The ''new'' Geithner plan

/ Articolo / The ''new'' Geithner plan
  • Condividi

The new plan to rescue banks, as described by the New York Times, looks a lot like all the older plans. The basic idea seems to be always the same: overpay the toxic assets using taxpayers' money.

I don't really have much to add to what Paul Krugman has already said on the subject in a couple of posts in his blog. The approach is, quite simply, nonsensical. The relevant quote from the NYT article is the following:

 

Risk-taking institutional investors, like hedge funds and private equity funds, have refused to pay more than about 30 cents on the dollar for many bundles of mortgages, even if most of the borrowers are still current. But banks holding those mortgages, not wanting to book huge losses on their holdings, have often refused to sell for less than 60 cents on the dollar.

 

The approach of this administration, and of the previous one as well, seems to be that the investors are unreasonably risk averse, or irrational, or whatever, and they should buy the toxic assets at a price closer to what the banks want. Otherwise, you see, the banks would have to ''book huge losses''. Why the market is not working is left unexplained. The solution is simply to fill the gap between the 30 and the 60 cents with a huge public subsidy.

We can only hope that this approach will fail, the same way that it failed when it was first proposed in the fall of 2008. Yes, of course, we do need some sort of intervention. The point has been made by many, and I find this exposition by fellow game theorist Sandeep Baliga very clear. But there are many different ways to intervene. In a previous post I have tried to explain how to set up a better mechanism for price discovery of the toxic assets. Other ideas have been floated. Bulow and Klemperer, for example, have suggested a clever variation on the good bank / bad bank approach. As a minimum, if the administration is really unwilling to consider new ideas (but why?), it should at least consider some variant of the Swedish approach: let the banks fail, take them over, recapitalize and then resell them.

The plan instead is to use public money to help the creditors (other than depositors, already covered by FDIC insurance) and the shareholders of the banks. No explanation is given of why private investors are so reluctant to buy the toxic assets. What if the investors are correct in their assessment and these assets are really worth no more than 30 cents on the dollar? Why should the taxpayers bear all the risk? And what if the money is not enough and we keep having zombie banks? The whole thing is almost too depressing to contemplate.

Indietro

Commenti

Ci sono 40 commenti

 

What if the investors are correct in their assessment and these assets are really worth no more than 30 cents on the dollar? Why should the taxpayers bear all the risk? And what if the money is not enough and we keep having zombie banks? The whole thing is almost too depressing to contemplate.

 

Which is why they (namely, Geithner and Bernanke) do not, and instead try to buy time hoping that an economic recovery will eventually raise the assets prices again to match the debt backed by them (this is what someone called "a three-pronged approach: delay, delay, delay"). The fly in the ointment is that this can't happen, at least in real terms, precisely because the economic growth in the past decade was supported by a bubble in the real estate (consumption was fuelled by rising debt under the name of "equity extraction") rather than genuine increases in productivity. At that time the FED seconded this state of affairs by keeping the interest rates artificially low, and now its people (Geithner is the former president of the FRB of NY) don't seem capable to face the consequences of that choice. Had they carefully read their Adam Smith, they might have had a few doubts:

 

A dwellinghouse, as such, contributes nothing to the revenue of its inhabitant; and though it is, no doubt, extremely useful to him, it is as his clothes and household furniture are useful to him, which, however, makes a part of his expense, and not of his revenue. If it is to be let to a tenant for rent, as the house itself can produce nothing, the tenant must always pay the rent out of some other revenue which he derives either from labour, or stock, or land. Though a house, therefore, may yield a revenue to its proprietor, and thereby serve in the function of a capital to him, it cannot yield any to the public, nor serve in the function of a capital to it, and the revenue of the whole body of the people can never be in the smallest degree increased by it.

(An Inquiry into the Nature And Causes of the Wealth of Nations, Book II, Chapter I)

In other words, the fair value the real estate is determined endogenously by the level of economic activity, and trying to base economic growth on its increases is very similar in spirit, and in final outcome, to a Ponzi scheme where profits are paid to new investors out of new inflows of capital coming from other investors.

