Lnveitingar til rautarvara Dr. sgeir Jnsson Ma 2008

Lnveitingar til rautarvara Dr. sgeir Jnsson Ma 2008 1 2 3 4 5 6 Lnveitingar til rautarvara Seljanleikaskortur ea eiginfjrvandri? Reglur ea getti? Aljlegt samhengi Staan slandi Niurstaa Kenningin um lnveitingar til rautarvara Lend freely to temporary illiquid but nonetheless solvent banks at a penalty rate and on good collateral." Walter Bagehot 1873 [

] 4 Seljanleikatrygging fyrir almenning Innlnsstofnanir taka v a sr a tryggja lausafjrstu einstaklinga me svipuum htti og nnur tryggingaflg. Innlnstofnanir byggja einnig upp greislukerfi sem leyfir almenningi a nota bankainnistur sem gjaldmiil vsvegar um heiminn sem felur sr a viskipti flks vera aeins frslur milli bankareikninga. Fyrir etta er almenningur tilbin a leggja peninga inn bankastofnanirnar lgum og jafnvel engum vxtum. Innlnsstofnanir geta v s um lausafjrrf almennings me mun minna lausaf heldur en einstaklingar sjlfir hver snu lagi. Hgt er v a nta strsta hlutann af v lausaf sem flk leggur inn bankareikninga til tlna.

Lausafjrmassi innlnsstofna og hlutverk eirra greislumilun er a sem gerir banka srstaka og gerir eim kleift a gera msa hluti mun drar en arar fjrmlastofnanir. [ ] 5 Lgml strra talna a verki Oft tala um 'law of large numbers' egar margir leggja saman og fylgnin milli lausafjrarfar er ekki fullkomin og fst tlfrileg dreifing ar sem einstaklingsbundin (ideosyncratic) htta hverfur og arir httuttir vera fastir parametrar. etta gengur upp ef gert er r fyrir a agerir sparifjreigendanna su algerlega har. Gefum okkur einnig a ll innln su nkvmlega eins. er hgt a setja ferviki af hlutfallinu milli ttekta og innlna fram sem U 1

u var var I n i ar sem n er fjldi innlnsreikninga, U er heildarmagn ttekta, I er heildarmagn innlna og u/i er hlutfalli milli ttekta og innlna af tilteknum reikningi. Augljst er a egar n stkkar minnkar var[U/I] sem er mlikvari breytileikann heildartstreymi fjrmagns. hverjum tma er viri skulda innlnsstofnana .e innlna minna en skammtmaviri tlna (liquidation value). [ ] 6 Seljanleikatrygging lka fyrir fyrirtkin Fyrirtkin urfa einnig seljanleikatryggingu formi opinna lnalna (loan commitment) hj bankastofnunum egar syrtir linn fjrmlamrkuum.

Innlnsstofnanir eru lykilastu til ess a veita essa tryggingu vegna ess a... A. r urfa hvort sem er a vihalda stugum lausafjrmassa til ess a tryggja seljanleika heimilanna og hafa v kostnaarhagri v tryggja seljanleika fyrirtkja. B. Neikvi fylgni er milli lausafjrarfar fyrirtkja og almennings. egar ri rkir fjrmlamrkuum skja peningarnir ryggi og seljanleika peningamarkasreikninga ea ara reikninga bankastofnana. egar kemur a endurgreislu innlna gildir fyrstur kemur, fyrstur fr. annig eru bankar vallt vikvmir fyrir skorti trnaartrausti og hlaupum (bank panics). Einhverna hluta af seljanleika einstakra innlnsstofnana er hgt a tryggja millibankamarkai me lausafjrfrslum milli bankanna sjlfra en egar hlminn er komi er a aeins Selabanki sem getur veitt slka jnustu. [ ]

7 Diamond & Dybvig 1983 coordination problem Tv tmabil T1 og T2 Tvr tegundir af neytendum eir sem vilja spara og eir eya T1 vissa hver neytandi veit ekki fyrirfram hvort hann eyi sparna ea neyslu og s vissa kemur veg fyrir a hann noti fjrmuni sna til fjrfestinga vissan skapar eftirspurn eftir seljanleikatryggingu T0 ar sem neytendum vilja geta haft agang a fjrmunum strax ef eir urfa eim a halda tma T1 en geta samt fengi vexti ef eir urfa ekki eim a halda fyrr en tma T2. Tv jafnvgi hagkvmt jafnvgi ar sem allir una glair vi sitt og bankahlaup ar sem allir sparifjreigendur hlaupa til og taka allt t tma T1.

