„No (more) free lunch” hazai tanulságok a pénzügyi válságból (különös tekintettel a devizahitelezés szerepére) Közreműködtek: Király Júlia, Csajbók Attila, Nagy Márton, Vonnák Balázs és még sokan mások Magyar Nemzeti Bank MTA KTI 2009. november 12.
Az előadás szerkezete 1. Rövid válságtörténelem 2. Miért éppen mi kerültünk a lavina útjába? 3. Devizahitelezés – stilizált tények
4. A devizahitelezés mikroökonómiája 5. Hogyan halmozódtak fel a feszültségek ?
6. Monetáris politika válságban 7. Mit szabályozzunk ?
.
.
.
.
.
.
.
Rövid válságtörténelem 2007 első fele: a „subprime” válság: az amerikai ingatlanpiac (másodrendű adósok hitelkockázata, árbuborékok) 2007. július: a válság kibontakozása - „toxikus értékpapírok” és „árnyékbankrendszer” (strukturált és hitelkockázati termékek értékelése és minősítése, „deleveraging”) 2007. augusztus: a válság kiterjedése a bankszektorra (likviditási kockázat értelmezése, mérése) 2007-2008: a válság átterjedése más pénzügyi piacokra (fertőzéselmélet, pénzügyi globalizáció, állampapírpiacok, CDS piacok) 2008. szeptember 15: a Lehman-Brothers csődje (szakadásos függvények, nemlinearitás, kaotikus mozgások, széles farkú eloszlások – farokesemények) 2008-2009: a gazdasági recesszió valósága (a makroökonómiai modellek érvényességi tartománya) 2009??? Bizonytalan kibontakozás ???
… mert ami elromolhat, az el is romlik … • „Elromlottak” a hitelek – minek a FICO, ha nem használják – ”ami másodrendű frissességű – az romlott, büdös”
• „Elromlottak” a strukturált termékek – a kvantok és a salesmenek kapcsolata – a rating cégek felelőssége
• „Elromlott” a likviditás – a piaci és a finanszírozási likviditás nem független: olyankor nincs finanszírozás a portfólió fenntartására mikor nincs a piacon likviditás a lezárására – a deleveraging – azaz tőkeáttétel csökkentés - hatása
• „Elromlott” a pénzügyi közvetítés – az „árnyékbankrendszer” nem teríti, hanem koncentrálja a kockázatokat – átláthatatlan veszteségek – bizalom és likviditáshiány
• „Elromlott” a gazdaság
Rövid hazai válságtörténelem 1.
2007 - 2008. október 9.: – – – –
2.
forrásköltségek lassú emelkedése, nemzetközi hitelpiacok lassú befagyása – likviditás mérséklődése hitelezés növekedési üteme nem lassul, jenhitel megjelenik, unit linked jelzáloghitelezés, ügynökértékesítés töretlenül nő, L/D gyorsuló ütemben nő változatlan ütemben terjednek a „toxikus fx termékek” – fx linked swap, redemption forward stb. – van treasury amelyik még 2008. szeptemberében is értékesíti! 2008. március: állampapírpiaci súrlódások – jelzés!
2008. október 9: – – –
3.
„befagynak” a hazai piacok: swappiac, állampapírpiac, tőzsde (még kivétel a huf bankkközi) – limitek szinte zérón klasszikus pénzügyi válság jelei: árfolyamvolatilitás, cds szpred, likviditási mérőszámok likviditási feszültségek a bankrendszerben – azonnali és folyamatos mnb lépések, anyabanki lépések
2009. tavasza: – –
Kelet-európai „közös válság”: árfolyam, cds szpred, leminősítések Önbeteljesítő jóslatok megjelenése
… és ami elromolhat, az el is romlik … „Elromlottak” a hitelek – Mire a remek scoring rendszer, ha lehet csak fedezetre hitelezni – Minek tanultuk meg a VAR-t ha úgyse számoljuk ki mennyivel mozdulhat el a törlesztőrészlet (és a PTI) a hitelösszeg (és az LTV) – ”ami másodrendű frissességű – az romlott, büdös”
„Elromlott” a mismatch
– Hiába zárt a banki devizapozíció, ha a mérlegen kívüli zárás feltételezi a swap piac súrlódásmentes működését – Hiába problémamentes éveken keresztül a likviditásmenedzselés, ha a piacbefagyás 1 na alatt Dmaoklesz kardjává varázsolja a 100% felett L/D rátákat – Hiába, hogy tudjuk, bénán állunk amikor a jelentős farok-események bekövetkeznek
„Elromlott” a pénzügyi közvetítés – Likviditási válság: 2009 október – 2009 december – Romló portfóliók 2009-2010 – Csökkenő kockázatvállalás
„Elromlott” a gazdaság
2. Miért épp mi kerültünk a lavina útjába ?
Miért éppen mi ?
