Samstag, 31. Januar 2009

Bad Bank?? Anreize???

Was ist eine "schlechte" Bank (Presse)? Nichts anderes als ein Mülleimer, bei dem das Abfallversorgungsunternehmen Staat die Rechnung übernehmen soll, wie es in der heutigen Presse steht? Das wäre eine Subvention der Bankenaktionäre und des Bankenmanagement. So wie ich das gelesen habe wäre es anders auch möglich, ganz ohne staatliche Mittel, das würde aber den Aktionären ordentlich weh tun. Allerdings ist auch bei der privaten Lösung das Bewertungsproblem zentral: Toxische Assests sind toxisch weil sie einen geringen Marktwert aber einen positiven Buchwert haben. Wie Calculated Risk schreibt:

If the bank marks the bond to market (38 cents), they will have to take huge losses. But if the government even pays the current S&P estimated value, the bank will have to write the bond down further, and the taxpayers will probably take huge losses too. Unless a bank has been very aggressive with their write downs, buying the toxic assets doesn't help - or is a gift from taxpayers to shareholders.

Billiger wäre es insolvente Banken zum Marktwert ihrer Assets durch eine Art Pseudokonkursverfahren zu verstaatlichen oder ihre Eigentumsverhältnisse umzuwandeln. Geschlossene Fonds wie Bad Banks könnten auf verschiedene Arten sei es vom Staat wie auch privat geschaffen werden und letztlich wenn keine Hoffnung mehr besteht über das Konkursverfahren liquidiert werden.

Viel wichtiger sind die Anreizwirkungen: Sei es eine staatliche "Bad Bank", die zu überhöhten Preisen den Banken toxische Assets abkauft, wie auch eine zu großzügigie Verstaatlichung (für Aktionäre oder Management) würden implizit sagen: Ihr braucht Euch keine Sorgen machen, ICH in für Euch da, mit der Folge, dass Banken nach Bewältigung der Krise keinen Anreiz haben, Risiken zu meiden – denn der Staat wird euch auffangen. Ein Hohn für Banken, die solide Strategien verfolgt haben.

Mittwoch, 28. Januar 2009

Geography of economics: It is the water! or Are we in dark ages?

Will Wilkinson fragte: Was ist mit den Ökonomen los?

What arises in my mind is the strong suspicion that economic theory, as it is practiced and taught at the world’s leading institutions, is so far from consensus on certain fundamental questions that it is basically useless for adjudicating many profoundly important debates about economic policy. One implication of this is that it is wrong to extend to economists who advise policymakers, or become policymakes themselves, the respect we rightly extend to the practitioners of mature sciences. There is a reason extremely smart economists are out there playing reputation games instead of trying to settle the matter by doing better science. The reason is that, on the questions that are provoking intramural trashtalk, there is no science.

Das Problem ist wahrscheinlich, dass viele Ökonomen glauben, dass die neue klassische Makroökonomie versinnbildlicht durch ein "einfaches" Real Business Cycle Model mit klärenden Märkten wahr ist, weil einfache und formal vollständige Modelle "wissenschaftlich" sind. Meineserachtens ist Makroökonomie zumeist etwas voodoo und zauberspruchmäßig. Allerdings auch wichtig und zentral für die Wirtschaftspolitik. Allerdings ist die Wissenschaft weit von den Ingeneuren (die Modelle bauen und verwenden) entfert. Die Lucaskritik führte zu einem Primat der angewandten Theorie (siehe dazu bei Waldmann Cass vs. Prescott), die dadurch glänzt, dass Phänome mit Modifikation des RBC-Modells durch Kalibration erklärt werden können.
Dadurch öffnen sich Gräben zwischen Praktikern, angewandten Theoretikern und Theoretikern; Rechten und Linken Ökonomen. Am Rande angemerkt: Frank Hahn einer der Meister und Verteidiger der Allgemeinen Gleichgewichtstheorie sah immer ihre Grenzen und dachte nicht dass die Allgemeine Gleichgewichtstheorie zur Politikanalyse geeignet sei.

Robert Waldmann unterscheidet zwischen Frischwasserökonomen (Minnesota, Chicago) und Salzwasserökonomen (Havard, MIT, University of California ...) und wird eindeutig:
Arnold Kling has already attempted to explain things to Wilkinson. He obtained a “department of huh?” from Brad DeLong and, for what it’s worth, two extremely intemporate comments from me (one was blocked as suspected spam because I provided to many links to support my claims which suggests something about the intellectual seriousness of comment threads at at least one blog).
While I claim that Kling’s take on the stimulus debate is absolutely inconsistent with facts in the public record which I found with a few minutes of googling, I share his general view on the divisions in the profession. He notes that there is more than one fundamental gulf which means that there isn’t a consensus among economists which would enable the few non economists who respect us to take our advice. I will mention three more just because I want to consider more economists than those discussed by Wilkensen and Kling and not because I think Kling left out anything relevant to his post

Kling discusses the policy advice of macroeconomists (and Fama). Not all economists are macroeconomists who think that it is there job to offer policy advice. He notes two divisioins left and right and fresh water and salt water.

Left and right correspond fairly closely to libertarian vs egalitarian in the US political spectrum, that is, closely to Democratic vs Republican positions on economics (except that there are leading economists well to the left of the Democratic party and well to right of all but the left fringe of the Republican party). It is a fact that, except for general support for free international trade, the range of views of economists is similar to the range of views of congressmen but somewhat broader. This is a wide enough ideological range that the methods of verification used by economists are absolutely unable to force economists on left and right to admit that economists on right and left have a point.