Upplausnarviri bankans T1 er lgra en tma T2 ar sem bankaeignir eru ltt seljanlegar eir neytendur sem eru seinastir a n t peningunum snum tapa eim. Ytri stugleiki getur hrundi kerfinu bankahlaup sem er sk. slbletta jafnvgi (sun-spot equilibrium) sem hefur ekki rational innan lkansins. [ ] 8 rekstur vi nnur markmi? Bagehot (1873) leit lausafjrasto sem lei til ess a tryggja stugleika peningamagni umfer. Selabankinn eykur peningamagn umfer egar peningamargfaldarinn lkkar egar ein bankastofnun ea fleiri fer a draga til sn lausaf sta ess a lta fr sr. annig tti lnveiting til rautarvara ekki a vera ensluhvetjandi

samkvmt kenningunni og ekki rekast vi nnur markmi bankans, s.s. hva varar verstugleika. Hins vegar er raunveruleikinn oft annar, t.d. leiddi trygg vi gullftinn til ess a Bandarkjastjrn kom ekki til bjargar eagr 1/3 bankastofna arlendis var gjaldrota kreppunni miklu [ ] 9 Samhfingarvandi nausyn inngripum rkisins Samkvmt Bagehot (1873) og Diamond&Dybvig(1983) er kvein markasbrestur til staar vegna fullkominna upplsinga og samhfingarvanda sem oft er tengdur vi hjarhegun. Selabankar eru til staar a mta essum markasbresti me v a veita bankakerfinu bakstuning me v a tryggja lausafjrstu ess. grunnatrium er kenningin um lnveitenda til rautarvara einfld og allir eru sammla um mikilvgi hennar. En raunveruleikanum er framkvmdin mun flknari ar sem n rekst vi tal ara hluti.

Lausfjrvandri er yfirleitt a sem fellir bankastofnanir en vandinn skapast gjarnan samhlia fjrmlakrsu, gjaldeyriskreppu ea eignablur. [ ] 10 Lausfjr- ea eiginfjrvandri? Because the simple fact is: banks rarely default. Northern Rock, IKB, Landesbank Sachsen, Banca Italiease all point to this one fact that is supported by decades of empirical evidence. Yes, banks do fail they fail more than corporates do, hardly surprising given their high level of gearing and the perverse incentive structure under which the operate (by which we mean banks or rather their managements have relatively little to loose by taking lots of risk and quite a lot to gain: Richard Thomas et. al. 12. mars 2008 [ ]

12 Hvers viri eru vein? Samkvmt Bagehot eru lnveitingar til rautarvara alltaf gegn gu vei Selabankinn ekki a hjlpa bnkum sem eru me veikan efnahagsreikning aeins eim sem skortir lausaf. egar til a taka er yfirleitt mgulegt a skilja milli lausafjrvandra og eiginfjrvandra (solvency versus liquidity). Selabankinn hefur ekki allar upplsingar og verur a taka kvaranir me mjg miklum hrai. Vein geta rrna mjg hratt fjrmlakreppu og lausafjrurr og raunar er mgulegt a segja til um viri eirra elilegum tmum. Yfirleitt er v ekki vita fyrr en eftir post factum hvort vikomandi banki s skorti aeins lausaf ea lka eigin f. Lnveitingar til rautarvara eru v oft n vea .e. grun eigin f Selabankans ea a me vei fr rkisvaldinu. [ ] 13

Bnkunum er alltaf bjarga! Reynslan snir hins vegar a bnkum er alltaf bjarga annig a skuldunautar vikomandi stofnunar fi sinn hlut bttan nema me nokkrum undantekningum (Bank Herstatt 1974). Bankar eru yfirleitt meira viri lifandi en dauir jafnvel a eigi s horfi. Bankar gegna lykilhlutverki greislukerfinu strir bankar hafa jafnvel beina rkisbyrg af eim skum (too big to fail). Jafnvel ltil bankagjaldrot geta skapa httu fyrir fjrmlakerfi srstaklega ef au eiga sr sta vissutmum. Lnveitingar til rautarvara eru v oft framkvmdar sem hluti af bjrgunaragerum ar sem nir ailar koma me eigi f. [ ] 14 Fjrar bjrgunarleiir Bjrgunaragerir skiptast yfirleitt fjra flokka (sj Giannini 1999)

