著名經濟學家、紐約大學經濟學教授Nouriel Roubini可謂經濟學界預言家。在過去兩年裏， Roubini就向人們預警：次貸危機中房價可能會下跌20%，絕對是一次嚴重的銀行業危機和信用崩潰。 房利美和房地美事件再次證明，人們之前對 Nouriel Roubini 的警告置若罔聞，是天大的錯誤。
Roubini曾對經濟形勢作了以下預測：金融危機將導致至少1萬億美元的損失，而且損失很可能接近2萬億美元；房地美和房利美將無力償 債，財政部紓困計劃對與政府關係密切的華爾街富人有利；數十家大型區域/全國銀行因房地產曝險太高而破產；四大投資銀行-美林證券、雷曼兄弟、摩根士丹利 和高盛不是破產，就是必須與傳統商業銀行合併；經濟衰退將走U形，持續 12-18個月；股市將下跌40%；原油和大宗商品價格下挫20%-30%；類似的房地產、資產、信用泡沫將出現在英國、西班牙、愛爾蘭、義大利、和葡萄 牙，造成它們經濟成長急降或步入衰退。一如今年2月Nouriel Roubini教授估計，金融系統進入分十二階段嘅溶解期:
Here are the twelve steps or stages of a scenario of systemic financial meltdown associated with this severe economic recession…
First, this is the worst housing recession in US history and there is no sign it will bottom out any time soon…
Second, losses for the financial system from the subprime disaster are now estimated to be as high as $250 to $300 billion. But the financial losses will not be only in subprime mortgages and the related RMBS and CDOs. They are now spreading to near prime and prime mortgages as the same reckless lending practices in subprime …were occurring across the entire spectrum of mortgages;…Also add to the woes and losses of the financial institutions the meltdown of hundreds of billions of off balance SIVs and conduits;..And because of securitization the securitized toxic waste has been spread from banks to capital markets and their investors in the US and abroad, thus increasing – rather than reducing systemic risk – and making the credit crunch global.
Third, the recession will lead – as it is already doing – to a sharp increase in defaults on other forms of unsecured consumer debt: credit cards, auto loans, student loans…
Fourth, while there is serious uncertainty about the losses that monolines will undertake on their insurance of RMBS, CDO and other toxic ABS products, it is now clear that such losses are much higher than the $10-15 billion rescue package that regulators are trying to patch up. Some monolines are actually borderline insolvent and none of them deserves at this point a AAA rating regardless of how much realistic recapitalization is provided…The downgrade of the monolines will also lead to large losses – and potential runs – on the money market funds that invested in some of these toxic products. The money market funds that are backed by banks or that bought liquidity protection from banks against the risk of a fall in the NAV may avoid a run but such a rescue will exacerbate the capital and liquidity problems of their underwriters…
Fifth, the commercial real estate loan market will soon enter into a meltdown similar to the subprime one…And new origination of commercial real estate mortgages is already semi-frozen today; the commercial real estate mortgage market is already seizing up today.
Sixth, it is possible that some large regional or even national bank that is very exposed to mortgages, residential and commercial, will go bankrupt. Thus some big banks may join the 200 plus subprime lenders that have gone bankrupt. This, like in the case of Northern Rock, will lead to depositors’ panic and concerns about deposit insurance. The Fed will have to reaffirm the implicit doctrine that some banks are too big to be allowed to fail. But these bank bankruptcies will lead to severe fiscal losses of bank bailout and effective nationalization of the affected institutions…
Seventh, the banks losses on their portfolio of leveraged loans are already large and growing. The ability of financial institutions to syndicate and securitize their leveraged loans – a good chunk of which were issued to finance very risky and reckless LBOs – is now at serious risk. And hundreds of billions of dollars of leveraged loans are now stuck on the balance sheet of financial institutions at values well below par (currently about 90 cents on the dollar but soon much lower). Add to this that many reckless LBOs (as senseless LBOs with debt to earnings ratio of seven or eight had become the norm during the go-go days of the credit bubble) have now been postponed, restructured or cancelled. And add to this problem the fact that some actual large LBOs will end up into bankruptcy as some of these corporations taken private are effectively bankrupt in a recession and given the repricing of risk; convenant-lite and PIK toggles may only postpone – not avoid – such bankruptcies and make them uglier when they do eventually occur…
Eighth, once a severe recession is underway a massive wave of corporate defaults will take place. In a typical year US corporate default rates are about 3.8% (average for 1971-2007); in 2006 and 2007 this figure was a puny 0.6%. And in a typical US recession such default rates surge above 10%....Corporate default rates will surge during the 2008 recession and peak well above 10% based on recent studies. And once defaults are higher and credit spreads higher massive losses will occur among the credit default swaps (CDS) that provided protection against corporate defaults. ..If losses are large some of the counterparties who sold protection – possibly large institutions such as monolines, some hedge funds or a large broker dealer – may go bankrupt leading to even greater systemic risk as those who bought protection may face counterparties who cannot pay.