„Fiscal alcoholism”
High government debt 1. Risk of the state
High HUF yields
Overly optimistic expectations of households, keen competition and abundant liquidity in banking sector
FX lending
Liberalized capital account – global markets, foreign owned banking sector
150% L/D ratio 2. Risk of banking system
External debt
High inflation
Chronically large budget deficits, „political business cycle” (Budget balance, % of GDP) 0
0 1998
1999
2000
2001
2002
2003
2004
-1
2005
2006
2007
2008 -1
Maastricht reference value
-2
-2
-3
-3
-4
-4
-5
-5
-6
-6
-7
-7
-8
-8
-9
-9 Election years
-10
-10 Czech Republic
Poland
Hungary
Unsustainable debt dynamics (Government debt, % of GDP) 80
%
%
80
70
70
60
60
Maastricht reference value
50
50
40
40
30
30
20
20
10
10
0
0 1998
1999
2000
Hungary
2001
2002
Czech Republic
2003
2004
Poland
2005
EA-15
2006
Slovakia
2007
2008
Constraints on monetary policy speed of disinflation lagging behind regional peers (CPI inflation, %) %
20
%
20
6
6
4
4
2
2
0
0
-2
-2
Czech Republic
Poland
Maastricht reference value
Hungary
Dec-08
8
Dec-07
8
Dec-06
10
Dec-05
10
Dec-04
12
Dec-03
12
Dec-02
14
Dec-01
14
Dec-00
16
Dec-99
16
Dec-98
18
Dec-97
18
Higher inflation and high government debt financing requirements translate into higher nominal yields (10-year government bond yields, %) %
%
14
14
Czech Republic
Poland
Hungary
May-09
Jan-09
Sep-08
May-08
Jan-08
Sep-07
May-07
Jan-07
Sep-06
May-06
Jan-06
Sep-05
May-05
0
Jan-05
0
Sep-04
2
May-04
2
Jan-04
4
Sep-03
4
May-03
6
Jan-03
6
Sep-02
8
May-02
8
Jan-02
10
Sep-01
10
May-01
12
Jan-01
12
High external debt (Net external debt as a percentage of GDP, %) 70
%
%
70
Banking sector General government
2009.I.
IV.
III.
II.
2008.I.
IV.
III.
II.
2007.I.
IV.
III.
II.
2006.I.
IV.
III.
II.
0
2005.I.
0
IV.
10
III.
10
II.
20
2004.I.
20
IV.
30
III.
30
II.
40
2003.I.
40
IV.
50
III.
50
II.
60
2002.I.
60
Corporate sector Net external debt
Source: MNB.
3. Devizahitelezés –stilizált tények
Retail lending „boom” (1) (Domestic banks’ retail loans to GDP)
50
%
45 40 35 30 25 20 15 10 5 0 Estonia
Latvia
Lithuania
Romania
Bulgaria 2005
Poland
Hungary
Czech Republic
Slovakia
2008
Source: Central banks.
Retail lending „boom” (2) (Bank credit-to-GDP, average of selected NMSs) %
70
%
70
total credit/GDP
Jun-08
Dec-07
Jun-07
Dec-06
Jun-06
Dec-05
Jun-05
Dec-04
Jun-04
0
Dec-03
0
Jun-03
10
Dec-02
10
Jun-02
20
Dec-01
20
Jun-01
30
Dec-00
30
Jun-00
40
Dec-99
40
Jun-99
50
Dec-98
50
Jun-98
60
Dec-97
60
household credit/GDP
Note: Unweighted average of NMS for which data was available for the whole 1997-2008 period (Czech Republic, Estonia, Hungary, Latvia, Lithuania and Poland) Source: Central banks.
FX based lending (1) (Average annual change of FX loans by sector in CEE countries, in the period 2003-2008)
160
%
140
120
100
80
60
40
20
0 Estonia
Latvia
Lithuania
Romania
Bulgaria
Household sector
Poland
Hungary
Czech Republic
Slovakia
Corporate Sector
Source: Central banks.
FX based retail lending (2) (The net change of FX household credit to the net change of household loans in the CEE)
1
0.8
2003-08 average: 0.51
0.6
0.4
1999-02 average: 0.34
0.2
0
-0.2 Estonia
Latvia
Lithuania
Bulgaria (2000-)
Hungary
FX(t) average 1999-2002
Romania (2000-)
Slovenia (2005)
Poland
Slovakia (2003-)
Czech Rep
FX(t) average 2003-2008
Source: Central banks.
FX based retail lending (3) (FX loans to total retail loans in the CEE countries banking sector)
100
%
12 Currency board
90
11
80
10
70
8
60
7
50
6
40
5
30
4
20
2
10
1
0
0 Estonia
Latvia
Lithuania
Bulgaria
Ratio of FX loans (2005)
Romania
Poland
Ratio of FX loans (2008)
Hungary
Czech Republic
Slovakia
Interest rate differential
Note: Interest rate differential = domestic 3-month interbank rate – 3-month euribor (average for 2005-2008 period) Source: Central banks.