1. Bankinn vanda starfar fram eftir rautalnsastoina eins og ekkert hafi skorist. (lnveiting til rautarvara eftir bkinni) 2. Selabankinn fjrmagnar og/ea skipuleggur asto og/ea yfirtku annarra banka vikomandi banka vanda. (concerted lending) 3. Hi opinbera grpur inn rekstur vikomandi banka samhlia v a leggja fram ntt eigi f. Svo sem me v a yfirtaka eignir ea jafnvel jnta. 4. Banki er hlutaur sundur og leystur upp. a sem skilur hr milli leia er hve mikla refsingu stjrn og eigendur bankans eru ltnir taka t. [ ] 15 Reglur fremur en getti Policy makers should follow rules rather than discretion. The reason being that they should not have discretion is not that they are stupid or evil but, rather, that discretion implies selecting the decision which is best, given the current situation. Such behaviour either results in consistent but suboptimal planning or in economic

instability. In a democratic society, it is probably preferable that selected rules be simple and easily understood, so it is obvious when a policy maker deviates from the policy. There could be institutional arrangements which make it difficult and time consuming process the change the policy rules in all but emercency situations. Kydland og Prescott 1977 [ ] 17 Bnkum er alltaf bjarga! a er n ori viurkennt a peningamlastefna Selabankans eigi a miast vi hagstjrnarreglur en ekki discretionary" hi sama ekki vi um rautalnaasto Bagehot lagi herslu Selabankinn tti alltaf a vera staar en fara fram ha vexti svo astoin s ekki misnotu lend freely but at a high rate".

Samkvmt DD(1983) er mikilvgt a Selabankinn gefi sterkt til kynna a hann muni hindra bankahlaup. Hins vegar er staan s reynd a Selabankar heimsins leggja mikla herslu uppbyggilega vissu (constructive ambiguity) egar um rautaln er a ra. eir vilja ekki gefa a upp fyrirfram hvernig brugist veri vi lausafjrvandrum en lnin eru hins vegar (ea undir) markasvxtum. [ ] 18 Bnkum er alltaf bjarga! Me raun og rttu m samt segja rkisvaldi hverju landi hafi byrgst greisluhfi (solvency) sinna bankastofnana annig er astoin raun orin reglubundin. a er san meti hverju tilviki hver tfrslan astoinni til einstakra

stofnana s metin hverju tilviki fyrir sig. Hvert ml er einstakt Astur er misjafnar Hvernig a refsa eigendum og stjrn? egar vissa rkir fjrmlakerfinu llu verur Selabankinn ekki a setja skrar reglur um agang a lausaf? Snir yfirstandandi lausafjrkrsa fram nausyn ess a Selabankar marki sr rautarlnastefnu sem er bygg reglum til ess a eya vissu? [ ] 19 Kerfisbundin lausafjrvandri - lag 1m Libor vaxta strivexti EUR og USD, % 1 EUR USD 0,8 0,6 0,4

0,2 0 -0,2 -0,4 jn.07 jl.07 g.07 okt.07 nv.07 des.07 jan.08 mar.08 apr.08 Heimild: Greiningardeild Kaupings og Bloomberg [ ]

20 TAF kerfisbundin rautarlnaasto tlnatp af undirmlslnum skpuu almenna vissu kerfisbundin lausafjrvanda sem Selabankar heimsins brugust vi me v a auka agengi fjrmlastofnana a lausaf me reglubundnum htti. Til a mynda kynnti Bandarski Selabankinn til sgunnar sk. TAF prgram (Term Auction Facility) desember saslinum. Samkvmt TAF f bandarskir bankar ln einn mnu gegn mjg frjlslegum reglum um ve me vxtum sem kvarast af uppboi hj Selabankanum fyrirfram kvenu magni af fjrmagni. Me raun og rttu m segja a Selabanki BNA s a veita kerfisbundna (rule-based) rautarlnaasto hrri vxtum. N og endurnju hersla peningamagn ea einfaldlega rstafanir til ess a tryggja a venjubundin peningamlastefna virki raun? [ ] 21

Aljlegt samhengi Central Banks suffer from the limitation that they are national central banks. Only in a national economy that is largely self contained, can a central bank be a true central bank; with the development of world markets, and (especially) of world financial markets, national central banks take a step down, becoming single banks in a world wide system, not at the "centre" any longer." John Hicks 1967 [ ] 23 Fjrttur vandi LT hj litlum opnum hagkerfum me eigin mynt en fjljlegri bankastarfsemi skapar fjrttan vanda. 1. Spurning seljanleika innlendra eigna 2. Spurning um seljanleika erlendra eigna 3. Spurning um hver ber gjaldrotahttu 4. Spurning um stjrn (control) [