So where does this leave us? My personal opinion is that the strategy chosen in the end will be to unleash a bout of inflation sufficient to raise the nominal prices of the assets to the debt they back, thus healing the balance sheets of the banks (regardless of their ownership). And this explains the $1.15T of quantitative easing now in the pipeline (which may be just the beginning). Whether the inflation will be brought down quickly after doing its dirty work of wealth redistribution, or will keep lingering for many years, is anybody's guess.

 

 


 

 

Sandro, what if neither investors nor banks are, ex-ante, wrong in pricing toxic assets? What if, in fact, no one knows how to price them? That is, persistent ambiguity (some people believe such ambiguity was purposefully built into MBA's) makes prices indeterminate.

This is a possibility we discussed some time ago but you seem to rule it out here and in your previous post.

I'm not sure how you are using the term ''ambiguity''. The value of an assets is the present value of the expected cash flow discounted at a rate that depends on the risk of the cash flow and the risk aversion of investors. Of course, if different people have different expectations about the cash flow, or different risk aversion, then different people will assign different values to those assets. This needs not be a problem, it's like saying that different people have different culinary tastes and are prepared to pay different amount for a dish of sushi. There will still be a market price for sushi. Some people will be delighted to learn that the price is less than they are willing to pay, other people will find the price unacceptably high.

Of course in financial markets things are more complicated because the value that I assign to the assets may depend on information that you have. This is the standard adverse selection problem, and I don't see any reason to call it ''ambiguity''. When you say that ''no one knows how to price them'', what do you mean? Up to know what is happening is that bank managers are offering a certain estimate, based on what they claim to know about the assets,  and potential buyers are prepared to pay much less because, clearly, they don't trust the estimates provided by the managers. It is this asymmetry of information which should be adressed if we are to reactivate the market for these assets. Asking teh bank managers to put their money where their mouth is would be a good way to find out whether they truly have better information about the return on the assets or are just trying to take advantage of the public.

Have you read

www.ft.com/cms/s/0/2970532c-0421-11de-845b-000077b07658.html

?

The recovery rate for the mezzanine tranche rated AAA is about 5% and 32% for senior one.

So 30 cents per dollar is a fair price....

 

Yes, I cited that piece from FT in my previous post. As explained in that article, maybe the worst of the pack was liquidated first, so those rates may be too pessimistic. But it is clear that there is no reason to trust the claims from the banks either. This is why I proposed an incentive-compatible mechanism which forces managers to bear at least some responsibility for the prices that they claim. The Geithner plan has none of those components.

Hypothetically, yes. If I know something is worth x, I am always be willing to sell it at any price larger than x. If I do not know what something is worth, for example I think it may be worth anything between x and y (y>x) than I am always willing to sell it at prices larger than y, but at prices between x and y my behavior is "unpredictable' since I do not know how to evaluate selling versus not selling. What makes things tricky for the observer who does not know what I think is that I may sometimes be willing to sell it and sometimes not.

Notice that the reasoning above follows what we do, and does not assume ambiguity aversion which is what all other models of ambiguity do (including α-MEU). If you were ambiguity averse, than there would be no indecision region since your preference are complete.

Does this help?

It does but it confirms that, by looking at what banks do I cannot tell if the reason is ambiguity or, purely, waiting for Geithner lifesaving jacket under normal risk aversion ... right?

In other words: I know it is worth 30, which is what the market is offering, but given that Geithner will be soon offering 60, I wait. That's exactly what the Japanese banks did ten-fifteen years ago.

I am not sure I understand your point well. Let me rephrase (what I believe is) the question.

There is a lot of people out there willing to buy toxic assets for 30 cents on a dollar. I observe that the owners of the asset (it is actually agents of the owners and this matters a big deal, but let's forget about this) claim that they are really worth 60, so they refuse to sell. Now the question is: How do I tell whether the refusal to sell is due to the fact that the onwers are standard EU maximizers with complete preferences or instead are just plain confused and they have no way to tell what the assets are worth? Is there any observation that would help us in saying it is one or the other? For what I understand from your argument, it looks like that the following experiment might work. Suppose that I ask repeatedly, in a number of independent trials, the bank managers to sell the toxic assets at 30. If they have superior info then they will always say no. If they are confused then sometimes they will say yes. Is that correct?

