoliticalsystems,isarecurrentthemeinfin

6、ancialhistory.Wedescribeade-AmericanizationoftheglobalfinancialsystemasoneourfourFinancialCatastrophescenarios.Scenarioscangenerallybeusedtocoverthespectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.Asuiteofscenariosisabasisforaglobal

7、enterprisetoself-stresstestandimproveitsresilience.De-AmericanizationasaFinancialCrisisTheriseandreignoftheUSdollar,signpostedbytheendoftheSecondWorldWar,isthemostrecentandmostcompleteexampleofhowmonetaryhegemonyfunctionsasastabilisingforceintheglobaleconomy. D. Calleo (ed.), Money and the Coming Wo

8、rld Order, Lehrman Institute, New York UniVerSity Press, 1976From“greenback”to“redback”ThisscenarioimaginesaglobalfinancialshiftfromtheUSdollartotheChineserenminbiresultingfromcontinued,rapidandmassivedevelopmentofChinaonatracktowardsbecomingtheworld,slargestdomesticeconomy. KPMG, uChina,s 12th Five

9、-Year Plan: Ovendewn, 2011Theoverallimpactofthechangeoverinmonetaryhegemonydoesnotleadtoaworldwiderecessioninanyofthescenariovariants.TheUS,however,suffersayearlongrecessioninthefirstyearoftheshock,andanultimatelossof5.2%,7.3%and8.4%ofdomesticGDPacrossallvariants.IntheSiandS2scenarios,theoverallloss

10、,expressedaslostglobalGrossDomesticProductduringthescenariocomparedWiththeprojectedrateofgrowth(GDPRiSk)，isbetween$1.9and$1.6trillion,respectively.Intheextremevariant,Xi,however,theglobalGDPmakesareturnof$1.6trillionabovetheprojectednon-crisisgrowth.Whatisthelifeexpectancyofaglobalcurrency?Scenarios

11、election“Global”currencieshaveexistedaslongastherehasbeencross-culturaltrade,exemplifiedbythecommercialempiresofhistoricalRome,Byzantium,Italy,theNetherlands,andSpain.Hegemonystabilitytheorypostulatesthatadominantreservecurrencywithaweakeningeconomicbaseissuggestiveofatradecurrencyorreservecurrencys

12、hift. A. Walter, World Power and World Money, Prentice-Hall, 2003TheDollarDeposedScenarioisanalogoustothepost-WorldWarIIreplacementoftheBritishPoundSterlingbytheUSdollarasdominantcurrencyinthatitisunderpinnedbyeconomicweakness,largedebtandsignificantgeopoliticalshiftsthatareexternaltothereservecurre

13、ncynation.VariantsofthescenarioInourtstandard,scenario,identifiedasSi,thesizeoftheshockisgaugedbythedepreciationoftheUSdollarby10%againsttheChineseRMB,whichsupplantsitasthenewreservecurrency.ScenariovariantS2increasestheshocktoa25%depreciationofthedollarwhilethemostseverevariant,Xi,considers50%depre

14、ciation.ThescaleoflossinflictedbytheDollarDeposedScenariohasbeencalibratedtocorrespondtoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativein

15、thethroesofacatastrophe.US(UK)equitiesoverthelasttwohundredyearshaveexperiencedreturnratesbelow-24%(-13%)aboutonceintwentyyears,withreturnratesbelow-36%(-20%)signifying1-in-100events.Inourscenariovariants,thosereturnratesaresimilarregardingtheUS,withreturnratesof-30%forSiand-44%forS2,(andlessdramaticfortheUKwherethescenarioreturnratesare-9%forSiand-13%forS2).Thatis,thesesuggestthatanimpactatthescaleoftheDollarDeposedScenarioisroughlycomparablewith-in-ooyearevent.NearzeroeconomicgrowthratesarefoundinourscenarioswhichdifferfromthehistoricalrecordofUS(UK)growthratesbelow-7%(-3%),wh