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De Economist (2009) 157 :129  – 207 © The Author(s) 2009 This article is published with open access at Springerlink.com DOI 10.1007/s10645-009-9110-0 DE ECONOMIST 157, NO. 2, 2009 SYSTEMIC RISK IN THE FINANCIAL SECTOR: AN ANALYSIS OF THE SUBPRIME-MORTGAGE FINANCIAL CRISIS ∗∗ BY MARTIN F . HELLWIG ∗ Summary The paper analyses the causes of the current crisis of the global financial system, with particular emphasis on the systemic elements that turned the crisis of subprime mortgage-backed securities in the United States, a small part of the overall system, into a worldwide crisis. The first half of the paper explains the role of mortgage securitization as a mechanism for allocating risks from real estate investments and discusses what has gone wrong and why in the implementation of this mechanism in the United States. The second half of the paper discusses the incidence of systemic risk in the crisis. Two elements of systemic risk are identified. First, there was excessive matu- rity transformation through conduits and structured-investment vehicles (SIVs); when this broke down in August 2007, the overhang of asset-backed securities that had been held by these vehicles put significant additional downward pressure on securities prices. Second, as the financial sys- tem adjusted to the recognition of delinquencies and defaults in US mortgages and to the break- down of maturity transformation of conduits and SIVs, the interplay of market malfunctioning or even breakdown, fair value accounting and the insufficiency of equity capital at financial insti- tutions, and, finally, systemic effects of prudential regulation created a detrimental downward spi- ral in the overall financial system. The paper argues that these developments have not only been caused by identifiably faulty decisions, but also by flaws in financial system architecture. In think- ing about regulatory reform, one must therefore go beyond considerations of individual incentives and supervision and pay attention to issues of systemic interdependence and transparency. Key words: mort gag e secur itiz atio n, subpr ime- mortgage financ ial cris is , syst emic risk , banki ng regulation, capital requirements JEL Code(s): G01, G29, G32 ∗ Corresponding author: Max Planck Institute for Research on Collective Goods, Kurt Schum- acher Strasse 10, 53113 Bonn, Germany; e-mail: [email protected]. ∗∗ Revised and expanded text of the Jelle Zijlstra Lecture at the Free University of Amsterdam on May 27, 2008. I am very grateful to the Jelle Zijlstra Professorial Fellowship Foundation for inviting me to visit the Netherlands as Jelle Zijlstra Professorial Fellow 2008 and to the Neth- erlands Institute for Advanced Study for providing a wonderful environment for this visit. This expanded text tries to respond to comments and questions from the discussant, Gerrit Zalm, and from members of the audience at the Lecture, for which I am very grateful. I am also grateful for comments on this text from Christoph Engel. Kristoffel Grechenig, Hans-J ¨ urgen Hellwig, Isabel Schnabel, and two referees. As the text was being written, its subject itself has been evolving at a catastrophic pace. Some anachronisms are therefore unavoidable. However, the core of the analy- sis is, I believe, unaffected.

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