3. A devizahitelezés mikroökonómiája
3.1. Households
Rövid tervezési időhorizont: mindjárt bent vagyunk az euro-zónában A fogyasztási pálya simítása: végre oldódó likviditási korlátok (közben kormányzati boom majd kormányzati konszolidáció) A háztartások két típusa: – „kockázattudatos”: UIP-ra alapozó döntés (figyelembe veszi a leértékelődés kockázatát – „nem kockázattudatos” households: csak a kamatkülönbözetre figyel „fix árfolyam illúzió”: felértékelődési nyomás az euro-csatlakozás miatt + kockázati prémiumsokkra „úgyis” reagáló monetáris politika + árfolyamsáv (erős szélre tapadt árfolya következmény: a UIP alapú döntéshozó is arbitrázst lát a kamatkülönbözetben „Gambler”: törlesztő-részletet vásárol! Magasabb hitelállomány! Devizahitelezés alapú hitelboom! Fedezet: folyamatosan emelkedő jövedelem (?) + saját tulajdonú ingatlan
FX regime: floating with band (Development of HUF/CHF exchange rate and differences in annualised percentage rate of charge) %
14
HUF/CHF
240
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
Sep-07
Jul-07
May-07
Mar-07
100
Jan-07
0
Nov-06
120
Sep-06
2
Jul-06
140
May-06
4
Mar-06
160
Jan-06
6
Nov-05
180
Sep-05
8
Jul-05
200
May-05
10
Mar-05
220
Jan-05
12
Difference in APRC of HUF and CHF denominated housing loans HUF/CHF (right-hand scale)
Source: MNB.
FX regime: tail events before and after Lehmann (Distribution of 1-month changes in the HUF/CHF exchange rates)
9
%
8 7
99,9% percentile (Jan-2004 to Aug-2008)
6 5 4 3
99,9% percentile (Jan-2004 to May-2009)
2 1 0 -26 -24 -22 -20 -18 -16 -14 -12 -10
-8
-6
-4
-2
0 %
2
4
6
8
10
12
14
16
18
20
22
Distribution of 1-month change in HUF/CHF exchange rates (from Jan-2004 to Aug-2008) Distribution of 1-month change in HUF/CHF exchange rates (from Jan-2004 to May-2009)
Source: MNB.
24
26
Collateral: home ownership (Real estate ownership of households in 2000)
100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Czech Republic
Poland
Slovakia
Hungary
Germany
Sweden Netherlands
France
Portugal
Spain
Source: Central Banks’ websites.
Collateral: mortgage backed lending (Distribution of FX household loans by loan type)
40
%
CHF Billion
80
Housing loans
Home equity
Vehicle loans
Other loans
Jun-09
Mar-09
Dec-08
Sep-08
0
Jun-08
0
Mar-08
10
Dec-07
5
Sep-07
20
Jun-07
10
Mar-07
30
Dec-06
15
Sep-06
40
Jun-06
20
Mar-06
50
Dec-05
25
Sep-05
60
Jun-05
30
Mar-05
70
Dec-04
35
Mortgage loans to FX household loans
Source: MNB.
Collateral: bubbles and lack of bubbles (Growth rates of real estate prices and mortgage loans in the region)
The yearly average growth rate of real estate prices from 2002 to 2007 (%)
35 The size of the bubble indicates the real GDP growth rate (2002-2008)
LT
EE
30
LV
25
BG
20
CZ
15 ES
BE 10
FR
DK
SK
FI 5
NL
SI
IE PL
AT
HU
LU 0
-5
0
5
10
15
20
25
30
35
40
45
50
55
DE -5 The average real growth rate of the mortgage loans to GDP ratio in 2002-2007
Source: Central banks.
60
3.2. Bankok mikroökonómiája: a magyar subprime • Kockázat alapú verseny – – – –
Lazuló hitelkondíciók – növekvő ltv-k, pti-k Svájci frank majd jen alapú hiteltermékek Farsúlyos hitelsémák 50% feletti ügynöksúly az értékesítésben
• Finanszírozás – amíg van kellő hazai forrás (hitel/betét arány 100% alatt): swappiacok (hosszú swap is létezett!) – Az emelkedő hitelbetét arányok mellett fokozott ráutaltság likviditás bőséggel jellemzett pénzpiacokra, anyabankokra
• Kockázattranszfer – Mérlegen belül nyitott pozíciók – mérlegen kívüli zárás (lejárati meg nem felelés így is megmarad) – Háztartások carry trade pozícióban: piaci kockázat hitelkockázattá való transzformálása
Risk based competition: increasing loan-to-value ratios (Household new housing loan distribution by LTV) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10%
70% < LTV
50% < LTV < 70%
30% < LTV < 50%
0% < LTV < 30%
Source: MNB.