Ninth, the “shadow banking system” (as defined by the PIMCO folks) or more precisely the “shadow financial system” (as it is composed by non-bank financial institutions) will soon get into serious trouble. This shadow financial system is composed of financial institutions that – like banks – borrow short and in liquid forms and lend or invest long in more illiquid assets. This system includes: SIVs, conduits, money market funds, monolines, investment banks, hedge funds and other non-bank financial institutions. All these institutions are subject to market risk, credit risk (given their risky investments) and especially liquidity/rollover risk as their short term liquid liabilities can be rolled off easily while their assets are more long term and illiquid. Unlike banks these non-bank financial institutions don’t have direct or indirect access to the central bank’s lender of last resort support as they are not depository institutions. Thus, in the case of financial distress and/or illiquidity they may go bankrupt because of both insolvency and/or lack of liquidity and inability to roll over or refinance their short term liabilities. Deepening problems in the economy and in the financial markets and poor risk managements will lead some of these institutions to go belly up: a few large hedge funds, a few money market funds, the entire SIV system and, possibly, one or two large and systemically important broker dealers. Dealing with the distress of this shadow financial system will be very problematic as this system – stressed by credit and liquidity problems - cannot be directly rescued by the central banks in the way that banks can.
Tenth, stock markets in the US and abroad will start pricing a severe US recession – rather than a mild recession – and a sharp global economic slowdown. The fall in stock markets… will resume as investors will soon realize that the economic downturn is more severe, that the monolines will not be rescued, that financial losses will mount, and that earnings will sharply drop in a recession not just among financial firms but also non financial ones. A few long equity hedge funds will go belly up in 2008 after the massive losses of many hedge funds in August, November and, again, January 2008. Large margin calls will be triggered for long equity investors and another round of massive equity shorting will take place. Long covering and margin calls will lead to a cascading fall in equity markets in the US and a transmission to global equity markets. US and global equity markets will enter into a persistent bear market as in a typical US recession the S&P500 falls by about 28%.
Eleventh, the worsening credit crunch that is affecting most credit markets and credit derivative markets will lead to a dry-up of liquidity in a variety of financial markets, including otherwise very liquid derivatives markets. Another round of credit crunch in interbank markets will ensue triggered by counterparty risk, lack of trust, liquidity premia and credit risk. A variety of interbank rates – TED spreads, BOR-OIS spreads, BOT – Tbill spreads, interbank-policy rate spreads, swap spreads, VIX and other gauges of investors’ risk aversion – will massively widen again. Even the easing of the liquidity crunch after massive central banks’ actions in December and January will reverse as credit concerns keep interbank spread wide in spite of further injections of liquidity by central banks.
