Mostrando postagens com marcador crise de 1929. Mostrar todas as postagens
Mostrando postagens com marcador crise de 1929. Mostrar todas as postagens

24 abril 2014

5 crises que moldaram o sistema financeiro

What is mankind’s greatest invention? Ask people this question and they are likely to pick familiar technologies such as printing or electricity. They are unlikely to suggest an innovation that is just as significant: the financial contract. Widely disliked and often considered grubby, it has nonetheless played an indispensable role in human development for at least 7,000 years.

At its core, finance does just two simple things. It can act as an economic time machine, helping savers transport today’s surplus income into the future, or giving borrowers access to future earnings now. It can also act as a safety net, insuring against floods, fires or illness. By providing these two kinds of service, a well-tuned financial system smooths away life’s sharpest ups and downs, making an uncertain world more predictable. In addition, as investors seek out people and companies with the best ideas, finance acts as an engine of growth.

Yet finance can also terrorise. When bubbles burst and markets crash, plans paved years into the future can be destroyed. As the impact of the crisis of 2008 subsides, leaving its legacy of unemployment and debt, it is worth asking if the right things are being done to support what is good about finance, and to remove what is poisonous.

History is a good place to look for answers. Five devastating slumps—starting with America’s first crash, in 1792, and ending with the world’s biggest, in 1929—highlight two big trends in financial evolution. The first is that institutions that enhance people’s economic lives, such as central banks, deposit insurance and stock exchanges, are not the products of careful design in calm times, but are cobbled together at the bottom of financial cliffs. Often what starts out as a post-crisis sticking plaster becomes a permanent feature of the system. If history is any guide, decisions taken now will reverberate for decades.

This makes the second trend more troubling. The response to a crisis follows a familiar pattern. It starts with blame. New parts of the financial system are vilified: a new type of bank, investor or asset is identified as the culprit and is then banned or regulated out of existence. It ends by entrenching public backing for private markets: other parts of finance deemed essential are given more state support. It is an approach that seems sensible and reassuring.

But it is corrosive. Walter Bagehot, editor of this newspaper between 1860 and 1877, argued that financial panics occur when the “blind capital” of the public floods into unwise speculative investments. Yet well-intentioned reforms have made this problem worse. The sight of Britons stuffing Icelandic banks with sterling, safe in the knowledge that £35,000 of deposits were insured by the state, would have made Bagehot nervous. The fact that professional investors can lean on the state would have made him angry.

These five crises reveal where the titans of modern finance—the New York Stock Exchange, the Federal Reserve, Britain’s giant banks—come from. But they also highlight the way in which successive reforms have tended to insulate investors from risk, and thus offer lessons to regulators in the current post-crisis era.

Continua aqui

30 maio 2013

Entrevista com Barry Eichengreen

Excelente entrevista retirada do site do Fed de Cleveland com o professor Barry Eichengreen.

To some, the term “economic historian” conjures up images of an academic whose only interests lie deep in the past; an armchair scholar who holds forth on days long ago but has no insights about the present. Barry Eichengreen provides a useful corrective to that stereotype. For, as much as Eichengreen has studied episodes in economic history, he seems more attuned to connecting the past to the present. At the same time, he is mindful that “lessons” have a way of taking on lives of their own. What’s taken as given among economic historians today may be wholly rejected in the future.
Barry Eichengreen is the George C. Pardee and Helen N. Pardee Professor of Economics and Professor of Political Science at the University of California, Berkeley, his hometown. He is known as an expert on monetary systems and global finance. He has authored more than a dozen books and many more academic papers on topics from the Great Depression to the recent financial crisis.
Eichengreen was a keynote speaker at the Federal Reserve Bank of Cleveland’s research conference, Current Policy under the Lens of Economic History, in December 2012. Mark Sniderman, the Cleveland Fed’s executive vice president and chief policy officer, interviewed Eichengreen during his visit. An edited transcript follows.
Sniderman: It’s an honor to talk with you. You’re here at this conference to discuss the uses and misuses of economic history. Can you give us an example of how people inaccurately apply lessons from the past to the recent financial crisis?
Eichengreen: The honor is mine.
Whenever I say “lessons,” please understand the word to be surrounded by quotation marks. My point is that “lessons” when drawn mechanically have considerable capacity to mislead. For example, one “lesson” from the literature on the Great Depression was how disruptive serious banking crises can be. That, in a nutshell, is why the Fed and its fellow regulators paid such close attention to the banking system in the run-up to the recent crisis. But that “lesson” of history was, in part, what allowed them to overlook what was happening in the shadow banking system, as our system of lightly regulated near-banks is known.
What did they miss it? One answer is that there was effectively no shadow banking system to speak of in the 1930s. We learned to pay close attention to what was going on in the banking system, narrowly defined. That bias may have been part of what led policymakers to miss what was going on in other parts of the financial system.
Another example, this one from Europe, is the “lesson” that there is necessarily such a thing as expansionary fiscal consolidation. Europeans, when arguing that such a thing exists, look to the experience of the Netherlands and Ireland in the 1980s, when those countries cut their budget deficits without experiencing extended recessions. Both countries were able to consolidate but continue to grow, leading contemporary observers to argue that the same should be true in Europe today. But reasoning from that historical case to today misleads because the circumstances at both the country and global level were very different. Ireland and the Netherlands were small. They were consolidating in a period when the world economy was growing. These facts allowed them to substitute external demand for domestic demand. In addition, unlike European countries today they had their own monetary policies, allowing them step down the exchange rate, enhancing the competitiveness of their exports at one fell swoop, and avoid extended recessions. But it does not follow from their experience that the same is necessarily possible today. Everyone in Europe is consolidating simultaneously. Most nations lack their own independent exchange rate and monetary policies. And the world economy is not growing robustly.

