Europa  en  la  Cuerdas  

José  De  Gregorio  Universidad  de  Chile  

Agosto  2012  

I.  ENTORNO  GLOBAL  

Crecimiento  mundial  y  regional  

Fuente:  IMF,  World  Economic  Outlook,  Abril  2012,  y  update  Julio.  promedios  ponderados    por  PPP.  2012-­‐2013  proyecciones.  

-­‐6  

-­‐4  

-­‐2  

0  

2  

4  

6  

8  

10  

2000-­‐2005  

2006  

2007  

2008  

2009  

2010  

2011  

2012  

2013  World  USA  Emerging  and  Dev.  Economies  Latam  Zona  Euro  

Crecimiento  (%)  

90  

100  

110  

120  

130  

140  

150  

2006  

2007  

2008  

2009  

2010  

2011  

2012  

PIB  (2006=100)  

Evolución  de  la  proyecciones  de  consenso  para  los  años  2012  (rojo)  y  2013  (azul)  

-­‐2  

0  

2  

4  

6  

8  

10  Jun-­‐11  Sep-­‐11  Dec-­‐11  Mar-­‐12  Jun-­‐12  Jan-­‐12  Mar-­‐12  Jun-­‐12  

II.  ORIGENES  DE  LA  CRISIS  

Los  orígenes  del  problema  europeo:  convergencia  de  tasas  de  interés…  

Fuente:  Bloomberg.  

Los  orígenes  del  problema  europeo:  …y  fuerte  boom  de  consumo  

Fuente:  Eurostat.  Consumo  privado  de  hogares.  

90  

100  

110  

120  

130  

140  

150  

160  

1999   2000   2001   2002   2003   2004   2005   2006   2007   2008   2009   2010   2011  

Dinamarca   Alemania   Holanda   Irlanda   Grecia   España   Portugal  

Los  orígenes  del  problema  europeo:  …y  del  precio  de  las  casas  (1997=100)  

Fuente:  BIS  annual  report  2011.    La  línea  indica  la  fecha  de  la  caída  de  Lehman  Brothers  

20 BIS 81st Annual Report

Sharp increases in credit extension to households and corporations fuelled the appreciation in property.5 The ratio of household debt to GDP (Graph II.3) rose in all countries that experienced a housing boom, far exceeding their long-term trends. Non-financial corporations also added to their debt, with those in the United States being a notable exception. As shown by the left-hand scale of the graph, Irish and Spanish non-financial corporations saw particularly large increases in their debt ratios, with the lion’s share of the debt being used to finance real estate. That said, the increase in indebtedness looked much smaller when set against the market value of the real estate portfolios being financed. In the case of Spain, real estate firms increased their ratio of debt to total assets from 50% in 2000 to 63% in 2007.

The housing and credit booms changed the sectoral composition of output. The relative weight of the construction sector rose in all economies where house prices increased. In 2007, construction employed 13% of all workers in Spain, up from 10% a decade earlier (Graph II.4, left-hand panel). In Ireland, the corresponding increase was even sharper, from 8!% to 13%. A similar picture emerges if one measures the share of construction in total value added.6 Canada, the United Kingdom and the United States also saw growth in the share of construction in employment and GDP, but to a much lesser extent than in Ireland and Spain.

Strong expansion of real estate finance as property prices went up was one factor behind the rapid growth of the financial sector during the pre-crisis

… was fuelled by a build-up of private sector debt

Demand for mortgages drove the growth of the financial sector

5 See the discussion in BIS, 80th Annual Report, June 2010, pp 10–12.

6 Between 1997 and 2007, the share of construction in GDP went up from 6!% to 10% in Spain and from 5% to 8% in Ireland.

The vertical line marks 15 September 2008, the date on which Lehman Brothers filed for Chapter 11 bankruptcy protection.

1 Deflated by consumer prices.

Sources: Various real estate associations; national data.

