Iees 02 I 1111

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Segunda poca
Volumen 18
Nmero 2
Noviembre 2011
Conferencia: Problemas Fiscales y de Deuda en el Hemisferio Norte ............5 Cosima Barone Philip Suttle Julio de Brun
Understandng Unconventional Monetary Policy: A New Monetarist Approach ....................................................................43 Stephen D. Williamson
Anlisis de las Calificaciones de Riesgo Soberano: El Caso Uruguayo .....................................................................................71 Fernando Borraz Alejandro Fried Diego Gianelli
La Demanda de Dinero en una Economa Dolarizada: Una Estimacin para Uruguay ................................................................101 Conrado Brum Elizabeth Bucacos Patricia Carballo
ROUND TABLE ON DEBT AND FISCAL PROBLEMS IN THE NORTH1 COSIMA BARONE2
The World at a Crossroad The world is revealing itself as an extraordinary unstable place. Economic imbalances, wealth disparities and unwieldy finance, all contribute to the current situation bugging global financial markets. Of historical and unprecedented nature are the global expansion of debt and the central bank monetization trend of recent decades. Undoubtedly, the massive growth of debt and ballooning central bank balance sheets nurture a myriad of vulnerabilities, resulting from speculative finance and leading to boom and bust dynamics. Nowadays, the global sentiment is shifting. Optimism on the sustainability of global recovery is dimming. And the general economic soft-patch talk is turning into possible double-dip scenario in the largest economies, while some red-hot emerging economies are sliding into softpatch growth territory. 1. Major Power Shifts I shall begin with my area of experience and tell you what I have observed from the particular angle of Wall Street and global financial markets during the last decades. A main event, that I would like to mention here is when, on August 15, 1971, the U.S. President Richard Nixon decided to shut down the Gold Window and severed the Bretton Woods Agreement. As a result, paper
1 2 Round-table integrated by Cosima Barone, Philip Suttle and Julio de Brun and organized by the Central Bank of Uruguay during XXVI Jornadas Anuales de Economa that were held in Montevideo, on 18th and 19th of August 2011. Cosima F.Barone is Chairman of FINARC S.A. Geneva, which provides unbiased financial services to institutions and individuals worldwide.
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money became the common medium of exchange to measure equality and consequences of economic development. Paper money, not to be confused with wealth, has value on two predominant accounts: 1) because the government in power says so, and 2) because people are willing to accept it as payment. However, governments and central banks retain little control over the actions and reactions of paper money holders throughout the globe. Fast-forward to 1975, when the global financial world was hit by a major event that no one seems to remember any more. It had the effect of a tsunami, which marked the beginning of a multi-decade period when global finance interests were, more and more each day, distancing themselves from the real economy. On May 1st of 1975, modern finance was energized when NYSE fixed commissions charged on financial transactions were abandoned at the altar of negotiated commissions. The aim was to encourage a larger public participation in Wall Street, so that liquidity would be enhanced and risk be spread throughout all investors, institutions and individuals. As a result, financial engineers multiplied their efforts, with intelligence and innovation, to create sophisticated financial instruments for investors. The financial industry made larger use of debt, securitization and proprietary trading. Incidentally, High Frequency Trading has already claimed the flash crash of May 6, 2010! In plain English, the message given out to the world by the 1975 shift in the NYSE commission system was that ...every American and worlds citizen had the right to own a piece of the national and global economy. The untold message, however, truly was that ...upstairs trading needed a larger trading base on which to build successfully its creative investment strategies! Financial sophistication is not privy of major consequences. The individual investor is not in a position to effectively compete with algorithm-based financial trading systems, which remain only available to the happy few, who command a large and growing share of the overall trading volume. As a consequence, human traders are becoming a rarity while supercomputers continue to trade with each other! But, for how long? And, how big is the resulting systemic risk of modern day finance? In a nutshell, since the 1970s and under the complacent eyes of governing authorities (government, central banks and financial regulators) the bearing
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of financial risk has consistently and systemically slipped from the hands of the global financial institutions onto the shoulders of individuals, less able to cope with it! 1971 and 1975 were also the years when the global liquidity spigots were left wide open ad infinitum! All subsequent events just filled the pages of a financial history book that was already in the works since August 1971. It is important, therefore, to understand that todays financial mess is part of a systemic debasement of the global financial system that started decades ago. Along the years and decades, capital was displaced from under the control of central banks and governments into private individual and institutional hands, often in foreign countries, and in the shadow banking system. Governments and central banks, as a result do not have adequate control of the economy and financial markets. It is disappointing, indeed, to witness the immense lack of knowledge of leading policy makers around the globe about how the economy and finance are intimately intertwined and about the ever evolving technical intricacies of sophisticated modern finance. This ignorance inexorably leads to miscalculation of risk exposure and to systemic risks day of reckoning. When this well oiled system stops working, it is the policy makers and central banks that are called to rescue the financial system. How can they rescue effectively a financial system of which they simply ignore the increasingly fast evolving sophistication? Yet, the Sovereign State is overtaking the Sovereign Individual! 2. Currency Unions and the Euro Experiment A brief glance at history reveals that, before the U.S. Dollars reign as a reserve currency began in earnest in 1920, there have been five well defined cycles, each lasting approximately a century, when a superpower of the world imposed its currency supremacy over other countries: Portuguese (1450-1530), Spanish (1530-1640), Dutch (1640-1720), French (1720-1815) and British (1815-1920).
Currency Unions too have a long history. They tend to come and go. Currency Unions have a good chance to be successful and stand the test of time only when: a) based on economic inter-relationships and acceptable power structures among union members, as well as between the union and other currency zones and currencies; b) rampant arbitrage is not allowed; c) there is also a political union (i.e., in USA, USSR, UK and Germany); d) there is a single fiscal policy; e) there is a central monetary management; f) wage and price flexibility are a sine qua non; g) there are clear convergence criteria; and... h) there are clear monetary convergence targets. Ever since the fall of the Roman Empire, a dream of European unity and of a dominant European political structure has long animated the continent. After two World Wars, Europe was finally liberated from Nazism in 1945. In November 1989, with the tearing down of the Berlin Wall, the Eastern-half of the European continent was able to overcome 40 years of communism. Finally, European political division started healing. The healing process culminated with the historic milestone of May 1, 2004, when barriers created by the Cold War were finally removed. With the accession of Bulgaria and Romania in 2007, the EUROPEAN UNION (EU) counts 27 Member States, with a total population of almost 503 million inhabitants -- 23 official languages. Despite all the agonising about whether or not it would work, the European Union has effectively created the worlds largest trade bloc stretching from the Atlantic to the borders of Russia, with a nominal GDP over 12 trillion (in 2010) -- or, approximately $16 trillion, larger than the $14.7 trillion of the United States. With 7% of the world population, the EUs trade accounts for about 20% of global exports and imports, only second to the U.S.A. Within this larger Community exists a separate currency union, the EUROZONE, made of 17 member states which have adopted the EURO as a common currency. The EUROZONE represents a total population of almost 332 million inhabitants, and 9.2 trillion GDP (2010).
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The adoption of the EURO was expected to lead to economic convergence, but that has not happened. The European Union failed badly by not creating first a political union, which would have been the indispensable solid foundation for the economic, monetary and fiscal blocs survival. In principle, the European dream was extraordinary: nations would be combined into a single economic regime, which in turn would evolve into a single united political entity! The idea was impressively imaginative and a great gamble! The trouble is that it has not worked. The European project was to endorse unity in all respects: social, political, economic and strategic including security and defense. Being European would have to translate into sharing a single fate and common burdens. With hindsight, Europeans only shared interests, but not a single fate! Furthermore, the European Monetary Union, fierily trumpeted at the four corners of the planet as a smashing success, is turning out already to have been a monumental failure. To be successful, a single-currency union must involve a central or federal government, with tax and public expenditure authority, based on a national or federal GDP, also able to run significant deficits when necessary. The absurdity in the EURO currency union turns around the fact that, within the OECD, member states in the EURO union are the only governments issuing sovereign debt in a currency -- the EURO -- that they cannot print at will! Moreover, the EU has no provisions for monetary divorce! During the decades leading to the EU and the single currency launch, the possibility was not even remotely contemplated of a member state willing to exit the single currency system. As a consequence, no institutional and legal framework is available to allow a member state to quit the currency union. Recently, the EURO has come under ferocious attacks in global financial markets as the European financial, economic and sovereign debt crises moved to a new level. The cruel reality is that debtor nations are lending to borrower nations! Furthermore, the European Union and the Central Bank, even with the benevolent help of the International Monetary Fund, could fail in their efforts to contain the crises.
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European politics are in great turmoil nowadays. At stake are not only the very survival of the EURO and the EUROZONE, but also which country within the EUROPEAN UNION is truly able to take the EUs leadership to the next level. Emerging trends point to Germany using its economic power to reshape EUs institutions to its own liking, while France leads the Continent on foreign and military affairs. The notion of unity as in sharing a single fate in Europe became suddenly energized when Greece run into financial trouble. The Greek crisis unveiled the profound paradox embedded in the European Experiment. Being member of the EU and the EUROZONE, Greeks believed that Greeces problems would be EUs problems! In contrast, Berlin believed that Greeks problems were neither Germanys, nor EUs problems! People in other European countries had the same reaction and felt that Greeks were foreigners. The EURO might not be allowed to disintegrate yet, although the risk of disintegration will exist as long as European nations remain obsessed with nationalism. Individual regional powers not sharing a common vision, with fragmented military and defense policies, with no united foreign policy, with diverse economic policies and fiscal systems, could lead to disintegration of the EU bloc and common currency. If disintegration is avoided, the EU could remain an alliance of states, nothing more than a system of relationships and interests between sovereign nations. Hence, the EURO would have trouble gaining serious and predominant reserve currency and store of value status. The whole European Experiment was built on a dream that economic convergence -- without mandatory fiscal convergence -- would eventually lead to a politically united Europe. Economic convergence never fully happened. Even the introduction of a common currency did not set into motion, as hoped, economic convergence within member states. Worse, the EU is left battling every day with the many fires inflaming its member nations. And, how the EU firemen deal with the spreading fire infers a highly troublesome trend ...that EUs member states are now able to unload risks inherent in national dwindling public finances and economic policy mistakes to the entire EU collectivity. Yet, the basic foundation of the common currency was reliance on the fiscal self-responsibility of each nation adhering to the EURO bloc Not only Europe is violating its
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own founding treaty -- no country is liable for the debts of any other -- but the European Central Bank overcame the explicit ban, within its own constitution, not to be involved in state financing. Widely considered a fatal violation of its own charter, the European Central Bank purchases member states sovereign debt in the secondary market and accepts sovereign securities as collateral even when they have been downgraded by rating agencies. Incidentally, the ECB bought Greek, Irish, Portuguese, Spanish and Italian sovereign bonds. As a result, the ECB holds a substantial amount of questionable sovereign debt. The EU is quite resourceful too at times. On one hand, the EU shows commitment to established legal issues, rules and regulations, but on the other, when confronted with existential threats to the Eurozone, the UNION is able to work on the margins of its treaties -- i.e., the setup of the European Financial Stability Facility (EFSF) and subsequently the European Financial Stabilization Mechanism (EFSM) as an independent bank, headquartered in Luxembourg, which has nothing to do directly with either the EU or the EU bureaucracy. Both funds are truly at the very extreme margin of legality, based on applicable EU treaties. These bailout mechanisms do, indeed, infer how quickly the EU and the EUROZONE officials, out of necessity, sweep under the rug existing pacts if considered suicidal during crisis times. History is in the making, as Europe tries to survive its crises with bailout and hope strategies! Meanwhile, the European Union has opened the door to the International Monetary Fund (IMF). This event is, indeed, a resounding precedent, which could most probably entail future consequences as this international institution could actually reign sovereign across the continent. I believe that cracks are appearing in the sacrosanct national sovereignty of individual member states, even though in a stealth way. If a country resorting to an EU-IMF bailout is de-facto relinquishing its national sovereignty, and if several countries would have to face such a dramatic reality, then Brussels could strategically centralize the European sovereignty power. Embedded into the EU-IMF bailout remains the fact that Germany, which funded the lions share of the EU bailout, is effectively dictating
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the bailed-out nations retirement age, welfare benefits and pensions. Undoubtedly, this is the logic of a common currency, but it has important repercussions in terms of sovereignty! In my view, it is possible that, out of necessity, a centralization process could emerge in Europe, where the people would not be asked for their opinion through risky national referendums. This scenario has every chance of becoming reality provided that European politicians design a simple founding Constitutional Treaty to truly unite the people of Europe! The recent convulsion spreading across global financial markets might be, indeed, putting heavy pressure on the EU to rethink and to redesign the UNION. Hence, threats to social stability could suddenly emerge, as mounting populist angst spreads not only in the countries being bailed out, but also in the countries doing the bailing. 3. Is an International Reserve Fund the Solution? The world is indeed facing many economic challenges, namely the deleveraging across the West, while Japan remains stuck in deflationary doldrums, China resists a total de-peg of the Chinese Renminbi from the U.S. Dollar, and inflation picks up in emerging markets. As the world is thorn with liquidity and/or solvency issues affecting an increasing number of countries, a call for global cooperation and coordination to address the debt problems in the United States and Europe is becoming louder by the day. Investors, are consistently getting out of the U.S. Dollar and the EURO to literally stampede into the perceived-safety of the Japanese Yen and the Swiss Franc. Amid growing concerns over a global slowdown, Japan and Switzerland are, as a result, worried that economic problems in the U.S. and the EUROZONE are driving up the value of their currencies to absurd levels and hurting domestic exports. Emerging countries, with the economy firing on all cylinders, are also attracting strong inflows of foreign capital pushing their currencies to alarming levels, threatening the vitality of their export sectors and raising inflation worries. Money flees low interest rates in the U.S., Japan
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and Europe, to reach out to plumper returns in the currency of Australia, New Zealand, Brazil, Canada, South Korea, Israel, South Africa and ...Uruguay. Currency Wars began to spread across the globe as Brazil, Japan and Switzerland tried to calm currency waters, but to little avail, if any, so far. Are there viable solutions at hand? From the ashes of the 2007-2009 crisis, the G-20 came to life as global comprehension, cooperation and coordination was deemed to be the cure to the financial and economic agony spreading across the planet. Beyond the G-20, other ideas have emerged. The World Bank sees a multipolar global economy developing by 2025, to which emerging economies -- Brazil, China, India, Indonesia and the Russian Federation -- would contribute the largest share of total growth. Concurrently, the international monetary system should cease to be dominated by a single currency. The World Bank identified the U.S., the EUROZONE and China as the major growth poles driving the world to its new order. Based on this unfolding reality, the World Bank envisions a multicurrency system in which the U.S. Dollar, the EURO and the Chinese Renminbi, would each serve as full-fledged international currencies. However, such a system would herald a return to a fixed exchange rate arrangement between major countries providing the reserve currencies in a world of free capital mobility. Moreover, a multipolar currency system, as suggested by the World Bank, would be a daunting task requiring policy coordination and loss of national monetary policy sovereignty. As we have observed, such a system has not worked in Europe! The IMF proposed to adopt its SDRs unit (Special Drawing Rights, created in 1969 to support the Bretton Woods fixed exchange rate system) as a global reserve currency. Hence, China seems to favour this idea. Incidentally, Madame Christine Lagarde, Managing Director of the IMF, nominated Mr. Zhu Min, the first Chinese Vice-President Special Advisor at the IMF. Are these two events related? Do they infer future intense work for a bancor type supranational currency (idea fathered by John Maynard Keynes)? Will a supranational currency be the solution?
