考夫曼：合體金融巨獸…野性大發

【經濟日報╱編譯 陳家齊】 2007.08.17

權威經濟學家考夫曼（Henry Kaufman）在華爾街日報發表專文說，次級房貸風暴擴散全球，暴露信用金融工具過度發展，市場紀律失靈與政府無力加以節制的弊端，而跨國金融機構規模龐大，難以約束，已成為破壞市場紀律的金融巨獸。

信用刷到爆

考夫曼表示，目前的災情只是長期趨勢的冰山一角。傳統商業銀行、保險公司與投資銀行的界線已經瓦解，合體金控巨獸的業務無所不包，一面扮演投資人角色，一面又諮詢客戶投資自己提供的金融資產。這不但造成利益衝突的潛在道德風險，也使金融機構變得太過龐大，沒有央行敢坐視其倒閉。

當金融機構躲在「大到不能倒」的保護傘下時，往往就漠視風險。為了追求更高的收益，金融機構不斷發明新穎、奇異、複雜難解的衍生性信用金融商品，把許多原本無法在市場流通的商品證券化後，轉賣出去，賺取手續費。

這波證券化風潮使傳統的「流動性」觀念受到挑戰。依照二次世界大戰後的傳統觀念，流動性是指現金收益、可迅速變現的資產、企業庫存以及到期票券等等。而現在，證券化使任何資產、任何信用工具都可以變成在市場流通的商品，今日的「流動性」被等同於「信用額度」，幾乎不需以實際的資產做為擔保。

全球金融資訊網路的緊密相連，也對流動性氾濫推波助瀾。資金調度與資產變現的快速便利，使所有人都以為信用額度隨時垂手可得，而且總能保持在低廉的價格。資訊科技的進步，使任何金融商品似乎都能訂出價格。

大到不能倒

但是替這些複雜金融商品定價的模型，卻是建立在市場基本面穩固的前提上。一旦市場結構迅速改變，原本的風險定價模型就會失靈。對於次級房貸、垃圾債券這類高風險資產而言，市場快速變動時，原本的定價很快會與實際的交易狀況脫節，定價模型完全失效，損失變得難以評估。

市場力量原本扮演制約的功能，可以懲罰過度擴張信用風險的金融機構，使其虧損倒閉。但金融機構過於龐大，任其垮台可能造成系統性危機，因此「大到不能倒」的保護傘使市場約制失靈。小型金融機構也加速合併，希望能獲得這樣的保護傘。

各吹各的號

另一方面，各國央行目前似乎只小心翼翼地採取技術性的因應措施，對如何邁向更有效的金融監理卻欠缺明確的遠見，深怕過度干預會扼殺市場活力。於是市場機制與政府約束兩頭失靈，金融紀律蕩然無存。

更深層的問題在於，當代經濟學缺乏像亞當斯密、凱因斯與傅利曼這樣的人物，無法提出綜合金融市場行為與經濟行為的整體架構。學術分化，經濟學家與財管學者各吹各的調。

因此，考夫曼呼籲Fed儘快擬定合適的貨幣政策，在市場紀律與政府管制之間取得平衡，否則更大的金融動盪還會繼續發生。一旦企業獲利開始下降，低於投資等級以下的垃圾債券，可能將是另一場大地震的震央。

※ 自由經濟，真自由...

＊ Our Risky New Financial Markets
http://online.wsj.com/article/SB118714343807498116.html?mod=googlenews_wsj

By HENRY KAUFMAN
August 15, 2007; Page A13

Tremors from America's quaking subprime mortgage market have spread throughout the financial world. This latest disturbance in global financial markets is neither isolated nor idiosyncratic. It points to deeper, enduring changes in the structure of our markets -- changes that have profoundly altered the behavior of market participants in ways that tend to encourage risk-taking beyond prudent limits. Just as troubling is the failure of official policy makers to effectively rein in such excesses, leaving our financial system vulnerable to similar turmoil in the future.

The principal structural driver behind this and similar financial tribulations is the massive growth of financial markets, combined with a plethora of new credit instruments. By any measure, current financial activity -- new financing or secondary market trading volume -- dwarfs the past. The outstanding volume of nonfinancial debt now exceeds nominal GDP by $15 trillion, compared with $6 trillion a decade ago. Traditional credit instruments such as stocks, bonds and money-market obligations have been joined by a long and diverse roster of new obligations, many of them extraordinarily complicated. Along with the arcane tranches of mortgages that recently garnered attention are a myriad of financial derivatives, ranging from those traded on exchanges to tailor-made products for the over-the-counter market.

Leading financial institutions have grown rapidly as well. More importantly, they have evolved to become integrated, diversified, global enterprises that bear little resemblance to traditional commercial banks, investment banks or insurance companies. As these giants grow and dominate the market, they carry enormous potential for conflicts of interest -- they simultaneously act as investors of their own massive assets and as dealmakers and consultants on behalf of their clients. And their reach into the financial system is so broad and deep that no central bank is willing to allow the collapse of one of these leviathans. They are deemed "too big to fail."