In the field of macroeconomics there is a much deeper division between macroeconomics as practiced at universities closer to the great lakes than to an Ocean (Fresh water economics) and that practiced at universities closer to Oceans (Salt water economics). The geography has shifted some as Fresh water economics has been exported. I’d consider Professor Robert Barro at Harvard to be brackish (with, he reports, noticed salty contamination in the first 6 months after he moved from U. Rochester) and the economics department at the University of Pompeu Fabra (in Barcelona) seems to be distilled. It is a little difficult to explain the disagreement to non economists. Frankly, I think this is because non-economists have difficulty believing that any sane person would take ffresh water economics seriously.

Roughly Fresh water economists consider general equilibrium models with complete markets and symmetric information to be decent approximations to reality. Unless they are specifically studying bounded rationality they assume rational expectations, that everyone knows and has always known every conceivable conditional probability. I’ve only met one economists who claims to believe that people actually do have rational expectations (and I suspect he was joking). However, the fresh water view is that it usually must be assumed that people have rational expectations.

Over near the Great Lakes there is considerable investigation of models in which the market outcome is Pareto efficient, that is, it is asserted that recessions are optimal and that, if they could be prevented, it would be a mistake to prevent them.

Salt water macroeconomics is basically everything else with huge differences between people who attempt to conduct useful empirical research without using formal economic theory and people who note the fundamental theoretical importance of incomplete markets and of asymmetric information and of imperfect competition (as in everything you think you know about general equilibrium theory is known to be false if markets are incomplete or there is asymmetric information or there is imperfect competition – Market outcomes are generically constrained Pareto inefficient which means that everyone can be made better off by regulations imposed by regulators who don’t know anything not known to market participants who also just restrict economic activity and don’t introduce innovations like, say, unemployment insurance).

Leading fresh water macroeconomists include Robert Lucas, Ed Prescott Thomas Sargent, Lars Hansen, John Cochrane, Larry Jones, Robert Barro (mostly), and Kevin Murphy (usually). Leading salt water economists include Paul Samuelson, Edmund Malinvaud, Jacques Dreze, Joseph Stiglitz, Robert Solow, Paul Krugman, Andrei Shliefer, Olivier Blanchard, George Akerlof, Robert Hall, Ben Bernankle, N. Gregory Mankiw, Christina Romer, David Romer and, and Lawrence Summers. Brad DeLong is also a salt water economist and he is very very smart, but last I knew, he was a little too far out there to be really a member of the economists club. I can’t classify Paul Romer.

Notably all of the above have made important contributions to fields other than macroeconomics.

In the US there is a strong correlation between Fresh and Salt and Right and Left. The correlation is not perfect: I understand that Hansen and Sargent are politically left of center. Hall is far right politically, Mankiw is right of center. and I must admit that I have no clue about Bernanke (who I have never actually, you know, seen in the flesh).

An important discrimminant is opinions of John Maynard Keynes. Fresh water macroeconomists generally seem to think that he was not a competent economist. Salt water macroeconomists claim (often implausibly) to be in some way his intellectual followers. Barro for example clearly doesn’t remember what is written in “The General Theory of Employment Interest and Money.” Mankiw, in contrast, advised the students in his macro class (including me) to read it again and again searching for insights.

Interestingly, the fresh water macroeconomists are certain that salt water macro is discredited along the lines of the Ptolomaic model or the Phlogiston hypothesis. For a while they called their models “Modern Business Cycle Theory” stating that all incompatible models were obsolete. In the current debate many have considered it sufficient to say that arguments for the stimulus are nonsense (e.g. Cochrane). The surprisingly low quality of contributions to the debate from the vicinity of Great Lakes has a lot to do with the fact that Fresh Water macroeconomists haven’t thought about fiscal stimulus in decades and sincerely believe that it is an obviously invalid proposal so obvious arguments against it might be valid.

Even more interesting, Fresh water macroeconomists do not claim that their models have not been refuted by the data. Rather they note that all models are, by definition, false. They do test hypotheses from time to time, but don’t explain what the point is. As far as I can understand, they claim that a model *can* be both false and useful and, therefore, their models *are* useful.

I understand that in the 70s and, maybe, the early 80s there was a heated debate between Fresh Water and Salt water macroecnomists. (struck out in original post: Now, it seems to me that there is a truce of sorts where each school of thought ignores the other – that macroeconomists have specialized not in the questions that they ask but in the answers.

I think that this is a very bad situation. Anyone can see that, when top macroeconomists are asked for policy advice, some support each of the different proposals which are under consideration.

Frankly, this truce seems to me to be unilateral. Many salt water economists claim (in public) to respect the contribution of fresh water economists. I know of no fresh water economist who has expressed anything but contempt for the contributions of salt water economists to the stimulus debate and I haven’t heard one word of praise of a Salt Water economist from a Fresh water macroeconomist other than Arrow, Samuelson or Solow. I added the phrase “in public” because I clearly remember one of the salt water economists on my list refer to the fresh water economists as “the crazies”.)

update: The truce is over. There have been continual cease fire offensives, but the shrill blitzkreig is here.

As far as I can tell, fresh water economists have some respect for some thinkers other than fresh water economists. I think they have rather a favorable view of mathematicians and Physicists. I think it would be useful of mathematicians and physicists to look into fresh water macro and express an opinion. On the other hand, in principle they have great respect for general equilibrium theory, but they don’t listen to general equilibrium theorists at all. Top general equilibrium theorists are all at least left of center politically, the closest David Cass could come to naming an exception is Ed Prescott who, he said, uses general equilibrium theory and studies examples (snort).