2009Q2
2009Q1
2008Q4
2008Q3
2008Q2
2008Q1
2007Q4
2007Q3
2007Q2
2007Q1
2006Q4
2006Q3
2006Q2
2006Q1
2005Q4
2005Q3
2005Q2
2005Q1
2004Q4
2004Q3
2004Q2
2004Q1
0%
Risk based competition: HUF _ EUR _ CHF _ JPY (Composition of new credit contracts to households by their denomination)
250
HUF Bn
%
70 60
200 50 150
40 30
100
20 50 10
HUF
CHF
EUR
JPY
júl.09
ápr.09
jan.09
okt.08
júl.08
ápr.08
jan.08
okt.07
júl.07
ápr.07
jan.07
okt.06
júl.06
ápr.06
jan.06
okt.05
júl.05
ápr.05
0
jan.05
0
Proportion of HUF denominated contracts (right scale)
Source: MNB.
Funding: easy access to parent banks fund (Parent bank financing in percentage of foreign funding)
65
%
60
55
50
45
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Mar-08
2007
2006
2005
2004
2003
40
Source: MNB.
3.3. Mikroprudenciális értékelés: minden O.K. • Jó portfólió minőség – Javuló kockázatelemzés / még mindig alacsony LTV / alacsony hitelveszteség
• Európai átlag fölötti jövedelmezőség – Magas marzsok: alacsony forrásköltség, várható veszteséget meghaladó kockázati
prémiumok, magas jutalékok – A régió egyik legjövedelmezőbb bankszektora
• Erős finanszírozási háttér – Likviditásbőség a piacokon: nem gond a likviditásmenedzsment – Korlátlan anyabanki „lender of last resort”
Portfolio quality (Quality of the households’ portfolio) %
7,0
%
3,5
2009Q2
2009Q1
2008Q4
2008Q3
2008Q2
2008Q1
2007Q4
2007Q3
2007Q2
2007Q1
2006Q4
2006Q3
2006Q2
2006Q1
0,0
2005Q4
0,0
2005Q3
0,5
2005Q2
1,0
2005Q1
1,0
2004Q4
2,0
2004Q3
1,5
2004Q2
3,0
2004Q1
2,0
2003Q4
4,0
2003Q3
2,5
2003Q2
5,0
2003Q1
3,0
2002Q4
6,0
Loan past due more than 90 days to total households loan Cost of provisioning to total households loan (right-hand scale)
Source: MNB.
High profitability (Data for 2008)
30
%
%
3,0
20
2,0
10
1,0
0
0,0
ROE
RO
BG
EE
HU (2009Q2)
HU (2008)
PL
CZ
LT
US
IT
-3,0 FR
-30 LV
-2,0
AT
-20
UK
-1,0
DE
-10
ROA (right scale)
Source: ECB, IMF
Dominance of EU ownership (Ownership structure of CEE banking systems)
100% 90% 80% 70% 60% 50% 40% 30% 20% 10%
Bulgaria
Czech R.
Branches
Hungary
EU subsidiary
Poland
Romania
Slovakia
Estonia
Latvia
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
2007
2006
2005
0%
Lithuania
Non-EU subsidiary (including banks in indirect foreign ownership for Hungary)
Source: ECB.
5. Hogyan halmozódtak fel a makroökonómiai feszültségek ?
4.1. Háztartások • Fogyasztás-megtakarítás döntés: likviditáskorlát megszűnése, fogyasztássimítás hitelfelvételi boomon keresztül – életpályamenti jövedelem túlértékelése (konvergencia-várakozás) • Nagy nyitott devizapozíció: „kényszer carry trade” • Nincs explicit ingatlanár buborék, de van „equity withdrawal”: ingatlanvagyon „elfogyasztása” • Subprime hitelfelvevők: NINJA hitelek megjelenése – a legalacsonyabb jövedelmi szegmensben kiugróan magas, és növekvő törlesztési teher (átlagban 20% felett) • Eredmény: noha alacsony a GDP arányos hitelarány, de magas jövedelemarányos törlesztő-részlet, magas pénzügyi vagyonhoz mért hitelállomány (EU átlagnál magasabb) – 2006 után subprime hitelboom
High debt service burden
(Households debt-to-GDP and installment-to-income ratios) %
70
%
14
Households loan to GDP Instalment-to-income ratio (right scale)
2009Q1
Q3
2008Q1
Q3
2007Q1
Q3
2006Q1
Q3
2005Q1
Q3
2004Q1
Q3
2003Q1
Q3
2002Q1
2009Q1
Q3
0
2008Q1
0
Q3
2
2007Q1
10
Q3
4
2006Q1
20
Q3
6
2005Q1
30
Q3
8
2004Q1
40
Q3
10
2003Q1
50
Q3
12
2002Q1
60
Households loan to GDP Euro area Instalment-to-income ratio, Euro area (2006, right scale)
Source: MNB.
