presentacion europa-LV-jdeg agosto vf...Losorígenesdelproblemaeuropeo:…yfuerte’...
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Europa en la Cuerdas
José De Gregorio Universidad de Chile
Agosto 2012
I. ENTORNO GLOBAL
Crecimiento mundial y regional
Fuente: IMF, World Economic Outlook, Abril 2012, y update Julio. promedios ponderados por PPP. 2012-‐2013 proyecciones.
-‐6
-‐4
-‐2
0
2
4
6
8
10
2000-‐2005
2006
2007
2008
2009
2010
2011
2012
2013 World USA Emerging and Dev. Economies Latam Zona Euro
Crecimiento (%)
90
100
110
120
130
140
150
2006
2007
2008
2009
2010
2011
2012
PIB (2006=100)
Evolución de la proyecciones de consenso para los años 2012 (rojo) y 2013 (azul)
-‐2
0
2
4
6
8
10 Jun-‐11 Sep-‐11 Dec-‐11 Mar-‐12 Jun-‐12 Jan-‐12 Mar-‐12 Jun-‐12
II. ORIGENES DE LA CRISIS
Los orígenes del problema europeo: convergencia de tasas de interés…
Fuente: Bloomberg.
Los orígenes del problema europeo: …y fuerte boom de consumo
Fuente: Eurostat. Consumo privado de hogares.
90
100
110
120
130
140
150
160
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Dinamarca Alemania Holanda Irlanda Grecia España Portugal
Los orígenes del problema europeo: …y del precio de las casas (1997=100)
Fuente: BIS annual report 2011. La línea indica la fecha de la caída de Lehman Brothers
20 BIS 81st Annual Report
Sharp increases in credit extension to households and corporations fuelled the appreciation in property.5 The ratio of household debt to GDP (Graph II.3) rose in all countries that experienced a housing boom, far exceeding their long-term trends. Non-financial corporations also added to their debt, with those in the United States being a notable exception. As shown by the left-hand scale of the graph, Irish and Spanish non-financial corporations saw particularly large increases in their debt ratios, with the lion’s share of the debt being used to finance real estate. That said, the increase in indebtedness looked much smaller when set against the market value of the real estate portfolios being financed. In the case of Spain, real estate firms increased their ratio of debt to total assets from 50% in 2000 to 63% in 2007.
The housing and credit booms changed the sectoral composition of output. The relative weight of the construction sector rose in all economies where house prices increased. In 2007, construction employed 13% of all workers in Spain, up from 10% a decade earlier (Graph II.4, left-hand panel). In Ireland, the corresponding increase was even sharper, from 8!% to 13%. A similar picture emerges if one measures the share of construction in total value added.6 Canada, the United Kingdom and the United States also saw growth in the share of construction in employment and GDP, but to a much lesser extent than in Ireland and Spain.
Strong expansion of real estate finance as property prices went up was one factor behind the rapid growth of the financial sector during the pre-crisis
… was fuelled by a build-up of private sector debt
Demand for mortgages drove the growth of the financial sector
5 See the discussion in BIS, 80th Annual Report, June 2010, pp 10–12.
6 Between 1997 and 2007, the share of construction in GDP went up from 6!% to 10% in Spain and from 5% to 8% in Ireland.
The vertical line marks 15 September 2008, the date on which Lehman Brothers filed for Chapter 11 bankruptcy protection.
1 Deflated by consumer prices.
Sources: Various real estate associations; national data.
Real prices of residential and commercial properties1
1997 average = 100
Residential properties Commercial properties
0
50
100
150
200
250
1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010
IrelandSpainUnited KingdomUnited StatesCanada
0
50
100
150
200
250FranceGermanyJapanItaly
Graph II.2
20 BIS 81st Annual Report
Sharp increases in credit extension to households and corporations fuelled the appreciation in property.5 The ratio of household debt to GDP (Graph II.3) rose in all countries that experienced a housing boom, far exceeding their long-term trends. Non-financial corporations also added to their debt, with those in the United States being a notable exception. As shown by the left-hand scale of the graph, Irish and Spanish non-financial corporations saw particularly large increases in their debt ratios, with the lion’s share of the debt being used to finance real estate. That said, the increase in indebtedness looked much smaller when set against the market value of the real estate portfolios being financed. In the case of Spain, real estate firms increased their ratio of debt to total assets from 50% in 2000 to 63% in 2007.
