2008年3月19日

来自经济学人印刷版

在特别简报中，我们将探讨本周华尔街的金融体系如何处于全面崩盘边缘，以及金融系统将因此发生什么改变。我们且来看看金融家以及他们的批判者们在这个迷局下如何竭力应对的。

一个公司经营着具有巨大的业务，但没有人知道它是什么" 。1720年时这样的情况在南海公司就初见端倪，这似乎在21世纪的今天也有。现代金融承诺奇迹，勾引辉煌和贪心，并引向毁灭。美国联邦储蓄委员会前主席格林斯潘在2005年时说："日益复杂的金融工具使得经济更为灵活、有效率，从而使得现在的金融体系比25年前更有弹性。”华尔街的第五大投资银行Bear Stearns公司就是目前金融信用危机的最大公司受害者。

《现代金融》的评论者说，Ｂｅａｒ公司在3月16日的破产是自由放任经济的必然结果，自由经济使金融服务的创新和发展几乎完全不受抑制。这使得一种复杂又相互依存的系统容易出现利益冲突。诈骗在次级抵押贷款市场上泛滥。伴随着的工资支出是短期收益，银行家和基金经理人被指责中饱私囊，根本不考虑长远发展。他们的豪赌来源于这样一种认识：经济灾难的后果将由借款人、投资者、纳税人等一起承担。

从穿工装大衣和搭扣的鞋子的年代以来，每隔10年或更长一些经济就会经历一个周期而繁荣起来。过去十年来一直困扰他们。它因亚洲金融危机而遭受广泛影响，长期资本管理公司的崩溃，一个超级明智的对冲基金，网络经济崩溃，当然现在你可以称之为证券化的首次危机。如果这些评论是正确，财政上也的确出现了问题，届时财政规制将有压力，将会回到英国财政大臣阿利斯泰尔达林所谓的"老式的银行" 。但这些评论得对吗？财政究竟出了什么样的问题？怎样才能确定这些问题？

乐观的局势

今天的金融危机在20世纪80年代就开始萌芽，那时开始金融服务业开始增长，现在可能只是走到了尽头而已。马丁巴恩斯是一个加拿大的经济研究公司，在最近一项基本能力评估的研究中，发现美国金融服务行业占所有公司总利润的比例从上世纪８０年代初的１０％上升到40 ％（见图1） 。其所占股市总值的份额比重由6 ％上升至19 ％ 。尽管这些比例并不稳定，但金融服务占美国公司总价值的15％与其人数只占5%对比时，这些比例就非常引人注目了。

起初这种增长建立在资产价格上升的坚实基础上。 １９８２年到２０００年来的１８年见证了一个无与伦比的股票和债券牛市。这些都是世界主要银行抑制通货膨胀、利率下降和资产价格上升（见图表2 ）的结果 。公司制改组、工资的竞争和信息技术革命更加推动了利润的增长。一个典型的股票、债券和现金组合使得年度收益率超过14 ％，巴恩斯先生说，差不多是前几十年的４倍左右。金融服务公司抓紧时机，使得美国的共同基金上涨了四倍多。

但2001年，情况发生了一些变化，互联网泡沫破裂了。自那以后，美国GDP增长率一直弱于20世纪50年代以来的任何经济周期，除了1980～1981期间出现的短暂经济下滑外。斯蒂芬.金和汇丰银行的伊恩莫里斯指出，消费者支出增长、总投资和出口在这个周期已经相对微弱。然而金融服务仍然在不断行进。一个服务性行业，从其存在的作用来看，是帮助人们登记、贸易和对未来现金流量在当前经济中管理金融债权，即使它已经跌到平均收益以下。

业内人士对利用债务，证券化和专属交易，以增加费用收入和利润不再那么青睐。然而投资者们却很看好，所以才心甘情愿地熬过来。自2000年以来，根据基本能力评估，对冲基金中资产的价值，由于其高昂的费用和较高的杠杆作用，翻了五倍。此外，业界已通过整合计算机和杠杆的力量，引发了大规模的创新。比如，优秀的信用违约掉期合约的价值，已经攀升至令人咋舌的45万亿美元。在1980年金融部门的债务只有非金融债务的十分之一左右，但现在是一半大。这一进程使得投资银行逐渐成为欠债机构，其交易多依赖他们自己的账户。高盛拿大约400亿美元用作1.1万亿美元资产的股本。美林证券公司则实现了最大的杠杆效应，用摇摇欲坠的三百亿美元左右的股票作为1万亿美元的资产的股本。上升的股票市场将会创造辉煌的回报率；当市场处于危难中时，资产价值的小幅度下降就足以使股东破产。