Real prices of residential and commercial properties1

1997 average = 100

Residential properties Commercial properties

0

50

100

150

200

250

1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010

IrelandSpainUnited KingdomUnited StatesCanada

0

50

100

150

200

250FranceGermanyJapanItaly

Graph II.2

20 BIS 81st Annual Report

Sharp increases in credit extension to households and corporations fuelled the appreciation in property.5 The ratio of household debt to GDP (Graph II.3) rose in all countries that experienced a housing boom, far exceeding their long-term trends. Non-financial corporations also added to their debt, with those in the United States being a notable exception. As shown by the left-hand scale of the graph, Irish and Spanish non-financial corporations saw particularly large increases in their debt ratios, with the lion’s share of the debt being used to finance real estate. That said, the increase in indebtedness looked much smaller when set against the market value of the real estate portfolios being financed. In the case of Spain, real estate firms increased their ratio of debt to total assets from 50% in 2000 to 63% in 2007.

The housing and credit booms changed the sectoral composition of output. The relative weight of the construction sector rose in all economies where house prices increased. In 2007, construction employed 13% of all workers in Spain, up from 10% a decade earlier (Graph II.4, left-hand panel). In Ireland, the corresponding increase was even sharper, from 8!% to 13%. A similar picture emerges if one measures the share of construction in total value added.6 Canada, the United Kingdom and the United States also saw growth in the share of construction in employment and GDP, but to a much lesser extent than in Ireland and Spain.

Strong expansion of real estate finance as property prices went up was one factor behind the rapid growth of the financial sector during the pre-crisis

… was fuelled by a build-up of private sector debt

Demand for mortgages drove the growth of the financial sector

5 See the discussion in BIS, 80th Annual Report, June 2010, pp 10–12.

6 Between 1997 and 2007, the share of construction in GDP went up from 6!% to 10% in Spain and from 5% to 8% in Ireland.

The vertical line marks 15 September 2008, the date on which Lehman Brothers filed for Chapter 11 bankruptcy protection.

1 Deflated by consumer prices.

Sources: Various real estate associations; national data.

Real prices of residential and commercial properties1

1997 average = 100

Residential properties Commercial properties

0

50

100

150

200

250

1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010

IrelandSpainUnited KingdomUnited StatesCanada

0

50

100

150

200

250FranceGermanyJapanItaly

Graph II.2

Los  orígenes  del  problema  europeo:  …y  apreciaciones  reales  (prom.  80-­‐2012=100)  

Fuente:  BIS  

70  

80  

90  

100  

110  

120  

130  

Finlandia  

Francia  

Alem

ania  

Holand

a  

Italia  

Area  Euro  

Dinamarca  

Irlanda    

España  

Portugal  

Grecia  

ene-­‐11  

Cuenta  corriente  (%  PIB):  los  ajustes  son  más  complejos  si  no  hay  flexibilidad  cambiaria  

Fuente:  WEO,  IMF.  

-­‐12   -­‐10   -­‐8   -­‐6   -­‐4   -­‐2   0   2   4   6  

Australia  

USA  

UK  

Japan  

Spain  

Portugal  

Italy  

Ireland  

Greece  

Germany  

France  

2012   2000-­‐2011  

Balance  neto  con  el  Euro  Sistema  /  Target  2  (bn  €  )    (Trans-­‐European  Automated  Real-­‐ame  Gross  seblement  Express  Transfer  system)      

Fuente:  InsYtute  of  Empirical  Economic  Research  -­‐  Universität  Osnabrück.  

-­‐450  

-­‐350  

-­‐250  

-­‐150  

-­‐50  

50  

150  

250  

350  

450  

550  

650  

750  

Jan-­‐07

 

May-­‐07  

Sep-­‐07  

Jan-­‐08

 

May-­‐08  

Sep-­‐08  

Jan-­‐09

 

May-­‐09  

Sep-­‐09  

Jan-­‐10

 

May-­‐10  

Sep-­‐10  

Jan-­‐11

 

May-­‐11  

Sep-­‐11  

Jan-­‐12

 

May-­‐12  

Finland   France  Germany     Greece  Ireland   Italy  Netherlands   Portugal  Spain   Luxembourg  

El  problema  fiscal  (Deuda  pública  bruta,  2011,  %  PIB)  

Fuente:  Fiscal  Monitor,  IMF,  September  2011,  January  2012.  