Increasing open FX position (Open FX position of the main sectors as percentage of GDP)
70
%
%
70
60
60
50
50
40
40
30
30
20
20
10
10
0
0
Households
Corporates
General government
Non-residents
Net external debt
Source: MNB.
2009 Q1
Q4
Q3
Q2
2008 Q1
Q4
Q3
Q2
2007 Q1
Q4
Q3
Q2
2006 Q1
Q4
Q3
Q2
2005 Q1
Q4
Q3
Q2
2004 Q1
Q4
Q3
Q2
2003 Q1
Q4
Q3
Q2
2002 Q1
Q4
Q3
Q2
2001 Q1
Q4
Q3
Q2
-10
2000 Q1
-10
Increasing consumption ratio (household consumption as a percentage of disposable income)
95%
90%
85%
80%
75%
2009:Q1
2008:Q1
2007:Q1
2006:Q1
2005:Q1
2004:Q1
2003:Q1
2002:Q1
2001:Q1
2000:Q1
1999:Q1
1999:Q1
1997:Q1
1996:Q1
1995:Q1
70%
Kiss – Nagy - Vonnák (2006) papír a túlzott hitelnövekedésről Mikor van túlzott hitelnövekedés (definíció)? 1. típus: Egyensúly feletti 2. típus: Egyensúlynál gyorsabban növő 3. típus: Felzárkózási pályánál gyorsabban növő
Hosszú távú egyensúly Normál felzárkózási pálya Hitelboom #1 Hitelboom #2 Hitelboom #3
…. és a 2006 utáni adatokkal újraszámítva A háztartási szektorban a túlzott eladósodottság kockázatai jelentősen megnövekedtek! 0,9
0,9
Magánszektor bankhitelei/GDP
Háztartások bankhitelei/GDP
0,8
0,8
0,7
0,7
0,6
0,6 Portugália
0,5
0,5 Spanyolország
0,4
0,4
0,3
0,3
0,2
0,2
0,1
0,1
0
0,0
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
Hollandia
Megjegyzés: A kék vonalak a lehetséges egyensúlyi szintet jelölik aszerint, hogy melyik eurozonabeli ország felzárkózását követjük. 2009-es előrejelzés 2 százalékos GDP PPS visszaeséssel, MNB inflációs és hitel előrejelzéssel és stabil kamatokkal és árfolyammal számol év végéig.
4.2. Bankok • Kockázati transzfer: az átterhelt piaci (árfolyam) kockázat hitelkockázattá válik • Fedezet-csapda: a fedezett hitelek magas nemteljesítési rátája kényszer fedezetértékesítéshez és ingatlanár boom nélküli ingatlanár csökkenéshez vezet • Felborult lejárati egyensúly: 2006 után fokozatosan megugró rövid lejáratú finanszírozás • Felborult fx egyensúly: a mérlegen kívüli zárás jelentős swap-piaci függőséget eredményez • Felborult hitel-betét arány: a 150%-nál magasabb L/D egyértelmű külső forrásokra való ráutaltságot jelez
High loan to deposit ratio (Loan to deposit ratios in CEE) %
300
%
300
Euro area
BG
CZ
EE
LT
HU
PL
RO
SI
SK
May-09
Mar-09
Jan-09
Nov-08
Sep-08
Jul-08
May-08
Mar-08
Jan-08
Nov-07
0
Sep-07
0
Jul-07
50
May-07
50
Mar-07
100
Jan-07
100
Nov-06
150
Sep-06
150
Jul-06
200
May-06
200
Mar-06
250
Jan-06
250
LV
Source: ECB.
BG CZ EE LV LT
Amount of foreign funds (right scale) HU PL RO
%
SI
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
90
2007-12 2008-06 2008-12 2009-03 2009-06 2009-07
Foreign funds
(Foreign loans to the banking sectors of CEE member states of the European Union and its ratio to the total funds) EUR Bn
SK
Foreign loans to total funds
Source: ECB.
45
80 40
70 35
60 30
50 25
40 20
30 15
20 10
10 5
0 0
Short-term (and even shorter) financing is dominant in foreign funding (The remaining maturity structure of foreign funding) % 100 90 80 70
18,0 9,5 11,2
60 50 40
16,8
17,0
16,3
14,0
14,6
14,9
5,4
3,3 7,8
5,4
4,4 5,8
4,8 6,9
5,0
15,4
13,9
12,1
19,7
16,7
19,1
40,7
43,1
41,3
2008Q4
2009Q1
2009Q2
8,6 12,1
14,1
14,9
7,6
14,2
15,0 16,0
18,0
8,8
16,7
30 20
37,5
41,1
39,0
2006Q4
2007Q4
2008Q2
33,3
10 0
Within 1 year
Between 1-2 years
2008Q3
Between 2-3 years
Between 3-4 years
Between 4-5 years
Over 5 years
Source: MNB.