银行的运作因为低息借款而成为可能，低消费物价通胀则进一步促进其发展。在更加规范的时代，信贷控制或金本位限制创造信用。但最近中央银行已经生效的银行策略会赚取收益，并利用杠杆作用。由此产生的流动性过剩和金融公司对货币的需求，最终导致美国次级抵押贷款市场的畸形增长。

波动的证券市场

在繁荣时期，金融资产有增长的惯性。这一点也被认为是危机中运作金融服务的趋势。当他们用额外的资产作为抵押时，中介机构可以把他们运作起来从而借入更多。纽约联邦储备银行的托比亚斯阿德，和普林斯顿大学的Hyun Song Shin，均指出自20世纪70年代以来，在经济繁荣时期，债务的增长速度高于资产的增长率。这种周期性的杠杆作用可以自我调节。如果金融集团利用借来的钱购买更多种类的他们以此作为抵押品的证券，那么这些证券的价格将上升。这反过来又使他们能够筹集更多的债务，并购买更多的证券。

 事实上，一旦他们在下一轮经济博弈中败落，他们的股东会惩罚他们。正如Chuck Prince在这场危机出现的几个星期前放话说经济"依旧波动"，当时他还是花旗银行的首脑。Prince被认为缺乏远见。事实上，他只是透露金融危机的秘密：经济被困在一个不能靠自己调节脱离危机的困境中。事实上，其他人也同样如此。迟早，音乐会停止。当这发生，很高的信用也将被摧毁。当资产价格下调，大部分的东西吸引买家。但证券却不一定，因为金融中介机构有必要在经济下滑时限制他们的杠杆作用，他们出售资产（同样，该系统是有周期性的），这一举措降低了证券价格、使资产负债表上的数字更加不好看，从而逼迫公司进一步提高销售额。如此循环直到没有任何杠杆作用时。

不需要银行家来监督或过度激励这种循环：金融体系自会发挥吊杆作用，不久前市场上对存款保险的狂热就营救了银行业。对于Jérôme Kerviel来说，人的道德标准算什么，他使兴业银行失去了赢利的机会，造成了工作人员的各种错误决策，但是国有独资的德意志银行并不会对如此巨大的损失作出巨额赔偿。他与隔壁或下一街区银行的明星交易员媲美的愿望的确可以实现，但是却不得不为糟糕的管理付出代价，并可能使这场危机更加恶化。行业在今年年底确定奖金，即使其实际价值可能到后来也并不清楚。本月初，一组金融监督员汇报了经理们在银行最危机的时候，没有监督贸易商或采取广泛的分析风险横跨其行。也许，在适当的奖励制度下，管理者会做得更好。

阿兰约翰逊，为华尔街设计的薪酬福利的一名顾问预测，未来的高层管理人员将面临这样的情形，他们的一些奖金的确定要基于他们对银行数年的业绩贡献。对于许多资深银行家，他们是以股份的形式获得收入，但是他们不能马上出售股票。Bear Stearns公司的员工，拥有公司三分之一股份，这是他们期待的长远方案。如果变革的薪酬不但不能阻止狂热 ，那么监管呢？评论家说，这种危机是金融放松管制所忽视的重要一点。最坏的过激行为在证券市场上非常混乱，那些规则都旨在保障银行和投资者的信贷增长。因为法规不只是保护这些人的利益，而是明智的赚钱的途径。

在资本保证金率上现行规则要求银行给每个资产预留一些保证金。如果市场损失，他们将有足够的资金应付。然而这条规则，同时建立了一种反常的奖励带来结构性的资本负担，比如持续364天的信用，因此，不要指望"持续" 。在银行体系中-臭名昭著sivs以及给银行业带来损失的导管已经按规定在银行体系中储存了数千亿美元。西班牙的银行业审慎监管者说，只要银行把资金搁置起来，车辆是可以创造的。到目前为止，该国已避免了其他国家常见的危机。当资本充足规则实施后，这方面是需要加以严密监察。

危机监测者与评级机构是一样的，大部分公司都发行债卷，并理所当然地判断资产AAA级标准。也许这种情形对一些投资者来说是合理的，比如养老基金，就是可以购买一流债券。但是这条规则使得AAA级的债券和其他投机的债券之间分隔开来。一些理智的人受评级机构的影响，投资AAA级公司的信贷 ，因为他们想大把大把地赚钱，而且这类债券在短期的确如此。但是金融业也这么做的话，在今后的几年内就很可能停滞或萎缩。部分原因在于增长的最后阶段是基于短期杠杆作用，部分原因在于潜在股票和债券的价值，而这些在上世纪80年代和90年代是不增长的。如果金融体系只是愚蠢地再规制，将使得股票市场变得更坏。