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In 2008, even the United Nations gathered global experts in view of designing reforms of the international monetary and financial system. The UN-mandated Commission of Experts published in September 2009 a plethora of prescriptions aimed at global coordination of monetary policy and fiscal policy, a more balanced size of the financial sector as a share of GDP, a restructuring of the financial system, the role of central banks, more balanced allocation of capital to productive use, etc. The UN too, along with the IMF and China, seems in favour of a Global Reserve Bank and an international reserve currency, not linked to the external position of any particular national economy and designed to regulate the creation of global liquidity and maintain global stability. All represent great ideas for the future! 4. A New World standing on Values The world is indeed at a crossroad. The world will have to choose between an ever evolving financial sector mostly disconnected from the economy made of real human beings, living in a real world, working in a real economy and deserving fair compensation for hard labour. Some global leaders have strongly called for moral values to be put back into the management of planet Earth. It is imperative, indeed! However, their call sounds so much like populist political prescription during the global financial and economic crises. Yet, people need their leaders to be visionary and to have the political courage for setting into motion progressive economic, political strategies in advance for future generations. Unfortunately, politicians only worry about the next election! In the meantime, the world of finance never sleeps! It constantly moves forward with very innovative financial engineering. Then, how to reconcile fairness and harmony, including innovation, in this unsettled world? I strongly believe that fair compromise must replace nonexistent perfection. Politics, economics and finance have rarely, if ever, in history been in equilibrium during this most needed and essential compromising exercise. The world is facing exactly this imbalance at the present time. The imbalance is so stretched that it will take political courage and large efforts for many years, from all involved actors, in order to attain some sort of equilibrium between political, economic and financial forces for the good of people.
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Major reforms on Earth are always a product of necessity, not of mere ideological vision. I am convinced that a new vision will at some point emerge from the ashes of the current global crises. However, instead of fantasizing on a new global currency and a new global central bank, both of which might take decades to develop, I believe that there is an impending need for immediate action. The citizens of world are already on the streets of their capitals wanting to work and to earn a fair price for it, to have transparent and accountable government and fiscal structures, as well as peace and harmony. I have identified simple and straightforward actions that every government, if truly willing to work for the good of people, should consider at the national level, possibly also coordinate it internationally, without any further delay. These actions are: Reconsider the 1. size of the government and cut down all excesses and all inefficiencies; Simplify the 2. fiscal system, eliminate all niches -- only able to capture votes at election time -- and build a fiscal system more just and totally cleaned up of all complexities mostly incomprehensible to the people; Reconsider the financial 3. derivatives market structure in order to allow the use of derivatives only for hedging purposes of real transactions in the real economy. Cut entirely the unnecessary 4. sophistication of financial markets across the globe. Forbid the 5. making money with money strategies and black pools activities (computers trading with computers) and let the people be part again of the financial market. In other words, the financial market should stick primarily to its essential role of being the intermediary between savings and the use of these savings in the real economy. Banks should return to their main role of financing the real economy.
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I believe that these measures, although requiring real political commitment and daunting efforts, could be discussed, negotiated and implemented in a much easier and rapid way than any other visionary international new structure at the moment. The people around the globe would understand, appreciate and support such efforts. Admittedly, these measures might sound retrograde at the present time. But, when the machine is broken as it is now, the clock must be stopped for a while and even turned back. A dose of common sense is necessary in order to consider each economic and strategic issue in the proper perspective. Then, global economies can rebound in a stronger and sustainable way in a NEW WORLD standing on VALUES! Undoubtedly, as the world economy goes through major transformative change in its growth dynamics and industrial landscape, there will be time to design appropriate mechanisms for the global governance of economies, international liquidity and reserves, and the creation of global liquidity for specific global issues (famine and water, for instance), aiming at global growth and financial stability. The current monetary system most probably needs to be totally overhauled in order to accommodate the new realities of globally intertwined economies. Therefore, I strongly believe that the above-mentioned first steps must imperatively be considered in each country. Indeed, a solid building requires serious architectural work at its foundations first. Otherwise, the outcome could only be a monumental ruin standing on multiple ruins! Allow me to conclude this presentation with some recommendations for your beautiful country. Uruguay should particularly focus on economic strategies that would engineer internally generated growth, able to ensure solid employment perspectives to all citizens, especially to its youth. Uruguay should reduce its dependence on foreign capital and be particularly vigilant to prevent foreign speculative capital from gaining substantial control of domestic strategic economic sectors and corporations. Political, economic and fiscal stability, are essential to attract foreign investments. But, above all foreign investors scrutinize the level of security provided by the government of Uruguay.
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ANNEX A.1 Historical Transitions
A.2 Market capitalization
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A.3 CURRENCy UNIONS ...TEND TO COME AND gO... ... ONLy THE U.S. DOLLAR WAS TRULy SUCCESSFUL ... ... WILL THE EURO SURVIVE THE CURRENT CRISIS?
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A.4 Is the EURO a Reserve Currency? International Confidence must be earned!
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A.5 EUROPEs Milestones -- 1948 to present
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A.5 EUROPEs Milestones -- 1948 to present ...cont.d from previous page
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PHILIP SUTTLE1
I think I should actually congratulate Uruguay for organizing this very interesting looking conference. Also, in light of what is going on and what the previous speaker said, for showing the world that there is life after selective default. It must be said that there are many people in Europe looking at the experience of Uruguay, what happened earlier, during the past decade, and the lessons learned. Well done. I am going to focus my comments on five areas. My comments will focus much more on shorter-term economic issues, so I think it fits very nicely with the previous presentation; they are both very different but I think they both provide interesting angles. First, I will spend some time talking about where we are, particularly how to interpret the most recent global dip. The second topic I want to spend some time on is what comes next. Third, how will the Euro crisis play out weve heard some of that in the last presentation so I will not spend too much time there but I think we agree that there is a mess ahead for Europe, it is a very challenging situation. The fourth topic is actually whether S&P was right to downgrade the United States Ill leave my answer until I get to that, I will keep you on tenterhooks. Finally, I will conclude on how emerging economies will perform against this backdrop. Chart 1 shows a lot of numbers, and that tells a very clear story which is that the global economy has slowed quite uniformly in recent months. In the second quarter about three quarters of the data are in so far it looks as though global growth has slowed to about a 2 % pace. In what we like to call mature economies (the OECD or what used to be high-income countries) growth is slowing to about 1 % in the first half of the year, with Japan in particular going into recession as well see in a moment caused by the earthquake and the tsunami. What is equally noticeable, however, is that the emerging economies have held up pretty well. Through the first quarter of the year they showed some slowing which was most pronounced in East Asia, the Asia Pacific region.
Deputy Managing Director and Chief Economist, Institute of International Finance.
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All of this just underlines the fact that global slowing has been pretty uniform and I think we are not quite at the point where we are worried about recession risks but we are clearly flirting with a period of sustained sub-par growth, with the manufacturing sector, as youd expect, being on the weak side of average. But I think that it is quite important to know that it is not just inventories and manufacturing volatility that is giving us this slowdown: weve had a crossover. Chart 1 - Interpreting the most recent global dip.
* Includes IIF estimates
Chart 2 actually highlights the United States. Across the world we have seen consumer-led weakening in recent months. You can see the United States the dark line. This axis shows the total consumer spending and the grey line at durable goods spending. You can see that, as always, durables spending had led total spending down. Obviously part of that is also consumption. A significant part of that, we think, is related to disruptions with Japan.
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Chart 2 - A Consumer-led Weakening Real Private Consumption Percentage 3m/3msaar (both scales)
So, when you take a step back and ask yourself what are the drivers of what I like to call a mini-cycle, I think there are five essential features which have given us this weakening. In some sense, looking at those five features is useful when thinking about where to go next. They are: Fiscal tightening in Mature Economies Monetary tightening in Emerging Markets Oil price surge Japan earthquake disruptions Debt crisis worries? The first is basically fiscal tightening in the mature economies which, although I think well all agree theres still a lot of that ahead, I believe its important to recognize that weve already entered a phase of significant fiscal tightening.
