Donnerstag, 6. Januar 2011

Fractional Reserve Shadowbanking

Naked Capitalism hat einen langen Artikel gepostet, der sich kritisch mit einem hochinteressanten Interview außeinandersetzt:

JP Morgan Markets Its Latest Doomsday Machine (or Why Repo May Blow Up the Financial System Again)

Das kritisierte Interview mit Gary Gorton ist hier:

http://www.minneapolisfed.org/publications_papers/pub_display.cfm?id=4596

Gorton ist Professor in Yale und gilt offenbar als Koryphäe auf dem (weiten) Gebiet des Geldsystems.
Bei Wikipedia kann man das hier lesen:

"AIG's financial products division employed Gorton's models in calculating insurance rates for credit default swaps on residential mortgage-based collaterized debt obligations. [3] Gorton assured AIG managers that the models were sufficiently "robust" to maintain accurate CDS insurance rates even in adverse economic situations.[4] AIG's reliance upon his predictions contributed to the company's multi-billion dollar losses in the subprime mortgage crisis."
http://en.wikipedia.org/wiki/Gary_Gorton

Nun kann man unken, daß der Kerl offenbar nix taugt oder aber besonders genau zuhören, weil er vielleicht besonders viel aus dieser katastrophalen Fehleinschätzung gelernt hat (mit anderen Worten: sich entweder sehr deutsch oder sehr amerikanisch an den Herrn herantasten).

Ich finde den Artikel deswegen lesenswert, weil Gorton u.a. recht freimütig offenbart, wie wenig die Koryphäen wissen. Masterpläne von FED-Verantwortlichen, die den Crash von 2007-2008 geplant haben sollen, erscheinen mir in diesem Licht recht unwahrscheinlich, was aber nicht heißt, daß ich konspiratives Hinarbeiten auf einen Crash unter Wall Street Big Boys ausschließe (scio nescio).

Der Aspekt, der mir aber "am neusten" ist, ist die Ähnlichkeit des Repo-"Systems" mit "Fractional Reserve Banking". Mir war z.B. unbekannt, daß der Gläubiger eines Repo-Deals die Kreditsicherheit (Collateral) seinerseits als Collateral in Fällen, wo er der Schuldner ist, weiterverwenden kann. Ein- und dieselbe Anleihe kann also offenbar mehrere Repo-Agreements besichern:

"Region: Just to be clear, they don’t deposit those funds in a checking account because …

Gorton: Right, because the Federal Deposit Insurance Corporation limit is too low, just $250,000, and these deposits are in the tens or hundreds of millions.

There are competitors for repo that these firms consider and use, but again we don’t know the relative sizes of these. I think now we have a good idea of what repo was just before the crisis.

But repo—the transaction I just described—has other similarities to the checking account story. If you put a dollar in your checking account and the bank has to keep 10 percent of it on reserve, they lend out 90 cents. Somebody deposits that 90 cents, the bank can lend out 81 cents (because of the 10 percent reserve requirement) and so on. So you end up creating $10 of checking accounts for $1 of demand deposits, assuming there’s a demand for loans. Now, that money multiplier process is very important because it means that the amount of endogenously created private bank money in checking accounts is 10 times the size of the collateral, so to speak, of $1 of government money. So, in a traditional banking panic, if everybody wants their $10 back, there’s only $1. And that’s the problem.
Region: That’s “rehypothecation” right? One of my favorite new words.

Gorton: Yes, it’s become very popular lately [laughs]. So, if shadow banking refers to the growth of this type of money—and it’s not controversial to say it’s money; it was counted in M3M1, M2 and M3 are (or were) measures of the nation’s money supply reported by the Federal Reserve System. M1 includes currency and demand deposits at commercial banks. M2 is a broader measure that incorporates M1 but also includes assets such as commercial bank savings deposits, deposits at credit unions and noninstitutional money market funds, among other components. M3 was broader still, but publication of M3 figures ceased in March 2006 when the Fed determined that M3 no longer conveyed “any additional information about economic activity … not already embodied in M2.” The Fed also ceased publishing one of M3’s components, repurchase agreements.—but in order for this to grow, you have to have the collateral, and collateral, of course, like in the pre-Civil War era, can turn out to be risky bonds.



Region: The Jimmy Stewart problem.

Gorton: Right, the Jimmy Stewart problem. And that can happen in repo as well because if you’re Lehman and I’m the depositor, and you give me a bond as collateral, I can use that bond somewhere else. So there is a similar money multiplier process
."

Seine Ausführungen zum Free-Banking kapiere ich nicht so ganz (außer, daß er dagegen ist...). "Private Money" scheint bei ihm synonym mit "Kreditgeld" zu sein.

PS: "Jimmy Stewart Problem" bezieht sich auf den Film "Ist das Leben nicht schön?" und meint die Gefahr eines Bankruns, siehe auch http://bavaria-for-ron-paul.blogspot.com/2009/12/move-your-money.html.

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