Présentation PowerPoint - Paris School of Economics

De la crise financière à la crise
économique.
Roger Guesnerie
Collège de France, EEP/PSE
Introduction.
…Crisis : un « fait économique total ».
- History.
- The present events.
- Mechanisms.
- Institutions and organizations.
Survey : subjective choice.
- Crises in history.
- The illness and its therapies.
- Back on the diagnosis.
- Conclusion.
De la crise financière à la crise
économique.
Les crises dans l’histoire.
The history of crises: famous
« Bubbles ».
 17th century : the « tulip mania ».
– The dutch society fascinated by tulips, (Bruegel).
– Futures for tulips.
– From 1634 to 1637,
– A speculative increase of prices.
– 1637, example of a bulb price.
–
The price of 2 houses, 5 to 15 years of income of a craftsman.
– February 1637 : the market collapses.
– The end of « the trade of wind » « le commerce du vent ».
– A speculative bubble.
– Financial Crisis.
 18th century: « The South Sea Bubble »
– 1711, the « South Sea Company » gets the management of the Britain
debt,
– 6/° interest + exclusivity of trade with latin America.
– stratospheric price level 1720-21, collapse in 1721.
– Newton :
« I can forecast the movement of planets, but I could not compute the madness
of men. »
Les grandes crises : 1929, 2008.
 1929. “The mother of all crises”. From the krach to the world crisis.
–
A spectacular rise of the Dow Jones index.
– From 1921 to 1929, increase of industrial production 50/°, of the Stock Exchange, >300/°
– New system of credit for purchasing shares ?
–
The krach
– Contained on black Thursday, but
– October 28, Black Monday : -13/°, then Black Tuesday, -12/°.
–
An ongoing fall from 1930 to 1932.
– Considerable losses.
–
Trigerring a world crisis.
 2008. The present crisis : « From sub-primes to depression »
–
A « local » crisis. The burst of the housing bubble in the States.
– Connected with sub-primes loans.
–
Propagated to the world financial system.
– Rescue of Northern Rock, then
– Fall of Lehman Brothers, Sep. 2008, fall of Stock exchanges in the world.
–
A quick and synchronised transmission to the world economy.
– 2008, 2009
–
What next ?
– V, U, V, W, L
Dot.com bubble.
Source: Ofek and Richardson, 2003, Journal of Finance
What is a crisis ?
 The variety of crises. economic crisis and financial crisis.
– Sectoral or general.
– Geographic field que, local or global.
 What is a crisis ?
– Dysfonctioning of a decentralised economy.
– Decentralised means : actions taken by
– millions of independant agents.
– With their own objectives.
– The opposite polar model : centralisation, the
Gosplan.
– Market economies are decentralized.
– Synonym of capitalism ?
– Yes, historically.
 Synchronisation of decentralised economies : mecanisms.
– Price adjustement.
– Adjustment of the views of the future : expectational coordination.
– Crisis : brutal break
– Of the path followed by the economy.
– Of the collective image of the future associated with this path.
– Quiet time : the image is approxiamtely selfulfilling.
De la crise financière à la crise
économique.
Le « mal », sa transmission et la
thérapeutique.
The disruption of the planet finance.
 The sub-primes crisis : A local fire ?
– Risky loans, from « prime » to « sub-prime ».
–
–
–
–
–
To favour access property to the poorest houselholds.
Mortgage loans, sometimes 100/° or more of the house value…,
A break of the incentives system, increased by « titrisation ».
A self-sustained increase of the housing prices, Bubble…
Non sustainable.
– A fire that could have been limited ? 2 to 300 Billions dollars.
 The shaking of the world financial system : « A big forest fire »
– The imbrication of the actors :
– sub-prime loans disseminated in the world
– « sliced » (titrisés), out of the balance sheet.
– Increase of risk premia, loss of confidence.
– The Dominos effect, how to manage it ?
– Rescuing Northern Rock, Fall of Lehman Brothers.
– The collapse of the stock market.
– To sell assets, cumulative loss,
– Decembre 2008, SP 500, fall of stock exchanges
Titrisation et la chaine-de-credit
-
Initiation
du
prêt
banque
gèrant
le prêt
banque
à
l’origine du prêt
Pool
de
prêts
Investisseur
Hedge
Fund
“Credit
Enhancer”
Sicav
monétaires
Assureur d’
obligations
From the financial crisis
to the « real » crisis.
 The facts : A quick and synchronised depression. ?
–
Decrease of GdP of developed countries starts at the fall 2008.
–
–
–
–
–
Japan tendancy -5/° , end 2008
Lower production of 2/° Euro zone en 2009 ?
Increase of unemployment, 2pts.
Transmission via international trade towards emerging countries. (China,)
2009 contraction and rebounce.
 Mecanisms : « Wealth effect », « credit crunch »
–
Wealth Effect.
– Non expected loss of « permanent income ».
–
–
–
Housing.
/holders of income indexed ont shares,
Pessimism of wage earners,
– Change of the image of the future : Increase of uncertainty.
– Precautionnary savings
–
–
–
Induces a reduction of consumption
Or postponement of purchase. (durables)
Une contraction of the loans of the banking system,
– credit crunch,
– Pessimism on the future, lower self finance resources, reduced investment.
–
A cumulative recession mechanism.
Bitter remedies.
 An eclectic medicine : Between Friedman and Keynes.
–
–
–
–
Shock therapies : forgetting principles.
The influence of the monetarist interpretation of the 1929 crisis. .
Keynes back through the window.
Not to kill international trade.
 The 1929 lessons, according to Friedman.
–
–
–
–
A disastrous monetary policy.