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The second factor, which I think has highlighted its importance these days, is that weve had a significant round of monetary tightening in emerging markets, specially in countries like China and India, Brazil included as well, obviously. Both got a little concerned about inflation tensions at the end of last year and this year they have tightened their monetary policy. Maybe it is too early to expect all of that tightening to have had its effect, but certainly I think the first wave of impact has spread. The third factor which I think we all recognize as very important is the surge in oil prices, some of it triggered by global demand but a lot of it triggered by the instability coming out of the Middle East. The fourth factor which I think is very important but hopefully will be short-lived is the disruptions resulting from the Japanese earthquake, and that it is true specially in the auto sector. I think weve all been reminded once again how powerful the auto sector is. And the fifth factor which I think is a lot more recent and therefore probably its premature to think that this factor is fully played out in any sense or maybe even partially played out are all of the worries relating to the debt crisis in Europe, the renewed worries there. Also, we can include the worries that we had in the United States. But I think that as we look at these five factors and consider, looking ahead, how they will play out, it is fair to say that some of them are still clearly going to be with us. What I think is important to know here is that it is pretty reasonable to expect the second half of the year to be a bit stronger. I guess one can always hope, but I think that there is more than just hope here there are a number of factors playing out, some of which I just outlined, and, as they get a bit reversed here, they could produce a better second half readout, most notably with Japan producing a snap back, and that will help other economies. Weve already seen in the United States, for example, some of the June/July (specially July) indicators looking better, including in the manufacturing sector, in part because of the normalization of auto production as well as auto sales. I dont want to make too much of the auto sector, but I think it is very important to recognize that its been a pretty powerful influence.
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Chart 3 - 2011 REAL gDP Q1-Q2 average Percent, q/q saar Q3-Q4 average Percent, q/q saar
And I think on top of that you have to argue that, while there are some reasons for a temporary rebound, the outlook across the major economies for the second half of the year does not actually look that bright. You can see on the right hand chart on Chart 3, the dark bars show that weve got a very spectacular outlook in Japan but elsewhere the growth rates for the U.S., the Euro area (the United Kingdom, for example) are all pretty meager, in fact in the U.S. it is expected that growth will be about 2.5 % in the second half of the year, capping off the 1 % increase in the first half. So, over the year as a whole thats not too impressive and certainly underlines a disappointing picture. The other point I would like to emphasize and this is perhaps most relevant to the emerging world because this is the good news about this short-term cyclical story is that we should see receding inflation pressures. All the signs are there, in the pipeline: whether were looking at oil prices, food prices or simply more general demand trends, all signs point to a moderation of inflation.
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Chart 4 Inflation Pressures Receding Mature economies Emerging Economies
How will the Euro crisis play out? I will make two basic points. One, I do not really know, but what I do know is that its not going to look good, its not going to be pretty. I think the previous speaker did a wonderful job of setting the backdrop to the Euro crisis and emphasized that this is really as much a political struggle or a political set of issues as it is an economic set of issues. That is part of the reason that I, an economist, have no idea how all those issues work and think and interact with one another. But we have to say that the precedents so far, in the last year and a half of the crisis, have not been good. As we like to say in financial markets, the politicians have not typically got out ahead of the curve; instead, they have typically responded to problems. So, I think it is reasonable to expect difficulties ahead. I am not a monetarist, but I do like to show that if you look at the relationship between M1 growth in Europe and the leading indicator one year ahead, real GDP growth, it does seem to work quite well and it does not augur particularly well for the year ahead (Chart 5).
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Chart 5 - Real gDP and M1 Real growth Percent change over a year ago (both scales)
In a very tough financial environment, specially in the banking sector in Europe, the ECB is likely to play a continued role as the lender of last resort, in a sense, as the de facto fiscal authority, because the ECB is really lending to the banks so that they can maintain or in some cases increase their sovereign debt holdings and if the ECB was not able to do that then banks would be forced to sell their sovereign debt holdings more aggressively than they have been doing then the problem would calm down a lot quicker than it is likely to do. My sense here is the Euro crisis is just going to play out as a bad story for the next year or year and a half.
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Chart 6 - The European Central Bank is the lender of last resort, for now Lending to Monetary Financial Institutions Percent of banking sector assets
But I think what were painfully learning is that really the Euro area officials face a choice between seeing the system fragment in some fashion I do not think wed want to choose that option and the other option, which is some degree of accelerated fiscal integration. We essentially think that the latter is the approach that is likely to be followed, not a preemptive measure, but the increasing widening of fiscal integration in the form of more and more centralization of debt and debt guarantees. One more reason for that, which I think is highlighted by Chart 7, is that the credit environment at the sovereign level within Europe is really very serious. If we compare the deterioration of the credit worthiness of what we like to call the EFSF-3 (which is basically Greece, Ireland and Portugal), if you line that up against the deterioration of credit in East Asia in the Asian crisis in 1997-98, you can see that already were not doing so well. Frankly, a year and a half into their crisis in East Asia theyd already found a possible beginning to improve and I think were nowhere near that in Europe. So, I think this is really looking to be quite a serious global credit event which I think will require the choice of either euro fragmentation or, more likely, some degree of accelerated euro fiscal integration.
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Chart 7 - Europe`s choice: EMU survival requires Fiscal Integration Sovereign credit ratings on long-term debt Average of Moody`s, S&P, and Fitch long-term ratings
Finally, that takes me to my fourth set of topics, which is Was S&P right to downgrade the United States? We can all debate the validity and worth of sovereign credit worthiness indicators and sovereign ratings, but I think my answer would be, clearly, yes. Just to be fair to countries around the world, and I would refer to that point by saying that among the mature economies its not just the U.S. that needs to be downgraded. I think where we are fundamentally in the world is that we are seeing a significant rotation in creditworthiness, in a sense away from high creditworthiness in the mature economies and low creditworthiness in the emerging economies to something of a convergence.
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Chart 8 - Was S&P right to downgrade the US? Sovereign term ratings on long-term debt Average of Moody`s, S&P, and Fitch long-term ratings
In Chart 8 you can see the indicators. The bold line represents the mature economies, the grey line represents the emerging economies. My sense here is that in five or ten years time we are going to be converging on a sort of A+, AA type range; Uruguay will be on the way up and the United States and another set of countries will be on the way down. Frankly, this reflects all these fundamental developments that we have been looking at for the past 15-20 years. Latin America has managed to get its house in order, specially on the fiscal side, and the mature economies have done the opposite, so sovereign ratings should be expected to respond to that.
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Chart 9 - Domestic vulnerability Real gDP forecast for 2011 Q4/Q4 (as published in IIF monthly global Economic Monitor)
One of the features of the United States is that we are struggling to grow and we are struggling to establish credible recovery. In that sense, from a sovereign creditworthiness perspective, there are problems on both sides of the calculation. The numerators of the debt ratio keep going up, debt levels keep going up because in a low-growth environment it is very hard to get the budget deficit under control we have seen that very recently in Washington, all this rhetoric about doing something while very little gets done and in a low-growth environment this is doubly bad because the denominator of the debt calculation just does not go anywhere. So, the numerator is going up and the denominator is flat to down. Thats very much the environment that Japan has found itself caught in recently and, I hate to say it, but the United States is looking as if it could get there as well.
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Chart 10 External Vulnerability Fed custody holdings on behalf of foreign insitutinons
On Chart 10 we point to the external vulnerability of the United States. It is not just bad that we have domestic debt which is high and rising, but a huge amount is owed to foreigners. In fact, if you look at the left handside you can see that just the Fed itself has custody holdings on behalf of foreign central banks that now total about 3.5 trillion dollars, and you can see that in recent years foreign central banks maybe the Central Bank of Uruguay would be proud of that have been sellers of agency securities and buyers of treasury securities. How will the emerging economies perform in this environment? I think one point to make is that it is going to remain a very challenging external environment for emerging economies. But I guess what we feel is quite important is that the domestic demand environment in many emerging economies remains quite favorable. You can see for Latin America, for example, we project around 4 % growth for this year and next slower than 2010 but 2010 was a year of unusually strong recovery. We continue to project East Asian growth at a 7 to 8 % rate, obviously much of that led by India and China. I must confess there are probably more down-side risks in some of these numbers than up-side risks at the current time. It must be emphasized that with a very permissive monetary environment in the emerging world the prospects for domestic demand are quite good.
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Chart 11 How will the emerging economies perform in this environment? gDP growth by region
So far, what people in Uruguay, Brazil, Argentina, China, India, Turkey, what people across the emerging world need to worry about is first of all the U.S., Japan and Europe, thats a problem. But the key challenge is having to live with global monetary policy of zero inertest rates. Chart 12 - The key challenge Real policy rates Percent, deflated by headline inflation
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And I think if there is one point I would take exception with the previous speaker is that she put a lot of blame, in a sense, on the global financial system, on the global banking system, but I think you have got to worry a little bit about the policy makers and their responsibility here, in setting interest rates at these levels and keeping them there. We just heard the Feds say that they are going to keep them there until the middle of 2013 that produces a very dangerous backdrop against which I think financial markets have to operate. In a sense, you cannot think of global financial players as innocent bystanders as that would not be the case they are certainly not innocent and they are not bystanders but there is a system in which they have to play and operate to maximize profits, etc. And I think the picture I am showing here is a very toxic system, this is not a good environment got financial markets to operate in. Chart 13 Divergent credit conditions
One thing Id like to draw your attention to is that we do a survey of the Institutes bank members essentially among emerging market banks and what we are doing is asking them about credit conditions as well as demand conditions. On Chart 13, on the left had side you have a picture of whether banks are tightening or easing conditions. I think for us the good news is that in the emerging world banks are actually tightening or being quite cautious on their supply side conditions the credit. In the left hand chart, the bars that are below 50 mean that they are tightening credit
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conditions, above 50 it means net easing. You can see on the supply side how banking members are actually being quite cautious, but if you turn to the right-hand picture what you see is some very dramatic news on the demand side. And that just goes back to highlight what I was emphasizing earlier: that the conditions here in the emerging world are very, very buoyant in terms of domestic credit and domestic demand. Concluding thoughts: there are five basic sets of issues to go back over. First, the global growth picture is not very good but, most important of all, global conditions remain very divergent. I would say down-side risks have intensified in recent months, although, having said that, we still think that the second half of the year will be better, so we had a bad first half and will have a slightly better second half, and then 2012 will not be that good. The European situation is bad and it is going to get worse; we are going to have a lot more local Sarkozy summits and ad hoc meetings to fix the plumbing. The fourth point would be that the U.S. is facing formidable fiscal headwinds, leaving a lot of pressure on the Fed I would say placing excessive pressure on the Fed. I think if you go back ten years in the emerging world and I asked you all what you would like youd all say more credit, a better environment for credit, lets have more external finance. All I can say is be careful what you wish for.
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JULIO DE BRUN1
Es difcil atar el montn de puntas que este tema genera en un intervalo tan breve, por lo que aunque voy a dejar muchos cabos sueltos, prefiero concentrarme en algunos aspectos, en beneficio del tiempo y la posibilidad de tener una ronda de preguntas posteriormente. Cuando uno ve las noticias y analiza estos temas, ya sea en charlas pblicas como sta o en reuniones entre amigos, tiene la tendencia a mirar los problemas de Europa como miraba los de Latinoamrica hace quince o veinte aos: de manera separada aun cuando estuvieran pasando simultneamente. En los aos ochenta uno vea como Argentina, Uruguay, Mxico o Brasil resolvan su deuda y sus problemas fiscales, de inflacin y dems, como casos separados. Y de la misma manera se trataron analticamente otros episodios posteriores. En esta cuestin de Europa se tiende a hacer lo mismo; uno dice bueno, hoy los mercados atacaron a Francia; hoy los mercados atacaron a Italia; Grecia pas este paquete de medidas; ser posible o ser sostenible la deuda de Grecia; ser sostenible la deuda de Portugal, de Irlanda, de Espaa... en fin. Uno tiende a recibir noticias, analizarlas, procesarlas y discutirlas como si estuviramos hablando de un conjunto de pases, tratndolos individualmente. Me gustara centrar mi charla de estos minutos en si se es el enfoque correcto, si deberamos estar mirando las cosas de esa manera. Creo que esto es relevante porque, adems, a nivel de lderes polticos tambin se tiende a abordar el problema de esa forma. Ciertamente ese sera el caso correcto si estuviramos hablando de pases con ciertos vnculos comerciales o financieros entre ellos pero esencialmente separados y en ausencia de un proyecto poltico de unin por detrs de ello. En ese caso s dicindose podra decir: veamos cmo cada uno de estos pases resuelve sus problemas fiscales y sus problemas financieros y su respectivo sistema financiero y, en definitiva, sus problemas de endeudamiento.