A third “lesson” of history capable equally of informing and misinforming policy would be the belief in Germany that hyperinflation is always and everywhere just around the corner. Whenever the European Central Bank does something unconventional, like its program of Outright Monetary Transactions, there are warnings in German press that this is about to unleash the hounds of inflation. This presumption reflects from the “lesson” of history, taught in German schools, that there is no such thing as a little inflation. It reflects the searing impact of the hyperinflation of the 1920s, in other words. From a distance, it’s interesting and more than a little peculiar that those textbooks fail to mention the high unemployment rate in the 1930s and how that also had highly damaging political and social consequences.
The larger question is whether it is productive to think in terms of “history lessons.” Economic theory has no lessons; instead, it simply offers a way of systematically structuring how we think about the world. The same is true of history.
Sniderman: Let’s pick up on a couple of your comments about the Great Depression and hyperinflation in Germany. Today, some people in the United States have the same concerns. They look at the expansion of the monetary base and worry about inflation. Do you find it surprising that people are still fighting about whether big inflation is just around the corner because of US monetary policy, and is it appropriate to think about that in the context of the unemployment situation as well?
Eichengreen: I don’t find it surprising that the conduct of monetary policy is contested. Debate and disagreement are healthy. Fiat money is a complicated concept; not everyone trusts it. But while it’s important to think about inflation risks, it’s also important to worry about the permanent damage to potential output that might result from an extended period subpar growth. To be sure, reasonable people can question whether the Fed possesses tools suitable for addressing this problem. But it’s important to have that conversation.
Sniderman: Maybe just one more question in this direction because so much of your research has centered on the Great Depression. Surely you’ve been thinking about some of the similarities and differences between that period and this one. Have you come to any conclusions about that? Where are the congruencies and incongruences?
Eichengreen: My work on the Depression highlighted its international dimension. It emphasized the role of the gold standard and other international linkages in the onset of the Depression, and it emphasized the role that abandoning the gold standard and changing the international monetary regime played in bringing it to an end.
As a student, I was struck by the tendency in much of the literature on the Depression to treat the US essentially as a closed economy. Not surprisingly, perhaps, I was then struck by the tendency in 2007 to think about what was happening then as a US subprime crisis. Eventually, we came to realize that we were facing not just a US crisis but a global crisis. But there was an extended period during when many observers, in Europe in particular, thought that their economies were immune. They viewed what was happening as an exclusively American problem. They didn’t realize that what happened in the United States doesn’t stay in the United States. They didn’t realize that European banks, which rely heavily on dollar funding, were tightly linked to US economic and financial conditions. One of the first bits of research I did when comparing the Great Depression with the global credit crisis, together with Kevin O’Rourke, was to construct indicators of GDP, industrial production, trade, and stock market valuations worldwide and to show that, when viewed globally, the current crisis was every bit as severe as that of the 1930s.
Eventually, we came to realize that we were facing not just a US crisis but a global crisis. But there was an extended period during when many observers, in Europe in particular, thought that their economies were immune.
Sniderman: Given that many European countries are sharing our financial distress, what changes in the international monetary regime, if any, would be helpful? Could that avenue for thinking of solutions be as important this time around as it was the last time?
Eichengreen: One of the few constants in the historical record is dissatisfaction with the status quo. When exchange rates were fixed, Milton Friedman wrote that flexible rates would be better. When rates became flexible, others like Ron McKinnon argued that it would be better if we returned to pegs. The truth is that there are tradeoffs between fixed and flexible rates and, more generally, in the design of any international monetary system. Exchange rate commitments limit the autonomy of national monetary policymakers, which can be a good thing if that autonomy is being misused. But it can be a bad thing if that autonomy is needed to address pressing economic problems. The reality is that there is no such thing as the perfect exchange rate regime. Or, as Jeffrey Frankel put it, no one exchange rate regime is suitable for all times and places.
That said, there has tended to be movement over time in the direction of greater flexibility and greater discretion for policymakers. This reflects the fact that the mandate for central banks has grown more complex – necessarily, I would argue, given the growing complexity of the economy. An implication of that more complex mandate is the need for more discretion and judgment in the conduct of monetary policy—and a more flexible exchange rate to allow that discretion to be exercised.
Sniderman: I’d be interested in knowing whether you thought this crisis would have played out differently in the European Union if the individual countries still had their own currencies. Has the euro, per se, been an element in the problems that Europe is having, much as a regime fixed to gold was a problem during the Great Depression?
Eichengreen: Europe is a special case, as your question acknowledges. Europeans have their own distinctive history and they have drawn their own distinctive “lessons” from it. They looked at the experience of the 1930s and concluded that what we would now call currency warfare, that is, beggar-thy-neighbor exchange-rate policies, were part of what created tensions leading to World War II. The desire to make Europe a more peaceful place led to the creation of the European Union. And integral to that initiative was the effort was to stabilize exchange rates, first on an ad hoc basis and then by moving to the euro.
Whether things will play out as anticipated is, as always, an open question. We now know that the move to monetary union was premature. Monetary union requires at least limited banking union. Banking union requires at least limited fiscal union. And fiscal union requires at least limited political union. The members of the euro zone are now moving as fast as they can, which admittedly is not all that fast, to retrofit their monetary union to include a banking union, a fiscal union, and some form of political union. Time will tell whether or not they succeed.
But even if hindsight tells us that moving to a monetary union in 1999 was premature, it is important to understand that history doesn’t always run in reverse. The Europeans now will have to make their monetary union work. If they don’t, they’ll pay a high price.
I didn’t anticipate the severity and intractability of the euro crisis. All I can say in my defense is that no one did.
Sniderman: Let me pose a very speculative question. Would you say that if the Europeans had understood from the beginning what might be required to make all this work, they might not have embarked on the experiment; but because they did it as they did, there’s a greater likelihood that they’ll do what’s necessary to make the euro system endure? Is that how you’re conjecturing things will play out?
Eichengreen: If I may, allow me to refer back to the early literature on the euro. In 1992, in adopting theMaastricht Treaty, the members of the European Union committed to forming a monetary union. That elicited a flurry of scholarship. An article I wrote about that time with Tamim Bayoumi looked at whether a large euro area or a small euro area was better. We concluded that a small euro area centered on France, Germany, and the Benelux countries made more sense. So one mistake the Europeans made, which was predictable perhaps on political grounds, though no more excusable, was to opt for a large euro area.
