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2016 | OriginalPaper | Buchkapitel

1. The Core Characteristics of Financial Crises

verfasst von : Beniamino Moro

Erschienen in: Modern Financial Crises

Verlag: Springer International Publishing

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Abstract

The basic features of financial intermediation—asymmetric information and liquidity transformation—have not changed along history. In an intermediated financial system, the asymmetric information between investors and intermediaries can cause withdrawals of capital even in the presence of good investments. It is the combination of asymmetric information and illiquidity that gives rise to the possibility of a banking crisis, a situation whereby all depositors want their cash back. A securities-based financial system has the same attributes as the classic banking business model. Providing liquidity in securities markets by buying relatively illiquid securities and selling more liquid securities is the same risky activity as banking. Therefore, a security crisis is associated with an increase in demand for liquidity or more liquid securities. This puts strain on the balance sheets of those intermediaries who provide liquidity in securities markets: their assets fall in value, including sovereign bonds of troubled countries, and their liabilities increase in value. To restore their own financial equilibrium, those intermediaries sell their assets in a situation where buyers are relatively fewer. Securities prices fall further, and this causes the “panic”, the “flight to quality”, the “run”, or whatever one chooses to call it. Short-term credit dries up, including the normally straightforward repurchase agreement (“the run on repo”), interbank lending, and commercial paper markets. This panic is usually followed by a very sharp recession. The chapter also deals with the argument if financial crises are predictable by the usual economic models, or they are rare unpredictable phenomena (Black Swans), and finally the extension of the global crisis to the European sovereign debt and banking sector is shortly analyzed.

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Nächstes Kapitel Argentina’s Debt Crisis

The classical reference on financial crises is the famous and much cited essay by Kindleberger (1978), who notes that financial crises characterize the history of the capitalistic development all over the world. Recent review articles on the argument are Fratianni (2008), who shows that financial crises are far from being a rare phenomenon, and Reinhart and Rogoff (2008a, b, 2009a, b, 2013, 2014), who point out the regularities of financial crises along with eight centuries of economic history. Further articles on the subject include Shachmurove (2010), who agrees that financial crises are all similar, and Vives (2010), who reviews the state of the art of the academic theoretical and empirical literature on the potential trade-off between competition and stability in banking. Razin and Rosefielde (2011) survey three distinct types of financial crises which took place in the 1990s and 2000s, one of which is the 2007–2009 crisis. Claessens and Kose (2013) are focused on the main theoretical and empirical explanations of four types of financial crisis: currency crises, sudden stops, debt crises, and banking crises. Furthermore, a comprehensive investigation of the real effects of banking crises is reviewed by Carpinelli (2009), while Moro (2013) reviews the American turmoil of 2007–2009. Moro (2014) surveys the European twin sovereign debt and banking crises, while Moro (2012) deals with the theoretical debate on the recent Great Crisis. Finally, Brunnermeier and Oehmke (2012) survey the literature on bubbles, financial crisis, and systemic risk, and Goldstein and Razin (2013) review three branches of theoretical literature on financial crises: the first one deals with the banking crisis, the second with frictions in credit and interbank markets, and the third one deals with currency crises.

Brunnermeier and Schnabel (2015) review some of the most prominent asset price bubbles from the past 400 years and document how central banks (or other institutions) reacted to those bubbles. According to them, the historical evidence suggests that the emergence of bubbles is often preceded or accompanied by an expansionary monetary policy, lending booms, capital inflows, and financial innovation or deregulation. They find that the severity of the economic crisis following the bursting of a bubble is less linked to the type of asset than to the financing of the bubble. Crises are most severe when they are accompanied by a lending boom, high leverage of market players, and when financial institutions themselves are participating in the buying frenzy.

The first bank run documented in the history occurred in Paris in 1720 before the Banque Royale went bankruptcy. This bank was born in 1718 after the transformation of the previous Banque Générale created by John Law in 1716 (Cova 2009, 54). Banque Générale and then Banque Royale were the first banks to issue paper money according to Law’s theory that it was possible to substitute paper money to gold and silver for transaction purposes (Law 1707). As long as, for the first 2 years, the Banque Royale maintained a leverage of 4 times in the quantity of paper money over gold and silver reserves, it had a great success and paper money was really accepted by everybody in exchange for goods. But in 1720 the bank issued 2 billion lire paper money with only 10 million lire of metal reserves, with a leverage of 200. It followed a run to the bank, which in a few weeks, between May and June 1720, the bank went bankruptcy. See Cova (2009, 45–78).