Presidente de la Asociacin de Bancos Privados del Uruguay.
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El punto es que hoy por hoy, y repitiendo expresiones de quien me precedi en el uso de la palabra, estamos realmente en un cruce de caminos en cuanto a si debemos seguir discutiendo las cosas de esa manera. Viendo, por lo tanto, cmo distintas instituciones de cooperacin financiera internacional existentes ms las que se estn desarrollando en la propia Europa intentan resolver estos problemas soberanos en forma aislada o si, por el contrario, se decide finalmente a nivel poltico tomar sto como un nico problema, relacionado no slo con el euro como moneda sino con Europa como proyecto poltico. Yo creo que esa es la principal cuestin que se va a ventilar en los prximos meses o en los prximos aos: si de esto surge un proyecto de una Europa polticamente unida y, como corolario de ello, una moneda comn, o simplemente tenemos un conjunto de pases con acuerdos comerciales, acuerdos financieros y algn rgimen monetario de mayor o menor alcance, segn lo que pueda ser la situacin de cada uno de ellos. Entonces, aqu surgen dos o tres cuestiones que hacen a la dificultad de este asunto. Como ya haba las enumerado Cosima en su presentacin, hay muchas razones por las cuales no se puede pensar que Europa sea un rea monetaria comn o que tenga las caractersticas de un rea monetaria comn. En este momento, adems de todos los problemas polticos ya mencionados, Europa est en una situacin con dos claras divergencias en materia de tendencias de crecimiento en los ltimos aos: en lo que ha sido el relativamente fuerte desempeo de algunos pases el caso de Alemania, el caso de Francia y el verdaderamente dbil desempeo de otras economas fuertemente afectadas por problemas de competitividad y productividad, como el caso de Portugal, Grecia, la propia Italia y Espaa cuando uno deja de lado todo lo que fue el fenmeno asociado a la construccin. Esas diferencias de productividad, esas diferencias en ciclo econmico, ciertamente son puntos que en la literatura de reas econmicas se sealan en el sentido que si hay shocks tan dispares y situaciones cclicas tan dispares no es conveniente (o no es razonable) estar pensando en un rea monetaria. Debo precisar que respecto de estos argumentos siempre pens que si hay un lugar en el mundo que tiene pocas de las caractersticas de rea monetaria comn que se sealan en la literatura es el de los Estados Unidos de Amrica. Qu coincidencia de ciclos econmicos o de convergencia de productividad puede haber entre Nebraska, Alaska, Florida, Louisiana, California, Nueva York...? Entonces, en realidad, cuando uno mira los requisitos de una zona monetaria comn, ms que una cuestin normativa sobre
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qu lugares del mundo o qu regiones del mundo deberan constituir reas monetarias y qu regiones no deberan serlo, , uno simplemente debera ver esas condiciones como el tipo de obstculos que tiene que superar quien desea llevar adelante un proyecto poltico de unificacin. En otros trminos, para lo nico que deberamos mirar las condiciones de la constitucin de un rea monetaria es para preguntar: Usted, en su proyecto poltico, est dispuesto a sobrellevar todo esto y seguir adelante ms all, pase lo que pase?. O no? Si no est dispuesto, bueno, vaya pensando en otra cosa, no se complique la vida con estos temas, pero si est dispuesto mire lo que tiene por delante. Entonces, cuando uno mira lo que ha sido la diferencia de desempeos en Europa, que en definitiva han ido llevando a esta situacin actual, en primer lugar uno observa un beneficio evidente de lo que fue para algunos pases integrarse a la zona euro en trminos de reduccin de deuda, en trminos de compresin. Un poco relacionado con esta simbiosis que ha habido en los ltimos treinta aos entre monedas, entre papel moneda o dinero fiduciario y deuda de pases, la mera adhesin al euro por parte de algunos pases, gener una compresin de los spread de deuda ms all de lo que se justificaba por la propia dinmica de las finanzas pblicas en cada pas. Independientemente de que en un pas tuviera 4, 5 o 6 por ciento del producto de dficit o tuviera un tamao de deuda de 50, 60, 70 o 100 por ciento del producto, todos los spread en la zona euro se comprimieron simplemente por el hecho de que un pas entrara al euro y por lo tanto pasara a formar parte de este club, como si la moneda comn de alguna manera garantizara la solvencia de todas las deudas soberanas. Lamentablemente, en muchos de estos pases el beneficio de la reduccin de spread, el efecto ingreso favorable que result para las economas de la reduccin de spread, se tradujo en gran parte en gasto improductivo ms que en contribuciones a la mejora de la productividad. As, observamos esta trayectoria de gastos ascendentes en todos estos pases, exacerbada por la crisis de fines de la dcada pasada y con la recesin que estos pases tuvieron en los ltimos aos. Entonces, hoy por hoy tenemos un problema de altos niveles de deuda y elevado dficit fiscal en varios pases europeos, y uno podra dirigir una charla de estas en dos sentidos. Uno, cmo cada uno de estos pases eventualmente resuelve estos problemas: es sostenible la deuda de
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Grecia?; es suficiente el esfuerzo fiscal que se est haciendo?; el tamao de la deuda de Espaa, es preocupante o es ms preocupante el nivel de su dficit fiscal?; es posible que en algn momento converja hacia niveles de resultados fiscales ms sostenibles en el tiempo? Uno hara un anlisis de cada uno de estos pases y dira: bueno, Grecia no es sostenible; Italia capaz que s lo es; Espaa s lo es, pero necesita reducir su desequilibrio fiscal, y as por el estilo. En esta oportunidad me gustara plantear las cosas de otra manera, diciendo: A Carlomagno le hubiera preocupado esto? George Washington, Adams, Hamilton, Jefferson, hubieran dejado que el estado de Nueva York negociara sus problemas fiscales con sus acreedores holandeses en forma independiente? O hubieran considerado (como lo hicieron) el problema financiero de cada Estado como una cuestin de la Unin que queran llevar adelante y resolverlo conjuntamente? Ciertamente, a Carlomagno no le hubiera quitado el sueo el problema fiscal de un feudo y, ciertamente, si se hubiera procedido por parte de los fundadores de la Repblica norteamericana en la forma que hoy actan los gobiernos europeos con respecto a la situacin fiscal de cada uno de estos pases nunca se hubiera llegado a formar el Estado de la Unin. Es ms, a tal punto esto es as, que Estados Unidos en su momento tuvo que encarar diferencias de problemas fiscales internos, diferencias de productividad interna, con tensiones que eventualmente llevaron a una guerra civil, y que justamente, en la propia visin de conservar la Unin, se estuvo dispuesto a ir a una guerra para mantenerla. No quiero decir con esto que Europa termine en guerra; simplemente lo que quiero es marcar la diferencia de problemas que se tienen hoy en Europa con respecto a regiones del mundo que en su momento tuvieron un proyecto de Unin y tomaron las medidas que fuera necesario tomar para llevar adelante ese proyecto. Las incgnitas que a uno se le plantean hacia el futuro son si Europa va a resolver esto como un problema de la Unin Europea, en cuyo caso: i) los ajustes fiscales tendrn que producirse en cada uno de estos pases, y ii) sin ser tomados como consecuencia de una imposicin externa sino como el compromiso que cada uno de estos pases o estas regiones tiene con la Unin, o si, alternativamente, hay que pensar que la solucin de este problema pone en juego la viabilidad del proyecto de Europa como Unin. Mucho se ha hablado del efecto negativo que pueden tener en materia de crecimiento econmico los ajustes fiscales en Europa. Yo creo que ha sido
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tan mala la calidad del gasto pblico en Europa en los ltimos 15-20 aos que buena parte de los recortes fiscales que se estn planteando son excesos fiscales que, en todo caso, su eliminacin es promovedora del crecimiento econmico ms que un shock negativo de demanda en el corto plazo. El tema fiscal esencial en Europa a largo plazo es la viabilidad de sus sistemas de pensiones y esto es un problema independiente, relacionado con la crisis actual pero que tiene que abordarse bajo cualquier escenario, independientemente de lo que se decida con el mantenimiento de la moneda. Las consecuencias de las reformas o de la ausencia de stas en los pases europeos en los prximos aos determinar no slo la sostenibilidad de su deuda soberana sino tambin si hay un freno a posibles efectos de contagio, a nivel no solamente europeo sino tambin a nivel mundial. . Pero lo que uno ve hoy por hoy es un discurso dual y un conjunto de medidas duales que apuntan a ambas cosas. Por un lado recordar a cada uno de los pases que tienen un compromiso con la Unin Europea y por lo tanto deben llevar adelante ciertas medidas y aqu es muy importante lo que sealaba Cosima, el tema es si democrticamente cada uno de estos pases est dispuesto a hacerlo: si no est dispuesto a hacerlo que no se tome la molestia de pertenecer a la Unin, pero si quiere los beneficios de la Unin deben hacerlo. Porque en definitiva, si cada pas miembro no est realmente dispuesto a tomar las medidas necesarias, entonces no vale la pena seguir insistiendo en mantener a ese pas o esa regin dentro de la zona del euro. O la alternativa y algunas de las medidas que se han tomado en Europa tambin de alguna manera tienden un puente en ese sentido es aceptar que eventualmente algunos de los pases involucrados no puedan completar la sostenibilidad fiscal que requieren a mediano plazo, y que en ese caso los efectos hacia el resto sean lo ms leves posible, en particular en lo que tiene que ver con el sistema financiero. Quizs lo que uno debera pedir a las autoridades europeas en este trayecto es un poco ms de claridad y conviccin en lo que realmente quieren hacer. La preocupacin sobre el evento de default en este contexto creo que est sobrestimada. Lo que se hizo respecto de Grecia el anuncio respecto del deseo de que los bancos contribuyan en un rollover de sus dbitos con una especie de Brady pequeo con distintas alternativas de bonos a mediano plazo y dems si se hubiera iniciado por el gobierno de Grecia unilateralmente, presentndolo como un anuncio frente a sus acreedores, seguramente hubiera implicado que las calificadoras de riesgo inmediata-
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mente pusieran a este pas en selective default hasta que se completara el proceso de aprobacin por parte de los bancos de su propuesta de reestructura. Como no lo hizo Grecia sino que lo hicieron las autoridades europeas, incluso como mecanismo de presin frente a los distintos bancos, esto se viste de voluntariedad y por lo tanto por ahora las calificadoras no han dicho nada, aunque lo que se hizo a ese respecto es exactamente lo mismo (aunque formalmente diferente debido a quien lo anuncia) que lo que hizo Uruguay en marzo del 2003 cuando inici su proceso de dilogo con sus acreedores. Entonces el selective default ya est planteado y el problema de esta falta de conviccin es que se ha planteado un selective default que lo nico que hace a largo plazo es mantener la expectativa de deuda de Grecia estable, si sale todo bien, en 150 por ciento del producto. O sea, hacer todo este esfuerzo para no resolver el problema de la deuda parece en todo caso un desperdicio. La misma contradiccin y dudas aparecen con los anuncios del Banco Central Europeo respecto de su compra de bonos soberanos en el mercado soberano. Ms all de todos los problemas estatutarios que pueda tener para hacerlo, el tema es que si se ha decidido que el Banco Central Europeo va salir a comprar deuda soberana en los mercados los recursos disponibles deberan concentrarse en comprar la que est sufriendo en el momento ms ataques especulativos, como la de Italia, resultando incomprensible que salga (como sali) a comprar deuda de Portugal o de Irlanda cuando ya el problema de deuda de esos pases estaba incorporado en los mercados y por lo tanto lo que hiciera el Banco Central a ese respecto era poco efectivo. En fin, repitiendo lo que deca hasta este momento yo creo que en los prximos meses, ms que en el prximo ao, vamos a estar viendo cul es el futuro de Europa, si sigue siendo una Unin o simplemente un conglomerado de pases que funciona en forma ms o menos en coordinada.