Finally I have a view of how people can devote so much effort to working out the implications of assumptions which almost no ordinary people would find other than nonsensical if they understood them. Fresh water economics uses difficult mathematical tools. Students in fresh water graduate programs have to learn a huge amount of math very fast. It is not possible to do so if one doesn't set aside all doubt as to the validity of the approach. Once the huge investment has been made it is psychologically difficult to decide that it was wasted. Hence the school gets new disciples by forcing students to follow extremely difficult courses. Last I hear very few graduate students at U Minnesota came from the USA. Undergrads over there know what the program is like. If my information is not out of date, innocents from abroad are the new blood of fresh water economics.

Update: Krugman über das "Dark Age of Macroeconomics". DeLong macht sich Gedanken über "What are Chicago Economist thinking?" und Arnold Kling meint obwohl er politisch nicht folgen könnte wäre er doch nächer an Krugman und DeLong.

Update II: Auf Angry Bear gibt rdan Aufklärung über die Frischwasser - Salzwasser unterscheidung (auch für die zu spät geborenen):
A background for the non economists concerning freshwater and saltwater economists harks back to 1976 when Robert Hall christened the central schism in macroeconomic thought as being between the freshwater and saltwater schools. The division was picked by their location (on the Great Lakes and Rivers versus the coastal schools). The division exists today – and indeed is being played out in Krugman’s (saltwater) blog and by the Chicago economists who think he is a bozo idiot.

Montag, 26. Januar 2009


Die Aussichten sind düster. Die Nachrichten, die aus dem UK und den USA kommen legen nahe, dass dort weitere massive staatliche Eingriffe notwendig sind um die Bankenkrise in den Griff zu bekommen. Die Neuigkeiten aus Osteneuropa, die für den österreichischen Bankensektor essentiell sind, geben auch wenig Anlass zur Hoffnung.

Wie in den letzten Posts (1,2) bereits angesprochen wird im UK und den USA jetzt heftig über eine Verstaatlichung diskutiert.

Das Kernproblem ist die Bewertung der Banken. Das letzte Jahr hat zu einer Erosion des Marktwerts von Banken geführt. Hier ist eine Bloomberggrafik (von Joshua Gans von Core Economics - update siehe: 1,2):

Kein schönes Bild. Private Investoren denken, dass Banken kein gutes Investment sind.

Das Problem ist, dass einige Banken praktisch insolvent sind. Das macht die Möglichkeit zunichte toxische Papiere zum Marktwert aus dem Bankensystem zu entfernen. Jede Lösung die aber einen Preis über dem Marktwert beinhaltet ist ein großes und grosszügiges Geschenk and Bankmanager und Aktionäre.

Ein Bail-out der Banken ist keine marktwirtschaftlichen Lösung und ist teuer. Der Steuerzahler übernimmt die Rechnung. Eines der Argumente für den Bail-out ist, dass ein Bail-out eine Verstaatlichung verhindert. Aber warum? Wenn eine (temporäre) Verstaatlichung billiger ist als ein Bail-out und dazu noch Anreize für Bankmanager und -eigentümer gibt sich in Zukunft anders zu verhalten, dann ist ökonomisch eine Verstaatlichung dem Bail-out vorzuziehen. Diese Banken waren zu sehr daran orientiert schnelles Geld zu machen und haben sich zu großen Risiken ausgesetzt. Dies hat zu einer Situation geführt, in der die Insolvenz der Banken nicht nur nationale sondern auch das globale Finanzsystem bedroht. Den Banken jetzt einfach Steuergelder in den Rachen zu stecken würde ein schlechtes Zunkunftssignal an andere Banker oder Finanzmarktakteure geben. Es würde ihnen sagen, egal was ihr tut, wir lassen euch nicht hängen. Das wäre fatal. Es geht nicht darum die gegenwärtigen Aktionäre oder Manager der Banken zu retten, denn diese haben versagt. Es geht darum das vitale Bankensystem wieder zum Leben zu erwecken. Hier haben die Interessen der Eigentümer und Manager nichts verloren, wie John Quiggin schreibt:

Financial restructuring is going to be a huge challenge, involving both a radical redesign of national regulations and the construction of an almost completely new global financial architecture. To attempt this task while leaving the banks under the control of discredited managers nominally responsible to shareholders whose equity has, in the absence of massive transfers from taxpayers, been wiped out by bad debts, seems like doing live electrical work while wearing a blindfold and standing in a pool of water.

Willem Buiter meint, dass nur eine volle Verstaatlichung (mit Austausch des Managements) das Ruder rumreisen kann:
But I believe that costly partial state ownership and the fear of future state ownership (partial or complete) are themselves discouraging banks from lending… If a bank has no option but to take the government’s money, it will try to repay it as soon as possible - to get the government out of its hair. Such a bank will therefore be reluctant to take any risk, including the risk of lending to the non-financial private sector. Such a bank will hoard liquidity (sometimes in the form of deposits/reserves with the central bank) to regain its independence from the government. Still independent banks will hoard liquidity to stay out of the clutches of the government.

Hans-Werner Sinn - kein expliziter Vertreter der Vollprivatisierung - schreibt dazu über das deutsche Bankenpaket:
Faced with the choice of reducing business or seeking to return to previous volumes by accepting government equity, bank executives will opt for the first alternative in order to avoid cutting their own salaries. In doing so, the executives will not even be acting against the interests of their own shareholders.

Daher wäre es jetzt an der Zeit Transparenz herzustellen. Vor der Verstaatlichung müssen die Banken ihre toxischen Postitionen vollständig abschreiben und dann erst soll der Staat Eigentumsrechte übernehmen. Staatliches Eigentum, damit dann keine Aktionäre auf die Idee kommen, gegen die Reorganisation zu klagen.
Economist’s Free Exchange blog meint dazu
Time to quit mucking around and make with the nationalisations.

