stephen quinn, tcu william roberds, frb atlanta presented ... · o low interest rate o large...
TRANSCRIPT
![Page 1: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/1.jpg)
Responding to a Shadow Banking Crisis: the Lessons of 1763
Stephen Quinn, TCU
William Roberds, FRB Atlanta
Presented in Honor of Warren Weber
February 18, 2012
![Page 2: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/2.jpg)
Motivation
To better identify
the persistent properties
of shadow bank instability
![Page 3: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/3.jpg)
Method
To reconstruct a historical episode
that is similar to,
but not identical to the recent crisis.
![Page 4: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/4.jpg)
Similarities
1763 2007-8
Securitization Bill of exchange Many (ABCP)
Shocking failure Neufville Lehman
Rollover crisis? Yes Yes
Central bank Bank of Amsterdam Federal Reserve
CB Lender to guarantors? Yes Yes
CB Emergency facilities? Bullion Numerous
![Page 5: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/5.jpg)
Differences
1763
2007-8
Regulation
Settlement Prudential
Bailouts
None Too big to fail
International liquidity
None Currency swaps
Open Market Operations None Quantitative Easing
![Page 6: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/6.jpg)
Outline
1. Shadow Banking 2. Data 3. Shock 4. Run and Response
![Page 7: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/7.jpg)
Table 1: stylized ABCP conduit
Period 0: (a) D creates and sells an ASSET to B (b) B creates and sells ABCP1 to C1
Period 1: (a) B creates and sells ABCP2 to C2 (b) B repays C1 for ABCP1
Period 2: (a) D repays B for ASSET (b) B repays C2 for APCP2
![Page 8: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/8.jpg)
Shadow Run
Period 0: (a) D creates and sells an ASSET to B (b) B creates and sells ABCP1 to C1
Period 1: (a) B creates and sells ABCP2 to C2 (b) B repays C1 for ABCP1
Period 2: (a) D repays B for ASSET (b) B repays C2 for APCP2
![Page 9: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/9.jpg)
Table 2: stylized acceptance loan, 1763
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1
![Page 10: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/10.jpg)
Table 2: stylized acceptance loan, 1763
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
![Page 11: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/11.jpg)
Table 2: stylized acceptance loan, 1763
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1
![Page 12: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/12.jpg)
Table 2: stylized acceptance loan, 1763
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2
![Page 13: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/13.jpg)
Table 2: stylized acceptance loan, 1763
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2 C2 travels to Hamburg
Period 2: (a) D accepts BILL2
(b) B settles BILL1 with C1
Period 3: (a) D settles BILL2 with C2
![Page 14: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/14.jpg)
Numerical Example Period 0
• C1 gives 100 Hamburg thalers for BILL1. • BILL1 obliges B to pay 165 bank guilders in two months at the
Bank of Amsterdam. The exchange rate is 1.65:1.
Period 1
• B sells BILL2 to C2 for 166 bank guilders. 165 will settle BILL1 and 1 is a service fee.
• BILL2 obliges D to pay 101.8 thalers in Hamburg in two months. The exchange rate is 1.63:1.
Period 3
• D pays an annualized 4-month rate of 5.4 percent
![Page 15: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/15.jpg)
Phase 1: Rollover Crisis
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2 C2 travels to Hamburg
Period 2: (a) D accepts BILL2
(b) B settles BILL1 with C1
Period 3: (a) D settles BILL2 with C2
![Page 16: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/16.jpg)
Phase 2: Acceptance Collapse
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2 C2 travels to Hamburg
Period 2: (a) D accepts BILL2
(b) B settles BILL1 with C1
Period 3: (a) D settles BILL2 with C2
![Page 17: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/17.jpg)
Phase 3: Securitization Collapse
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2 C2 travels to Hamburg
Period 2: (a) D accepts BILL2
(b) B settles BILL1 with C1
Period 3: (a) D settles BILL2 with C2
![Page 18: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/18.jpg)
Outline
1. Shadow Banking 2. Data 3. Shock 4. Run and Response
![Page 19: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/19.jpg)
Recorded at the Bank of Amsterdam?