Absence of rescue to the banking system.
2008, avoid the collapse of banks and the domino effect.
But what about « moral hasard »?
 John Maynard Keynes back.
– Inject short run purchasing power.
– Governement expenditures.
 To save private trade.
– Trade contraction, the worrying example of 929.
–
–
Limiting the trade effects,
Cooperation reasserted, G20
De la crise financière à la crise
économique.
Le diagnostic ?
A « carburator » failure?
 The car metaphor : Carburator versus motor.
–
–
–
The world financial system, the carburator.
The world economy, the motor
First thesis, a carburator failure ?
 The « overloaded » carburator », logics of sophistication.
–
Recent evolutions : multiplication of actors.
– End of Glass Steagall act de 1933, sep. Deposit and investment banks.
– Hedge funds, special vehicles
–
Recent evolutions : multiplication of products.
– Derivatives, example les options.
– Credit Default Swap, la titritisation.
–
Argument, to improve the system’s performances.
– Finance the economy
– Share risk, mutualisation, completing the market.
– Control through financial mathematics.
 The overloaded carburatorr « gonflé », fragilities of sophistication.
–
–
–
Internal Opacity, modelling as a veil.
Exteranl Opacity, how to decipher products ?
« Systemic » Opacity. Expectational coordination, rationality, uncontrolled leverage effect?
…
A poorly designed or
poorly maintained « carburator »?
 First thesis : the overloaded carburator.
– More performance kills performance.
– Who is responsible ? Bankers or ….
– Regulators.
 Regulation failures ? Fragile sophistication.
– The limits of internal regulations.
– Financial mathematics and systemic risk.
– The failure of notation agencies.
– Opacity
– And perverse incentives.
 Regulation failures ? how to forbid sophistication?
– Knowledge uncertainty. Forbid sophistication ?
– Regulation mistakes, Basel 2, naive regulators.
– Does competition between regulators lead to regulation ?
– A story at BDF
 Other chapters.
– Fiscal paradises.
– Remunérations of traders
The « motor » changes.
 The 19th century globalisation. Mobility of goods, fix factors
– The products are mobile,
– Factors, land, labour, capital, immobile.
– s Hekscher-Ohlin effects.
 The end of the 20th century globalisation: « Sliced » production
- « Sliced » production. :
- The firms shops all over the world.
- International trade through multi-national firms (1/3 of world trade).
– Direct competition of labour factors when substitutes.
– Winners and losers.
 And trade imbalances : The China savings.
– Considerable financial flows, counterparts of trade flows.
– Freedom of capital movements.
– A post- Bretton-woods monetary system.
Global imbalances: Current Account surplus and deficits of selected countries, 19872008
1000000
Japan+BRICS+ Oil producers
(incl Russia)
800000
Current account (Million USD)
600000
400000
Japan+BRICS
200000
Japan
0
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
-200000
-400000
United States
-600000
-800000
-1000000
Source: OECD
Year
Taux d'intérêt court et long: Bons du trésor US, 1982-2008
14
12
Annual rate (per cent)
10
8
Bons à 10 ans
6
Bons à 3 mois
4
2
0
1982
1987
1992
1997
Year
2002
2007
Taux d'intérêt long et inflation US, 1982-2008
14
12
Annual rate (per cent)
10
8
Bons à 10 ans
6
4
Inflation
2
0
1982
1987
1992
1997
Year
2002
2007
De la crise financière à la crise
économique.
Remarques finales en guise de conclusion.
Quid du (des) « conducteur(s) » ?
 Le « moteur » : La structure de l’économie.
– La structure de l'économie mondiale est en mutation rapide.
– Interactions commerciales et financière fortes entre économies
– Qui ne perdront pas leur intensité dans le futur
 « Moteur et carburateur » : Crise du temps de la globalisation
ou crise de la globalisation ?
– L'excèdent d'épargne mondiale et les déséquilibres mondiaux:
– Effet sur les taux d’intérêt, effet de levier
– Sur-endettement et prise excessive de risque.
– Robert Solow: “lorsque des flux énormes de capitaux liquides coulent à
travers le monde il est possible qu’ ils débordent de leur vase”
 Le « conducteur » : Des erreurs de maintenance et de
conduite.
– Maintenance : les fautes de la régulation
– Politique monétaire accomodante, expansion du crédit (Greenspan).
Capital mobility and crisis.
Reinhart and Rogoff, (2008) “Banking Crises: An Equal Opportunity Menace”
Quid du (des) « conducteur(s) » ?
 Le « conducteur » : Les illusions de la grande modération.
– les fautes de la régulation, Politique monétaire accomodante, expansion du
crédit (Greenspan).
– Le quasi-consensus de la grande modération.
– Le calme avant la tempête ?
– Libéralisation et crises ??
– Frontières de l’Etat et frontières du marché…
Crise du temps de la
globalisation, crise de la globalisation ?
 Des ingrédients communs à ttes les crises : le dés-ancrage
/fondamentaux.
–
–
–
–
« politique monetaire laxiste
déreglementation ou liberalisation =>
Une phase spéculative: illusion d’ un nouveau modèle
Anticipation de plus-values à court terme »
 Des caractéristiques spécifiques :

Crise du temps de la
globalisation ou crise de la globalisation ?
– L’autonomie de la planète financière,
– La mondialisation des échanges et les déséquilibres financiers.
– La logique de circulation des capitaux et le système monétaire
Les menaces: Les causes imparfaitement traitées.
-
Un système financier imparfaitement remis en ordre.
- Les déséquilibres dus à l’épargne mondiale perdurent.
- Le système de changes reste à réformer.
Qui est responsable?
FIN.