Fratianni (2008, 170) adds the more recent crises to the Kindleberger’s (1978) list of major financial crises from 1622 to 1978. The total of 68 is summarized as follows: 9 crises happened in the 1700s, 22 in the pre-gold standard 1800s, 7 during the international gold standard (1800–1913), 8 in the interwar period (1919–1939), 6 during Bretton Woods period, and 16 in the most recent period 1974–2008. For the USA, all the financial crises since 1854 are summarized by NBER (2010). To this calculus, we add the European banking and sovereign debt crisis that began in 2010 and it is not completely overcome 5 years later.

A growing literature examines a wide range of channels through which contagion in the banking sector may occur, such as common asset exposure (Acharya 2009; Ibragimov et al. 2011; Wagner 2010), domino effects due to counterpart risk (Allen and Gale 2000; Dasgupta 2004; Freixas and Parigi 1998; Freixas et al. 2000), or price declines and resulting margin requirements (Brunnermeier and Pedersen 2009). Allen et al. (2011) identify five sources for systemic risk: the first is the common exposure to asset price bubbles; the second is the mispricing of assets; the third depends on fiscal deficits, excessive public debts, and the correlated possibility of sovereign default; the fourth depends on currency mismatches in the banking system; and, finally, the fifth depends on the maturity mismatches and liquidity provision of banks. Brown et al. (2014) use a laboratory experiment to explore under which information conditions a panic-based run at one bank may trigger a panic-based run at another bank and through which transmission channels this contagion occurs. Finally, according to Adalsoro et al. (2015), contagion occurs through liquidity hoarding, interbank interlinkages, and fire sale externalities. The resulting network configuration exhibits a core-periphery structure. Within this framework they analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency, while equity requirements tend to reduce risk (hence increase stability) without reducing significantly overall investment.

This unstable situation is well described by Brunnermeier and Pedersen (2009) and Geanakoplos (2009).

An extension of the argument discussed in this section is exposed in Chap. 8, Sect. 8.6. According to Maffezzoli and Monacelli (2015), severe economic downturns, characterized by deleverage, are preceded by phenomena of debt overhang. Hence, large recessions may not result from large shocks, but, rather, from typical shocks interacting with the state of the economy. Maffezzoli and Monacelli study a stochastic economy with heterogeneous agents and occasionally binding collateral constraints, where private debt evolves endogenously. The effect of deleverage shocks on aggregate output is a nonlinear function of the accumulated level of debt, i.e., of the degree of financial fragility.

The Troubled Asset Relief Program (TARP) was approved by the US government to purchase assets and equity from financial institutions to strengthen its financial sector. It is the largest component of the government’s measures in 2008 to address the subprime mortgage crisis.

Based on the premises that the financial market was taking too less, and not too much, risks, the “Greenspan put” was the market expectation that the central bank would have always assumed, in the case of a possible bankruptcy, the role of the lender of last resort. The put was actually followed in 1998 to contrast the failure of LTCM.

According to Kindleberger (1978), having a lender of last resort exacerbates the problem. If one firm or institution thinks that in any extreme situation she cannot go bankruptcy, because there is someone that intervenes to bail out them, they partake in more risky practices. In fact, by simply bailing out these mismanaged firms or institutions, we are not giving them incentive to improve their operation. Thus, for Kindleberger, when the system runs from bubble to bubble and the subsequent panics and crashes are methodically cured with lender of last resort bailouts—as it seems to have happened over the last 15 years preceding the US financial crisis—those stabilization interventions turn out increasingly destabilizing.

Dijkman (2010) sets out the main characteristics of a systemic risk assessment framework. The failure to spot emerging systemic risk and prevent the current global financial crisis warrants a reexamination of the approach taken so far to crisis prevention. In this regard, the paper by Kawai and Pomerleano (2010) argues that financial crises can be prevented, as they build up over time due to policy mistakes. While one cannot predict the precise timing of crises, one can avert them by identifying and dealing with sources of instability. For this purpose, policymakers need to strengthen top-down macro-prudential supervision, complemented by bottom-up micro-prudential supervision. The paper argues that national measures to promote financial stability are crucial and that once an effective national systemic regulator should be established, strong international cooperation is indispensable for financial stability. On the important distinction between micro-prudential and macro-prudential supervision approach, see Hanson et al. (2011).