UNDERSTANDINg UNCONVENTIONAL MONETARy POLICy: A NEW MONETARIST APPROACH

STEPHEN D. WILLIAMSON1 swilliam@artsci.wustl.edu This version: October 2011 ABSTRACT: This paper focuses on Federal Reserve policy in the United States after the financial crisis. Three key interventions - QE1, QE2, and forward guidance - are reviewed, and a model is outlined that can be used to help understand some of the consequences of the financial crisis, and the policy responses to the crisis. Liquidity traps play an important role in the analysis, and it is shown how the financial crisis led to an unconventional liquidity shortage, requiring an unconventional policy response. Keywords: Money, microfoundations, monetarism, monetary policy. JEL Classifications: E40, E50 INTRODUCTION Before the financial crisis in 2008-09 the academic economics profession perhaps seemed a well-ordered place. Economists were going about our business writing and publishing papers, debating economic issues at conferences and in the seminar room, and working with policymakers in an attempt to make the world a better place. There were disagreements of course, and sometimes those disagreements were heated, but the system seemed to be working. Mostly, good ideas appeared to be rising to the top, and academias structure of peer review and incentives, though of course imperfect, seemed to be working to advance economic science.
1 2 This paper was prepared for the Banco Central del Uruguay. Washington University in St. Louis and Federal Reserve Banks of Richmond and St. Louis.
Revista de Economa - Segunda Epoca Vol. 18 N 2 - Banco Central del Uruguay - Noviembre 2011
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STEPHEN D. WILLIAMSON
Since the financial crisis, the world appears to have changed, though maybe we are just seeing pieces of that world that we were unaware of. People who want to assign blame for the financial crisis have targeted economists, and macroeconomists in particular, with accusations of neglect, if not corruption. Within the profession, some economists have criticized particular economic research programs as being out of touch. Krugman (2009), for example, feels that much of the mainstream developments in macroeconomics and financial economics of the last 40 years are useless and should be relegated to the trash heap. Caballero (2011) argues that macroeconomic research has been too focussed on minor perturbations of the neoclassical growth model, and that there should be more experimentation in terms of research paths. A common complaint seems to be that there has been a neglect of the study of the financial sector and its role in aggregate economic activity. Some macroeconomic researchers may indeed have been guilty of ignoring the details of financial arrangements in their work. For example, the researchers whose work appears in Kehoe and Prescott (2007) seem dismissive of the role of monetary and financial factors in depressive economic episodes. Also Woodford (2003), an influential handbook for monetary policy, focusses exclusively on the role of monetary policy in mitigating the frictions resulting from sticky prices, while ignoring monetary exchange and financial frictions. However, plenty of rigorous and well-respected research has been conducted over the last 40 years or more that addresses the role of private information and limited commitment in financial contracts and incentive contracts, examines the functions of financial intermediaries, highlights the role of assets in exchange, and integrates these ideas in macroeconomic frameworks that are amenable to policy analysis. Indeed, we do not have to dig deeply or look far afield to find top quality macroeconomic research on imperfect financial markets and to observe macroeconomists thinking outside the box. In Williamson and Wright (2010, 2011), Randall Wright and I discuss the details of what we call New Monetarist Economics, which is the area of macroeconomic research in which we work. We think of this research program as having two branches, one dealing with monetary economics, and the other with financial intermediation and banking, though in a sense our view is that this is all financial economics - a unified whole. Key contributions in the monetary economics research program are Kareken
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and Wallace (1980), Kiyotaki and Wright (1989), and Lagos and Wright (2005), and key early contributions in the financial intermediation research program were Diamond and Dybvig (1983), Diamond (1984), Williamson (1986, 1987), and Bernanke and Gertler (1989), building on even earlier developments in information economics. The key New Monetarist ideas are the following: 1. To understand how financial factors are important for aggregate economic activity, we need to delve into the particulars of private information and limited commitment frictions. Private information and limited commitment are at the foundation of the role for monetary exchange, and they are also key to understanding financial contracts, financial intermediation, and the financial propagation of macroeconomic shocks. 2. To analyze monetary policy requires that we construct models that explain how and why central bank liabilities and other assets are used in exchange, and to think carefully about how the central bank functions as a financial intermediary. Monetary policy works in part because of special advantages that a central bank has in intermediating assets - principally coming from monopolies on the issue of hand-to-hand currency and on payments systems arrangements among private financial institutions. 3. Attempting to classify some subset of assets as money is a futile exercise. We are interested in liquidity - broadly, some notion of how assets are used in exchange (retail exchange, wholesale exchange, exchange among financial institutions). Liquidity comes in many different forms. Some liquidity is supplied by the government, some by the private sector, and some assets are liquid in some circumstances but illiquid in others. In some transactions, for example the purchase of food from a street vendor, currency is the only object accepted in exchange, i.e. currency is highly liquid in this circumstance, but other assets are highly illiquid. However, in a large-value transaction involving financial institutions such as Bank of America and JP Morgan Chase, currency is highly illiquid while other assets such as US government Treasury bills and deposits with the Federal Reserve System (reserves) are highly liquid. These three ideas set us apart, from Old Monetarists and New Keynesians in particular. Milton Friedman and the Old Monetarists thought
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it important to categorize some assets as money and other assets as notmoney, and they did not appear very concerned with the role of financial intermediaries in the economy, other than as suppliers of money. For New Keynesians, monetary and financial frictions are thought to be of minor importance in conducting monetary policy, though that idea may be changing (see for example Curdia and Woodford 2010) in response to the financial crisis. In this paper, I use a particular New Monetarist model to help make sense of some features of the financial crisis, as well as to evaluate some of the policy interventions undertaken by the Federal Reserve System in the United States after the financial crisis. I will include only an outline of the specific model used here, and refer readers to Williamson (2011) for the details. One key feature that our model has, which is crucial for understanding some features of the financial crisis, is a distinction between different types of liquid assets. In the model, currency is a liquid asset which is necessary to engage in particular kinds of retail transactions. However, intermediated loans and government bonds - interest-bearing assets - are also important liquid assets that are used in other types of transactions. In the model, when the central bank conducts a one-time open market operation, this can act in an unconventional way. If interest-bearing assets are scarce - where scarcity is defined in a precise way in the model - then a one-time open market purchase of interest-bearing assets by the central bank will lower the real interest rate permanently. This is an illiquidity effect, in that the open market purchase essentially makes interest-bearing assets more scarce. Typically, we would think of such an open market operation as an injection of liquidity, but in this instance it actually reduces liquidity by reducing the quantity of interest-bearing assets used in transactions. The Federal Reserve System had been granted the power by Congress to pay interest on reserve accounts at the Fed, prior to the financial crisis. Beginning in October 2008, the Fed began paying interest on reserves at 0.25%, and that policy continues to the present date. Further, since the fall of 2008 when the Fed began to intervene in financial markets in a dramatic way, the quantity of excess reserves held by financial institutions in the United States has been very large. In such an environment, monetary policy works in a quite different way than in pre-financial crisis times. Under
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current conditions, an extra unit of reserves in the financial system will be held overnight by financial institutions, and will have no marginal value in financial transactions during the day. Thus, if the Fed exchanges reserves for short-term government debt, that will be irrelevant, i.e. traditional central bank actions will have no effect. This does not mean, however, that there are no actions the Fed can take that will matter. Indeed, if the Fed changes the interest rate on reserves, then that essentially has the same effect as an open market purchase of short-term government securities would have had in the pre-financial crisis period. The financial crisis is sometimes viewed as a puzzling event, which conventional economic theory cannot successfully confront. However, there is actually plenty of off-the-shelf economic theory that can be used to make sense of what we observed during the financial crisis. In particular, the model in Williamson (2011), which is used in this paper, uses financial intermediation theory developed primarily in the 1980s, by Townsend (1978), Diamond (1984), and Williamson (1986, 1987), and by Diamond and Dybvig (1983). It also makes use of monetary theory developed over the last 40 years or so. The costly state verification model of Townsend (1978) which gives rise to optimal debt contracts and can be used as an element in financial intermediary structures, is particular useful, as critical components of the financial crisis were non-contingent contracts, default, and the costs of bankruptcy. In this paper, we show how aggregate shocks to asset returns, risk, and the costs of bankruptcy can reproduce some key observations related to the financial crisis, in particular increases in interest rate spreads, declines in aggregate lending, and reductions in safe rates of interest. These aggregate shocks work to explain features of the financial crisis, and also show how the scarcity of interest-bearing assets plays an important role in the financial crisis. Prior to the financial crisis, assetbacked securities played a key role in providing apparently safe liquidity in financial exchange. However, perceptions about the safety of those securities changed during the crisis so that, effectively, the private sectors capacity for producing safe liquid assets for financial exchange declined dramatically. This type of liquidity shortage is very different from the liquidity shortages that occurred during the Great Depression in the United States, or earlier, during the banking panics of the National Banking era (1863-1913). The Great Depression and National Banking era panics were
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essentially currency shortages - a very different kind of liquidity scarcity. A currency shortage can be cured through standard open market purchases of interest-bearing assets, but such central bank actions will only aggravate the liquidity scarcity that existed during the financial crisis. Once the Fed had lowered the interest rate on reserves to 0.25% in October 2008, there were essentially no conventional options open to the central bank to ease financial conditions in the United States. In this paper I will focus on three unconventional monetary policy interventions carried out by the Fed. The first two interventions are both typically referred to as quantitative easing. Quantitative easing is a misnomer, first, as quantitative suggests that what makes this type of intervention differs by its quantitative nature, i.e. that asset quantities on the Feds balance sheet are being manipulated. Of course, any action by a central bank, other than the setting of administered interest rates (the central banks lending and deposit rates) involves quantities. In normal times, for example, most central banks intervene by targeting some overnight interest rate, and achieving that target by buying and selling quantities of assets. Second, as we will see in the paper, quantitative easing may not be easing anything. The particular quantitative easing programs that the Fed engaged in are typically called QE1 and QE2. QE1 was a program of purchases of mortgage backed securities and agency securities by the Fed, while QE2 involved purchases of long-maturity federal government bonds (Treasury debt). These purchases were fundamentally different, as the first involved the indirect purchases of private assets, while the second was closely related to conventional open market operations with the only difference being that the asset purchases were long-maturity rather than short-maturity. In any case, the argument made in the paper is that there are conditions under which neither QE1 nor QE2 would have matters for any quantities or prices. It is possible that QE1 mattered, but this would only happen if the Fed were buying private assets on better terms than the private sector was offering. In that case QE1 would have altered the allocation of credit, and would have caused a redistribution of wealth. A third unconventional intervention is forward guidance. In recent years, the Fed has been somewhat more forthcoming in its policy statements concerning the future path of monetary policy, though typically the FOMC (Federal Open Market Committee) policy statement has supplied only vague
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information, and that information would usually refer to potential policy decisions at the next FOMC meeting (about 6 weeks in the future). From the fall of 2008 until August 2011, forward guidance took the form of extended period language concerning the path of the policy rate in the future. For example, in the June 22, 2011 FOMC policy statement, the committee states that they continue ... to anticipate that economic conditions--including low rates of resource utilization and a subdued outlook for inflation over the medium run--are likely to warrant exceptionally low levels for the federal funds rate for an extended period. In its August 9, 2011 policy statement, the FOMC got much more explicit in stating that it ... currently anticipates that economic conditions--including low rates of resource utilization and a subdued outlook for inflation over the medium run--are likely to warrant exceptionally low levels for the federal funds rate at least through mid2013. This is a very important change, as it essentially commits the Fed to a specific policy for a period of about 2 years. This paper will first outline some recent monetary policy interventions, focusing on the United States and the US Federal Reserve System. Following that is a brief overview of a New Monetarist model, constructed in Williamson (2011). Following that, the objective is to show how that model can be used to organize our thinking about the financial crisis, and about conventional and unconventional monetary policy responses to the crisis. Background: Federal Reserve Balance Sheet Developments, Three Key Unconventional Interventions, and the Mechanics of Monetary Policy Tables 1 and 2 show a summary of the Federal Reserve Systems assets and liabilities, at two different dates: January 2008 (pre-financial crisis) and August 2011. In Table 1, in January 2008 the liabilities of the Fed were structured much like they were at any date before the financial crisis. Currency was financing most of the central banks asset portfolio, while financial institutions held a small quantity of reserves so as to satisfy reserve requirements. Indeed, reserves were small in January 2008 mainly because these financial institutions had found clever ways (such as sweep accounts) to circumvent reserve requirements. In January 2008, the US Treasury (the fiscal authority in the US federal government) maintained deposit accounts with the Fed, but at that time the balances in those accounts were small, in part to aid the Fed in monetary control.