Also könnte man schon von Konsensus sprechen. Die Aufgabe ist gross. John Quiggin sagt:
What’s needed in the present case is not only to fix the problems of individual banks, problems on a much bigger scale than have been seen before (even in the lead-up to the Great Depression, the financial sector played a smaller role in the economy than in the recent bubble), but to reconstruct a failed global financial system. It’s kind of like rewiring an electrical system in near-meltdown, while keeping the power on (this is possible, but tricky and dangerous). The job is likely to be much slower than the rescues (.. proposes ...), and the institutions that emerge from it will be very different from those that went in.

Ökonomischen Argumente für eine Verstaatlichung gibt Josua Gans. Die Effizenz staatliches Handeln hängt von ab von einer Reihe von Bedingungen. Zum einen hat der Staat durch das Besteuerungsmonopol die Möglichkeit gegen systemische Risiken zu versichern und billiger Geld aufzunehmem (Gant and Quiggin (2003), 'Public investment and the risk premium for equity',Economica , 70) und die Analyse von King und Pitchford basierend auf der moderenen Theorie der Unternehmung,g, die Besagt, dass es optimal ist Eigentumsrechte an den Agenten zu vergeben, der essentiell ist und der zentrale, schwierig kontraktierbare Aktionen setzt. Externalitäten sprechen für Staatseigentum und mangelnde Kontrolle für staatlich eingesetzte Manager für eine Privatisierung.

Zusammenfassend: Wenn Restrukturierung notwendig ist, wird jemand dafür zahlen müssen. Es ist besser dies koordiniert durch eine transparente Politik zu machen, als durch schrittweise ad hoc Maßnahmen. Verstaatlichung sollte primär als Element einer billigen Bereinigung des Systems gesehen werden, ohne langfristig den Traum verstaatlichter Banken zu träumen. Die auf die Verstaatlichungswelle folgende Privatisierungswelle sollte die Aufgabe haben, die Steuergelder die für die Sanierung eingesetzt wurden wieder von privaten Investoren zurückzuholen.

Freitag, 23. Januar 2009

Sollen Banken nationalisiert werden?

Ein Überblick zusammengestellt von Steve Randy Waldmann (Interfluidity):

Dillow bemerkt zu Willem Buiters Aufruf zur Verstaatlichungen der Banken, dass ihm vor allem das Argument

Costly partial state ownership and the fear of future state ownership (partial or complete) are themselves discouraging banks from lending…if the state’s financial assistance is priced punitively or has other painful conditionality attached to it, existing shareholders and management will do everything to avoid making use of these government facilities…Such a bank will therefore be reluctant to take any risk, including the risk of lending.

ins Auge gestochen ist, dienn dies ist eine spezifische Form eines allgemeinerem Arguments
modelled by Herschel Grossman (such as this pdf), Roland Benabou (section 4 of this pdf) or Jess Benhabib and Aldo Rustichini (pdf). These papers show that the threat of future taxes or other forms of appropriation can reduce capital accumulation and economic growth. In such circumstances, it’s theoretically possible that full-scale revolution might be more economically efficient than gradualist social democracy. This is because social democracy exposes the capitalist class to the threat of future full or partial expropriation - thus depressing current economic activity - whereas sudden revolution does not. Instead, by restoring secure property rights, revolution can stimulate investment.
The gut instinct that social democracy, gradualism or progressiveness is more sensible than outright revolution can therefore be false. Sometimes extremists can be rational and hard-headed, whilst moderates are woolly-headed economic illiterates.
Buiter’s argument is that this is true for banking nationalization.

Über Robert Barro und moderne Ökonometrie

Rober Barro hat im Wall Street Journal sich gegen einen "exzessiven" staatlichen Stimulus ausgesprochen. Kern des Artikels ist eine Analyse der Multiplikatorwirkung. Barro behauptet, daß der Multiplikator nicht wie von manchen Optimisten behauptet in der Nähe von 1,5 liegen würde sondern weit unter 0,8. Das heisst letztlich, dass ein Stimuluspaket zu einer teilweisen Reduktion von privates Investment, Konsum oder Nettoexporte führen wird.

Paul Krugman kritisierte Barro dafür, dass er die WW II Episode mit regulierten Märkten und Kriegsproduktion miteinbezogen hat. Noch interessanter ist die Anmerkung von Robert Waldmann auf Angry Bear
(...) I think the reason that (...) immediately make the same argument as Krugman is that Yglesias and Drum don't know about modern econometrics. Barro is using an instrumental variables regression in which wartime military spending is considered to be an exogenous variable which is correlated with government consumption. The implicit assumption is that we can safely assume that the fiscal multiplier today is identical to the fiscal multiplier during World War II, because the economy is basically similar. Without training in modern econometrics it is simply impossible to assume something that stupid.

Robert Waldmann führt dann weiter aus, dass es da ein Modell gibt, welches mit rigiden nominalen Löhnen und Preisen erklärt, dass eine Wirtschaft sich in drei Zuständen befinden kann, in einem keynesianischen mit ungenügender aggregierter Nachfrage, einem klassischen, wo die Reallöhne zu hoch sind und in einem Zustand unterdrückter inflation mit einem Überangebot von Arbeit und Gütern. Blöd für Barro, dass dieses Modell von ihm selber stammt. Robert Waldmann:

(...) who's ever heard of the Barro-Grossman model (A General Disequilibrium Model of Income and Employment Barro, Robert J.; Grossman, Herschel I.; American Economic Review, March 1971, v. 61, iss. 1, pp. 82-93 [stable JSTOR link added for those with access])? Certainly not Robert Barro.


Look I sympathise. Like Barro, when I was young and reckless I did embarrassing things which I have tried to cancel from my memory. I really wish I could do that as well as he has.

