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

DOLLARDEPOSEDSTRESSTESTSCENARIOCambridgeCentreforRiskStudiesCambridgeRiskFrameworkDe-AmericanizationoftheGlobalFinancialSystemCentreforRiskStudisUniversityofCAMBRIDGEJudgeBusinessSchlCambridgeCentreforRiskStudiesUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridge,CB21AGUnitedKingdomenquiries.risk(>jbs.cam.ac.ukDecember2015TheCambridgeCentreforRiskStudiesacknowledgesthegeneroussupportprovidedforthisresearchbythefollowingorganisations:TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch.Thisreportdescribesahypotheticalscenariodevelopedasastresstestforriskmanagementpurposes.Itdoesnotconstituteaprediction.TheCambridgeCentreforRiskStudiesdevelopshypotheticalscenariosforuseinimprovingbusinessresiliencetoshocks.Thesearecontingencyscenariosusedfor,what-ifstudiesanddonotconstituteforecastsofwhatislikelytohappen.De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposedContents1 ExecutiveSummary42 FinancialCatastropheStressTestScenarios83 De-AmericanizationoftheGlobalFinancialSystemasaFinancialCatastrophe124 DefiningtheScenario145 TheScenario166 MacroeconomicAnalysis177 ImpactonInvestmentPortfolio238 MitigationandConclusions309 Bibliography31De-AmericanizationoftheFinancialSystemStressTestScenarioDollarDeposed1ExecutiveSummaryTheriseandfallofdominantcurrencies,associatedwithtradeandlinkedtofinancialandpoliticalsystems,isarecurrentthemeinfinancialhistory.Wedescribeade-AmericanizationoftheglobalfinancialsystemasoneourfourFinancialCatastrophescenarios.Scenarioscangenerallybeusedtocoverthespectrumofextremeshocks,suchasthoseproposedintheCambridgeTaxonomyofThreats,whichencompassesfiveclassesofbusinessrisk.Asuiteofscenariosisabasisforaglobalenterprisetoself-stresstestandimproveitsresilience.De-AmericanizationasaFinancialCrisisTheriseandreignoftheUSdollar,signpostedbytheendoftheSecondWorldWar,isthemostrecentandmostcompleteexampleofhowmonetaryhegemonyfunctionsasastabilisingforceintheglobaleconomy. D. Calleo (ed.), Money and the Coming World Order, Lehrman Institute, New York UniVerSity Press, 1976From“greenback”to“redback”ThisscenarioimaginesaglobalfinancialshiftfromtheUSdollartotheChineserenminbiresultingfromcontinued,rapidandmassivedevelopmentofChinaonatracktowardsbecomingtheworld,slargestdomesticeconomy. KPMG, uChina,s 12th Five-Year Plan: Ovendewn, 2011Theoverallimpactofthechangeoverinmonetaryhegemonydoesnotleadtoaworldwiderecessioninanyofthescenariovariants.TheUS,however,suffersayearlongrecessioninthefirstyearoftheshock,andanultimatelossof5.2%,7.3%and8.4%ofdomesticGDPacrossallvariants.IntheSiandS2scenarios,theoverallloss,expressedaslostglobalGrossDomesticProductduringthescenariocomparedWiththeprojectedrateofgrowth("GDPRiSk")，isbetween$1.9and$1.6trillion,respectively.Intheextremevariant,Xi,however,theglobalGDPmakesareturnof$1.6trillionabovetheprojectednon-crisisgrowth.Whatisthelifeexpectancyofaglobalcurrency?Scenarioselection“Global”currencieshaveexistedaslongastherehasbeencross-culturaltrade,exemplifiedbythecommercialempiresofhistoricalRome,Byzantium,Italy,theNetherlands,andSpain.Hegemonystabilitytheorypostulatesthatadominantreservecurrencywithaweakeningeconomicbaseissuggestiveofatradecurrencyorreservecurrencyshift. A. Walter, World Power and World Money, Prentice-Hall, 2003TheDollarDeposedScenarioisanalogoustothepost-WorldWarIIreplacementoftheBritishPoundSterlingbytheUSdollarasdominantcurrencyinthatitisunderpinnedbyeconomicweakness,largedebtandsignificantgeopoliticalshiftsthatareexternaltothereservecurrencynation.VariantsofthescenarioInourtstandard,scenario,identifiedasSi,thesizeoftheshockisgaugedbythedepreciationoftheUSdollarby10%againsttheChineseRMB,whichsupplantsitasthenewreservecurrency.ScenariovariantS2increasestheshocktoa25%depreciationofthedollarwhilethemostseverevariant,Xi,considers50%depreciation.ThescaleoflossinflictedbytheDollarDeposedScenariohasbeencalibratedtocorrespondtoaneventthathappensaboutonceacenturyonaverage,a1-in-100yearevent.Twoindicatorsthatmaygiveasenseofthelikelihoodofacatastrophescenariooccurringareitsimpactonequityreturnsandgrowthrates,whichareexpectedtobenegativeinthethroesofacatastrophe.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