I had another article in the Journal of Economic Literature in which I devoted several pages to the need for a banking union; on the importance, if you’re going to have a single currency, single financial market and integrated banking system, of also having common bank supervision, regulation, and resolution. European leaders, in their wisdom, thought that they could force the pace. They thought that by moving to monetary union they could force their members to agree to banking union more quickly. More quickly didn’t necessarily mean overnight; they thought that they would have a couple of decades to complete the process. Unfortunately, they were side-swiped by the 2007-08 crisis. What they thought would be a few decades turned out to be one, and they’ve now grappling with the consequences.
Sniderman: You’ve written about the dollar’s role as a global currency and a reserve currency, and you have some thoughts on where that’s all headed. Maybe you could elaborate on that.
Eichengreen: A first point, frequently overlooked, is that there has regularly been more than one consequential international currency. In the late nineteenth century, there was not only the pound sterling but also the French franc and the German mark. In the 1920s there was both the dollar and the pound sterling. The second half of the twentieth century is the historical anomaly, the one period when was only one global currency because there was only one large country with liquid financial markets open to the rest of the world—the United States. The dollar dominated in this period simply because there were no alternatives.
But this cannot remain the case forever. The US will not be able to provide safe and liquid assets in the quantity required by the rest of the world for an indefinite period. Emerging markets will continue to emerge. Other countries will continue to catch up to the technological leader, which is still, happily, the United States. The US currently accounts for about 25 percent of the global economy. Ten years from now, that fraction might be 20 percent, and 20 years from now it is apt to be less. The US Treasury’s ability to stand behind a stock of Treasury bonds, which currently constitute the single largest share of foreign central banks’ reserves and international liquidity generally, will grow more limited relative to the scale of the world economy. There will have to be alternatives.
In the book I wrote on this subject a couple of years ago, Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, I pointed to the euro and the Chinese renminbi as the plausible alternatives. I argued that both could conceivably be significant rivals to the dollar by 2020. The dollar might well remain number one as invoicing currency and currency for trade settlements, and as a vehicle for private investment in central bank reserves, but the euro and renminbi could be nipping at its heels.
In the fullness of time I’ve grown more pessimistic about the prospects of those rivals. Back in 2010, when my book went off to the publisher, I didn’t anticipate the severity and intractability of the euro crisis. All I can say in my defense is that no one did. And I underestimated how much work the Chinese will have to do in order to successfully internationalize their currency. They are still moving in that direction; they’ve taken steps to encourage firms to use the renminbi for trade invoicing and settlements, and now they are liberalizing access to their financial markets, if gradually. But they have a deeper problem. Every reserve currency in history has been the currency of a political democracy or a republic of one sort or another. Admittedly the US and Britain are only two observations, which doesn’t exactly leave many degrees of freedom for testing this hypothesis. But if you go back before the dollar and sterling, the leading international currencies were those of Dutch Republic, the Republic of Venice, and the Republic of Genoa. These cases are similarly consistent with the hypothesis.
The question is why. The answer is that international investors, including central banks, are willing to hold the assets only of governments that are subject to checks and balances that limit the likelihood of their acting opportunistically. Political democracy and republican forms of governance are two obvious sources of such checks and balances. In other words, China will have to demonstrate that its central government is subject to limits on arbitrary action – that political decentralization, the greater power of nongovernmental organizations, or some other mechanism – that place limits on arbitrary action before foreign investors, both official and private, are fully comfortable about holding its currency.
I therefore worry not so much about these rivals dethroning the dollar as I do about the US losing the capacity to provide safe, liquid assets on the requisite scale before adequate alternatives emerge. Switzerland is not big enough to provide safe and liquid assets on the requisite scale; neither is Norway, nor Canada, nor Australia. Currently we may be swimming in a world awash with liquidity, but we shouldn’t lose sight of the danger that, say, 10 years from now there won’t be enough international liquidity to grease the wheels of twenty-first-century globalization.
Sniderman: It sounds to me as though you’re also trying to say that the United States should actually become comfortable with, perhaps even welcome, this development, because its absence creates some risks for us.
Eichengreen: I am. The United States benefits from the existence of a robust, integrated global economy. But globalization, in turn, requires liquidity. And the US, by itself, can’t all by itself satisfy the global economy’s international liquidity needs. So the shift toward a multipolar global monetary and financial system is something that we should welcome. It will be good for us, and it will be good for the global economy. To the extent that we have to pay a couple more basis points when we sell Treasury debt because we don’t have a captive market in the form of foreign central banks, that’s not a prohibitive cost.
Sniderman: And how has the financial crisis itself affected the timetable and the movement? It sounds like in some sense it’s retarding it.
Eichengreen: The crisis is clearly slowing the shift away from dollar dominance. When the subprime crisis broke, a lot of people thought the dollar would fall dramatically and that the People’s Bank of China might liquidate its dollar security holdings. What we discovered is that, in a crisis, there’s nothing that individuals, governments and central banks value more than liquidity. And the single most liquid market in the world is the market for US Treasury bonds. When Lehman Bros. failed, as a result of U.S. policy, everybody rushed toward the dollar rather than away. When Congress had its peculiar debate in August 2011 over raising the debt ceiling, everybody rushed toward the dollar rather than away. That fact may be ironic, but it’s true.
And a second effect of the crisis was to retard the emergence of the euro on the global stage. That too supports the continuing dominance of the dollar.
Sniderman: Economists and policymakers have always “missed” things. Are there ways in which economic historians can help current policymakers not to be satisfied with the “lessons” of history and get them to think more generally about these issues?
Eichengreen: It’s important to make the distinction between two questions – between “Could we have done better at anticipating the crisis?” and the question “Could we have done better at responding to it?” On the first question, I would insist that it’s too much to expect economists or economic historians to accurately forecast complex contingent events like financial crises. In the 1990s, I did some work on currency crises, instances when exchange rates collapse, with Charles Wyplosz and Andrew Rose. We found that what works on historical data, in other words what works in sample doesn’t also work out of sample. We were out-of-consensus skeptics about the usefulness of leading indicators of currency crises, and I think subsequent experience has borne out our view. Paul Samuelson made the comment that economists have predicted 13 out of the last seven crises. In other words, there’s type 1 error as well as type 2 error [the problem of false positives as well as false negatives].