In Hamburg In Amsterdam Period 0: (a) D draws BILL1 on B
(b) D sells it to C1 C1 travels to Amsterdam
Period 1: (a) B accepts BILL1 (b) B draws BILL2 on D (c) B sells BILL2 to C2 C2 travels to Hamburg
Period 2: (a) D accepts BILL2
(b) B settles BILL1 with C1
Period 3: (a) D settles BILL2 with C2
![Page 20: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/20.jpg)
Bank of Amsterdam Balance Sheet August 1, 1763, in bank guilders
Assets Liabilities Metal 21,895,124 Accounts 22,660,145 Under Receipt (“Repo”)
21,606,690 Unencumbered
288,434
Loans 527,264 Capital -237,757 Total 22,422,388 Total 22,422,388
![Page 21: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/21.jpg)
Data for 1763
• Weekly gross payments between
o each of the 8 largest merchant bankers
o each banker with the rest of the Bank of Amsterdam
o each with the Bank of Amsterdam’s master account
• Week-start balances of the same.
![Page 22: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/22.jpg)
Data Shows
• New bills financed acceptances before the crisis.
![Page 23: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/23.jpg)
Table 3. Bank of Amsterdam transactions, January-July 1763 Weekly Means in Thousands of Bank Guilders
Merchant bank Starting balance Total
Payments Payments/ Balance
Hope & Compagnie 439.3 473.9 1.12 Andries Pels & Zoonen 359.7 245.8 0.70 George Clifford & Zoonen 277.1 392.3 1.49 Gebroeders de Neufville 103.3 241.3 2.69 Vernede & Compagnie 99.0 179.5 2.75 Raymond & Theodoor de Smeth 77.7 164.5 2.57 Horneca Hogguer & Co. 69.7 146.7 2.51 Charles & Theophilus Cazenove 68.7 227.7 4.25
Total 8 large banks 1,494.5 2071.7
(Rest of the Bank accounts) 21,686.0 1925.31 1 Sum of coin withdrawals plus transfers to eight most active accounts.
![Page 24: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/24.jpg)
Data Shows
• New bills financed acceptances before the crisis.
• The failure of Neufville caused a sudden drop in bill
creation.
• Liquidity creation prevented additional failures.
![Page 25: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/25.jpg)
Outline
1. Shadow Banking 2. Data 3. Shock 4. Run and Response
![Page 26: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/26.jpg)
May 1763
1. decline in commodity prices. 2. demonetization of Prussian coins.
Debtors suddenly lacked means to pay bills.
![Page 27: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/27.jpg)
May 1763
1. decline in commodity prices. 2. demonetization of Prussian coins.
Debtors suddenly lacked means to pay bills.
So debtors draw and sell new bills on Amsterdam. Silver bullion follows in hopes of paying the new bills.
![Page 28: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/28.jpg)
Lehman Moment Aron Joseph fails on July 28. Neufville’s exposure? 163,000 guilders.
![Page 29: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/29.jpg)
Lehman Moment Aron Joseph fails on July 28. Neufville’s exposure? 163,000 guilders. Neufville’s total assets? 10 million guilders.
![Page 30: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/30.jpg)
Lehman Moment
Aron Joseph fails on July 28. Neufville’s exposure? 163,000 guilders. Neufville’s total assets? 10 million guilders. Neufville’s average weekly funding requirement? 241,000 guilders.
![Page 31: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/31.jpg)
Lehman Moment Aron Joseph fails on July 28. Neufville’s exposure? 163,000 guilders. Neufville’s total assets? 10 million guilders. Neufville’s average weekly funding requirement? 241,000 guilders. Neufville suspends payments on July 30.
![Page 32: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/32.jpg)
Too Big to Fail?