0  

50  

100  

150  

200  

250  Au

stria

 

Belgium  

France  

Germ

any  

Greece  

Ireland

 

Italy  

Portugal  

Spain  

Japan  

UK  

USA

 

El  Euro  en  un  Gráfico:  Tasas  de  Interés  a  10  años  para  propósitos  de  convergencia*  

Fuente:  BCE.  *  El  tratado  de  Maastricht    establece  en  su  cuarto  criterio  que:  “observed  over  a  period  of  one  year  before  the  examinaYon,  a  Member  State  has  had  an  average  nominal  long-­‐term  interest  rate  that  does  not  exceed  by  more  than  2  percentage  points  that  of,  at  most,  the  three  best  performing  Member  States  in  terms  of  price  stability”  

0  

5  

10  

15  

20  

25  

30  

1993Jan  

1993Au

g  1994Mar  

1994Oct  

1995May  

1995De

c  1996Jul  

1997Feb  

1997Sep  

1998Ap

r  1998Nov  

1999Jun  

2000Jan  

2000Au

g  2001Mar  

2001Oct  

2002May  

2002De

c  2003Jul  

2004Feb  

2004Sep  

2005Ap

r  2005Nov  

2006Jun  

2007Jan  

2007Au

g  2008Mar  

2008Oct  

2009May  

2009De

c  2010Jul  

2011Feb  

2011Sep  

2012Ap

r  

Germany  Spain  France  United  Kingdom  Greece  Ireland  Italy  Portugal  

III.    EL  PROBLEMA  ACTUAL  Y  POLÍTICAS  

El  Ciclo  Diabólico*:  Problema  de  Confianza  y  de  Fundamentales  

Crisis  Fiscal  

Crisis  Bancaria  

Bajo  crecimiento  

*Markus  Brunnermeier,  Princeton  University.  

Desapalancamiento  

Mayor  riesgo  

 Spread  bonos  soberanos  10Y  (%,  con  respecto  a  Alemania)    

Fuente:  Bloomberg.  

0

2

4

6

8

10

12

14

16

01-0

9

04-0

9

07-0

9

10-0

9

01-1

0

04-1

0

07-1

0

10-1

0

01-1

1

04-1

1

07-1

1

10-1

1

01-1

2

04-1

2

07-1

2

Portugal España Italia Bélgica Irlanda

Bailout  Irlanda  

Bailout  Portugal  

Bailout  Grecia  

Inflación  12m  (fig.  izq.,  %)  y  Tasa  de  Políaca  Monetaria  (fig.  der.,  %)  

-­‐3  

-­‐2  

-­‐1  

0  

1  

2  

3  

4  

5  

6  

08-­‐05  

03-­‐06  

10-­‐06  

05-­‐07  

12-­‐07  

07-­‐08  

02-­‐09  

09-­‐09  

04-­‐10  

11-­‐10  

06-­‐11  

01-­‐12  

USA   Euro  Area   UK  0  

1  

2  

3  

4  

5  

6  

7  

08-­‐05  

03-­‐06  

10-­‐06  

05-­‐07  

12-­‐07  

07-­‐08  

02-­‐09  

09-­‐09  

04-­‐10  

11-­‐10  

06-­‐11  

01-­‐12  

08-­‐12  

USA   Euro  Area   UK  

Balance  bancos  centrales  (acavos,  %  del  PIB)      

Fuente:  Bancos  centrales,  Haver  AnalyYcs  y  Bloomberg.  

GLOBAL MARKETS MONITOR Friday, August 03, 2012 Monetary and Capital Markets Department Global Markets Analysis Division

This is an internal document. It is produced by the Global Markets Analysis Division (GA) of the Monetary and Capital Markets Department. It reflects GA staff’s interpretation and analysis of market views and developments. Market views presented may or may not reflect the consensus of all market participants. All data and information are from market sources unless otherwise noted. GA staff do not independently verify the accuracy of data, statistics or events presented in this document.

Page 2

objective for such an operation and reiterated that the ESM did not meet the legal requirements to be a banking counterparty of the ECB.