Coming to the recent crisis, it’s apparent with hindsight that many economists – and here I by no means exonerate economic historians – were too quick to buy into the idea that there was such a thing as the Great Moderation. That was the idea that through better regulation, improved monetary policy and the development of automatic fiscal stabilizers we had learned to limit the volatility of the business cycle. If we’d paid more attention to history, we would have recalled an earlier period when people made the same argument: They attributed the financial crises of the 19th century to the volatility of credit markets; they believed that the founding of the Fed had eliminated that problem and that the business cycle had been tamed. They concluded that the higher level of asset prices observed in the late 1920s was fully justified by the advent of a more stable economy. They may have called it the New Age rather than the Great Moderation, but the underlying idea, not to say the underlying fallacy, was the same.
A further observation relevant to understanding the role of the discipline in the recent crisis is that we haven’t done a great job as a profession of integrating macroeconomics and finance. There have been heroic efforts to do so over the years, starting with the pioneering work of Franco Modigliani and James Tobin. But neither scholarly work nor the models used by the Federal Reserve System adequately capture, even today, how financial developments and the real economy interact. When things started to go wrong financially in 2007-08, the consequences were not fully anticipated by policymakers and those who advised them – to put an understated gloss on the point. I can think of at least two prominent policy makers, who I will resist the temptation to name, who famously asserted in 2007 that the impact of declining home prices would be “contained.” It turned out that we didn’t understand how declining housing prices were linked to the financial system through collateralized debt obligations and other financial derivatives, or how those instruments were, in turn, linked to important financial institutions. So much for containment.
Sniderman: I suppose one of the challenges that the use of economic history presents is the selectivity of adoption. And here I have in mind things like going back to the Great Depression to learn “lessons.” It’s often been said, based on some of the scholarship of the Great Depression and the role of the Fed, that the “lesson” the Fed should learn is to act aggressively, to act early, and not to withdraw accommodation prematurely. And that is the framework the Fed has chosen to adopt. At the same time, others draw “lessons” from other parts of US economic history and say, “You can’t imagine that this amount of liquidity creation, balance sheet expansion, etc. would not lead to a great inflation.” If people of different viewpoints choose places in history where they say, “History teaches us X,” and use them to buttress their view of the appropriate response, I suppose there’s no way around that other than to trying, as you said earlier, to point out whether these comparisons are truly apt or not.
Eichengreen: A considerable literature in political science and foreign policy addresses this question. Famous examples would be President Truman and Korea on the one hand, and President Kennedy and the Cuban Missile Crisis on the other. Earnest May, the Harvard political scientist, argued that Truman thought only in terms of Munich, Munich having been the searing political event of his generation. Given the perspective this created, Truman was predisposed to see the North Koreans and Chinese as crossing a red line and to react aggressively. Kennedy, on the other hand, was less preoccupied by Munich. He had historians like Arthur Schlesinger advising him. Those advisors encouraged him to develop and consider a portfolio of analogies and test their aptness – in other words, their “fitness” to the circumstances. One should look not only at Munich, Schlesinger and others suggested, but also to Sarajevo. It is important to look at a variety of other precedents for current circumstances, to think which conforms best to the current situation, and to take that fit into account when you’re using history to frame a response.
I think there was a tendency, when things were falling down around our ears in 2008, to refer instinctively to the Great Depression. What Munich was for Truman, the Great Depression is for monetary economists. It’s at least possible that the tendency to compare the two events and to frame the response to the current crisis in terms of the need “to avoid another Great Depression” was conducive to overreaction. In fairness, economic historians did point to other analogies. There was the 1907 financial crisis. There was the 1873 crisis. It would have been better, in any case, to have developed a fuller and more rounded portfolio of precedents and analogies and to have used it to inform the policy response. Of course, that would have required policy makers to have some training in economic history.
Sniderman: This probably brings us back full circle. We started with the uses and misuses of economic history and we’ve been talking about economic history throughout the conversation. I think it might be helpful to hear your perspective on what economic history and economic historians are. Why not just an economist who works in history or a historian who works on topics of economics? What does the term “economic history” mean, and what does the professional discipline of economic historian connote to you?
Eichengreen: As the name suggests, one is neither fish nor fowl; neither economist nor historian. This makes the economic historian a trespasser in other people’s disciplines, to invoke the phrase coined by the late Albert Hirschman. Historians reason by induction while economists are deductive. Economists reason from theory while historians reason from a mass of facts. Economic historians do both. Economists are in the business of simplifying; their strategic instrument is the simplifying assumption. The role of the economic historian is to say “Not so fast, there’s context here. Your model leaves out important aspects of the problem, not only economic but social, political, and institutional aspects – creating the danger of providing a misleading guide to policy.”
Economists reason from theory while historians reason from a mass of facts. Economic historians do both.
Sniderman: Do you think that, in training PhD economists, there’s a missed opportunity to stress the value and usefulness of economic history? Over the years, economics has become increasingly quantitative and math-focused. From the nature of the discussion we’ve had, it is clear that you don’t approach economic history as sort of a side interest of “Let’s study the history of things,” but rather a disciplined way of integrating economic theory into the context of historical episodes. Is that way of thinking about economic history appreciated as much as it could be?
Eichengreen: I should emphasize that the opportunity is not entirely missed. Some top PhD programs require an economic history course of their PhD students, the University of California, Berkeley, being one.
The best way of demonstrating the value of economic history to an economist, I would argue, is by doing economic history. So when we teach economic history to PhD students in economics in Berkeley, we don’t spend much time talking about the value of history. Instead, we teach articles and address problems, and leave it to the students, as it were, to figure how this style of work might be applied to this own research. For every self-identifying economic historian we produce, we have several PhD students with have a historical chapter, or a historical essay, or an historical aspect to their dissertations. That’s a measure of success.
Sniderman: Well, thank you very much. I’ve enjoyed it.
Eichengreen: Thank you. So have I.