According to Engle et al. (2014), systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. They investigate the case of non-US institutions, with several factors explaining the dynamics of financial firms returns and with a synchronicity of time zones. With reference to the 196 largest European financial firms, they estimate the systemic risk over the 2000–2012 period and find that, for certain countries, the cost for the taxpayer to rescue the riskiest domestic banks was so high that some banks might be considered too big to be saved.

Systemically threatening institutions are among the major regulatory problems for which there are no good solutions. Early resolution of bank problems under the Federal Deposit Insurance Corporation Improvement Act of 1991 (FDICIA) appeared to have worked with smaller banks during periods of general prosperity. But the notion that risks can be identified in a sufficiently timely manner to enable the liquidation of a large failing bank with minimum loss has proved untenable during this crisis (Greenspan 2010).

On this argument, see also Blanchard et al. (2010).

A more extended analysis of this argument can be found in Chap. 3.

Roubini concluded that the profession of economics is bad at predicting recessions, but he was ridiculed for predicting a collapse of the housing market and a worldwide recession, and for that reason he was nicknamed “Dr. Doom.”

These are Dean Baker (US), Wynne Godley (US), Fred Harrison (UK), Michael Hudson (US), Eric Janszen (US), Steve Keen (Australia), Jakob Brøchner Madsen and Jens Kjaer Sørensen (Denmark), Kurt Richebächer (US), Nouriel Roubini (US), Peter Schiff (US), and Robert Shiller (US).

For Taleb, globalization creates devastating Black Swans: financial institutions have been merging into a smaller number of very large banks. Almost all banks are interrelated and the increased concentration among banks seems to have the effect of making financial crises less likely, but when they happen they are more global in scale and hit us very hard.

Further arguments on Taleb’s Black Swan theory can be found in Chap. 3, Sect. 3.6.

After the Great Crisis, the claim that advanced countries do not need to resort to the standard toolkit of emerging markets, including debt restructurings and conversions, higher inflation, capital controls, and other forms of financial repression, is not correct. As Reinhart and Rogoff (2013) document, this claim is at odds with the historical track record of most advanced economies, where debt restructuring or conversions, financial repression, and a tolerance for higher inflation or a combination of these were an integral part of the resolution of significant past debt overhangs. The financial crisis has transformed the lives of many individuals and families, even in advanced countries, where millions of people fell, or are at risk of falling, into poverty and exclusion. For most regions and income groups in developing countries, progress to meet the Millennium Development Goals by 2015 has slowed and income distribution has worsened for a number of countries. Countries hardest hit by the crisis lost more than a decade of economic time (Otker-Robe and Podpiera 2013).

Reinhart and Rogoff (2008a, 2009a) find that the aftermath of severe financial crises shares three characteristics: first, asset market collapses are deep and prolonged, and real housing price declines with an average percent stretched out over 6 years, while equity price collapses with an average of 55 % over a downturn of about three and a half years; second, the aftermath of banking crises is associated with profound declines in output and employment. The unemployment rate rises with an average of 7 % points over the down phase of the cycle, which lasts on average over 4 years. Output falls an average of over 9 %, although the duration of the downturn, averaging roughly 2 years, is considerably shorter than for unemployment; third, the real value of government debt tends to explode, rising an average of 86 % in the major post-World War II episodes. Interestingly, the main cause of debt explosions is not the widely cited costs of bailing out and recapitalizing the banking system. In fact, the big drivers of debt increases are the inevitable collapse in tax revenues that governments suffer in the wake of deep and prolonged output contractions, as well as often ambitious countercyclical fiscal policies aimed at mitigating the downturn.

This is the case of Ireland, whose very high growth at an annual average rate of 7–8 % in the 20 years 1990–2010 preceding the crisis was largely sustained by the injection of huge foreign direct investments (FDI). For that reason, Ireland has been one of the Eurozone countries most troubled by the European financial crisis.

On the contrary, Stiglitz (2010a, b) explains how capital movement controls can be welfare enhancing, reducing the risk of adverse effects from contagion.

With regard to policies created to address the financial crises, Willen (2014) distinguishes four cases: (1) the ability-to-repay requirement in mortgage underwriting, (2) reform of rating agency compensation, (3) risk retention in securitization, and (4) mandatory loan renegotiation. He shows that, according to standard models, policies (1)–(3) do not address the standard asymmetric information problems that afflict financial markets, and policy (4) could reduce the deadweight losses associated with asymmetric information, but requires that policymakers allocate gains and losses.