Italian PM Monti said it was premature to say whether Italy will seek the activation of the

EFSF/ESM to buy its debt. Spanish PM Rajoy was non-committal over whether Spain would ask for assistance. They said that the mechanisms and instruments agreed at the last EU summit should be put in place as soon as possible so that they are ready for use "if needed". Spanish services PMI for July cam in a little better than forecast at 43.7 (vs the 42.9 reading expected and 43.4 in June). Spanish 10-year yields rose 43 bps yesterday following the lack of immediate action by the ECB

or a formal request for EFSF assistance by PM Rajoy. This was the largest one-day rise since at least 1993, and came after an initial rally of 15 bps after a successful auction. However, the Spanish 2-year retained its 10 bps gains on the day after ECB President Draghi intimated that potential ECB buying would be concentrated at the short-end of the curve, resulting in a strong curve steepening. The Italian curve moved in similar fashion with the 10 year (+40 bps) recording its biggest single day spike since last December while 2-year yields fell 3 bps. S&P kept Ireland’s credit rating at BBB+ (negative outlook). The Irish central government deficit in the year to July was €9.1 bn, roughly on track with the EU/IMF program. However, Irish press reports that the cost of the bank rescue may turn higher due to a recent UK court ruling against the exit consent mechanism used to coerce holdout subordinated debt-holders of Anglo Irish in its bond exchange offer. Irish services PMI for July fell to 49.1 from 49.7 in June. S&P affirmed Portugal’s rating at BB (negative outlook), citing the rapidly shrinking current account deficit, structural reforms, and fiscal consolidation as positives. However, they do not expect Portugal to regain market access within 12 months and so a renewal of the program will be needed.

LTRO  

QE1  

QE2  

OT  

BoE1   BoE2…  

0      

50      

100      

150      

200      

250      

300      

350      

01-­‐11   03-­‐11   05-­‐11   07-­‐11   09-­‐11   11-­‐11   01-­‐12   03-­‐12   05-­‐12  

Banco  Nacionales   Extranjeros  

Deuda  soberana  española  por  acreedores    (miles  de  millones  de  euros)  

Fuente:  Gobierno  de  España,  Tesoro  Público,  hkp://www.tesoro.es/sp/home/estadisYca.asp    

Inicio  LTRO  

IV.    ¿SE  ACABA  EL  EURO?  NO          ¿QUE  VIENE?  ARRASTRAR  LOS  PIES  

Argenana  2001-­‐02  –Grecia  2011-­‐12    

80  90  

100  110  120  130  140  

1   3   5   7   9   11   13   15   17   19   21  

Arg  TT  (1991)   Greece  TT  (2001)  

Términos  de  intercambio  

-­‐15  

-­‐10  

-­‐5  

0  

5  

10  

15  

-­‐3   -­‐2   -­‐1   0   0   1   2   3  

ArgenYna   Greece  

-­‐20  

-­‐15  

-­‐10  

-­‐5  

0  

5  

10  

-­‐3   -­‐2   -­‐1   0   0   1   2   3  

ArgenYna   Greece  

Cuenta  corriente  

-­‐15  

-­‐10  

-­‐5  

0  

5  

10  

-­‐3   -­‐2   -­‐1   0   0   1   2   3  

ArgenYna   Greece  

Crecimiento  PIB  

Déficit  primario    

Desapalancamiento:  Razón  crédito  a  GDP  (peak  =  100)  

C H A P T E R 2 S OV E R E I G N S, B A N K S, A N D E M E R G I N G MA R K E TS: D E TA I L E D A N A LYS I S A N D P O L I C I E S

International Monetary Fund | April 2012 37

!e looming cutbacks in credit could test the resil-ience of Europe’s corporate sector.

Although the e!ects of European bank delever-aging are likely to be felt far and wide, experience from earlier stages of the "nancial crisis suggests that credit to Europe’s corporate sector is likely to prove a particular pressure point. As banks began to tighten lending standards in 2007–08, all "rms su!ered. Yet, U.S. "rms generally showed greater resilience to the credit shock than did their European counterparts, as their return on assets fell by less and rebounded to precrisis levels by 2011 (Figure 2.33). In compari-son, the return on assets for both core and peripheral euro area "rms was hit harder in 2009 and has yet to return to precrisis levels (Figure 2.34).