Increasing role of FX swaps (Off-balance sheet items and households FX loans in percentage of balance sheet total) 20
%
18 16 14 12 10 8 6 4 2
FX lending to households
Off-balance sheet items (mainly FX-swaps)
Source: MNB.
Jul-09
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
Jan-08
Oct-07
Jul-07
Apr-07
Jan-07
Oct-06
Jul-06
Apr-06
Jan-06
Oct-05
Jul-05
Apr-05
Jan-05
Oct-04
Jul-04
Apr-04
Jan-04
0
4.3. Makrogazdasági egyensúlyhiány • Limited, less efficient monetary policy transmission • High external financing requirement and indebtedness • Increased vulnerability of the banking sector and the economy to exogenous shocks (high risk premia), contagion effect – non-stable equilibrium (!) • Increased liquidity risk – high dependence on foreign funds, on swap market (drying out markets) • LOLR efficiency deteriorated (not only HUF but FX as well)
Increasing external financing requirement (Net financing capacity of the main sectors and external equilibrium as percentage of GDP) 6
%
%
6
General government
Households
Corporate sector and "error"
2009 Q1
Q4
Q3
Q2
2008 Q1
Q4
Q3
Q2
2007 Q1
Q4
Q3
Q2
-12
2006 Q1
-12
Q4
-10
Q3
-10
Q2
-8
2005 Q1
-8
Q4
-6
Q3
-6
Q2
-4
2004 Q1
-4
Q4
-2
Q3
-2
Q2
0
2003 Q1
0
Q4
2
Q3
2
Q2
4
2002 Q1
4
External financing requirement
Source: MNB.
Debt ratios are one of the highest in the region (Net external debt and gross government debt as a proportion of GDP (as of 31 December 2007)
120
%
%
120
100
100
80
80
60
60
40
40
20
20
0
0
Net external debt
Greece
Spain
Portugal
Latvia
Hungary
Sweden
UK
Denmark
Italy
Croatia
Estonia
Lithuania
Netherlands
Turkey
Poland
Austria
Romania
France
Slovak Rep.
Finland
Bulgaria
Germany
Belgium
-20
Czech Rep.
-20
Gross public debt
Source: EU Commission.
Sovereign CDS spreads (Dynamics of sovereign CDS spreads in emerging countries) basispoint
1400
basispoint
1400
1200
1200
1000
1000
800
800
600
600
400
400
200
200
Hungary
Poland
Czech Republic
Latvia
Estonia
Brazil
Turkey
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
0
May-08
0
Romania
Source: Thomson Datastream..
Higher CDS spread parent banks than European large banks’ average (Average CDS spreads of domestic banks’ parents and European commercial banks) basispoint
400
basispoint
400
p09 Se
Ju l-0
M
M
Ja
ov
N
Se
Ju l-0
M
M
Ja
ov
N
Se
Ju l-0
M
M
Ja
9
0
ay -0 9
0
ar -0 9
50
n09
50
-0 8
100
p08
100
8
150
ay -0 8
150
ar -0 8
200
n08
200
-0 7
250
p07
250
7
300
ay -0 7
300
ar -0 7
350
n07
350
European commercial banks' 5-year CDS spread (average) EU banking sector CDS index 5 year CDS spreads of parent banks of domestic banks (average)
Source: MNB.
Vulnerabilities (signals: high CDS spreads, high fx volatility, high base rate) Public debt (high)
Net foreign debt (high)
Net foreign private debt (high) Households net savings (low)
Growth rate of retail loans (high)
Growth rate of FX based loans (high)
Risk awareness of sale (low)
Maturity and FX mismatch (high)
Share of FX based loans (high)
Debt financed consumption (high)
Housing prices (bubble)
Foreign funds ratio (high)
Loan to deposit Portfolio quality Loan to value ratio (low) (high) (high)
Which one is the primary mover? (further analysis of exogenity and causality)
Policy Response to the Crisis I Firefighting: sorting out the liquidity crisis • • • •
•
The immediate response in October 2008: FX liquidity provision after the FX swap market dried out The challenge: LOLR capacity in FX is limited Started with short horizons: overnight FX swaps Horizon gradually lengthened after various forms of backing from international community was secured: – ECB credit facility – Loan agreement with the IMF, European Union and the World Bank – EUR/CHF swap line with the Swiss National Bank Domestic currency liquidity provision – 2-week and 6-month credit tender facilities – Lower required reserve ratio – Extension of eligible collateral range (mortgage securities, municipal bonds)
Policy Response to the Crisis II Procyclical fiscal adjustment and cautious monetary easing •
Because of the unsustainable level of public debt anticyclical fiscal easing is out of question in Hungary
•
A sizeable and largely structural fiscal adjustment is being implemented, this time with the proper structure: – social transfers↓, – tax reshuffling: VAT and real estate tax↑ - taxes on labour↓
•
In the midst of the crisis this is pro-cyclical and painful…
•
…but inevitable and hopefully will increase long-term growth potential
•
Monetary policy constrained by financial stability concerns (unhedged FX debt)
•
Initially had to tighten substantially to prevent a full-blown currency crisis…
•
…but has since embarked on a cautious easing cycle as global risk appetite started to recover
Policy Response to the Crisis III Addressing the root causes of vulnerability Fixing long-standing institutional weaknesses: • ER band has been abolished already in early 2008 • Public finance mechanisms have been strengthened – introduction of fiscal rules – enhancing expenditure control mechanisms – setting up an independent Fiscal Council to increase transparency • The disciplining power of financial markets has increased after the crisis • After such a deep recession, the illusion of early convergence is unlikely to return soon • As a consequence of increased risks, both banks’ and households’ willingness to supply/ take on FX debt has substantially fallen, however may pick up again in an upturn necessitating regulatory action •