17 dezembro 2012

The Great Crash of 1929

“In many ways the effect of the crash on embezzlement was more significant than on suicide. To the economist embezzlement is the most interesting of crimes. Alone among the various forms of larceny it has a time parameter. Weeks, months, or years may elapse between the commission of the crime and its discovery. (This is a period, incidentally, when the embezzler has his gain and the man who has been embezzled, oddly enough, feels no loss. There is a net increase in psychic wealth.) At any given time there exists an inventory of undiscovered embezzlement in — or more precisely not in — the country’s businesses and banks. This inventory — it should perhaps be called the bezzle — amounts at any moment to many millions of dollars. It also varies in size with the business cycle. In good times people are relaxed, trusting, and money is plentiful. But even though money is plentiful, there are always many people who need more. Under these circumstances the rate of embezzlement grows, the rate of discovery falls off, and the bezzle increases rapidly. In depression all this is reversed. Money is watched with a narrow, suspicious eye. The man who handles it is assumed to be dishonest until he proves himself otherwise. Audits are penetrating and meticulous. Commercial morality is enormously improved. The bezzle shrinks.


Just as the boom accelerated the rate of growth, so the crash enormously advanced the rate of discovery. Within a few days, something close to a universal trust turned into something akin to universal suspicion. Audits were ordered. Strained or preoccupied behavior was noticed. Most important, the collapse in stock values made irredeemable the position of the employee who had embezzled to play the market. He now confessed.”

John Kenneth Galbraith, The Great Crash of 1929

11 dezembro 2012

Crise financeira sistêmica: 1873,1893,1907,1929 e 2007

Magnífico artigo de Carmen Reinhart e Kenneth Rogoff sobre a crise financeira de 2007. O melhor que já li.Os grifos são meus.
Five years after the onset of the 2007 subprime financial crisis, U.S. gross domestic product per capita remains below its initial level. Unemployment, though down from its peak, is still about 8 percent. Rather than the V- shaped recovery that is typical of most postwar recessions, this one has exhibited slow and halting growth.
This disappointing performance shouldn’t be surprising. We have presented evidence that recessions associated with systemic banking crises tend to be deep and protracted and that this pattern is evident across both history and countries. Subsequent academic research using different approaches and samples has found similar results.
Recently, however, a few op-ed writers have argued that, in fact, the U.S. is “different” and that international comparisons aren’t relevant because of profound institutional differences from one country to another. Some of these authors, including Kevin HassettGlenn Hubbard and John Taylor -- who are advisers to the Republican presidential nominee, Mitt Romney -- as well as Michael Bordo, who supports the candidate, have stressed that the U.S. is also “different” in that its recoveries from recessions associated with financial crises have been rapid and strong. Their interpretation is at least partly based on a 2012 study by Bordo and Joseph Haubrich, which examines the issue for the U.S. since 1880.
[...]This is far from the first time we have taken up the history of U.S. financial crises. Our 2009 book, “This Time Is Different: Eight Centuries of Financial Folly,” presented results of 224 historical banking crises from around the world, including pre-2007 banking crises in the U.S. Why is our interpretation of the data so different than those of these recent commentators? Is the U.S. different?
Part of the confusion may be attributed to a failure to distinguish systemic financial crises from more minor ones and from regular business cycles. A systemic financial crisis affects a large share of a country’s financial system. Such occurrences are quite distinct from events that clearly fall short of a full-blown systemic meltdown, and are referred to in the academic literature as “borderline” crises.
The distinction between a systemic and a borderline event is well established by widely accepted criteria long used by many scholars, and detailed in our 2009 book.
Indeed, in our initial published study on this topic, in 2008, we showed that systemic financial crises across advanced economies had far more serious economic consequences than borderline ones. Our paper, written nine months before the collapse of Lehman Brothers Holdings Inc. in September 2008, showed that by 2007, the U.S. already displayed many of the crucial recurring precursors of a systemic financial crisis: a real estate bubble, high levels of debt, chronically large current-account deficits and signs of slowing economic activity.
Today, there can be little doubt that the U.S. has experienced a systemic crisis -- in fact, its first since the Great Depression. Before that, notable systemic post-Civil War financial crises occurred in 1873, 1893 and 1907.