According to Zingales (2014), the very same forces that induce economists to conclude that regulators are captured should lead us to conclude that the economic profession is captured as well. As evidence of this capture, he shows that papers whose conclusions are pro-management are more likely to be published in economic journals and more likely to be cited. He also shows that business school’s faculty write papers that are more pro-management. To reduce the extent of this capture, Zingales suggests a reform of the publication process, which includes an enhanced data disclosure, from a stronger theoretical foundation to a mechanism of peer pressure.

A more comprehensive exposition of the theoretical aspects of the financial Great Crisis, also for the implications on the reputation of the economist’s profession, is discussed in Chaps. 8, 9, and 10. Particularly, the theoretical debate on the Great Crisis between the neo-Keynesian and the neoclassical schools of thought will be extensively discussed in Chap. 8.

Cukierman (2014) compares the behavior of euro area banks’ credit and reserves with those of US banks following respective major crisis triggers (Lehman’s collapse in the USA and the 2009 admission by Papandreou, that Greece’s deficit was substantially higher than previously believed, in the euro area). He shows that, although the behavior of banks’ credit following those widely observed crisis triggers is similar in the euro area and in the USA, the behavior of their reserves is quite different. In particular, while US banks’ reserves have been on an uninterrupted upward trend since Lehman’s collapse, those of euro area banks fluctuated markedly in both directions. The paper argues that, at the source, this is due to differences in the liquidity injections procedures between the Eurosystem and the Fed. Those different procedures are traced, in turn, to differences in the relative importance of banking credit within the total amount of credit intermediated through banks and bond issues in the euro area and the USA, as well as to the higher institutional aversion of the ECB to inflation relatively to that of the Fed.

A similar conclusion also applies to Argentina, as it is documented in Chap. 2. After the hyperinflationary processes of 1989 and 1990, drastic economic reforms took place in this country. The central piece of this program was the Convertibility Law, which established a fixed exchange rate of one peso to one dollar. The Central Bank could issue domestic currency only against foreign currency and could not make loans to the government except for a very tiny sum. It was taken for granted that this constraint was practically equivalent to excluding the possibility of running a fiscal deficit. However, soon this proved not to be true. In fact, thanks to the IMF support, from 1994, Argentina recovered access to international capital markets and since then increased its public debt at a very fast rate. As a result, for both 2002 and 2003, the repayment of principal exceeded 80 % of the exports. Adding interest payments of about $12 billion, Argentina’s total debt servicing largely exceeded annual exports.

TARGET is the “Trans-European Automated Real-time Gross settlement Express Transfer” system. It was replaced by TARGET2 in November 2007, with a transition period lasting until May 2008, by which time all national platforms were replaced by a single platform. The processing and settlement of euro-denominated payments take place on an individual basis on the participants’ accounts at NCBs connected to TARGET2. The transactions are settled in real time with immediate finality, thus enabling the beneficiary bank to reuse the liquidity to make other payments on that day.

This institutional framework pushed the European crisis-hit countries to implement austerity programs to regain competitiveness with respect to non-euro countries, which revealed to be very costly in terms of lost output. In this case, Alesina et al. (2015) show that fiscal adjustments based upon cuts in spending appear to have been much less costly, in terms of output losses, than those based upon tax increases, and the difference between the two types of adjustment is very large.

In January 2015, the OMT program has been validated as perfectly legal to EU Treaties by the Advocate General of the European Court of Justice.

Europe’s monetary union is part of a broader process of integration that started in the aftermath of World War II. Spolaore (2013) looks at the creation of the euro within the bigger picture of European integration. How and why were European institutions established? What are the goals and determinants of European integration? What is European integration really about? Spolaore addresses these questions from a political-economy perspective, building on ideas and results from the economic literature on the formation of states and political unions. Specifically, he looks at the motivations, assumptions, and limitations of the European strategy, initiated by Jean Monnet and his collaborators, of partially integrating policy functions in a few areas, with the expectation that more integration will follow in other areas, in a sort of chain reaction toward an ever-closer union. The euro with its current problems is a child of that strategy and its limits.

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Titel: The Core Characteristics of Financial Crises
verfasst von: Beniamino Moro
Verlag: Springer International Publishing
Buch: Modern Financial Crises
Print ISBN: 978-3-319-20990-6

Electronic ISBN: 978-3-319-20991-3

Copyright-Jahr: 2016
DOI: https://doi.org/10.1007/978-3-319-20991-3_1