This morning … we received a fatal express, with the terrible news that you, the gentlemen of Amsterdam, would leave the Neufvilles to sink, by which we were all thunderstruck; never dreaming that so many men in their senses in your city could take such a step … which will infallibly plunge all Europe in an abyss of distress, if not remedied by you whilst it is still time.
--- Petition from Hamburg, August 4, 1673
From Tooke (1838, 149-150).
![Page 33: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/33.jpg)
Consequences of Neufville Failure
Direct
![Page 34: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/34.jpg)
Consequences of Neufville Failure
Direct
Indirect
Scramble for coin Run on deposit banks
Rollover crisis
![Page 35: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/35.jpg)
Rollover Crisis Payments value by source, 1763:1-1764:1
3-week moving averages. Source: Stadsarchief Amsterdam 5077.
Mill
ions
Ban
k Fl
orin
s
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan1763
0.0
0.5
1.0
1.5
2.0
2.5LARGEST_BANKS
PARVENUS
ROB
Metal inf lows
![Page 36: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/36.jpg)
Outline
1. Shadow Banking 2. Data 3. Shock 4. Run and Response
![Page 37: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/37.jpg)
Run and Response Weekly position of Horneca Hogguer
-300-200-100
0100200300400
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin
![Page 38: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/38.jpg)
Run and Response Weekly position of Hope
0
200
400
600
800
1,00025
-Jul
-63
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin
![Page 39: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/39.jpg)
Additional Response
• Open Market Operations? • Ad hoc bullion repo window
o unlimited amounts o low interest rate o large haircut
![Page 40: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/40.jpg)
Run and Response Weekly position of Cazenove
-1,000-800-600-400-200
0200400600
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin CUM Bullion
![Page 41: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/41.jpg)
Run and Response
Weekly position of Smeth
-150-100-50
050
100150200250
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64T
hous
ands
of B
ank
Gui
lder
s
Balances CUM Transfers CUM Coin CUM Bullion
![Page 42: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/42.jpg)
Non-Bank Response
Weekly cumulative positions for the rest of the Bank
0123456
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64M
illio
ns o
f Ban
k G
uild
ers
CUM Coin CUM Bullion
![Page 43: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/43.jpg)
Lessons
1763 confirms that a shadow run is a rollover crisis.
![Page 44: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/44.jpg)
Lessons
1763 confirms that a shadow run is a rollover crisis.
1763 suggests that a smaller scale of central bank response
can be sufficient for local effectiveness.
![Page 45: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/45.jpg)
Weekly Central Bank Assets in 1763 and 2008
Sources: Federal Reserve and Stadsarchief Amsterdam 5077
0.50
1.00
1.50
2.00
2.50
3.00
0.50
1.00
1.50
2.00
2.50
3.00
-26 -23 -20 -17 -14 -11 -8 -5 -2 1 4 7 10 13 16 19 22
Ass
ets S
cale
d to
Wee
k 0
Weeks Before and After Major Failure0=1 August, 1763 and 0=10 September, 2008
AMS: Traditional
FED: Traditional
![Page 46: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/46.jpg)
Weekly Central Bank Assets in 1763 and 2008
Sources: Federal Reserve and Stadsarchief Amsterdam 5077
0.50
1.00
1.50
2.00
2.50
3.00
0.50
1.00
1.50
2.00
2.50
3.00
-26 -23 -20 -17 -14 -11 -8 -5 -2 1 4 7 10 13 16 19 22
Ass
ets S
cale
d to
Wee
k 0
Weeks Before and After Major Failure0=1 August, 1763 and 0=10 September, 2008
AMS: Bullion Window
AMS: Traditional
FED: Lending to Non-Bank CreditMarkets
FED: Traditional
![Page 47: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/47.jpg)
Weekly Central Bank Assets in 1763 and 2008
Sources: Federal Reserve and Stadsarchief Amsterdam 5077
0.50
1.00
1.50
2.00
2.50
3.00
0.50
1.00
1.50
2.00
2.50
3.00
-26 -23 -20 -17 -14 -11 -8 -5 -2 1 4 7 10 13 16 19 22
Ass
ets S
cale
d to
Wee
k 0
Weeks Before and After Major Failure0=1 August, 1763 and 0=10 September, 2008
AMS: Bullion Window
AMS: Traditional
FED: Central Bank Swaps, AgencyDebt & MBS, AIG Rescue
FED: Lending to Non-Bank CreditMarkets
FED: Traditional
![Page 48: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/48.jpg)
Questions?