Defining Success

It is also important to define how a recovery is measured, and how success is defined. The recent op-eds focus on GDP growth immediately after the trough (usually four quarters). For a normal recession, the restoration of positive growth is typically a signal event. In a V-shaped recovery, the old peak level of GDP is quickly reached, and the economy returns to trend within a year or two.
Our book examined both levels and rates of change of per capita GDP; recovery is defined by the time it takes for per capita GDP to return to its pre-crisis peak level. For post- World War II systemic crises, it took about four and a half years to regain lost ground; in 14 Great Depression episodes around the world (including the U.S.) it took 10 years on average. A focus on levels, rather than percentages, is a more robust way to capture the trajectory of an economy where the recovery is more U- or L-shaped than V-shaped.
It also is a way to avoid exaggerating the strength of the recovery when a deep recession is followed by a large cumulative decline in the level GDP. An 8 percent decline followed by an 8 percent increase doesn’t bring the economy back to its starting point.
[...]Working with long historical series, we have stressed per- capita measures because U.S. population growth has fallen from 2 percent a year in the late 1800s to less than 1 percent in more recent times. Put differently, in the early 1900s, a year with 2 percent real GDP growth left the average person’s income unchanged; in the modern context, 2 percent annual GDP growth means an increase of slightly more than 1 percent in real income per person. The impact of cumulative population growth even within an individual crisis episode is significant, as the recovery process usually spans four to 10 years.

1907 Panic

Take the Panic of 1907, which fits the standard criteria of a systemic crisis (and one with a global dimension at that). We certainly would count that one. The narrative in the Bordo- Haubrich paper emphasizes that “the 1907-1908 recession was followed by vigorous recovery.” Yet, as we show below, the level of real GDP per capita in the U.S. didn’t return to its pre- crisis peak of 1906 until 1912. Is that a vigorous recovery? The unemployment rate (which we routinely include in our comparisons but the Bordo-Haubrich study doesn’t consider) was 1.7 percent in 1906, climbed to 8 percent in 1908, and didn’t return to the pre-crisis low until 1918.
The aftermath of the systemic banking crisis of 1893 is worse than the period after the 1907 episode, and the Depression of the 1930s is worse still. According to our 2009 metrics, the aftermath of the most recent U.S. financial crisis has been quite typical of systemic financial crises around the globe in the postwar era. If one really wants to focus just on U.S. systemic financial crises, then the recent recovery looks positively brisk.
We examine four systemic financial crises the U.S. has experienced since 1870: 1873 (called the Great Depression until the 1930s), 1893, the Panic of 1907 and the Great Depression.
Given that all of these crises predate the creation of deposit insurance in 1933, and that three of the four events predate the establishment of a U.S. central bank, one could legitimately quibble with the claim that the relevant institutions are more comparable across centuries in the U.S. than across advanced countries over the past 30 years. We would argue that our 2009 international postwar benchmarks, along with comparisons for the recent crisis, are more relevant.
Nonetheless, the comparison across systemic U.S. financial crises doesn’t support the view that:
-- the U.S. recoveries from pre-World War II systemic crises were any swifter than the general cross-country pattern;
-- in the aftermath of the 2007 crisis, the U.S. has performed worse than in previous systemic crises, In fact, so far, it has performed better in terms of output per capita and unemployment. This is true even if one excludes the Great Depression.

The Evidence

The reader may wish to note that our comparisons relate to the period dating from the onset of the crisis, and don’t delineate between the “recession” period and the “recovery” period.
We have explained elsewhere why this distinction is somewhat meaningless in the aftermath of a financial crisis, as false dawns make it very difficult to detect the start of a lasting recovery in real time. That is why we have consistently argued that the popular term “Great Recession” is something of a misnomer for the current episode, which we have argued would be better thought of as “the Second Great Contraction” (after Milton Friedman and Anna Schwartz’s characterization of the Great Depression as the Great Contraction).
[...]Figure 1  compares the still unfolding (2007) financial crisis with U.S. systemic financial crises of 1873, 1893, 1907 and 1929. As the figure illustrates, the initial contraction in per-capita GDP is smaller for the recent crisis than in the earlier ones (even when the Great Depression of the 1930s is excluded). Five years later, the current level of per- capita GDP, relative to baseline, is higher than the corresponding five-crisis average that includes the 1930s. The recovery of per-capita GDP after 2007 is also slightly stronger than the average for the systemic crises of 1873, 1893 and 1907. Although not as famous as the Great Depression, the depression of the 1890s was dismal; in 1896, real per-capita GDP was still 6 percent below its pre-crisis level of 1892.
Reinhart: Fig 1