Donnerstag, 22. Januar 2009

Die Nachrichten eines Tages ...

Die letzten Neuigkeiten lassen es nicht zu von einer Beruhigung zu sprechen. Eher sieht es danach aus, dass der Totalzusammbruch des US Investmentbankings, die Teilverstaatlichung einer grossen deutschen Bank und die Insolvenz Islands erst die Spitze des Eisbergs sind. Neben finanzwirtschaftlichen Hiobsmeldungen kommt von der realwirtschaftlichen Front mittlerweile auch nur düsteres. Gewinnwarnungen, Kurzarbeit und Kreditklemme lassen es nicht mehr zu von einer Bank- und Finanzkrise zu sprechen. Es sieht ganz nach einer veritablen Wirtschaftskrise aus.

Kreditversicherer Koface meldet anstieg von Zahlungsausfälle bei Unternehmensgeschäften besonders in Spanien und den USA (link). Eurostat meldet einen Rückgang der Auftragseingänge um 26,2 Prozent von November 2007 bis 2008 und einen Rückgang von Oktober - November 2008 von 4.5 %. Die deutschen Exporte haben sich im letzten Jahr um 10 % reduziert (link). In den USA reduzierten sich die Wohnungsneubauten um 15 %. In Spanien wird mit einer Schrumpfung von 2 % im Jahr 2009 gerechnet. EU-Wirtschaftskommisar Joaquin Almunia prognostizierte Spanien eine Arbeitslosenquote von 19 Prozent, nachdem diese 2008 bereits auf 14 % gestiegen ist.

Standard & Poor's hat nach Griechenland auch Spanien vom Bestwert "AAA" auf "AA+" herabgestuft (link). Nuriel Roubini spricht vom Bankrott des US Bankensystems, Willem Buiter von jenem des UK, Irlands und Spaniens. Aus den USA, aus Großbritannien und sogar aus Deutschland kamen Signale, die eine Verstaatlichung von Großinstituten als einzigen gangbaren Weg bezeichnen. Die deutschen Banken sollen erst 25 % der toxischen Papiere abgeschrieben haben. Neun Kreditinstitute – auch die österreichischen Osthelden Raiffeisen International, Erste und BA – haben sich an die EU-Kommission und die EZB gewandt um einen „Aktionsplan für Osteuropa“ zu starten. Das deutet darauf hin, dass auch in der österreichischen Bankenlandschaft eine größere staatliche Rolle notwendig sein könnte.

Willem Buiter hat einen Vorschlag

wie man das englische Bankensystem retten könnte. Im Gegensatz von Luigi Zingales (vgl. diese Post) glaubt er nicht wirklich an eine marktbasierte Lösung. Irgendwie ist sein Vorschlag aber ähnlich. Verstaatliche die Banken. Entlasse alle Vorstände und trenne die Banken in gute (neue) Banken und verschiebe alle toxischen Beteiligungen, Kredite etc. in eine schlechte Bank, für die keine zusätzliche staatliche Haftung übernommen wird, die über die beschränkte Haftung von Kapitalgesellschaften hinausgeht. Hier ist Willem Buiter im original:

So here is my proposal:

(1) Take into complete state ownership all UK high street banks. This has to be mandatory, even for the banks that still like to think of themselves as solvent.

(2) Fire the existing top management and boards, without golden or even leaden parachutes, except those hired/appointed since September 2007.

(3) Don’t issue any more guarantees on or insurance for existing assets - regardless of whether they are toxic, dodgy or merely doubtful. Issue guarantees/insurance only on new lending, new securities issues etc. A simple rule: guarantee the new flows, not the old stocks. This will reduce the exposure of the government to credit risk without affecting the incentives for new lending.

(4) Transfer all toxic assets and dodgy assets from the balance sheets of the now state-owned banks (or from wherever they may have been parked by these banks) to a new ‘bad bank’. If possible, pay nothing for these toxic and dodgy assets. Since the state owns both the high-street banks (I won’t call them ‘good’ banks) and the bad bank, the valuation does not matter. If the gratis transfer of the toxic or dodgy assets to the bad bank would violate laws, regulations or market norms, let an independent party organise open, competitive auctions for these assets - auctions in which the bad bank, funded by the government, would be one of the bidders. Whatever price is realised in these auctions is paid by the new bad bank to the old banks.

Capitalize the bad bank with the minimum amount of capital required to meet regulatory norms. Fund the rest of the assets through a loan from the state to the bad bank or through a bond issued by the bad bank and bought by the state.

As regards the bad bank, that’s effectively it. With toxic and dodgy securities on the asset side of its balance sheet and with the state owning all the equity and as the only creditor, the assets can either be sold off, if a market develops again, or held to maturity, earning whatever cash flows they may yield.

(5) As a special case of (4), take the high street banks into full public ownership and treat these existing banks in their entirety as bad banks. Close the existing banks for all new business. Transfer the deposits of the high street banks (now the bad banks) to new (state-owned) ‘good’ banks (or perhaps rather, not yet bad banks). Replace the deposits on the books of the bad banks with loans from the state to the bad banks or with bond issues by the bad banks purchased by the state. Let the new banks (New Lloyds, New RBS, New Barclays and New HSBC) acquire, in a competitive bidding process also open to other market participants, any of the assets of the old banks. Run the new banks as competing publicly owned, profit maximising banks until they can be privatised again, when a sensible regulatory regime for banks is in place and the market for bank shares recovers. Don’t guarantee or insure any items on the balance sheet of the old banks. Use guarantees/insurance exclusively for new lending and new investments by the new banks. Gradually run down the old banks as their assets mature, as under (4).