] 24 Seljanleiki innlendra eigna bankastarfsemi heimager Ef heimagjaldmiill hefur ekki aljlegt greisluhfi getur aukin selaprentun skapa vandaml gjaldeyrismarkai ef lausaf sem Selabankinn skaffar leitar r landi. a felur sr a Selabankinn verur a stfa Lt me slu gjaldeyris millibankamarkai. Ef myntskipti (currency substitution) hefur tt sr sta annig a fjrmagnsviskipti og bankastarfsemi fara fram aljlegum gjaldmilum innanlands er mjg lklega rf v a LT s a hluta ea llu leyti framkvmd erlendum gjaldmilum. Calvo (1999) heldur v fram a geta margra S-Amerkurkja til ess a stunda Lt s raun ekki til staar. Lt litlum opnum hagkerfum er v h v a myndarlegur gjaldeyrisfori s til staar enda er lklegt a bankakreppa og gjaldeyriskreppa fylgist a. [

] 25 Seljanleiki innlendra og erlendra eigna bankastarfsemi aljleg Ef vikomandi heimaland hefur ekki A) gjaldmiil me aljlegt viskiptahfi ea B) grarlegar gjaldeyriseignir getur a vart veri trverugur Lt rum lndum nema upp a kvenu marki. Bankastarfsemi sem er stundu yfirrasvi annarra Selabanka hltur vallt vera eirra lausafjr-forri. Hins vegar skiptir miklu hvort hgt s a nota eignir einu landi ess a bregast vi lausafjrskorti ru landi. Markashfi (convertability) heimagjaldmiils skiptir llu varandi a hvort innlendar eignir sem ve heima ea erlendis til ess a mta erlendum lausafjrskorti. Selabankinn jnar best hlutverki snu sem Lt a tryggja lausafjrstu efnahagslfsins og seljanleika innlendra eigna erlendri mynt. annig getur digur gjaldeyrisvarasjur skapa kvein svigrm fyrir bi viskiptabanka og selabanka a bregast vi kvenum astum kannski vinna drmtan tma.

[ ] 26 Hver ber gjaldrotahttu spurning um stjrn Greisluhfi (solvency) banka sem eru strir heimamarkai en litlir aljlegu samhengi hltur a vera trygg af stjrnvldum heima fyrir. Skr heimilisfesti er vsun asto Mikilvgi fyrir greislukerfi (too big to fail) sjlfu sr er hgt a framkvma eiginfjrasto innlendum gjaldmili sem hltur a gefa rkisvaldinu tluvert meira svigrm. Inngrip af essu tagi gerir krfu um Selabankinn og/ea rkisvaldi hafi stjrn run mli og fari fararbroddi vi lausn krsunnar. Selabankar erlendra starfstva gtu arar hugmyndir um stu og rlausn mla. [ ] 27

Staan slandi Iceland could conceivably raise a further US$8 billion (increasing reserves to US$10-11 billion) to take the ratio of public debt to GDP up to around 65%. This would not be too far out of line with the likes of Malta (Fitch A+) or Portugal (Fitch AA-). Indeed, if this debt was successfully used to restore confidence in the banking sector, Icelands ratings could actually look more solid than they do now, with the low levels of debt but with the agencies clearly fretting about the banks. Jackie Ineke et. al. 4. april 2008 (Morgan Stanley Fixed income research). Finally, any development such as scaling back the Icelandic banks foreign branch operations or migrating their headquarters overseas would ease the sovereigns foreign currency-denominated contingent liabilities. In so doing, such changes would also significantly tilt the balance of financial risks for the Icelandic government in a more favorable direction. Joan Feldbaum-Vidra 30. jan. 2008 (Moodys special comment). [ ] 29 Ngt eiginf til a mta niursveiflu kk s trsinni

Hreint eigi f slensku viskiptabankanna og Selabankans - milljrum krna 900 Viskiptabankarnir 800 Selabanki slands 700 600 500 400 300 200 100 0 1998 1999 2000 2001

2002 2003 2004 2005 2006 2007 3M 2008 Heimild: Greiningardeild Kaupings og Selabanki slands [ ] 30 slenskir bankar me htt eiginfjrhlutfall aljlegu samhengi CAD ratio for Nordic banks 2007 9,6% Kaupthing