Peak GDP

So how many years did it take for per-capita GDP to return to its peak at the onset of the crisis? For the 1873 and 1893 (peak is 1892) crises, it was five years; for the Panic of 1907 (peak is 1906), it was six years; for the Depression, it took 11 years. In output per capita timelines, at least, it is difficult to argue that “the U.S. is different.” It can hardly be said to have enjoyed vigorous output per capita recoveries from past systemic financial crises.
The notion that the U.S. exhibits rapid recovery from systemic financial crises doesn’t emerge from the unemployment data, either. That data only begin in 1890, eliminating the 1873 crisis from the pool. The aftermaths of the remaining four crises are shown in Figure 2.
Figure 2. Average Annual Unemployment Rate

[...]The pattern during the Great Depression of the 1930s is off the charts (Barry Eichengreen and Kevin H. O’Rourke’s 2010 study is a must-read on this comparison). These historical U.S. episodes are in line with the 2010 findings of Carmen and Vincent Reinhart, who examine severe/systemic financial crises in both advanced economies and emerging markets in the decade after World War II. They document that in 10 of 15 episodes the unemployment rate had not returned to its pre-crisis level in the decade after the crisis. For the 1893 crisis and the 1929 Depression, it was 14 years; for 1907, it took 12 years for the unemployment rate to return to its pre-crisis level.

Recurring Features

Although no two crises are identical, we have found that there are some recurring features that cut across time and national borders. Common patterns in the nature of the long boom-bust cycles in debt and their relationship to economic activity emerge as a common thread across very diverse institutional settings.
The most recent U.S. crisis appears to fit the more general pattern of a recovery from severe financial crisis that is more protracted than with a normal recession or milder forms of financial distress. There is certainly little evidence to suggest that this time was worse. Indeed, if one compares U.S. output per capita and employment performance with those of other countries that suffered systemic financial crises in 2007-08, the U.S. performance is better than average.
[...]It is not our intention to closely analyze policy responses that may take years of study to sort out. Rather, our aim is to dismiss the misconception that the U.S. is somehow different. The latest financial crisis, yet again, proved it is not.
Fonte: Sorry, U.S. Recoveries Really Aren’t Different
(Carmen M. Reinhart is Minos A. Zombanakis professor of the international financial system atHarvard University’s Kennedy School of Government. Kenneth S. Rogoff is a professor of public policy and economics at Harvard University. They are co-authors of “This Time is Different: Eight Centuries of Financial Folly.” The opinions expressed are their own.)

14 março 2012

Desigualdade de renda nos EUA

Segundo o economista Emmanuel Saez, da Universidade da Califórnia, durante a depressão de 2007 a 2009,o rendimento médio real por família norte-americana caiu drasticamente em 17,4%; a maior queda em dois anos desde a Grande Depressão. O rendimento médio real para o percentil superior -ou seja, indivíduos que obtiveram renda superior a 352 mil dólares, também denominados de os 1% de maior renda- caiu ainda mais rápido (36,3 por cento de queda), o que levou a uma diminuição na participação na renda total do país, de 23,5% para 18,1%. A renda média real para os 99% inferiores também caiu acentuadamente em 11,6%, de longe o maior declínio em dois anos, desde a Grande Depressão.

O gráfico abaixo apresenta a participação na renda total do país, de cada grupo indicado na legenda. Antes de 2008, os 1% tinham renda semelhante com o mesmo grupo antes da crise de 1929. Posteriormente, com o advento das crises , a renda de ambos os grupos caiu substancialmente em ambos os períodos. Não obstante, em 2010, a renda dos 1% de maior renda já era semelhante e um pouco superior ao do mesmo grupo pós-29. Assim, nas palavras de Saez, conclui-se que " a crise de 2008 só irá reduzir a renda dos mais ricos de forma temporária e não irá desfazer o aumento substancial que vem ococorrendo desde 1970. Além disso, excluindo os ganhos capital realizados dos mais ricos, em 2010, a participação do decil superior era de 46,3%, mais alta que em 2007."

Em outro estudo denominado "The Evolution of Top Incomes in an Egalitarian Society", os autores compararam a participação dos 1% de maior renda em 7 países, no período de 1900 a 2004. É interessante observar que os EUA e a Suécia, países com sistemas muito diferentes de distribuição de renda, juntamente com o Reino Unido e o Canadá apresentam o maior aumento na participação dos 1%, na renda nacional nos útlimos 100 anos. Não é tão simples indicar os motivos da crescente desigualdade de renda nos EUA, pois o tema ainda é controverso. Todavia, economistas acreditam que a demanda por mão de obra cada vez mais especializada e técnica, decorrentes de desenvolvimento tecnológico e crescimento do comércio internacional, talvez explique a crescente desigualdade de renda.

Nos EUA, as causas para a desigualdade apontadas pelos 99% - indíviduos com renda inferior aos 1% - são atribuídas a politicas públicas que privilegiam os mais ricos. Todavia, é temerário culpar o sistema capitalista e o governo por fracassos individuais. Observe que os protestos em Wall Street atacam os banqueiros, lobistas e grandes corporações multinacionais, no entanto, artistas, esportistas, músicos e outros profissinais bem sucedidos, que fazem parte dos 1% de maior renda, raramente são alvos de protesto. Muitos dos que protestam tomaram decisões individuais incorretas no passado - como por exemplo, comprar imóveis com financiamentos elevados - e agora querem culpar os outros por suas derrotas. É claro que muitos cidadãos, por situações alheias às suas vontades, dependem da ajuda do governo.

03 janeiro 2012

2011: O ano da volatilidade. Será?