The housing and credit booms changed the sectoral composition of output. The relative weight of the construction sector rose in all economies where house prices increased. In 2007, construction employed 13% of all workers in Spain, up from 10% a decade earlier (Graph II.4, left-hand panel). In Ireland, the corresponding increase was even sharper, from 8!% to 13%. A similar picture emerges if one measures the share of construction in total value added.6 Canada, the United Kingdom and the United States also saw growth in the share of construction in employment and GDP, but to a much lesser extent than in Ireland and Spain.
Strong expansion of real estate finance as property prices went up was one factor behind the rapid growth of the financial sector during the pre-crisis
… was fuelled by a build-up of private sector debt
Demand for mortgages drove the growth of the financial sector
5 See the discussion in BIS, 80th Annual Report, June 2010, pp 10–12.
6 Between 1997 and 2007, the share of construction in GDP went up from 6!% to 10% in Spain and from 5% to 8% in Ireland.
The vertical line marks 15 September 2008, the date on which Lehman Brothers filed for Chapter 11 bankruptcy protection.
1 Deflated by consumer prices.
Sources: Various real estate associations; national data.
Real prices of residential and commercial properties1
1997 average = 100
Residential properties Commercial properties
0
50
100
150
200
250
1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010
IrelandSpainUnited KingdomUnited StatesCanada
0
50
100
150
200
250FranceGermanyJapanItaly
Graph II.2
Los orígenes del problema europeo: …y apreciaciones reales (prom. 80-‐2012=100)
Fuente: BIS
70
80
90
100
110
120
130
Finlandia
Francia
Alem
ania
Holand
a
Italia
Area Euro
Dinamarca
Irlanda
España
Portugal
Grecia
ene-‐11
Cuenta corriente (% PIB): los ajustes son más complejos si no hay flexibilidad cambiaria
Fuente: WEO, IMF.
-‐12 -‐10 -‐8 -‐6 -‐4 -‐2 0 2 4 6
Australia
USA
UK
Japan
Spain
Portugal
Italy
Ireland
Greece
Germany
France
2012 2000-‐2011
Balance neto con el Euro Sistema / Target 2 (bn € ) (Trans-‐European Automated Real-‐ame Gross seblement Express Transfer system)
Fuente: InsYtute of Empirical Economic Research -‐ Universität Osnabrück.
-‐450
-‐350
-‐250
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-‐50
50
150
250
350
450
550
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750
Jan-‐07
May-‐07
Sep-‐07
Jan-‐08
May-‐08
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Jan-‐09
May-‐09
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Jan-‐10
May-‐10
Sep-‐10
Jan-‐11
May-‐11
Sep-‐11
Jan-‐12
May-‐12
Finland France Germany Greece Ireland Italy Netherlands Portugal Spain Luxembourg
El problema fiscal (Deuda pública bruta, 2011, % PIB)
Fuente: Fiscal Monitor, IMF, September 2011, January 2012.
0
50
100
150
200
250 Au
stria
Belgium
France
Germ
any
Greece
Ireland
Italy
Portugal
Spain
Japan
UK
USA
El Euro en un Gráfico: Tasas de Interés a 10 años para propósitos de convergencia*
Fuente: BCE. * El tratado de Maastricht establece en su cuarto criterio que: “observed over a period of one year before the examinaYon, a Member State has had an average nominal long-‐term interest rate that does not exceed by more than 2 percentage points that of, at most, the three best performing Member States in terms of price stability”
0
5
10
15
20
25
30
1993Jan
1993Au
g 1994Mar
1994Oct
1995May
1995De
c 1996Jul
1997Feb
1997Sep
1998Ap
r 1998Nov
1999Jun
2000Jan
2000Au
g 2001Mar
2001Oct
2002May
2002De
c 2003Jul
2004Feb
2004Sep
2005Ap
r 2005Nov
2006Jun
2007Jan
2007Au
g 2008Mar
2008Oct
2009May
2009De
c 2010Jul
2011Feb
2011Sep
2012Ap
r
Germany Spain France United Kingdom Greece Ireland Italy Portugal
III. EL PROBLEMA ACTUAL Y POLÍTICAS
El Ciclo Diabólico*: Problema de Confianza y de Fundamentales
Crisis Fiscal
Crisis Bancaria
Bajo crecimiento
*Markus Brunnermeier, Princeton University.
Desapalancamiento
Mayor riesgo
Spread bonos soberanos 10Y (%, con respecto a Alemania)
Fuente: Bloomberg.