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As of August 2011, in Table 1, the Feds liability structure had changed dramatically from the earlier period, with reserves accounting for the majority of Fed liabilities. Though the August 2011 data do not show it, Treasury account balances with the Fed have been substantial since the onset of the financial crisis - sometimes in excess of $300 billion - and have been highly volatile. Table 1: Federal Reserve Liabilities ($billions)
Source: Federal Reserve Bulletin
On the asset side of the Feds balance sheet, in Table 2, the Feds assets in January 2008 consisted mainly of US government debt, both shortterm (Treasury bills or T-bills) and long-term (Treasury bonds or T-bonds). T-bills were used in day-to-day open market operations (often involving repurchase agreements) conducted by the Fed, and T-bonds were typically rolled over as they matured, but were not bought and sold on a daily basis. As of August 2011, in Table 2, the average maturity of the Feds assets had lengthened considerably from what it was prior to the financial crisis. In August 2011, the Fed held almost no T-bills, and had expanded its holdings of T-bonds considerably. Further, in August 2011 the Fed held about $1 trillion in assets that were essentially backed by private mortgage debt (and implicitly guaranteed by the federal government). In August 2001 the Fed held almost $900 billion in mortgage-backed securities issued by the government-sponsored enterprises or GSEs (actually now under government conservatorship): FNMA (or Fannie Mae) and FHLMC (or Freddie Mac). The agency securities on the Feds balance sheet are the liabilities of these two GSEs.
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Table 2: Federal Reserve Assets ($billions)
Source: Federal Reserve Bulletin
Finally, of particular note is that the size of the Feds balance sheet more than tripled from January 2008 to August 2011. The Fed is a much larger financial intermediary now than it was before the financial crisis. Policy Interventions: QE1, QE2, and Forward guidance In this paper, attention will be focused on two particular interventions which are generally described as quantitative easing, and typically referred to as QE1 and QE2. First, QE1 involved the purchase by the Fed of $1128 billion in mortgage-backed securities between February 2009 and July 2010 and the purchase of $169 billion in agency securities between September 2008 and April 2010. Second, QE2 was the purchase by the Fed of $600 billion in T-bonds between November 2010 and June 2011. The bulk of the asset purchases associated with QE1 and QE2 are reflected in the reserve holdings of financial institutions in the United States. In Figure 1, we can see this most clearly for the later QE2 purchases. The QE1 program, though it accounts for a larger total asset purchase than does QE2, did not increase reserves as much, as the Fed was winding down its financial crisis lending interventions at the same time as it was purchasing assets. More recently, the Fed announced on September 21, 2011 that it would engage in Operation Twist. This is a planned sale of $400 billion
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in T-bonds with remaining maturities of 3 years and less, in exchange for T-bonds with maturities of 6 to 30 years. The intervention will take place between September 2011 and June 2012. The result of operation twist will be to lengthen the average maturity of assets held by the Fed. While this may appear to be different from either QE1 or QE2, will show that, under current circumstances, Operation Twist is actually qualitatively identical to QE2. Forward guidance, as discussed in the Introduction, involves statements by the central bank about the future course of policy. Prior to the financial crisis, Fed policy decisions concerned the setting of a target rate for the overnight fed funds rate, and communication with the public had evolved to the point where the FOMC policy statement would include some language which would signal the likely future path of the policy rate, and what that path might depend on. After the financial crisis, the Fed began to make more explicit statements about the future path for the policy rate, to the point where, in August 2011, the Fed essentially fixed the target policy rate for about two years. How Does Fed Policy Work? Pre-Crisis and Post-Crisis Most central bank intervention occurs roughly in the following way. If we focus just on overnight financial markets, the central bank lends to financial institutions overnight at a central bank lending rate, financial institutions can deposit funds (reserves) with the central bank overnight at a central bank deposit rate, and financial institutions can lend among themselves at a market overnight rate. There are basically three procedures that central banks typically exercise monetary control in the very short run. First, through open market operations, a central bank can intervene so as to target the overnight rate within bounds determined by the central bank lending rate (the upper bound) and the central bank deposit rate (the lower bound). This is a channel system, whereby the channel determined by the central bank lending and deposit rates channels the overnight rate. The Bank of Canada, for example, conforms to a channel system, and Figure 2 shows a forty-day period prior to early July 2011, illustrating the paths followed by the central bank lending rate, the central bank deposit rate, and the overnight market rate. In this case, the overnight rate was targeted at 1% over that period, and the Bank of Canadas deposit and lending rates were set, respectively, at 0.75% and 1.25%. Further, note that the Bank of Canada
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managed, over this period, to conduct open market operations in such a way that there was little variability in the deviation of the overnight rate from the target. To accomplish this, the Bank needed to intervene so that funds were sufficiently tight in the system, with essentially zero reserves (deposits with the central bank) held overnight. As well, there needed to be sufficient availability of funds in the overnight market so that financial institutions did not want to borrow from the central bank at the lending rate. Under the Bank of Canadas channel system, the overnight market rate essentially determines all short-term interest rates in Canadian financial markets. A second way to control short-term nominal interest rates is under a regime such as what exists currently in the United States. In October 2008, the Fed announced that it would begin paying interest on reserve balances and, since December 2008, the fed funds rate (the overnight market rate) has been targeted at 0-0.25%, with the Fed paying interest on reserves at 0.25%. As we see in Figure 1, the Fed had a large and increasing stock of reserve liabilities over this period. Under these circumstances, one would expect the fed funds rate to be 0.25% over the entire period. As in the Bank of Canadas channel system, the central banks deposit rate should bound the overnight rate from below. In Figure 3, this is clearly not the case, as the fed funds rate has typically been significantly less than the 0.25%. However, it is nevertheless true that the interest rate paid on reserves currently determines all short-term interest rates. This is because the GSEs, who hold reserve accounts with the Fed, do not receive interest on the balances in those accounts, and there is some lack of arbitrage.2 If the interest rate on reserves rises, we would expect the fed funds rate to rise with it. A third alternative is for a central bank to control short-term market nominal interest rates by making the central bank lending rate the key policy rate. To do this, the central bank could essentially offer overnight loans at a particular interest rate, and then satisfy the demand for loans forthcoming at that rate. The central bank lending rate would then determine the overnight rate. The European Central Bank (ECB) operates somewhat like this through its refinancing operations, though it does not typically intervene daily to peg an overnight rate at the central bank lending rate.
The reasons for this lack of arbitrage appear to be something of a puzzle.
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In conclusion, there are three ways for a central bank to influence short-term nominal interest rates, all working through the overnight market on which financial institutions trade. First, the central bank can intervene through open market operations to target the overnight rate such that it lies between the central banks lending rate and the central banks deposit rate. Second, the central bank can operate so that there is a positive quantity of central bank deposits (in excess of reserve requirements, if those exist) held overnight, in which case the central bank deposit rate determines the overnight rate. Third, the central bank could set a lending rate, and offer to satisfy all of the forthcoming demand at that rate and, further, set the rate in such a way that forthcoming demand is strictly positive. In this case, the central banks lending rate determines the overnight rate. Currently, the Fed operates according to the second regime. The financial system is awash in reserves, and the interest rate on reserves (the deposit rate at the central bank) is the key policy rate. In later sections we will explore how monetary policy works under these conditions. A New Monetarist Model This section contains an outline of the model. For more details readers should consult Williamson (2011). The basic structure of the model is similar to Rocheteau and Wright (2005), which in turn is derived from Lagos and Wright (2005). There is an infinite horizon with time indexed by t=0,1,2,3,..., with each period having two subperiods. We will refer to the first subperiod as the decentralized market or DM, and the second as the centralized market or CM. The population consists of three types of economic agents. First, there is a continuum of buyers, with unit mass, each of whom has preferences
Here, 0 < < 1, H1 denotes the difference between labor supply and consumption in the CM, x1 is consumption in the DM, and u() is a strictly increasing, strictly concave, and twice continuously differentiable function with u (0) = 0, u(0) = , u() = 0, x[u(x) / u(x)] < 1, for all x > 0, and with the property that there exists some x > 0 such that u (x) x = 0. Define x* by u (x*) = 1. Second, there is also a continuum of sellers, with unit mass, each of whom has preferences
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where ht denotes labor supply in the DM and Xt is consumption in the CM. When a buyer or seller can produce (the buyer in the CM, the seller in the DM), one unit of labor input produces one unit of the perishable consumption good. Finally, the third group of agents are entrepreneurs. In each CM, a mass of these agents is born, and they live until the next CM. An entrepreneur has an indivisible investment project with payoff w and distribution F(w), and payoffs are independent across entrepreneurs. For an individual entrepreneur, the realized payoff w is private information, but another agent can incur a verification cost to observe w. Entrepreneurs differ according to their observable verification cost, and G() describes the distribution of verification costs across entrepreneurs. Entrepreneurs do not consume in the CM when they are born, but consume in the subsequent CM, and are risk-neutral. Since he or she has no endowment, an entrepreneur must borrow when he or she is born in order to fund his or her investment project, which is a necessary condition to consume in the next CM. This costly state verification structure is very similar to what is built into the model in Williamson (1987). In the decentralized market, each buyer is matched at random with a seller, while in the CM everyone is in the same location. In addition to the costly-state-verification information friction that will operate in the loan market, there are elements of imperfect information in the model that inhibit other types of lending. In the DM, sellers do not know the histories (i.e. relevant credit records) of buyers, which makes credit arrangements infeasible in DM meetings between buyers and sellers. Further, market participants in the CM can only observe prices. In the model, there are three basic assets. First, there are loans to entrepreneurs. As is detailed in Williamson (1987, 2011), costly state verification, under some restrictions, implies that intermediated debt contracts with entrepreneurs are optimal, with perfectly-diversified delegated-monitoring financial intermediaries that hold portfolios of loans to entrepreneurs. For convenience, call these financial intermediaries banks. A loan to an entrepreneur with verification cost
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will in equilibrium pay a gross real loan interest rate R(), and R() will in general reflect a default premium that is increasing in . In equilibrium, the expected payoff to a bank from a loan to any entrepreneur will be r, the gross market real interest rate. Further, some entrepreneurs will receive loans in equilibrium, while others do not. There is some critical value * for the verification cost, such that some entrepreneurs with * receive a loan, while those with > * do not. The gross real interest rate r is an endogenous variable. If r is higher, then this will imply that the cutoff * is smaller, so that there is less lending. We can then write the aggregate loan quantity as L= L (r), where L() is a decreasing function. The other two assets are liabilities of the consolidated government (fiscal authority and central bank) - currency and one-period nominal government bonds. Let Mt denote the stock of money in period t, which trades at t price in the CM, and Bt the stock of one-period nominal government bonds, each of which sells in the period-t CM for one unit of money, and pays off q units of money in the next CM in equilibrium. Banks will be indifferent between government bonds and loans to entrepreneurs in equilibrium, so in equilibrium we will have r = .