Euro area "rms are particularly vulnerable to reduction in bank credit because of their greater reli-ance on banks for funding and often limited ability to adjust labor costs, at least compared with their U.S. peers (Figure 2.35).14 Because domestic banks

14In the World Economic Forum’s competitiveness ranking of 142 countries in 2011, Spain (119), Portugal (122), Italy (123), and Greece (126) are included in the bottom 16 percent of countries for labor market e#ciency. $ose four countries are also ranked well below core euro area countries in goods market e#ciency (WEF, 2011, pp. 20–21). See also the European Com-mission’s Quarterly Report on the Euro Area, December 2010 and

(Figure 2.32). Speci"cally, the implied decline in the credit-to-GDP ratio under all three scenarios sits between the relatively moderate experience in Japan in the 1990s and the more pronounced credit contraction in the United States in the earlier part of the "nancial crisis. However, the cutback in credit under the weak policies scenario approaches that seen in the United States.

What is the impact on growth?

$e impact of these credit supply shocks on economic activity is assessed using the IMF Global Economy Model.13 $e credit shocks implied by the current policies scenario are incorporated in the World Economic Outlook (WEO) baseline. $e credit shocks in the complete policies scenario imply that euro area real GDP would be 0.6 percent above the baseline after two years, consistent with assumptions under the WEO upside scenario. $e weak policies scenario, in turn, suggests that euro area real GDP would be 1.4 percent lower than the baseline at the end of 2013. $is is one of the key elements in one of the WEO downside scenarios.

13$e Global Economy Model was presented in the July 2008 special issue of IMF Sta! Papers, Vol. 55, No. 2.

Euro area (2010)

75

80

85

90

95

100

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14Quarters after peak

Japan (1993)

Sweden (1993)

United States (2009)

Weak policiesscenario

Current policiesscenario

Complete policiesscenario

Figure 2.32. Euro Area Credit Supply Shock: Three Scenarios Relative to Historical Episodes(Index: Ratio of peak credit to GDP = 100)

Source: IMF, International Financial Statistics and World Economic Outlook (WEO) databases; and IMF staff estimates.

Note: Year given in curve labels is the year of the peak quarter. The scenario lines show simulated paths for the euro area based on an extrapolation of the results from sample banks to the banking system; these lines are drawn using the WEO baseline GDP forecast.

0

2

4

6

8

10

12

–20

–15

–10

–5

0

5

10

15

20Dot-com

crash

Figure 2.33. United States: Non"nancial Corporate Borrowing and Return on Assets(In percent)

Sources: Federal Reserve; Haver Analytics; IMF, Corporate Vulnerability Utility database; and IMF staff estimates.

1Annual borrowing scaled down by a factor of 20.

1998 99 2000 0201 03 04 05 06 07 08 09 10 11

Bank loans (change over year, right scale)Total corporate borrowing (scaled, change over year, right scale)1

Return on assets (left scale)

Global"nancial

crisis

GFSR_Ch 02.indd 37 4/16/12 11:23 AM

Fuente:  IMF;  Global  Financial  Stability  Report,  abril  2012.    

Perspecavas  

•  No  existe  salida  ordenada.  Ni  de  Grecia…si  sale  ordenadamente,  por  qué  no  España?  

•  Rol  del  BCE  clave  en  la  normalización.  Anuncios:  (1)  necesidad  de  fiscal  compact  (2)  de  unión  bancaria  y  (3)  hará  todo  lo  que  sea  necesario  para  preservar  el  euro…y  está  consiguiendo  apoyo  alemán.  

•  Unión  fiscal  tomará  mucho  Yempo,  incluido  bono  europeo.  Fiscal  compact:  reglas  de  austeridad  y  sostenibilidad.  

•  Unión  bancaria.  Supervisión  central  puede  ser  luego,  apoyo  a  los  sistemas  financieros:  EFSF/ESM,  aún  incompleto,  menos  de  1tr  de  financiamiento.  

•  ECB  debiera  comprar  deuda  pública.  Montos  o  más  probablemente  poniendo  un  techo  (piso)  a  los  spreads  (al  precio  de  la  deuda).  Las  soluciones  parecieran  simples.    La  economía  políYca  es  muy  compleja.  

•  Quedan  años  para  solucionar  problemas  financieros  y  completar  la  unión  monetaria…por  mientras  arrastrar  los  pies.  

•  No  se  puede  descartar,  aunque  es  muy  poco  probable,  una  solución    extrema.  

Europa  en  la  Cuerdas  

José  De  Gregorio  Universidad  de  Chile  

Agosto  2012