0
2
4
6
8
10
12
14
16
01-0
9
04-0
9
07-0
9
10-0
9
01-1
0
04-1
0
07-1
0
10-1
0
01-1
1
04-1
1
07-1
1
10-1
1
01-1
2
04-1
2
07-1
2
Portugal España Italia Bélgica Irlanda
Bailout Irlanda
Bailout Portugal
Bailout Grecia
Inflación 12m (fig. izq., %) y Tasa de Políaca Monetaria (fig. der., %)
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-‐2
-‐1
0
1
2
3
4
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6
08-‐05
03-‐06
10-‐06
05-‐07
12-‐07
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04-‐10
11-‐10
06-‐11
01-‐12
USA Euro Area UK 0
1
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7
08-‐05
03-‐06
10-‐06
05-‐07
12-‐07
07-‐08
02-‐09
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04-‐10
11-‐10
06-‐11
01-‐12
08-‐12
USA Euro Area UK
Balance bancos centrales (acavos, % del PIB)
Fuente: Bancos centrales, Haver AnalyYcs y Bloomberg.
GLOBAL MARKETS MONITOR Friday, August 03, 2012 Monetary and Capital Markets Department Global Markets Analysis Division
This is an internal document. It is produced by the Global Markets Analysis Division (GA) of the Monetary and Capital Markets Department. It reflects GA staff’s interpretation and analysis of market views and developments. Market views presented may or may not reflect the consensus of all market participants. All data and information are from market sources unless otherwise noted. GA staff do not independently verify the accuracy of data, statistics or events presented in this document.
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objective for such an operation and reiterated that the ESM did not meet the legal requirements to be a banking counterparty of the ECB.
Italian PM Monti said it was premature to say whether Italy will seek the activation of the
EFSF/ESM to buy its debt. Spanish PM Rajoy was non-committal over whether Spain would ask for assistance. They said that the mechanisms and instruments agreed at the last EU summit should be put in place as soon as possible so that they are ready for use "if needed". Spanish services PMI for July cam in a little better than forecast at 43.7 (vs the 42.9 reading expected and 43.4 in June). Spanish 10-year yields rose 43 bps yesterday following the lack of immediate action by the ECB
or a formal request for EFSF assistance by PM Rajoy. This was the largest one-day rise since at least 1993, and came after an initial rally of 15 bps after a successful auction. However, the Spanish 2-year retained its 10 bps gains on the day after ECB President Draghi intimated that potential ECB buying would be concentrated at the short-end of the curve, resulting in a strong curve steepening. The Italian curve moved in similar fashion with the 10 year (+40 bps) recording its biggest single day spike since last December while 2-year yields fell 3 bps. S&P kept Ireland’s credit rating at BBB+ (negative outlook). The Irish central government deficit in the year to July was €9.1 bn, roughly on track with the EU/IMF program. However, Irish press reports that the cost of the bank rescue may turn higher due to a recent UK court ruling against the exit consent mechanism used to coerce holdout subordinated debt-holders of Anglo Irish in its bond exchange offer. Irish services PMI for July fell to 49.1 from 49.7 in June. S&P affirmed Portugal’s rating at BB (negative outlook), citing the rapidly shrinking current account deficit, structural reforms, and fiscal consolidation as positives. However, they do not expect Portugal to regain market access within 12 months and so a renewal of the program will be needed.
LTRO
QE1
QE2
OT
BoE1 BoE2…
0
50
100
150
200
250
300
350
01-‐11 03-‐11 05-‐11 07-‐11 09-‐11 11-‐11 01-‐12 03-‐12 05-‐12
Banco Nacionales Extranjeros
Deuda soberana española por acreedores (miles de millones de euros)
Fuente: Gobierno de España, Tesoro Público, hkp://www.tesoro.es/sp/home/estadisYca.asp
Inicio LTRO
IV. ¿SE ACABA EL EURO? NO ¿QUE VIENE? ARRASTRAR LOS PIES
Argenana 2001-‐02 –Grecia 2011-‐12
80 90
100 110 120 130 140
1 3 5 7 9 11 13 15 17 19 21
Arg TT (1991) Greece TT (2001)
Términos de intercambio
-‐15
-‐10
-‐5
0
5
10
15
-‐3 -‐2 -‐1 0 0 1 2 3
ArgenYna Greece
-‐20
-‐15
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ArgenYna Greece
Cuenta corriente
-‐15
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0
5
10
-‐3 -‐2 -‐1 0 0 1 2 3
ArgenYna Greece
Crecimiento PIB
Déficit primario
Desapalancamiento: Razón crédito a GDP (peak = 100)
C H A P T E R 2 S OV E R E I G N S, B A N K S, A N D E M E R G I N G MA R K E TS: D E TA I L E D A N A LYS I S A N D P O L I C I E S
International Monetary Fund | April 2012 37
!e looming cutbacks in credit could test the resil-ience of Europe’s corporate sector.