![Page 49: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/49.jpg)
![Page 50: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/50.jpg)
Weekly “funding gap” with non-banks
-1-0.5
00.5
11.5
22.5
3
28-J
an
21-F
eb
21-M
ar
18-A
pr
16-M
ay
13-J
un
11-J
ul
8-A
ug
5-Se
p
3-O
ct
31-O
ct
28-N
ov
26-D
ec
Mill
ions
of B
ank
Gui
lder
s
Net Flow Payments from Others to BanksPayments from Banks to Others
![Page 51: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/51.jpg)
Figure 10: Simulated balances with no bullion window + 2 failures
Horneca, July 1763-January 1764
Thou
sand
s B
ank
Flor
ins
August September October November December-100
-50
0
50
100
150
200
250
300
HornecaScenario
Hope, July 1763-January 1764
Thou
sand
s B
ank
Flor
ins
August September October November December300
400
500
600
700
800
900
1000
HopeScenario
![Page 52: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/52.jpg)
-2,000-1,500-1,000
-5000
5001,0001,5002,0002,500
Tho
usan
ds o
f Ban
k G
uild
ers
Figure
0000000000
24-J
an-6
3
21-F
eb-6
3
Balance
6: Wee
with a
21-M
ar-6
3
18A
63
es CU
ekly tota
accumu
18-A
pr-6
3
16-M
ay-6
3
UM Transfe
al banke
ulation b
13-J
un-6
3
11-J
ul-6
3
ers CU
er balan
by chan
8-A
ug-6
3
5-Se
p-63
UM Coin
nces in 1
nnel
5Se
p63
3-O
ct-6
3
CUM
1763
31-O
ct-6
3
28-N
ov-6
3
M Bullion
26-D
ec-6
3
![Page 53: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/53.jpg)
Figure C3. Weekly balances of Pels
-200
0
200
400
600
800
1,000
1,200
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin CUM Bullion
![Page 54: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/54.jpg)
Figure C4. Weekly balances of Clifford
-600
-400
-200
0
200
400
600
800
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin CUM Bullion
![Page 55: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/55.jpg)
Figure C6. Weekly balances of Vernede
-250-200-150-100-50
050
100150200250300
25-J
ul-6
3
8-A
ug-6
3
22-A
ug-6
3
5-Se
p-63
19-S
ep-6
3
3-O
ct-6
3
17-O
ct-6
3
31-O
ct-6
3
14-N
ov-6
3
28-N
ov-6
3
12-D
ec-6
3
26-D
ec-6
3
9-Ja
n-64
Tho
usan
ds o
f Ban
k G
uild
ers
Balances CUM Transfers CUM Coin CUM Bullion
![Page 56: Stephen Quinn, TCU William Roberds, FRB Atlanta Presented ... · o low interest rate o large haircut . Run and Response Weekly position of Cazenove -1,000-800-600-400 ... Balances](https://reader034.vdocument.in/reader034/viewer/2022050423/5f928a3352403a565f02b94a/html5/thumbnails/56.jpg)
S
Figu
Source: Der
10
20
30
40
50
60T
hous
ands
of M
arks
Pur
e Si
lver
Ry
ure C2.
rived from P
0
00
00
00
00
00
00
1740
yxdaalder
Mint p
Polak 1998.
1745
1750
Ducat
producti
1755
Zeeland
ion of si
1763
1760
1765
d Ryxdaald
ilver coi
1764
1765
1770
der Sm
ins, 174
1775
mall Coins