A more fundamental question is: even if we think that the bank managers are confused and don't know the true value of the assets, shouldn't we push for transparency? Shouldn't it be made clear that the unwillingness to sell at 30 is not due to some superior knowledge but only to inability to find the correct value? The mechanism that I proposed does exactly that.

You understand correctly, Sandro. If someone says "I am not willing to sell for less than x" (this seemed to be the original quote), it could be due to Knightian uncertainty as others above suggested. This is because there is a difference between "I know the asset is worth x" versus "I am not willing to sell it for less than y". In the first case, I will always accept prices larger than x. A manager who knows the value to be 30, should take 35 or 40 or 30+ε for that matters. If they know the value is 60 they will instead reject all these offers. The paper Valter cited above (this is Bewley's idea, by the way) is based on the premise that behavior cannot be predicted if they feel ambiguity and all they know is that the value is between 30 and 60.

Michele's argument is impeccable: if I know someone will pay 60, then I should just take their offer. This, as far as I can tell, has nothing to do with ambiguity, risk, or anything else. Let me be clear that I have nothing against Sandro's proposed mechanism, and I agree that transparency can only be good. In fact, the questions is: why is the Treasury willing to pay 60? A sucker is born every minute is one theory, I guess. Another theory could be that they are trying to set up an incentive compatible mechanism with agents who perceive ambiguity about the environment, but I do not believe that's the motive, so I will not bore you with that.

 

Tra parentesi, questa voleva essere una rispota al commento precedente di Sandro, ma sono molto impedito e quindi e' finito come commento a parte. Sorry about that.

Some links with ideas describing possible plan's loopholes: onetwo three

 

 

Here  and  Here.

Per quello che vale (e visto che costa poco) credo che invierò la mia bustina di black tea a 1600 Penn Ave ...

 

 

TEA BAG


There's a storm abrewin'. What happens when good, responsible people keep quiet? Washington has forgotten they work for us. We don't work for them. Throwing good money after bad is NOT the answer. I am sick of the midnight, closed door sessions to come up with a plan. I am sick of Congress raking CEO's over the coals while they, themselves, have defaulted on their taxes. I am sick of the bailed out companies having lavish vacations and retreats on my dollar. I am sick of being told it is MY responsibility to rescue people that, knowingly, bought more house than they could afford. I am sick of being made to feel it is my patriotic duty to pay MORE taxes. I, like all of you, am a responsible citizen. I pay my taxes. I live on a budget and I don't ask someone else to carry the burden for poor decisions I may make. I have emailed my congressmen and senators asking them to NOT vote for the stimulus package as it was written without reading it first. No one listened. They voted for it, pork and all. O.K. Folks, here it is. You may think you are just one voice and what you think won't make a difference. Well, yes it will and YES, WE CAN!! If you are disgusted and angry with the way Washington is handling our taxes. If you are fearful of the fallout from the reckless spending of TRILLIONS to bailout and "stimulate" without accountability and responsibility then we need to become ONE, LOUD VOICE THAT CAN BE HEARD FROM EVERY CITY, TOWN, SUBURB AND HOME IN AMERICA. There is a growing protest to demand that Congress, the President and his cabinet LISTEN to us, the American Citizens. What is being done in Washington is NOT the way to handle the economic free fall. So, here's the plan. On April 1, 2009, all Americans are asked to send a TEABAG to Washington , D.C. You do not have to enclose a note or any other information unless you so desire. Just a TEABAG. Why, April 1?? We want them to reach Washington by April 15. Will you do it? I will. Send it to; 1600 Pennsylvania Ave. Washington , D.C. 20500 ..

 

 

Naked Capitalism, di solito, è reliable ... che lo sia anche questa volta? If so, sell baby, sell!