The miracle of limited liability applies also when the state is the owner. As long as the state-owned bad banks (which could be merged into a single super bad bank) don’t obtain sovereign guarantees for their obligations, the financial exposure of the sovereign is limited to its equity stake and the existing guarantees and insurance it has provided in the past.

It is key that there be no further injections of funds by the state into the bad banks until there are no longer any private creditors. If a bad bank becomes balance-sheet insolvent or liquidity insolvent and it still has private creditors (as it would, in general, under the model of item (5)), the bad bank should be put into administration and its debt to parties other than the British state should be converted into equity. That equity would be then be purchased by the UK state. With the bad bank now not just 100 per cent state-owned but also without private creditors of any kind, the assets can be managed as the state sees fit - one hopes in such as way as to maximise the present discounted value of their held-to-maturity cash flows.

The balance sheets of the British banks are too large and the quality of the assets they hold too uncertain/dodgy, for the British government to be able to continue its current policy of extending its guarantees to ever-growing shares of the banks’ liabilities and assets, without this impairing the solvency of the sovereign. Britain risks becoming a victim of the new inconsistent quartet: (1) a small open economy with (2) a large internationally exposed banking sector, (3) a currency that is not a serious global reserve currency and (4) limited fiscal capacity. It risks a triple crisis and a threefold run: on its banks, on its currency and on its sovereign debt.

Limiting the exposure of the sovereign to what is fiscally sustainable may imply giving up on saving (all of) the banks. If my proposal for institutionally and legally separating existing stocks of assets and liabilities from new flows of credit and lending is acted upon, the flow of new lending and the supply of new credit need not require the survival of all (or indeed any) banks hitherto deemed systemically important.

I look forward to the time when I will be blogging on the best way of privatising the banks again, under new regulatory and governance regimes.

Dienstag, 20. Januar 2009


Sollte nicht auch eine Verschrottungsprämie für Häuser eingeführt werden? Damit endlich diese 100 Jahre alte Häuser und Kirchen neuem weichen und damit die Wirtschaft angekurbelt wird. Oder für steirische Äpfel oder noch besser für Sicherheitstüren? Und noch gleich eine Staatshaftung für Industriekredite übernommen werden. Eine Verstaatlichung der Risiken ohne Verstaatlichung der Gewinne. Es schaut ganz danach aus als müsste derzeit der Kapitalismus vor den Kapitalisten gerettet werden damit sowas ähnliches wie eine Marktwirtschaft in der der Markt als Regulierungsinstrument noch irgendwie effizient funktionieren kann danach noch übrigbleibt. In disem Sinne: Forza Luigi.

Zwei Grafiken (ein update)

zu Bären von zur Post drei Grafiken.

Die erste Grafik zeigt, dass sich der S&P Index seit dem Tief vom 20 November hetwas erholt hat. Ob das eine Erholung ist oder eine Verschnaufpause wird sich zeigen.

Die zweite Grafik zeigt einen Vergleich mit drei Bären-Märkten. Dies legt nahe, dass es noch zu früh ist, darüber etwas sagen zu können. Der Kurzsturz war rasant. Mensch muss nicht die große Depression zu bemühen um lang anhaltende Stagnation auf den Aktienmärkten zu beobachten.

Do not bail out the banks

Luigi Zingales meint, dass sein Plan B oder andere Möglichkeiten einfacher, besser und billiger seien als die Aktionäre und CEOs der Banken zu beschützen.

Aus Plan B für Wall Street:

The core idea is to have Congress pass a law that sets up a new form of prepackaged bankruptcy that would allow banks to restructure their debt and restart lending. repackaged means that all the terms are pre-specified and banks could come out of it overnight. All that would be required is a signature from a federal judge. In the private sector the terms are generally agreed among the parties involved, the innovation here would be to have all the terms preset by the government, thereby speeding up the process. Firms who enter into this special bankruptcy would have their old equity hodlers wiped out and their existing debt (commercial paper and bonds) transformed into equity. This would immediately make banks solid, by providing a large equity buffer. As it stands now, banks have lost so much in junk mortgages that the value of their equity has tumbled nearly to zero. In other words, they are close to being insolvent. By transforming all banks’ debt into equity this special Chapter 11 would make banks solvent and ready to lend again to their customers.

Certainly, some current shareholders might disagree that their bank is insolvent and would feel expropriated by a proceeding that wipes them out. This is where the Bebchuk mechanism comes in handy. After the filing of the special bankruptcy, we give these shareholders one week to buy out the old debtholders by paying them the face value of the debt. Each shareholder can decide individually. If he thinks that the company is solvent, he pays his share of debt and regains his share of equity. Otherwise, he lets it go.

My plan would exempt individual depositors, which are federally ensured. I would also exempt credit default swaps and repo contracts to avoid potential ripple effect through the system (what happened by not directing Lehman Brothers through a similar procedure). It would suffice to write in this special bankruptcy code that banks who enter it would not be considered in default as far as their contracts are concerned.

How would the government induce insolvent banks (and only those) to voluntarily initiate these special bankruptcy proceedings? One way is to harness the power of short-term debt. By involving the short-term debt in the restructuring, this special bankruptcy will engender fear in short-term creditors. If they think the institution might be insolvent, they will pull their money out as soon as they can for fear of being involved in this restructuring. In so doing, they will generate a liquidity crisis that will force these institutions into this special bankruptcy.
The beauty of this approach is threefold. First, it recapitalizes the banking sector at no cost to taxpayers. Second, it keeps the government out of the difficult business of establishing the price of distressed assets. If debt is converted into equity, its total value would not change, only the legal nature of the claim would. Third, this plan removes the possibility of the government playing God, deciding which banks are allowed to live and which should die; the market will make those decisions.
da gibt es auch andere Möglichkeiten, wie Zingales schreibt:
That is not the only possible plan. An alternative would be to allow banks to divide themselves into two entities, a bad bank with all the toxic assets and a good bank, with lending etc. Ownership of these two entities will be allocated pro quota to all the financial investors as a proportion of the most updated accounting value of these assets. So a bank with 30 billion of bad assets and 70 billion of good assets will see its debt divided 30-70 and its equity divided 30-70. Each $100 debt claim will become a $30 debt claim in the bad bank and a $70 debt claim in the good bank. The same would be true for equity.