对现代金融来说什么才是明智的措施？格林斯潘先生对了一半。金融体系的确可以分散风险，并帮助系统更好地开展工作。就像在八十年代末泛滥的垃圾债券，使之证券化，证券市场上将出现反弹，正常化并更好地运行。这些金融方面的进展，可惜的是这些进展要付出很大的代价。

The original article

The financial system

What went wrong

Mar 19th 2008
From The Economist print edition

In our special briefing, we look at how near Wall Street came to systemic collapse this week—and how the financial system will change as a result. We start with how financiers—and their critics—have laboured under a delusion

“A COMPANY for carrying out an undertaking of great advantage, but nobody to know what it is.” This lure for the South Sea Company, published in 1720, has a whiff of the 21st century about it. Modern finance has promised miracles, seduced the brilliant and the greedy—and wrought destruction. Alan Greenspan, formerly chairman of the Federal Reserve, said in 2005 that “increasingly complex financial instruments have contributed to the development of a far more flexible, efficient, and hence resilient financial system than the one that existed just a quarter-century ago.” Tell that to Bear Stearns, Wall Street's fifth-largest investment bank, the most spectacular corporate casualty so far of the credit crisis.

For the critics of modern finance, Bear's swift end on March 16th was the inevitable consequence of the laissez-faire philosophy that allowed financial services to innovate and spread almost unchecked. This has created a complex, interdependent system prone to conflicts of interest. Fraud has been rampant in the sale of subprime mortgages. Spurred by pay that was geared to short-term gains, bankers and fund managers stand accused of pocketing bonuses with no thought for the longer-term consequences of what they were doing. Their gambling has been fed by the knowledge that, if disaster struck, someone else—borrowers, investors, taxpayers—would end up bearing at least some of the losses.

Since the era of frock coats and buckled shoes, finance has been knocked back by booms and busts every ten years or so. But the past decade has been plagued by them. It has been pocked by the Asian crisis, the debacle at Long-Term Capital Management, a super-brainy hedge fund, the dotcom crash and now what you might call the first crisis of securitisation. If the critics are right and something in finance is broken, then there will be pressure to reregulate, to return to what Alistair Darling, Britain's chancellor of the exchequer, calls “good old-fashioned banking”. But are the critics right? What really went wrong with finance? And how can it be fixed?

Happy days

The seeds of today's disaster were sown in the 1980s, when financial services began a pattern of growth that may only now have come to an end. In a recent study Martin Barnes of BCA Research, a Canadian economic-research firm, traces the rise of the American financial-services industry's share of total corporate profits, from 10% in the early 1980s to 40% at its peak last year (see chart 1). Its share of stockmarket value grew from 6% to 19%. These proportions look all the more striking—even unsustainable—when you note that financial services account for only 15% of corporate America's gross value added and a mere 5% of private-sector jobs.

At first this growth was built on the solid foundations of rising asset prices. The 18 years to 2000 witnessed an unparalleled bull market for shares and bonds. As the world's central banks tamed inflation, interest rates fell and asset prices rose (see chart 2). Corporate restructuring, wage competition and a revolution in information technology boosted profits. A typical portfolio of shares, bonds and cash gave real annual yields of over 14%, calculates Mr Barnes, almost four times the norm of earlier decades. Financial-service firms made hay. The number of equity mutual funds in America rose more than fourfold.

But something changed in 2001, when the dotcom bubble burst. America's GDP growth since then has been weaker than in any cycle since the 1950s, barring the double-dip recovery in 1980-81. Stephen King and Ian Morris of HSBC point out that growth in consumer spending, total investment and exports in this cycle has been correspondingly feeble.

Yet, like Wile E. Coyote running over the edge of a cliff, financial services kept on going. A service industry that, in effect, exists to help people write, trade and manage financial claims on future cashflows raced ahead of the real economy, even as the ground beneath it fell away.

The industry has defied gravity by using debt, securitisation and proprietary trading to boost fee income and profits. Investors hungry for yield have willingly gone along. Since 2000, according to BCA, the value of assets held in hedge funds, with their high fees and higher leverage, has quintupled. In addition, the industry has combined computing power and leverage to create a burst of innovation. The value of outstanding credit-default swaps, for instance, has climbed to a staggering $45 trillion. In 1980 financial-sector debt was only a tenth of the size of non-financial debt. Now it is half as big.

This process has turned investment banks into debt machines that trade heavily on their own accounts. Goldman Sachs is using about $40 billion of equity as the foundation for $1.1 trillion of assets. At Merrill Lynch, the most leveraged, $1 trillion of assets is teetering on around $30 billion of equity. In rising markets, gearing like that creates stellar returns on equity. When markets are in peril, a small fall in asset values can wipe shareholders out.