In the DM, in fraction of meetings - non-monitored meetings between buyers and sellers, the information technology is not available to trade loans, government bonds (account balances with the fiscal authority), or the liabilities of intermediaries holding these objects as assets. Currency is the only asset that is tradeable in non-monitored meetings. However, in fraction 1 of meetings - monitored meetings - buyers and sellers have access to an information technology that allows them to exchange claims on entrepreneurs, bonds, currency, or claims to a portfolio of those assets. In all DM meetings, goods produced by the seller can be acquired by the buyer only through an exchange of assets. For convenience, we assume that the buyer makes a take-it-or-leave-it offer to the seller. A bank in this model has a role to play in efficiently allocating liquidity to its best uses. Effectively, in the model there are two types of liquidity: currency on the one hand, and loans and government bonds interest-bearing assets - on the other. In non-monitored DM meetings where only currency is accepted, loans and government bonds, or claims to them,
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are useless. However, in monitored DM meetings where interest-bearing assets are accepted, it would be a poor choice to show up with currency. The currency would be accepted, but it will fetch fewer goods given its lower rate of return. A problem a buyer faces in the CM is that, at the time production and consumption decisions are made, he or she does not know whether he or she will be in a non-monitored or a monitored meeting in the subsequent DM. However, this information will be revealed at the end of the CM. Thus a bank, in Diamond-Dybvig (1983) fashion, will be able to act to effectively provide liquidity insurance. Buyers each make a deposit in a bank in the CM when production and consumption occurs, the bank acquires a diversified portfolio of currency, government bonds, and loans to entrepreneurs, and then buyers learn what type of transaction they will need to make in the next DM. Buyers who will be in non-monitored meetings withdraw currency from the ATM, and buyers who will be in monitored meetings leave their deposit in the bank and then trade the deposit claim in the DM, i.e. they use their debit cards. In this way, currency is allocated to where it is needed - non-monitored meetings in the DM - while interest-bearing assets, which back bank deposits, are traded in monitored meetings. To summarize, the timing of actions during a period is: 1. The CM opens. 2. Buyers work and acquire deposits in banks. 3. Banks acquire a portfolio of currency, government bonds, and loans to entrepreneurs. 4. Buyers each learn the type of meeting for the next DM. 5. Buyers requiring currency withdraw it from the ATM. 6. Buyers and sellers trade in the DM; non-monitored meetings involve exchanges of currency for goods; monitored meetings involve exchanges of bank deposits for goods. 7. In the next CM, banks dissolve and pay off their promises from the previous CM. The last element of the model we need to specify is government policy. To keep things simple, restrict attention to a class of stationary policies, so that we can study the properties of stationary equilibria, in
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which all real quantities are time-invariant. In particular, a government policy is defined by , where 1) (2) where Mt and Bt denote the nominal quantities of currency and government bonds, respectively, in the CM in period t. In (1), denotes the fraction of total consolidated government liabilities, Mt + Bt (currency plus government bonds held by the private sector), held as currency, and in (2), is the gross rate of growth of total consolidated government liabilities. The government can tax buyers lump-sum in the CM. See Williamson (2011) for details about the consolidated-government budget constraints and other elements of the relationship between fiscal and monetary policies. Equilibrium In a stationary equilibrium, a government policy (, ) determines r,m, and a- the gross real interest rate, the real stock of currency, and the real stock of interest-bearing assets, respectively . The demands for currency and interest-bearing assets, m and a respectively, are determined by the behavior of banks, which acquire portfolios of currency and interest-bearing assets so as to maximize the expected utility of their depositors. Currency and government bonds are of course supplied by the government according to (1) and (2). The total demand for interestbearing assets must equal the total supply of such assets, i.e. the bonds supplied by the government, m (1 / 1) from (1) plus the quantity of loans made by banks L(r), or (3) In this equilibrium, the gross inflation rate is , the gross real rate of return on currency is 1 / , the nominal interest rate is r 1, and arbitrage implies that . A stationary equilibrium is unique, if it exists,
and it will be one of four types:
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1. Liquidity trap. In this equilibrium
rate is zero, and currency is not scarce relative to interest-bearing assets, but all assets are scarce. 2. Plentiful interest-bearing assets. In this equilibrium ,
so the nominal interest rate is greater than zero, currency is relatively scarce, and interest-bearing assets are not scarce. 3. Scarce interest-bearing assets. In this case , so the nominal
interest rate is positive, currency is relatively scarce, and interestbearing assets are scarce. 4. Friedman rule. Here, we have is zero, and no assets are scarce. In equilibrium, there are essentially two types of assets: currency and interest-bearing assets, and a scarcity of either type of asset can exist. Scarcity of an asset is in general reflected in a gross rate of return that is less than 1 / , which is the gross rate of return on an asset sold in the current CM, paying off one unit of consumption goods in the next CM, and not accepted in exchange in DM transactions. Thus, scarcity refers to a scarcity in exchange in the DM. When an asset is scarce, buyers are willing to hold it in spite of the fact that its return is low, a notion that is familiar from standard monetary theory. Economists have known for a long time that money is held, in spite of its low return, because of its usefulness in transactions. Scarcity is further reflected in inefficient exchange in the DM. If currency is scarce, then the quantity of goods exchanged in non-monitored meetings in the DM is less than x*, the surplus-maximizing quantity. If interest-bearing assets are scarce, then we get similarly-inefficient exchange in monitored DM meetings. Liquidity Traps, Asset Scarcity, and Open Market Operations The liquidity trap that most monetary economists are accustomed to thinking about arises in the Friedman rule equilibrium. When = , so that the total quantity of consolidated-government debt is declining at the rate of time preference, generating a deflation where the rate of , so the nominal interest rate
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deflation is 1 , there is a continuum of values for that support the same equilibrium allocation. That is, an increase in is a one-time openmarket swap by the central bank of currency for government bonds, and this is irrelevant for the determination of quantities and prices. A novelty in this framework is that there is another - and more relevant - type of liquidity trap, which arises in an equilibrium where interest-bearing assets are scarce. If interest-bearing assets are sufficiently scarce - and can always be chosen by the central bank to make them so - then can be determined in such a way that the rates of return on currency and interest-bearing assets are equal, i.e. the nominal interest rate is zero. Put more precisely, as is shown in Williamson (2011), for any > , can be chosen such that a liquidity trap equilibrium exists. Thus, the model tells us a liquidity trap is not an obscure phenomenon. In a liquidity trap equilibrium, changing is irrelevant, i.e. at the margin a swap of outside money for interest-bearing assets has no effect on quantities or prices. The outside money injected is simply held by banks as reserves, replacing the interest-bearing assets one-for-one in banks asset portfolios. Asset scarcity is critical for analyzing the effects of open market operations in a scarce interest-bearing assets equilibrium. In Figure 4, we can illustrate what happens when increases in such an equilibrium, holding constant. Here, D represents the demand for interest-bearing assets as a function of the real interest rate r. Note that r is bounded by 1 / , the gross rate of return on currency, and by 1 / , the gross rate of return on a hypothetical safe asset that is not accepted in exchange. Start initially with curve S1, which denotes the supply of interestbearing assets determined by equation (3). Then, the intersection of D and S1 determines the market gross rate of interest r and the quantity of interest-bearing assets a. Increasing - a one-time open-market purchase of government bonds by the central bank - has the effect of shifting the supply curve to S2. The open market purchase acts to increase the price level and to reduce the supply of nominal bonds outstanding, thus reducing the real stock of bonds and the total quantity of liquid interest-bearing assets, a. The result is an illiquidity effect, in that interest-bearing assets are now more scarce, the
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real interest rate falls, and lending by banks to entrepreneurs expands, as the private sector responds to the scarcity of liquidity by producing more of it. Thus, there is a permanent nonneutrality of money, which is novel in the literature. This works much differently from, for example, typical Keynesian monetary transmission. In Keynesian frameworks, an open market purchase lowers the real interest rate and, under some circumstances that is a good thing. Here, the open market purchase makes interest-bearing assets more scarce, and that is bad for the efficiency of exchange. The Financial Crisis This is where the costly-state-verification delegated-monitoring intermediary structure becomes useful. That structure is an off-the-shelf piece of contracting/information/intermediation theory developed in the 1980s which can be put to work in understanding some features of the financial crisis, and in determining appropriate policy responses. In the model, it is possible to capture some elements of the financial crisis in terms of changes in the distributions F(w) and G() . Recall that these two objects describe the distribution of payoffs on an investment project for an individual entrepreneur, and the distribution of verification costs across entrepreneurs, respectively. We can interpret the investment projects in the model in quite general ways, for example to include mortgage lending, with the intermediated intermediary liabilities traded in monitored transactions in the DM then representing mortgage-backed securities, for example. We can think of the financial crisis as affecting the distribution F() in two ways. First, anticipated returns on the underlying assets fell, which we can capture with a negative first-order-stochastic-dominance shift in F(). Second, perceived risk was higher, which we can capture with a meanpreserving spread in F(). Christiano, Motto, and Rostagno (2009) label this latter shock a risk shock, and argue that risk shocks are generally important in capturing features of the aggregate time series, including the pre-crisis period. Williamson (1987) discusses risk shocks in the context of an intermediation sector similar to the one in this model (though missing the Diamond-Dybvig role for banks). In spite of the fact that the economic agents in the model are risk-neutral with respect to payoffs in the CM, these agents care about riskiness in F() because of the nature of debt contracts. A mean preserving spread tends to reduce the expected payoff for the bank conditional on the loan defaulting, but has no effect on the banks payoff
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in non-default states, when the bank gets a constant amount. As a result, the bank must be compensated, given the market gross real interest rate r, with a higher loan interest rate. This then implies that the entrepreneur will default with higher probability, or that it will no longer be profitable for the bank to lend to the entrepreneur. In equilibrium, both types of shocks to F() act to increase the probability of default for borrowers, and to increase interest rate spreads (the difference between a gross loan interest rate and r). Further, these shocks act to shift the supply curve for interest-bearing assets, just as in Figure 4. The quantity of interest-bearing assets falls in equilibrium, because it is now more costly for the private sector to produce these assets, and r falls because interest-bearing assets are more scarce. A third type of shock we can consider is a shift in F(), in particular a positive first-order-stochastic-dominance shift, which will act to effectively increase verification costs for all entrepreneurs. This captures elements of the financial crisis, in particular the increased costs of collecting on debts, and a perceived loss in the potential value of collateral to financial intermediaries. This shift in F() has essentially the same effects as the two shocks to F() discussed above. Default premia rise for borrowers, interest rate spreads rise, lending falls, liquid interest-bearing assets become more scarce, and the safe real rate of interest falls. All of these are key features of the financial crisis. What should government policy do in response to the financial crisis we have created in this model? The increasing scarcity of liquid interestbearing assets in exchange has made exchange less efficient in the DM. This can be counteracted by shifting the supply curve in Figure 4 to the right. This can be done through conventional open market sales of government bonds by the central bank. This runs counter to what might seem a standard prescription, which is to increase liquidity during a crisis through open market purchases of government bonds by the central bank. The key idea here is that the liquidity shortage in the recent financial crisis was not a currency shortage, as for example during the Great Depression in the United States, or during the US banking panics of the late 19th century and the pre-Fed 20th century. A currency shortage would indeed be something that would be corrected through open market purchases of government bonds. However, the shortage of liquid assets during the financial crisis was a shortage of the safe liquid assets used in large financial trades, not a currency shortage.