Twelfth, a vicious circle of losses, capital reduction, credit contraction, forced liquidation and fire sales of assets at below fundamental prices will ensue leading to a cascading and mounting cycle of losses and further credit contraction. In illiquid market actual market prices are now even lower than the lower fundamental value that they now have given the credit problems in the economy. Market prices include a large illiquidity discount on top of the discount due to the credit and fundamental problems of the underlying assets that are backing the distressed financial assets. Capital losses will lead to margin calls and further reduction of risk taking by a variety of financial institutions that are now forced to mark to market their positions. Such a forced fire sale of assets in illiquid markets will lead to further losses that will further contract credit and trigger further margin calls and disintermediation of credit. The triggering event for the next round of this cascade is the downgrade of the monolines and the ensuing sharp drop in equity markets; both will trigger margin calls and further credit disintermediation.
Based on estimates by Goldman Sachs $200 billion of losses in the financial system lead to a contraction of credit of $2 trillion given that institutions hold about $10 of assets per dollar of capital. The recapitalization of banks sovereign wealth funds – about $80 billion so far – will be unable to stop this credit disintermediation – (the move from off balance sheet to on balance sheet and moves of assets and liabilities from the shadow banking system to the formal banking system) and the ensuing contraction in credit as the mounting losses will dominate by a large margin any bank recapitalization from SWFs. A contagious and cascading spiral of credit disintermediation, credit contraction, sharp fall in asset prices and sharp widening in credit spreads will then be transmitted to most parts of the financial system. This massive credit crunch will make the economic contraction more severe and lead to further financial losses. Total losses in the financial system will add up to more than $1 trillion and the economic recession will become deeper, more protracted and severe.
A near global economic recession will ensue as the financial and credit losses and the credit crunch spread around the world. Panic, fire sales, cascading fall in asset prices will exacerbate the financial and real economic distress as a number of large and systemically important financial institutions go bankrupt. A 1987 style stock market crash could occur leading to further panic and severe financial and economic distress. Monetary and fiscal easing will not be able to prevent a systemic financial meltdown as credit and insolvency problems trump illiquidity problems. The lack of trust in counterparties – driven by the opacity and lack of transparency in financial markets, and uncertainty about the size of the losses and who is holding the toxic waste securities – will add to the impotence of monetary policy and lead to massive hoarding of liquidity that will exacerbates the liquidity and credit crunch.
In this meltdown scenario US and global financial markets will experience their most severe crisis in the last quarter of a century.
Revisiting my February paper “The Risk of a Systemic Financial Meltdown: The 12 Steps to Financial Disaster”…And Some New Policy Recommendations to Avoid the MeltdownThe crisis was caused by the largest leveraged asset bubble and credit bubble in the history of humanity were excessive leveraging and bubbles were not limited to housing in the US but also to housing in many other countries and excessive borrowing by financial institutions and some segments of the corporate sector and of the public sector in many and different economies: an housing bubble, a mortgage bubble, an equity bubble, a bond bubble, a credit bubble, a commodity bubble, a private equity bubble, a hedge funds bubble are all now bursting at once in the biggest real sector and financial sector deleveraging since the Great Depression.
At this point the recession train has left the station; the financial and banking crisis train has left the station. The delusion that the US and advanced economies contraction would be short and shallow – a V-shaped six month recession – has been replaced by the certainty that this will be a long and protracted U-shaped recession that may last at least two years in the US and close to two years in most of the rest of the world. And given the rising risk of a global systemic financial meltdown the probability that the outcome could become a decade long L-shaped recession – like the one experienced by Japan after the bursting of its real estate and equity bubble – cannot be ruled out.
And in a world where there is a glut and excess capacity of goods while aggregate demand is falling soon enough we will start to worry about deflation, debt deflation, liquidity traps and what monetary policy makers should do to fight deflation when policy rates get dangerously close to zero.
At this point the risk of an imminent stock market crash – like the one-day collapse of 20% plus in US stock prices in 1987 – cannot be ruled out as the financial system is breaking down, panic and lack of confidence in any counterparty is sharply rising and the investors have totally lost faith in the ability of policy authorities to control this meltdown.