Se si guarda a Deutsche Bank e come si é riusciti a ridurre il leverage negli ultimi mesi (incredibile?), credo si possa dire che i primi mesi siano andati bene perché si é "incassato". Anche Deutsche Bank si era recentemente espressa positivamente.  Le banche cercano di convincerci che si sta migliorando per innescare la self-fulfilling prophecy e vedere se il valore dei toxic assets si riprende. Più che un selfulfilling expectation credo trattasi di un wishful thinking. Io rimango con la mia proposta di "good banks" e considero il piano Geithner una fregatura per il "mercato dei limoni"...

www.ritholtz.com/blog/2009/04/aig-before-cds-there-was-reinsurance/

 

 

In fact, our investigation suggests that by the time AIG had entered the CDS fray in a serious way more than five years ago, the firm was already doomed. No longer able to prop up its earnings using reinsurance because of growing scrutiny from state insurance regulators and federal law enforcement agencies, AIG’s foray into CDS was really the grand finale. AIG was a Ponzi scheme plain and simple, yet the Obama Administration still thinks of AIG as a real company that simply took excessive risks. No, to us what the fraud Bernard Madoff is to individual investors, AIG is to the global financial community.

As with the phony reinsurance contracts that AIG and other insurers wrote for decades, when AIG wrote hundreds of billions of dollars in CDS contracts, neither AIG nor the counterparties believed that the CDS would ever be paid. Indeed, one source with personal knowledge of the matter suggests that there may be emails and actual side letters between AIG and its counterparties that could prove conclusively that AIG never intended to pay out on any of its CDS contracts.

The significance of this for the US bailout of AIG is profound. If our surmise is correct, the position of Feb Chairman Ben Bernanke and Treasury Secretary Tim Geithner that the AIG credit default contracts are “valid legal contracts” is ridiculous and reveals a level of ignorance by the Fed and Treasury about the true goings on inside AIG and the reinsurance industry that is truly staggering.

...

Several observers believe that at some point in the 2002-2004 period, Cassano and his colleagues at AIG began to realize that state insurance regulators and the FBI where on to the reinsurance/side letter scam. A number of experts had been speaking and writing about the issue within the accounting and fraud communities, and this attention apparently made AIG move most of its shell game into the world of CDS. By no coincidence, at around this time side letters began to disappear in the insurance industry, suggesting to many observers that the industry finally realized that the jig was up.

It appears to us that, seeing the heightened attention from regulators and federal law enforcement agencies such as the FBI on side letters, AIG began to move its shell game to the CDS markets, where it could continue to falsify the balance sheets and income statements of non-insurers all over the world, including banks and other financial institutions.

...

The key point is that neither the public, the Fed nor the Treasury seem to understand is that the CDS contracts written by AIG with these various non-insurers around the world were shams - with no correlation between “fees” paid and the risk assumed. These were not valid contracts as Fed Chairman Ben Bernanke, Treasury Secretary Geithner and Economic policy guru Larry Summers claim, but rather acts of criminal fraud meant to manipulate the capital positions and earnings of financial companies around the world.

Indeed, our sources as well as press reports suggest that the CDS contracts written by AIG may have included side letters, often in the form of emails rather than formal letters, that essentially violated the ISDA agreements and show that the true, economic reality of these contracts was fraud plain and simple. Unfortunately, by not moving to seize AIG immediately last year when the scandal broke, the Fed and Treasury may have given the AIG managers time to destroy much of the evidence of criminal wrongdoing.

Only when we understand how AIG came to be involved in CDS and the fact that this seemingly illegal activity was simply an extension of the reinsurance/side letter shell game scam that AIG, Gen Re and others conducted for many years before will we understand what needs to be done with AIG, namely liquidation. Seen in this context, the payments made to AIG by the Fed and Treasury, which were then passed-through to dealers such as Goldman Sachs (NYSE:GS), can only be viewed as an illegal taking that must be reversed once the US Trustee for the Federal Bankruptcy Court for the Southern District of New York is in control of AIG’s operations.