Mittwoch, 23. April 2014

Ein Revolutionsvorschlag von J. Cochrane

Dieser Vorschlag geht weit über das hinaus, was Martin Hellwig so vorschlägt.

Die Einleitung in voller Länge:
"At its core, our financial crisis was a systemic run. The run started in the shadow banking system of overnight repurchase agreements, asset-backed securities, broker-dealer relationships, and investment banks. Arguably, it was about to spread to the large commercial banks when the Treasury Department and the Federal Reserve Board stepped in with a blanket debt guarantee and TARP (Troubled Asset Relief Program) recapitalization. But the basic economic structure of our financial crisis was the same as that of the panics and runs on demand deposits that we have seen many times before.  
The run defines the event as a crisis. People lost a lot of money in the 2000 tech stock bust. But there was no run, there was no crisis, and only a mild recession.  Our financial system and economy could easily have handled the decline in home values and mortgage-backed security (MBS) values—which might also have been a lot smaller—had there not been a run.
The central task for a regulatory response, then, should be to eliminate runs.
Runs are a pathology of specific contracts, such as deposits and overnight debt, issued by specific kinds of intermediaries. Among other features, run-prone contracts promise fixed values and first-come first-served payment. There was no run in the tech stock bust because tech companies were funded by stock, and stock does not have these run-prone features.
The central regulatory response to our crisis should therefore be to repair, where possible, run-prone contracts and to curtail severely those contracts that cannot be repaired. "Financial crises are everywhere and always due to problems of short-term debt" is a famous Doug Diamond (2008) aphorism, which we might amend to "and its modern cousins." Well, then, let us purge short-term debt from the system and base regulation on its remaining truly necessary uses.  
When they failed, Bear Stearns and Lehman Brothers were financing portfolios of mortgage-backed securities with overnight debt at 30:1 leverage. For every thirty dollars of investment, every single day, they had to borrow a new twenty-nine dollars to pay back yesterday's lenders. It is not a surprise that this scheme fell apart. It is a surprise that our policy response consists of enhanced risk supervision, timid increases in bank capital ratios, fancier risk weighting, macroprudential risk regulation, security-price manipulation, a new resolution process in place of bankruptcy, tens of thousands of pages of regulations, and tens of thousands of new regulators.  Wouldn’t it be simpler and more effective to sharply reduce run-prone funding, at least by intermediaries likely to spark runs?
In this vision, demand deposits, fixed-value money-market funds, or overnight debt must be backed entirely by short-term Treasuries. Investors who want higher returns must bear price risk. Intermediaries must raise the vast bulk of their funds for risky investments from run-proof securities. For banks, that means mostly common equity, though some long-term or other non-runnable debt can exist as well. For funds, or in the absence of substantial equity, that means shares whose values float and, ideally, are tradable. 
Banks can still mediate transactions, of course. For example, a bank-owned ATM machine can deliver cash by selling your shares in a Treasury-backed money market fund, stock index fund shares, or even the bank's own shares. A bank can originate and sell mortgages, if it does not want to finance those mortgages with equity or long-term debt. Banks can still be broker-dealers, custodians, derivative and swap counterparties and market makers, providers of a wide range of financial services, credit cards, and so forth. They simply may not fund themselves by issuing large amounts of run-prone debt. 
If a demand for separate bank debt really exists, the equity of 100 percent equity-financed banks can be held by a downstream institution or pass-through vehicle that issues equity and debt tranches. That vehicle can fail and be resolved in  an hour, without disrupting any of the operations or claims against the bank, and the government can credibly commit not to bail it out.
I argue that Pigouvian taxes   provide a better structure for controlling debt than capital ratios or intensive discretionary supervision, as in stress tests.  For each dollar of run-prone short-term debt issued, the bank or other intermediary must pay, say, five cents tax. Pigouvian taxes are more efficient than quantitative limits in addressing air pollution externalities, and that lesson applies to financial pollution. By taxing run-prone liabilities, those liabilities can continue to exist where and if they are truly economically important. Issuers will economize on them endogenously rather than play endless cat-and-mouse games with regulators."
Das wird so nicht kommen, weil es einer Revolution gleichkommt. Aber vielleicht fließen ja ein paar der Gedanken in den kommenden Jahren in die Gestaltung des Finanzsystems ein ...

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