This disconnect between more and more aggressive policy actions and easings and greater and greater strains in financial market is scary. When Bear Stearns’ creditors were bailed out to the tune of $30 bn in March the rally in equity, money and credit markets lasted eight weeks; when in July the US Treasury announced legislation to bail out the mortgage giants Fannie and Freddie the rally lasted four weeks; when the actual $200 billion rescue of these firms was undertaken and their $6 trillion liabilities taken over by the US government the rally lasted one day and by the next day the panic has moved to Lehman’s collapse; when AIG was bailed out to the tune of $85 billion the market did not even rally for a day and instead fell 5%. Next when the $700 billion US rescue package was passed by the US Senate and House markets fell another 7% in two days as there was no confidence in this flawed plan and the authorities. Next as authorities in the US and abroad took even more radical policy actions between October 6th and October 9th (payment of interest on reserves, doubling of the liquidity support of banks, extension of credit to the seized corporate sector, guarantees of bank deposits, plans to recapitalize banks, coordinated monetary policy easing, etc.) the stock markets and the credit markets and the money markets fell further and further and at an accelerated rates day after day all week including another 7% fall in U.S. equities today.
When in markets that are clearly way oversold even the most radical policy actions don’t provide rallies or relief to market participants you know that you are one step away from a market crack and a systemic financial sector and corporate sector collapse. A vicious circle of deleveraging, asset collapses, margin calls, cascading falls in asset prices well below falling fundamentals and panic is now underway.
At this point severe damage is done and one cannot rule out a systemic collapse and a global depression. It will take a significant change in leadership of economic policy and very radical, coordinated policy actions among all advanced and emerging market economies to avoid this economic and financial disaster. Urgent and immediate necessary actions that need to be done globally (with some variants across countries depending on the severity of the problem and the overall resources available to the sovereigns) include:
- another rapid round of policy rate cuts of the order of at least 150 basis points on average globally;
- a temporary blanket guarantee of all deposits while a triage between insolvent financial institutions that need to be shut down and distressed but solvent institutions that need to be partially nationalized with injections of public capital is made;
- a rapid reduction of the debt burden of insolvent households preceded by a temporary freeze on all foreclosures;
- massive and unlimited provision of liquidity to solvent financial institutions;
- public provision of credit to the solvent parts of the corporate sector to avoid a short-term debt refinancing crisis for solvent but illiquid corporations and small businesses;
- a massive direct government fiscal stimulus packages that includes public works, infrastructure spending, unemployment benefits, tax rebates to lower income households and provision of grants to strapped and crunched state and local government;
- a rapid resolution of the banking problems via triage, public recapitalization of financial institutions and reduction of the debt burden of distressed households and borrowers;
- an agreement between lender and creditor countries running current account surpluses and borrowing and debtor countries running current account deficits to maintain an orderly financing of deficits and a recycling of the surpluses of creditors to avoid a disorderly adjustment of such imbalances.
At this point anything short of these radical and coordinated actions may lead to a market crash, a global systemic financial meltdown and to a global depression. At this stage central banks that are usually supposed to be the "lenders of last resort" need to become the "lenders of first and only resort" as, under conditions of panic and total loss of confidence, no one in the private sector is lending to anyone else since counterparty risk is extreme. And fiscal authorities that usually are spenders and insurers of last resort need to temporarily become the spenders and insurers of first resort. The fiscal costs of these actions will be large but the economic and fiscal costs of inaction would be of a much larger and severe magnitude. Thus, the time to act is now as all the policy officials of the world are meeting this weekend in Washington at the IMF and World Bank annual meetings.
