de la crise financière à la crise économique. roger guesnerie collège de france, eep/pse
TRANSCRIPT
De la crise financière à la crise économique.
Roger GuesnerieCollège 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
Initiationdu
prêt
banque gèrant le prêt
Poolde
prêts
banqueà
l’origine du prêt
“Credit Enhancer”
Investisseur
HedgeFund
Assureur d’obligations
Sicav monétaires
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, 1987-2008
-1000000
-800000
-600000
-400000
-200000
0
200000
400000
600000
800000
1000000
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Year
Cu
rren
t ac
cou
nt
(M
illio
n U
SD
)
Source: OECD
Japan+BRICS+ Oil producers (incl Russia)
Japan+BRICS
Japan
United States
Taux d'intérêt court et long: Bons du trésor US, 1982-2008
0
2
4
6
8
10
12
14
1982 1987 1992 1997 2002 2007
Year
An
nu
al r
ate
(per
cen
t)
Bons à 10 ans
Bons à 3 mois
Taux d'intérêt long et inflation US, 1982-2008
0
2
4
6
8
10
12
14
1982 1987 1992 1997 2002 2007
Year
An
nu
al r
ate
(per
cen
t)
Bons à 10 ans
Inflation
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.