MNB initiated a regulatory proposal on ‘responsible lending’ to prevent a rebound of excessive unhedged FX lending: risk differential between domestic and foreign currency loans should be adequately reflected in lending terms (maximum payment-toincome and loan-to-value ratios)
6.Monetáris politika válságban
Hungary macro outlook: prologue • Pre-crisis situation (from 2006 to mid-2008): – Fiscal consolidation leads to weak domestic demand, but external demand remains relatively strong
– Budget deficit is coming back to sustainable levels – But high public debt, FX exposure of private sector, short-term external debt indicate vulnerability
• Crisis (post-Lehman): – Global recession large drop in external demand: key growth driver disappears – Financial crisis amplifies investors’ risk aversion and tightens availability of external financing – Earlier vulnerability concerns turn into effective financing constraints Macro adjustment (lower external financing need) required
Macro adjustment affecting every sector • All sectors adjust =>lower external financing need − Households plummeting credit demand, precautionary saving, lower cosumption and investment − Corporate sector lower investment, adjustment in wages, layoffs
− Banks reducement of loan-to-deposit ratio − Public sector sustainable budget deficit and public debt path
• …but time horizon and conditions matter: − painful but controlled adjustment
Sharp adjustment in the external equilibrium (External financing capacity in percentage of GDP) 0
%
%
0
-1
-1
-2
-2
-3
-3
-4
-4
-5
-5
-6
-6
-7
-7
-8
-8
-9
-9 2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Note: Negative values display requirement, MNB-forecast for 2009, 2010 and 2011 according to the baseline macroeconomic scenario. Source: MNB.
Consequence: deeper recession • Imported recession • Deepened further by banks’ credit contraction – Increase in the costs of financing, limiting market financing facilities – Increasing credit risks: • Deteriorating company balances • Insolvent households
• Contractionary fiscal policy 15
15 EC forecast
10
10
5
5
0
0
-5
-5
%
%
Red lines: Baltic countries Blue lines: Central EU. countries Green lines: Mediterranean countries
-10
-10
BG
CZ
HU
PL
RO
SK
CY
MT
SI
EE
3q-10
1q-10
3q-09
1q-09
3q-08
1q-08
3q-07
1q-07
3q-06
1q-06
3q-05
1q-05
3q-04
1q-04
3q-03
1q-03
3q-02
1q-02
3q-01
-20
1q-01
-20
3q-00
-15
1q-00
-15
LT
LV
11:Q4
11:Q3
percent
11:Q2
11:Q1
10:Q4
10:Q3
10:Q2
10:Q1
09:Q4
09:Q3
09:Q2
09:Q1
08:Q4
08:Q3
08:Q2
08:Q1
07:Q4
07:Q3
07:Q2
07:Q1
06:Q4
06:Q3
06:Q2
06:Q1
Inflation remains below target Inflation fan chart percent
9 9
8 8
7 7
6 6
5 5
4 4
3 3
2 2
1 1
0 0
-1 -1
-2 -2
-3 -3
What can monetary policy do? • Inflation is below target – monetary easing is logical, isnt it? • Current account adjustment is necessary, it is enforced by the markets – deepens the recession • But: rate cuts are concievable if and only if markets evaluate macro adjustment as credible in the long run, and this appears in asset prices, • Monetary policy could affect only the way of adjustment; i.e. smooth transition instead of crisis-like process
Countercyclical policy and financial stability Targets in conflict • Inflation targeting logic would require considerable loosening: – Lower base rate and weaker exchange rate could stimulate the economy (under normal circumstances) – Without compromising the inflation target in the medium run
• Risks related to financial stability limit the room for maneauvre of monetary policy: – Due to the volatility of risk premia and the vulnerability of the economy, interest rate cuts could destabilize financial markets leading to liquidity problems – Depreciation of the exchange rate deteriorates banks’ portfolios and their capital adequacy – A fast and rapid depreciation could lead to mass euro-conversions on behalf of the households, feeding back to the exchange rate and destabilizing the banking system
Countercyclical policy and financial stability Question-marks around transmission • The transmission mechanism of monetary policy is more uncertain than in normal times: – The importance of the domestic interest rate channel might increased due to scarce FX liquidity, – However, the direction and strength of the exchange rate channel became uncertain as well: • Although the weaker exchange rate may improve the position of exporters, … • …as households are indebted in foreign currency, domestic demand could weaken… • …while deteriorating capital position could force banks to reduce lending activity (lending channel) • Because of the FX exposure of the corporate sector, the balance sheet channel could raise their financing premia
Countercyclical policy and financial stability Do we have any effective tool to dampen the recession?