The world is at severe risk of a global systemic financial meltdown and a severe global depression美信貸損失恐達16萬億權威教授﹕至今只撥備15％(2008年8月4日)
次按及信貸風暴持續畄擊全球金融市場，不少「好友」都憧憬最壞時間已過去，開始部署入市撈 底，但一直對經濟危機有深入研究的紐約大學經濟學教授努里爾．魯比尼(Nouriel Roubini)卻大潑冷水，他預計美國信貸相關的損失，總額很可能達到2萬億美元(約15.6萬億港元)，美國最少會有700家銀行倒閉收場，美國經濟 最快也要明年中才能走出衰退陰霾。
年初準確預測起碼撥備萬億
魯比尼在美國著名財經雜誌Barron's最新一 期接受訪問，他預計全球信貸相關損失最少達1萬億美元(約7.8萬億港元)，而且很可能接近2萬億美元(約15.6萬億港元)，以目前只撥備了3000億 美元計算，只佔15％，意味未來全球金融機構仍要為餘下的85％，作出1.7萬億美元(約13.3萬億港元)。
魯比尼指出：「我今年2月作 出這預測時，每個人也以為我是瘋子，但隨覑國際貨幣基金組織預計相關損失達到9450億美元、投資銀行高盛及瑞銀亦分別預測達到1.1萬億及1萬億美元 後，我作出的至少1萬億美元預測，已成為底線而不是頂線。」他表示，銀行業的虧損正在上升，主要由於絕大部分銀行至今只為次按相關損失作出撥備，還沒有開 始為大部分消費信貸作出撥備，而且撥備金額也嚴重不足，不少銀行仍然透過會計財技拒絕面對現實。
未為消費信貸撥備 施財技逃避現實
魯 比尼認同不少經濟學者的觀點，預期在信貸風暴打擊下，目前美國約8500家銀行中，其中最少8％出現嚴重財困，另外8％至16％的財政狀並不穩固，這意 味約有700家銀行可能倒閉。上周五美國加州地區銀行First Priority Bank便宣告倒閉，成為美國今年第8家倒閉的銀行。
美國金融業受到的畄擊，已直接反映在相關指數及股價上。其中反映美國金融股整體表現的標普金融指數，雖然在7月中開始反彈，但今年仍然累跌超過三成，跑輸主要指數的約兩成跌幅，也仍未能重上50天線之上，未見轉勢。
700銀行恐倒閉 官方低估形勢
魯 比尼憂慮美國金融體系會受到進一步畄擊，一大原因是他對聯邦存款保險公司(FDIC)這個金融系統「安全網」有所懷疑。FDIC早前承認其觀察單上只有9 家金融機構，而地區銀行IndyMac也是在倒閉前1個月才被FDIC納入觀察名單。魯比尼認為FDIC低估形勢，直言「FDIC的觀察名單只有9家金融 機構是笑話」。
目前FDIC只有530億美元資金，他們在早前接管地區銀行IndyMac時，已動用了當中15％資金，縱使FDIC已向國會申請撥款，但資金仍明顯不足。一旦FDIC這個「安全網」失效，勢將造成巨大畄擊。
「W型」衰退次季反彈第3季再跌
魯 比尼認為美國經濟今年首季可能已進入衰退，預計最少要經歷1年半的「寒冬期」，到明年中才會走出衰退陰霾。美國上周把去年第4季經濟增長率，向下修訂至- 0.2％，但今年首季及次季仍分別上升0.9％及1.9％，未有連續兩季出現負增長，因此部分人認為美國經濟在技術上仍然未陷入衰退。但作為經濟學教授的 魯比尼，明顯不認同這個說法。
魯比尼指出，經濟衰退的定義，不能單單解讀為經濟連續兩季負增長，美國國家經濟研究局(NBER) 也強調，要結合其他元素一併考慮，其中反映美國就業狀的非農業職位連續第7個月負增長，至於個人收入及零售銷售也正在下跌。魯比尼說：「如果你看見今年 2至4月的每月經濟增長數據正在下跌，仍然說美國經濟未出現衰退，這只是一個笑話。」
他認為這次經濟衰退的模式，可能呈「W型」而非「U 型」，因此美國經濟在今年第2季可能出現反彈，到第3季當政府退稅的效力完全消失後，經濟表現將再次向下。事實上，受到政府退稅計劃刺激，美國6月份零售 銷售也只是僅升0.1％，加上樓價下跌及信貸緊縮，令很多美國人陷入「負資產」及不能再以房屋「加按」套現，亦使到「可用收入」與負債的比率，由2000 年的100％，上升至目前的140％，而且油價高企直接打擊民生，令美國經濟在短期內仍陰霾滿佈。(撰文：基斯羅)
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