The banks' course was made possible by cheap money, facilitated in turn by low consumer-price inflation. In more regulated times, credit controls or the gold standard restricted the creation of credit. But recently central banks have in effect conspired with the banks' urge to earn fees and use leverage. The resulting glut of liquidity and financial firms' thirst for yield led eventually to the ill-starred boom in American subprime mortgages.

The dance of debt

The tendency for financial services to run right over the cliff is accentuated by financial assets' habit of growing during booms. By lodging their extra assets as collateral, the intermediaries can put them to work and borrow more. Tobias Adrian, of the Federal Reserve Bank of New York, and Hyun Song Shin, of Princeton University, have shown that since the 1970s, debts have grown faster than assets during booms. This pro-cyclical leverage can feed on itself. If financial groups use the borrowed money to buy more of the sorts of securities they lodged as collateral, then the prices of those securities will go up. That, in turn, enables them to raise more debt and buy more securities.

Indeed, their shareholders would punish them if they sat out the next round—as Chuck Prince let slip only weeks before the crisis struck, when he said that Citigroup, the bank he then headed, was “still dancing”. Mr Prince has been ridiculed for his lack of foresight. In fact, he was guilty of blurting out finance's embarrassing secret: that he was trapped in a dance he could not quit. As, in fact, was everyone else.

Sooner or later, though, the music stops. And when it does, the very mechanisms that create abundant credit will also destroy it. Most things attract buyers when the price falls. But not necessarily securities. Because financial intermediaries need to limit their leverage in a falling market, they sell assets (again, the system is pro-cyclical). That lowers the prices of securities, which puts further strain on balance sheets leading to further sales. And so the screw turns until those without leverage will buy.

You do not need bankers to be poorly monitored or over-incentivised for such cycles to work: finance knew booms and manias long before deposit insurance, bank rescues or bonuses. And, human nature being what it is, Jérôme Kerviel, who lost Société Générale a fortune, and the staff of various loss-making, state-owned, German Landesbanks did not need huge pay to lose huge sums. The desire to show that you are a match for the star trader next door, or the bank in the next town, will do.

Yet pay—or at least bad management—probably made this crisis worse. Trades determine bonuses at the end of the year, even though their real value may not become clear until later. Earlier this month a group of financial supervisors reported how managers at the banks worst hit by the crisis had failed to oversee traders or take a broad view of risk across their firms. Perhaps, with proper incentives, managers would have done better.

Alan Johnson, a consultant who designs pay packages for Wall Street, predicts that in future senior executives will face the prospect of some of their bonuses being contingent on the bank's performance over several years. Yet to the extent that many senior bankers are paid in shares they cannot immediately sell, they already are. And to the extent that Bear Stearns's employees owned one-third of the firm, they already looked to the longer term.

If altering pay cannot stop manias, can regulation? The criticism that this crisis is the product of the deregulation of finance misses an important point. The worst excesses in the securitisation mess are encrusted precisely where regulation sought to protect banks and investors from the dangers of untrammelled credit growth. That is because regulations offer not just protection, but also clever ways to make money by getting around them.

Existing rules on capital adequacy require banks to put some capital aside for each asset. If the market leads to losses, the chances are they will have enough capital to cope. Yet this rule sets up a perverse incentive to create structures free of the capital burden—such as credits that last 364 days, and hence do not count as “permanent”. The hundreds of billions of dollars in the shadow banking system—the notorious SIVs and conduits that have caused the banks so much pain—have been warehoused there to get round the rules. Spain's banking regulator prudently said that such vehicles could be created, but only if the banks put capital aside. So far the country has escaped the damage seen elsewhere. When reformed capital-adequacy rules are introduced, this is an area that will need to be monitored rigorously.

It is the same with rating agencies, the whipping boys of the crisis. Most bonds used to be issued by companies, and to judge something AAA was straightforward. Perhaps back then it made sense for some investors, such as pension funds, to be obliged to buy top-rated bonds. But this rule created a boundary between AAA and other bonds that was ripe for gaming. Clever people, abetted by the rating agencies, set out to pass off poor credit as AAA, because they stood to make a lot of money. And they did. For a while.

The financial industry is likely to stagnate or shrink in the next few years. That is partly because the last phase of its growth was founded on unsustainable leverage, and partly because the value of the underlying equities and bonds is unlikely to grow as it did in the 1980s and 1990s. If finance is foolishly reregulated, it will fare even worse.

And what of all the clever and misused wizardry of modern finance? Mr Greenspan was half right. Financial engineering can indeed spread risk and help the system work better. Like junk bonds, reviled at the end of 1980s, securitisation will rebound, tamed and better understood—and smaller. That is financial progress. It is a pity that it comes at such a cost.