• The importance of non-conventional, liquidity enhancing tools is growing – FX liquidity: • Introduction of two-way O/N FX-swap tender • FX-swap standing facility and tenders – – – –
1 day EUR/HUF 1 week CHF/EUR 3 months EUR/HUF 6 months EUR/HUF
– HUF liquidity: • two-week, fixed-rate and six-month variable-rate collateralized loan tender • Reduction of reserve ratio • Extension of the range of eligible collaterals (mortgage-backed securities and municipal bonds)
Monetary policy strategy Alternatives for monetary policy • Strict IT can be suboptimal this time: stability constraints are binding, considerable exchange rate depreciation can not be tolerated • Use of non-conventional tools could ease, but not eliminate the tension between conventional countercyclical policy and financial stability • Interest rate policy requires a cautious approach „The base rate may be reduced further in the coming months, if the recent improvement in sentiment continues, and if policy easing does not jeopardise the stability of the financial intermediary system and does not threaten to disrupt capital flows.” (Statement of the Monetary Council, 25th May, 2009)
Monetary policy strategy End of inflation targeting? (1) • Inflation targeting (IT) is a flexible system: – Inflation target in itself could co-ordinate expectations – Policy focuses on a medium term horizon, temporary shocks can be accommodated – Compatible with non-conventional tools
• There is no conflict between financial stability and price stability with sustainable growth, the former is a precondition of the latter ones. • Thus, any tension is illusory, it exists only under the mechanical interpretation of IT
Monetary policy strategy End of inflation targeting? (2) • There is no need for a regime change, the current policy framework is appropriate • During the recovery period from the global crisis, the role of inflation targets and anchored expectations can be crucial • IT central banks everywhere are still focusing on their inflation targets as far as decision-making and communication is concerned
Why did we follow IT ? • • • • • • •
… because low inflation does stabilize not only price level but business cycles as well … because effectiveness of IT was justified by several empirical studies … because IT is in line with the „common knowledge” reflected in modern neokeynesian theory (DSGE-models) … because it is „rule-based” (Taylor rule!) but flexible … because IT can manage fiscal and monetary shocks, can be applied under different fiscal regimes … because in „smooth” financial system transmission is effective … because low inflation is an entry criteria into optimal currency zone (euro zone)
7. Mit szabályozzunk ?
What next: where to intervene (endogenity of regulation) • Objective: – to impede accumulation of macro imbalances. – Find the primary mover – and „diminish” it. Diminish or at least mitigate the adverse effect – If regulation is focused on the wrong factor – new imbalances will be created.?
• Household sector: – Increase household net saving position: increasing saving / decreasing consumption – Diminish interest rate differentials: high risk premium for the country (role and scope of base rate)
• Banking sector: – – – – – –
Forbid FX loans (?) Put a cap on the growth rate of retail lending (?) Strict rules for in the balance sheet mismatches Increase capital requirement (?) Avoid risk transfer: off balance sheet regulation Good old „rules of thumb”: L/D ratio should be less than 100%, LTV should be less than 70%, PTI should be less than 30%, leverage should be controlled… – Redefine subprime lending: strict rules for lending – Forward looking regulation and supervision
Conclusions and questions
„Subprime” should be used as a general term: all kind of non-equilibrium credit boom are a kind of subprime. Should subprime be abolished or constrained? Credit expansion supported bubbles can merge without traditional asset price bubbles – „fx lending bubble”. What should we monitor? Contagion without toxic assets and shadow banking: through global deleveraging (new channels of contagion) do macro imbalances matter? Rational and rule conforming (prudent?) decisions at micro level may generate macro imbalances Dsge models should be revisited: the role of financial sector as an endogeneous source of shocks Monetary policy frameworks should be revisited: inflation stability and financial stability are of equal importance. Act against bubbles? 2 objective 1 instrument problem? Other tools? Financial regulation should be revisited: back to basic local banking ? Where and how to intervene ? Is it possible to avoid the next crisis ?
MAIN LESSON FO US: THERE IS NO FREE LUNCH! NEVER SUPPORT UNSTABLE EQUILIBRIUM!