Although the e!ects of European bank delever-aging are likely to be felt far and wide, experience from earlier stages of the "nancial crisis suggests that credit to Europe’s corporate sector is likely to prove a particular pressure point. As banks began to tighten lending standards in 2007–08, all "rms su!ered. Yet, U.S. "rms generally showed greater resilience to the credit shock than did their European counterparts, as their return on assets fell by less and rebounded to precrisis levels by 2011 (Figure 2.33). In compari-son, the return on assets for both core and peripheral euro area "rms was hit harder in 2009 and has yet to return to precrisis levels (Figure 2.34).
Euro area "rms are particularly vulnerable to reduction in bank credit because of their greater reli-ance on banks for funding and often limited ability to adjust labor costs, at least compared with their U.S. peers (Figure 2.35).14 Because domestic banks
14In the World Economic Forum’s competitiveness ranking of 142 countries in 2011, Spain (119), Portugal (122), Italy (123), and Greece (126) are included in the bottom 16 percent of countries for labor market e#ciency. $ose four countries are also ranked well below core euro area countries in goods market e#ciency (WEF, 2011, pp. 20–21). See also the European Com-mission’s Quarterly Report on the Euro Area, December 2010 and
(Figure 2.32). Speci"cally, the implied decline in the credit-to-GDP ratio under all three scenarios sits between the relatively moderate experience in Japan in the 1990s and the more pronounced credit contraction in the United States in the earlier part of the "nancial crisis. However, the cutback in credit under the weak policies scenario approaches that seen in the United States.
What is the impact on growth?
$e impact of these credit supply shocks on economic activity is assessed using the IMF Global Economy Model.13 $e credit shocks implied by the current policies scenario are incorporated in the World Economic Outlook (WEO) baseline. $e credit shocks in the complete policies scenario imply that euro area real GDP would be 0.6 percent above the baseline after two years, consistent with assumptions under the WEO upside scenario. $e weak policies scenario, in turn, suggests that euro area real GDP would be 1.4 percent lower than the baseline at the end of 2013. $is is one of the key elements in one of the WEO downside scenarios.
13$e Global Economy Model was presented in the July 2008 special issue of IMF Sta! Papers, Vol. 55, No. 2.
Euro area (2010)
75
80
85
90
95
100
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14Quarters after peak
Japan (1993)
Sweden (1993)
United States (2009)
Weak policiesscenario
Current policiesscenario
Complete policiesscenario
Figure 2.32. Euro Area Credit Supply Shock: Three Scenarios Relative to Historical Episodes(Index: Ratio of peak credit to GDP = 100)
Source: IMF, International Financial Statistics and World Economic Outlook (WEO) databases; and IMF staff estimates.
Note: Year given in curve labels is the year of the peak quarter. The scenario lines show simulated paths for the euro area based on an extrapolation of the results from sample banks to the banking system; these lines are drawn using the WEO baseline GDP forecast.
0
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–15
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–5
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20Dot-com
crash
Figure 2.33. United States: Non"nancial Corporate Borrowing and Return on Assets(In percent)
Sources: Federal Reserve; Haver Analytics; IMF, Corporate Vulnerability Utility database; and IMF staff estimates.
1Annual borrowing scaled down by a factor of 20.
1998 99 2000 0201 03 04 05 06 07 08 09 10 11
Bank loans (change over year, right scale)Total corporate borrowing (scaled, change over year, right scale)1
Return on assets (left scale)
Global"nancial
crisis
GFSR_Ch 02.indd 37 4/16/12 11:23 AM
Fuente: IMF; Global Financial Stability Report, abril 2012.
Perspecavas
• No existe salida ordenada. Ni de Grecia…si sale ordenadamente, por qué no España?
• Rol del BCE clave en la normalización. Anuncios: (1) necesidad de fiscal compact (2) de unión bancaria y (3) hará todo lo que sea necesario para preservar el euro…y está consiguiendo apoyo alemán.
• Unión fiscal tomará mucho Yempo, incluido bono europeo. Fiscal compact: reglas de austeridad y sostenibilidad.
• Unión bancaria. Supervisión central puede ser luego, apoyo a los sistemas financieros: EFSF/ESM, aún incompleto, menos de 1tr de financiamiento.
• ECB debiera comprar deuda pública. Montos o más probablemente poniendo un techo (piso) a los spreads (al precio de la deuda). Las soluciones parecieran simples. La economía políYca es muy compleja.
• Quedan años para solucionar problemas financieros y completar la unión monetaria…por mientras arrastrar los pies.
• No se puede descartar, aunque es muy poco probable, una solución extrema.
Europa en la Cuerdas
José De Gregorio Universidad de Chile
Agosto 2012