On the face of it, it looks like a useless exercise. If each investor receives pro rata the two parts of the bank, what difference does it make? The answer is very simple. After the spin off, the toxic assets will not contaminate the lending part of the business anymore. On the one hand, bad banks would simply be closed-end funds holding the toxic assets. If these assets turn out to be worth more, the original investors will be rewarded. If they are worth less, the most junior claimants (common and preferred equity) will be wiped out.

The good news is that these entities could be allowed to fail, because their failure would only be a rearrangement of their liability structure with no negative consequences on the economy. On the other hand, good banks will have a clean balance sheet and will be able to raise private capital without too many problems. If private capital is nowhere to be seen is because sovereign wealth funds that tried to take advantage of the situation experienced enormous losses. In November 2007, for instance, when the Abu Dhabi’s sovereign wealth fund took a stake in Citigroup the stock was trading at $29 per share, while today is worth only $3.5. After these bad early experiences all the smart money stayed away.

By eliminating the uncertainty on the magnitude of the losses in good banks, the spinoff will make it appealing for private capital to invest in these banks. Even if private capital would not flow back (which I doubt), a government equity infusion in the good banks would be cheaper and more effective. Cheaper because the value of debt in the good banks would be close to par and thus an equity infusion will not go to bail out the existing creditors, but only to promote lending. More effective, because instead of trying to improve the capital ratio of a $100 billion entity (in the example), the government will do it only with respect to a $70 billion one.

Interessante Vorschläge, die natürlich den Aktionären weniger gefallen werden. Mit der Verhinderung von Bailouts ist aber ein erster Schritt getan, Banken die Sicherheit zu nehmen, dass sie auf jeden Fall gerettet werden und würde die Manager zwingen mehr auf potentielle Risiken zu schauen und damit eher mithelfen zukünftige Bubbles zu verhindern.

Sonntag, 18. Januar 2009

How About a Stimulus for Financial Advice?

Robert Shiller meint in der NYT Finanzberatung sollte öffentlich subventioniert werden. Im ersten Moment unfassbar. Da sollen jetzt die, die für viele an der Krise Schuld sind auch noch Geld kriegen? Ein Ökonom stellt aber andere Fragen, wie Mark Thoma: Gibt es da Marktversagen oder -unvollkommenheiten, die durch staatliches Agieren überwunden werden können? Wahrscheinlich sind die Informationassymetrien so groß, dass staatliches Agieren angemessen ist. Aber Subventionen? Vielleicht würden Regulierungen helfen?

Thoma meint dazu:
One alternative is to restrict the kind of activities that people in these markets can engage in, but I think that heavy handed, restrictive intervention should only come if less restrictive approaches such as education through pamphlets, advisors, etc. will not solve the problem. Elimination of the informational asymmetry directly by providing the information to households in easy to understand summary form or through trusted advisors is preferable since it corrects the market imperfections rather than putting up blockades to prevent the imperfections from expressing themselves. But, as the ratings agencies for financial products that are supposed to play the role of providing easy to understand, quality information have shown us, that doesn't always work.

Und hier der NYT Artikel von Robert Shiller:
In evaluating the causes of the financial crisis, don’t forget the countless fundamental mistakes made by millions of people who were caught up in the excitement of the real estate bubble, taking on debt they could ill afford. Many errors in personal finance can be prevented. But first, people need to understand what they ought to do. The government’s various bailout plans need to take this into account — by starting a major program to subsidize personal financial advice for everyone.

A number of government agencies already have begun small-scale financial literacy programs. For example, the Treasury announced the creation of an Office of Financial Education in 2002, and President Bush started an Advisory Council on Financial Literacy a year ago. These initiatives are involved in outreach to schools with suggested curriculums, and online financial tips. But a much more ambitious effort is needed.

The government programs that are already under way are akin to distributing computer manuals. But when something goes wrong with a computer, most people need to talk to a real person who can zero in on the problem. They need an expert to guide them through the repair process, in a way that conveys patience and confidence that the problem can be solved. The same is certainly true for issues of personal finance.

The significance of this was clear at the annual meeting of the American Economic Association this month in San Francisco, where several new research papers showed the seriousness of consumer financial errors and the exploitation of them by sophisticated financial service providers.

A paper by Kris Gerardi of the Federal Reserve Bank of Atlanta, Lorenz Goette of the University of Geneva and Stephan Meier of Columbia University asked a battery of simple financial literacy questions of recent homebuyers. Many of the respondents could not correctly answer even simple questions, like this one: What will a $300 item cost after it goes on a “50 percent off” sale? (The answer is $150.) They found that people who scored poorly on the financial literacy test also tended to make serious investment mistakes, like borrowing too much, and failing to collect information and shop for a mortgage.

A paper by Liran Einav and Jonathan Levin, both of Stanford, reporting on work with William Adams of Citigroup, shows how sophisticated automobile lenders can be in their loan technology. They use complicated statistical models not only to approve people for credit, but also to fine-tune the down payment and even to suggest what kind of car individuals can buy. This suggests to me that many borrowers can’t match the expertise of lenders.