De acordo com a análise de Ron Griess no The Chart Store, o ano de 2011 foi apenas o 17º mais volátil do índice S&P, desde 1928. De acordo com a metodologia utilizada, os anos de 2000,2002,2008 e 2009 foram mais voláteis que 2011.

There has been much discussion about the recent volatility in the stock market. We did a little study to see how 2011 stacked up against prior years. Our S&P data begins in 1928 and that is what we used for this study. We calculated each days point change, removed the minus sign on down days and summed the daily changes for each year. We then divided that summation by the prior year’s ending value. For instance, in 2011 the summation of the daily changes equaled 3,239.78 points. Dividing that by the ending value of 2010 gives us 257.61%. From the table below, you can see by this methodology that 2011 ranks as the seventeenth most volatile year of the period 1928 to 2011. In fact, four other years of the 21st century rank higher than last year: 2000, 2002, 2008 and 2009. Notice that every single year from 1929 to 1939 are included in the top 15.”

Fonte: How a volatile a year?

02 maio 2011

Crise Financeira

Por Pedro Correia

Robert Shiller argumenta que as crises financeiras poderão tornar-se previsíveis, se novas formas de mensuração do risco sistêmico forem criadas. Durantes os anos 1920 vários avisos foram feitos quanto a iminência de uma crise financeira.Na década passada alguns afirmaram que uma crise estava próxima. Ambas tornaram-se previsões de Cassandra.Assim, segundo Shiller é fácil concluir que, por não sermos capazes de ver estes eventos se aproximando, isto não significa que nada pode ser feito para evitá-los.

Alguns afirmaram que a recente crise financeira foi mais um "cisne negro"- expressão consagrada por Nassim Talleb. De fato, pessoas inteligentes não conseguiram exergar a bolha imobiliária e a instabilidade do setor financeiro norte-americano. No entanto, de acordo com o autor do livro "Exuberância Racional", a característica extraordinária desses eventos não pode impede que sejam previstos.Por exemplo, os furacões eram "cisnes-negro", mas agora são previsíveis. Robert afirma que vários destes eventos podem ser previstos, mas isto só será possível se as perguntas certas forem feitas e melhores dados forem utilizados. Em suma, ele entende que é necessário uma revolução nos modelos de de mensuração do risco.

Em 2010 foi divulgado artigo de autoria de economistas do FED que afirma que, a crise não foi antecipada,pois o órgão não tinha informações confiáveis em determinadas variáveis.

Outrossim,em 1929 a falta de informações corretas foi indicada como uma das causas da crise.Desse modo, houve na época uma melhora nos sistemas de mensuração.Um dos exemplos foi o surgimento do "Produto Nacional Bruto", da conta de Renda e Produção e da conta de fluxos de capitais. Todas estas integrantes da "nova contabilidade nacional".Estes avanços possibilitaram a criação de modelos macroeconômicos com um incrível poder de previsão e que facilitaram o entendimento das instabilidades macroeconômicas.

No entanto, desde os anos de 1950 não ocorreu uma revolução nos modelos de mensuração.Nas últimas décadas, as instituições financeiras assumiram riscos sistêmicos e o uso crescente de alavancagem e derivativos não aparecem em seus relátórios financeiros .Assim,alguns economistas começaram a sugerir alguns tipos de medidas de alavancagem e liquidez, que poderiam ser coletados.Shiller afirma que precisamos de outra revolução como a mensuração do PIB e fluxo de capitais.

Uma das tentativas de "revolução" é o trabalho de Markus Brunnermeier,Gary Gorton Arvind Krishnamurthy, que estão desenvolvendo o que chamam de: "Topografia do Risco".Eles explicam como a moderna teoria de finanças pode nos guiar na coleta de dados que, possam promover uma visão esclarecedora de potenciais problemas econômicos de grande magnitude.

Rober entende que : "Hoje, a nossa prosperidade depende das finanças,que está associada as disciplinas da contabilidade e da macroeconomia. A crise financeira não não apresentou a "debáclê" destas, como diriam alguns. Nós devemos responder da mesma forma que na Grande Depressão, iniciando o longo processo de redefinição de nossos modelos de mensuração para que possamos entender melhor o risco de um novo choque financeiro."

Fonte: The New York Times

08 maio 2009

Índice Dow em 1929

A seguir, as ações que compunham o índice Dow 30 em 1929:

Allied Chemical
American Can
American Smelting
American Sugar
American Tobacco
Atlantic Refining
Bethlehem Steel
General Electric
General Motors
General Railway Signal
International Harvester
International Nickel
Mack Truck
Nash Motors
North American
Paramount Publix
Postum Inc
Radio Corp
Sears Roebuck
Standard Oil
Texas Company
Texas Gulf Sulphur
Union Carbide
US Steel
Victor Talking Machine
Westinghouse Electric
Wright Aeronautical

Fonte: Aqui

24 maio 2008

Fraude Contábil, Crise de 1929 e Regulamentação

Tradicionalmente uma das razões da crise de 1929 foi a baixa qualidade das demonstrações contábeis das empresas que tinham ação cotada no mercado acionário. Isso inclusive aparece no livro de Teoria de Contabilidade, p. 59:

“Para a Contabilidade, esse fato foi importante, uma vez que a profissão contábil foi criticada pela falta de uniformidade das práticas contábeis, que propiciavam a adoção de procedimentos flexíveis, e por vezes contraditórios no mesmo setor empresarial.”

Trabalho empírico de George Benston (Required disclosure and the stock market, American Economic Review, 1973) mostrou que a evidenciação não teve um valor importante para os investidores.