These structural and institutional changes have, in turn, encouraged a new understanding among market participants of liquidity. In the decades that followed World War II, liquidity was by and large an asset-based concept. For business corporations, it meant the size of cash and very liquid assets, the maturity of receivables, the turnover of inventory, and the relationship of these assets to total liabilities. For households, liquidity primarily meant the maturity of financial assets being held for contingencies along with funds that reliably would be available later in life. In contrast, firms and households today often blur the distinction between liquidity and credit availability. When thinking about liquid assets, present and future, it is now commonplace to think in terms of access to liabilities.

This new mindset has been abetted by the tidal wave of securitization -- the conversion of nonmarketable assets into marketable assets -- that swept across the financial world in recent decades. This flood of marketable assets not only has eroded traditional concepts of liquidity, it has stimulated risk appetites and fostered a belief that credit usually is available at reasonable prices.

Technological change also has bolstered the easy-credit outlook now commonplace among investors. As markets have been linked globally by information technology networks, financial information flows nearly instantaneously, computerized trading is spreading, and transactions are executed almost without delay. Investors can access financial data and participate in markets around the world and around the clock.

These two developments -- securitization and the seamless interconnectivity of markets -- have brought intricate quantitative risk modeling to the forefront of financial practices. Securitization generates market prices, while information technology offers the power to quantify pricing and risk relationships. Few recognize, however, that such modeling assumes constancy in market fundamentals. This is because modeling does not adequately account for underlying structural changes when attempting to calculate future risks and prices.

Nor can models take into account the impact of growing financial concentration in the making of markets and in the pricing of securities that are traded infrequently, or that have tailor-made attributes. And what about the risks to financial markets of a major military flare-up, the ravages of a pandemic flu, a terrorist attack that would immobilize computer networks, or even shifts in the broader monetary environment? Do the models quantify these and other profound risks in any meaningful way?

Then there is the question of asset pricing. An essential component of successful risk modeling is accurate pricing of the securities used in the analysis. Here, again, the strictly quantitative approach shows its weaknesses. Accurate pricing is a thorny challenge. In rapidly moving markets, the price of the last trade may be invalid for the next one. The price a dealer is prepared to quote may be no more than an indication of a potential trade. And the price quoted may be valid only for a small quantity of assets, not for the full amount in the investor's portfolio.

These problems are especially germane to securities of lower credit quality, where liquidity and marketability are often blurred in the mark-to-market process. Again, the subprime mortgage crisis is revealing: Quantitative modeling proved to work poorly in pricing those lower-quality assets. We can expect major problems of this kind in the below-investment-grade corporate bond market once corporate profits begin to decline.

Risk modeling -- with its clear-cut timeline and aura of certainty -- has encouraged investors to seek near-term profits while pushing aside more qualitative approaches to risk assessment that rely more heavily on judgment and reason. The appetite for near-term profits showed itself plainly in the environment leading up to the subprime mortgage debacle -- leading financial institutions were unwilling to pull back from aggressive lending and investing tactics. To do so, they feared, posed a number of risks, from loss of market share and underperforming earnings to shareholder discontent and a failure to meet the bonus expectations of employees.

The Federal Reserve cannot walk away from its responsibility to limit financial excesses. The central tenet of monetary policy is to achieve sustainable economic growth. Central bank policies and actions attempt to do this by providing just enough reserves to constrain the price of goods and services at acceptably low levels. But how can the Fed achieve this objective when widespread financial excesses are disrupting the functioning of financial markets and thus threatening economic prosperity?

At the heart of the long-term underlying challenges that face the U.S. financial system is the question of how to enforce discipline. One way is to let competitive forces discipline market participants: The manager who performs well prospers, while those who do not fail. This is the central precept of free market economies. But this approach is compromised by the fact that advanced societies typically do not allow the process to follow through when it comes to very large financial institutions. The fear is that the failure of behemoth financial institutions will pose systemic risks both here and abroad.

Therefore, market discipline falls more heavily on smaller institutions, which in turn motivates them to merge into larger entities protected by the too-big-to-fail umbrella. This dynamic has driven financial concentration and will continue to do so for years to come. As financial concentration increases, it will undermine marketability, trading activity and effective allocation of financial resources.

If competition is not allowed to enforce market discipline, the most viable alternative is increased supervision over financial institutions and markets. In today's markets, there is hardly a clarion call for such measures. On the contrary, the markets oppose it, and politicians voice little if any support. For their part, central bankers do not possess a clear vision of how to proceed toward more effective financial supervision. Their current, circumspect approach seems objectively technical, whereas greater intervention, they fear, would seem intrusive, subjective, even excessive.

What is missing today is a comprehensive framework that pulls together financial-market behavior and economic behavior. The study of economics and finance has become highly specialized and compartmentalized within the academic community. This is, of course, another reflection of the increasingly specialized demands of our complex civilization. Regrettably, today's economics and finance professions have produced no minds with the analytical reach of Adam Smith, John Maynard Keynes or Milton Friedman.

It is therefore urgent that the Fed take the lead in formulating a monetary policy approach that strikes the right balance between market discipline and government regulation. Until it does so, we will continue to see shocks of even greater intensity than the one now radiating outward from the quake in the U.S. subprime mortgage market.

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