11,8% 10,1% 11,7% Landsbanki 8,1% Glitnir 11,2% 8,6% SEB DNB Nor SHB Swedbank Danske Bank Nordea ROE for Nordic banks 2007 11,0% 7,2% Landsbanki 27,0%

Kaupthing 23,5% DNB Nor 22,0% Nordea 19,7% Glitnir 19,3% 9,4% SEB 19,3% 9,3% Swedbank 9,3%

SHB 10,0% 6,8% 6,2% 6,4% 7,0% 9,0% Danske Bank 18,9% 17,4% 15,1% Source: Company data 9m 2007 [ ] 31 0% [

Danske Bank ABN Kaupthing Landsbanki KBC Dexia Deutsche BBVA Barclays HSBC Lloyds Anglo I rish Nordea UBS

HBOS Glitnir DNBNor SEB BNP Allied Irish Handelsbanken Commerzbank RBS Bank of I reland Credit Suisse ALL & leicseter Soc gen Swedbank

Tiltlulega hagsttt tmarf endurgreislu skulda Long term redemptions 2008 as percentage of total long term debt 40% 35% 30% 25% 20% 15% 10% 5% Source: Bloomberg, 19 March 2008 ] 32 Eignir bankanna tfld landsframleisla Eignir viskiptabankanna riggja

- sem hlutfall af VLF 12 sem % af VLF 10 8 6 4 2 0 1998 1999 2000 2001 2002 2003 2004 2005

2006 2007 3M 2008 Heimildir: Kauphll slands [ ] 33 Kauping eitt hefur helming eigna Eignir viskiptabankanna riggja - sem hlutfall af heildareignum strstu viskiptabankanna riggja 60% 50% 40% 30% 20% Glitnir 10%

Kauping Landsbanki 0% 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 3M 2008 Heimildir: Kauphll slands

[ ] 34 Endurgreisluferill bankanna Heildarendurgreisla nemur EUR 47,8 milljrum 12.000 10.000 8.000 6.000 4.000 2.000 0 2009 2010 2011

2012 >2013 All amounts in [EURm] [ ] 35 slenska bankahlaupi rs vogunarsjanna Skuldatryggingarlag slensku bankanna 1200 1000 250 lag slenskra banka (v.s) lag evrpska banka (iTraxx Financials, h.s) 200 800

150 600 100 400 50 200 0 mar.07 0 ma.07 jl.07 sep.07 nv.07 jan.08 mar.08 ma.08

Heimild: Greiningardeild Kaupings og Selabanki slands [ ] 36 Lnveitingar til rautarvara Lausafjrrf slensku bankanna erlendri mynt en selaprentunarvald Selabanka slands er slenskum krnum sem hefur takmarka markashfi (e. convertability) utan slands. slenskir bankar geta ekki fengi smu lausafjrfyrirgreislu hj snum selabanka og t.d. bankar evrpska myntsvinu. eir hljta v a hafa hrri lausafjrhttu (e. liquidity risk) og greia vibtar httulag af eim skum. Besta lausnin essu mli vri innganga myntbandalag Evrpu (ekki einhlia upptaka evru). flugur gjaldeyrisfori myndi einnig tryggja greisluhfi (convertability) krnunnar svo slenskar eignir geti veri notaar sem ve til a mta erlendri lausafjrrf.

slensku bankarnir vera einnig a mia vernd hj erlendum Selabnkum. [ ] 37 a vantar lnveitanda til rautarvara slenska bankatrsin hfst upphaflega vegna ess a bankarnir vildu f mtvgi vi slenska rekstrarhttu me starfsstvum erlendis. etta hefur heppnast vel sem sst af v a hlutaf slensku bankanna riggja var um 58 milljarar krna rslok 2001 en var 786 milljarar krna vi lok fyrsta rsfjrungs 2008. a er v ljst a slensku bankarnir eru n mun betur stakk bnir a mta samdrtti slensku efnahagslfi en sustu niursveiflu. sama tma er ttast um getu slenska rkisins til ess a geta tryggt greisluhfi (solvency) bankakerfisins. etta gti ori hemill frekari trs slensku bankanna einhverjir eirra gtu skipt um heimilisfesti nstu rum af eim skum. a greisluhttan verur fram hj slenska rkinu til staar eftir

upptku evru en lausafjrhttan hefur veri afltt. [ ] 38 Niurstaa

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