And another paper, by Paige Marta Skiba of Vanderbilt University and Jeremy Tobacman of the University of Pennsylvania, showed that payday loans — advanced to people who run out of cash before their next paycheck — exploit people’s overoptimism and typically succeed in charging annual rates of interest that may amount to more than 7,000 percent.

One wishes that all this financial cleverness could be focused a bit more on improving the customers’ welfare!

The theory of capitalism, going back to Adam Smith over 200 years ago, sees an alignment of interest between consumers and businesses. Only those companies that produce what consumers really need will succeed. Those that do not will be beaten in the marketplace as consumers shop elsewhere. This puts pressure on providers to innovate and to better satisfy consumer needs.

This theory assumes, however, that consumers are rational in their choices, and to a large extent they are. But in some areas, notably personal finance, it is important to recognize that a good share of Americans have difficulty figuring things out.

Most people get financial advice only from sales representatives of one sort or another: real estate agents, mortgage brokers, sellers of financial products. Some of these providers could use their sophistication to exploit people’s tendency to behave irrationally, and to manipulate the judgment errors that consumers typically make. And competitive pressures tend to make providers promote products that exploit those errors to the hilt, unless, of course, we offer consumers real financial advice.

Such advice is tax deductible, so it is already subsidized indirectly. But most lower-income people do not itemize deductions on their tax returns, so they don’t receive this benefit. In addition, their income tax rates are lower, so the deduction’s benefits can be even less — sometimes zero if they pay no taxes. That’s why it makes sense to subsidize the advice enough that lower-income people will really buy it, much as we do with health care in Medicaid and Medicare. In this case, it means reimbursing qualified private financial advisers for most or, sometimes, all their fees.

SUBSIDIZED financial advisers should be licensed by self-regulatory organizations that verify their qualifications. Licensing will be imperfect, and some incompetent advisers will end up with subsidies. Still, the net effect of getting professional advice to the public is surely positive.

To qualify for a subsidy, the advisers would have to sign a statement promising loyalty to their clients and agreeing to accept only the subsidized hourly fee, and never any commissions or kickbacks. The subsidies might come to $75 an hour, at a very rough estimate, and if 50 million Americans averaged four hours of consultations, the eventual cost might be $15 billion a year — a substantial expenditure, but a worthwhile one.

If personal financial advisers had been subsidized years ago with the best incentives, they still might not have stopped their clients’ bubble thinking during the boom. Many advisers probably thought that housing investments were a good bet. But it’s still likely that advisers who built long-term relationships with their clients, and who pledged to look after their welfare, would have been a helpful influence, suggesting caution to those who were getting over their heads in debt, and warning that adjustable-rate mortgages could be reset upward, just as the fine print said. For these reasons, financial advisers probably would have reduced the severity of the housing bubble.

Professional financial advice is now generally accessible only by the relatively wealthy. Changing this would be an important corrective step. Giving the general public access to trained advisers would be a boon for the nation in this time of doubt and distrust.

Freitag, 2. Januar 2009

We all love Casey Mulligan

Casey Mulligan schreibt in der New York Times und auf seinem Blog Supply and Demand, dass der Beschäftigungsrückgang in den USA im wesentlich auf eine Verschiebung des Arbeitsangebotes zurückführen zu sei. Darauf haben wir uns jetzt gefreut, denn das Schreckgespenst Arbeitslosigkeit kann laut Mulligan auf die Faulheit der Menschen zurückgezuführt werden.

Employment has been falling over the past year [...] if total hours worked had continued the upward trend they had been on in the years before the recession, they would be 4.7 percent higher than they are now [.... Today s]ome employees face financial incentives that encourage them not to work.... decreased employment is explained more by reductions in the supply of labor (the willingness of people to work) and less by the demand for labor (the number of workers that employers need to hire)...

Though ubiquitous these days, mortgage modification programs create terrible work incentives. This is one reason the current recession is so different from previous ones … Because of the low resale values, foreclosing on any of the homes will not yield lenders their entire principal; lenders in those cases must rely on the good behavior of the borrowers … these “modification programs” encourage lenders to reduce mortgage payments so that each borrower’s housing payments (including principal, interest, taxes and insurance) are 38 percent of the borrower’s gross income. The payments are to be reduced for five years, or when the mortgage is paid off (whichever comes first) ... I do not expect every adult among those in the 12 million underwater households to be without a job because of the modification rules.

Mulligan sagt also, dass Hauseigentümer sich entschieden haben ihre Hypothekarkredite nicht zurückzuzahlen und zu kündigen.
David Beckworth zeigt aber dass die freiwillige Kündigungen in den letzten 2 Jahren zurückgegangen sind und von den Unternehmen weniger Jobs angeboten wurden. Dies zeigt das übliche Muster von Rezessionen: Die Beschäftigung fällt nicht wegen zunehmenden Entlassungen sondern weil neue Jobs viel schwieriger zu finden sind (weil sie nicht angeboten werden). Roger Farmer merkt an the US workforce has not been afflicted by a sudden attack of contagious laziness." Und
ProgrowthLiberal sagt auf ExonoSpeak "Casey Mulligan is clearly writing from some ivory tower and needs to get out into the real world."
Ein Lehrbuchbeispiel für falsch verstandene Theorie- und Mathematikhörigkeit, die bereits von Alfred Marshall in einem Brief an A.C. Pigou kritisiert wurde:
"(1) Use mathematics as shorthand language, rather than as an engine of inquiry.
(2) Keep to them till you have done.
(3) Translate into English.
(4) Then illustrate by examples that are important in real life
(5) Burn the mathematics.
(6) If you can’t succeed in 4, burn 3.
This I do often."
Casey Mulligan sollte auch manchmal darüber nachdenken seine "mathematics" zu verbrennen.