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Interest on Reserves In analyzing Fed policy during and after the financial crisis, it is important to take account of the fact that the Fed has been paying interest on reserves since October of 2008. Incorporating interest on reserves in the model is actually very straightforward, provided we do not have to model the transactions role played by reserves during each day in large interbank transactions. For our purposes, leaving out the transactions role of reserve account balances is not a problem, since (as we showed in Figure 1) the financial system in the US is currently awash in reserves - the marginal transactions value of reserve balances is currently zero. With interest on reserves, and positive reserve balances held by banks in equilibrium, in one sense the model behaves in exactly the same way, but policy works quite differently. In Figure 4, the central bank now determines r by setting the interest rate on reserves, i.e. given , the central bank sets Q, the gross nominal interest rate on reserves, and then r = Q / . The central bank also sets the ratio of outside money (currency plus reserves) to total consolidated government liabilities. Then, the behavior of banks and buyers (depositors) jointly determines how outside money is split between currency and reserves, i.e. the private sector determines . In this policy regime, conventional open market operations are irrelevant, just as in the liquidity trap equilibrium discussed above, but here the irrelevance occurs no matter what the interest rate on reserves is - this interest rate can be positive and large. A swap of interest-bearing reserves for government bonds is irrelevant because these two assets are identical from the point of view of a bank. However, the central bank is not powerless in this regime, as it can change the interest rate on reserves. For example, in Figure 4, the central bank can lower the interest rate on reserves, which serves to lower r in equilibrium. The supply curve now shifts from S1 to S2, not because of a conventional open market purchase, but because the private sector now holds less reserves, in real terms, and the quantity of interest-bearing assets, a, falls. QE1: Purchases of Private Assets There are some differences in central bank operating procedure in the world, driven in part by institutional differences in the environments
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in which central banks operate, but central banks typically restrict their asset purchases to the government debt of the central government(s) in their jurisdictions. As discussed earlier, QE1 in the United States was out of step with that tradition. Why do central banks typically not purchase private assets? If asset purchases can indeed change asset prices, then the central bank can potentially move prices in a way that favors those who are holding the particular assets the central bank is purchasing. The central bank could for example increase the relative value of particular stocks, by purchasing those assets. Or it could increase the price of the debt issued by a particular corporation, while decreasing the price of the debt issued by other entities. Thus, the central bank can redistribute wealth and reallocate credit in ways that favor some individuals while hurting others. This leaves the central bank the potential subject of political influence, and threatens its independence. In purchasing private assets, a central bank faces the same kinds of private information problems as do private sector intermediaries. The quality of private assets may be hard to discern, and there are moral hazard problems - private sector economic agents may be willing to dupe a naive central bank into accepting poor-quality assets. In the case of QE1, it seems safe to rule out problems associated with private information frictions. The private asset purchases of the Fed were either direct obligations of the GSEs, or mortgage-backed securities created by the GSEs. At the time of the QE1 purchases, the GSEs were under US government conservatorship, and the quality of the assets appeared to be solid. What happens in our model when the central bank purchases private assets? Capturing the nature of QE1, suppose that the central bank has the same costly-state-verification technology as do private banks, and acquires a portfolio of loans to entrepreneurs, with the contracts written in an identical fashion to how the private sector would write them. If the central bank were to acquire such a portfolio on the same terms as the private sector is offering, financing the purchases by issuing outside money, then this would have no effect on quantities or prices. The central bank intermediates private loans on the same terms as does the private sector, thus displacing private sector lending one-for-one. The stock of reserves (and thus outside
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money) increases one-for-one with the asset purchases, but there are no effects on prices, just as appeared to be the case in response to the realworld QE1 purchases. The central bank is always able to pay the interest on reserves with the returns on its portfolio. These results are of course contrary to Old Monetarism, under which increases in the measured money stock increase prices. But what if the central bank buys assets on better terms than what the private sector is offering? In this case, the central bank is in fact able to expand the supply of credit, but it will now make a loss on its portfolio. How those losses are made up is critical, but in any case the central bank will bring about a reallocation of credit and a redistribution of wealth some are better off as a result and some are worse off. The QE1 program indeed seemed intended to favor a particular sector of the economy - the housing sector. While there may have been some beneficial effects in terms of stemming the deadweight losses from defaults, our analysis indicates the possibility that QE1 was either ineffective, or had important unrecognized opportunity costs. Following the end of the QE1 program, the Fed had been allowing the quantities of mortgage-backed securities and agency securities to fall, as prepayments and defaults occurred on the underlying mortgages. However, in at the September 21, 2011 meeting of the FOMC, the committee members decided to replace these maturing securities with new purchases of mortgage-backed securities for the foreseeable future. Given our analysis here, this seems to be a poor policy decision. QE2: Purchases of Long-Maturity government Securities in Exchange for Reserves The QE2 program discussed previously involved swaps by the Fed of reserves for long-maturity government securities. As such, our model is not quite equipped to deal with it, as we have not included long-maturity debt. However, we can argue informally, using the same principles that guided the construction of the basic model. Central banking matters because of particular advantages the central bank has over the private sector in financial intermediation. In the United States, the Feds advantages stem from its monopolies in the
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issue of currency and in the provision of payments system services. The liabilities of the Fed - currency and reserves - each serve a transactions role in exchange that private liabilities cannot. There is no substitute for currency in some types of retail transactions, and essentially all domestic large-value payments among financial institutions are settled on Fedwire, which permits the transfer of the balances in Fed reserve accounts. In the context in which QE2 was executed, it had to be neutral, i.e. it had no effect on any quantities or prices. Why? As discussed above, at the time of the QE2 asset-purchase program, the Fed was paying interest on reserves, and there was a very large stock of excess reserves held by financial institutions. In that case, a swap of interest-bearing reserves for long-maturity Treasury bonds increased the quantity of a particular type of financial intermediation on the Feds part, i.e. the function of transforming long-maturity government debt into overnight-maturity assets. However, the private sector can perform that function as well as the Fed can. Any private sector financial institution can create a specialpurpose-vehicle (SPV) that holds long-maturity Treasury securities and finances that asset portfolio with overnight repurchase agreements (overnight lending with the Treasury securities used as collateral) that the SPV rolls over every day. It is a general principle that, if there is a government activity that is a perfect substitute for a private activity, and the government engages in more of that activity, then the level of the private sector activity drops by a commensurate amount, and nothing changes as a result. The same applies to QE2. This is essentially a kind of Modigliani-Miller result (see Modigliani and Miller 1958). Other types of Modigliani-Miller results in the literature on macroeconomics are the Ricardian equivalence theorem (Barro 1974) and Wallace (1981). On September 21, 2011, the FOMC announced a new quantitative easing program, dubbed Operation Twist, after a similar intervention by the Fed in the early 1960s. From September 2011 to June 2012, the Fed plans to sell $400 billion in Treasury bonds with maturities of 3 years or less, in exchange for T-bonds with maturities of from 6 years to 30 years. In doing so, the Fed believes that it can lower long-term Treasury yields. Effectively, this program is qualitatively identical to QE2, i.e. it is a swap of short maturity consolidated-government debt for long-maturity government debt. As such, we would expect it to have no effect. Fed officials argue that
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Operation Twist will have the intended effects based on event studies and astructural regression results, but they do not have a serious theory nor structural econometric evidence to support the change in policy. Forward guidance Forward guidance could certainly be incorporated in our model, but we can use informal arguments here, as the ideas are not model-dependent. In the 1970s, macroeconomic research began to stress the importance of views of private-sector economic agents about the future for economic policy. Beginning with the work of Kydland and Prescott (1977), there was increasing stress on the role of commitment for macroeconomic policymaking. Macroeconomists have come to understand that their commitment to an explicit or implicit policy rule is key to the effects of monetary policy. In some countries, the central bank is explicitly committed to a specific policy goal. For example, central banks in Australia, Canada, New Zealand, and the U.K., have explicit inflation targets. The Fed has never had an explicit target or targets of any kind, but is governed by the so-called Humphrey Hawkins Act of 1978. This specifies a dual mandate, which is typically interpreted in FOMC statements as a commitment to maximum employment and price stability. Statements by Fed officials tend to point to an implicit target for the inflation rate of about 2% per year. It is widely recognized that, whatever the Feds implicit policy rule is, that it act in a manner that is consistent with that implicit rule, so that the private sector can come to understand it. Taking policy actions that are inconsistent with previous Fed actions can only lead to confusion in the private sector and poor macroeconomic performance. This is what makes the FOMCs decision on August 9, 2011 troubling. As pointed out by Narayana Kocherlakota (2011), President of the Minneapolis Federal Reserve Bank, who dissented on August 9, the decision to commit to an interest rate on reserves of 0.25% for the next 2 years (roughly), was inconsistent with previous FOMC decisions, based on the state of the economy. Further, while that decision might be interpreted as providing more commitment by the Fed, it actually provided less. As long as the public clearly understands the relationship between central bank actions and the state of the economy, then the Fed is providing all the forward guidance that is necessary. By taking an action that departs from what would be dictated by the previous policy rule, the Fed only sows confusion, and defeats the purpose.
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Conclusion: The Feds Monetary Policy Future

What can we conclude? In one sense the picture is somewhat reassuring. While an Old Monetarist might view the size of the Feds balance sheet and the huge recent growth in the stock of outside money as alarming, there is a sense in which the size of the balance sheet does not matter. Further, while asset swaps by the central bank that would normally matter are now ineffective, the Fed actually has all the monetary control it needs by setting the interest rate on reserves appropriately. However, the Fed is limited, in that the interest rate on reserves cannot go below zero, and the Fed was not granted the power by Congress to charge fees on reserve accounts, which would otherwise permit a negative net interest rate on reserves. The Fed has committed errors. Those errors were in making confident claims concerning the effectiveness of QE1 and QE2, in the absence of sound theory and convincing empirical evidence, and in taking policy actions inconsistent with its previous behavior. Further, Fed officials continue to argue that they have a large toolbox - including the use of reverse repurchase agreements and term reserve accounts - that can be brought to bear in improving economic welfare, when in fact the Feds options are extremely limited. The Fed has only one policy tool under current circumstances (a positive stock of excess reserves in the financial system), and that tool is the interest rate on reserves. A complication is that, when Congress permitted the payment of interest on reserves, it gave the Board of Governors the power to set the interest rate on reserves, when that power would have more appropriately rested with the FOMC. Potentially, there could be a conflict between the FOMC and the Board about changes in the policy rate, when the intent of the original Federal Reserve Act was to give decision-making power to the FOMC. Currently, the Fed is doing significant harm to its credibility by engaging in interventions it does not understand well, and in arguing that it has tools that it does not in fact have. I am somewhat pessimistic about the Feds future, and I hope I am wrong.
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References
Barro, Robert (1974). Are Government Bonds Net Wealth? Journal of Political Economy 82, 1095-1117. Bernanke, Ben and Mark Gertler (1989). Agency Costs, Net Worth, and Business Fluctuations, American Economic Review 79(1): 14-31. Caballero, Ricardo (2011). Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome, forthcoming, Journal of Economic Perspectives. Christiano, Larry, Roberto Motto, and Massimo Rostagno (2009). Financial Factors in Economic Fluctuations. working paper, Northwestern University. Curdia, Vasco, and Michael Woodford (2010). Conventional and Unconventional Monetary Policy, Federal Reserve Bank of St. Louis Review 92(4): 229-264. Diamond, Douglas (1984). Financial Intermediation and Delegated Monitoring, Review of Economic Studies 51(3): 393-414. Diamond, Douglas, and Philip Dybvig (1983). Bank Runs, Deposit Insurance, and Liquidity, Journal of Political Economy 91(3): 401-419. Kareken, John and Neil Wallace (1980). Models of Monetary Economies. Minneapolis: Federal Reserve Bank of Minneapolis. Kehoe, Timothy, and Prescott, Edward (2007). Great Depressions of the Twentieth Century, eds., Federal Reserve Bank of Minneapolis, Minneapolis, MN. Kiyotaki, Nobuhiro and Wright, Randall (1989). On Money as a Medium of Exchange, Journal of Political Economy 97, 927-954. Kocherlakota, Narayana (2011). Statement by Narayana Kocherlakota on Dissenting Vote at August 9, 2011, Meeting of the Federal Open Market Committee, http://www.minneapolisfed.org/publications_papers/pub_ display.cfm?id=4715 Krugman, Paul (2009). How Did Economists Get It So Wrong? The New York Times Magazine, September 2.
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Kydland, Fynn, and Prescott, Edward (1977). Rules Rather than Discretion: The Inconsistency of Optimal Plans, Journal of Political Economy 85, 473-492. Lagos, Ricardo, and Randall Wright (2005). A Unified Framework for Monetary Theory and Policy Analysis. Journal of Political Economy 113(3): 463--484. Modigliani, Franco and Miller, Merton (1958). The Cost of Capital, Corporation Finance, and the Theory of Investment, American Economic Review 97, 261-297. Rocheteau, Guillaume, and Randall Wright (2005). Money in Search Equilibrium, in Competitive Equilibrium, and in Competitive Search Equilibrium. Econometrica 73(1): 175-202. Wallace, Neil (1981). A Modigliani-Miller Theorem for Open-Market Operations, American Economic Review 71, 267-274. Williamson, Stephen (1986). Costly Monitoring, Financial Intermediation, and Equilibrium Credit Rationing. Journal of Monetary Economics 18(2): 159-179. Williamson, Stephan (1987). Financial Intermediation, Business Failures, and Real Business Cycles, Journal of Political Economy 95, 1196-1216. Williamson, Stephen and Randall Wright (2010). New Monetarist Economics: Methods. Federal Reserve Bank of St. Louis Review 92(4): 265-302. Williamson, Stephen and Randall Wright (2011). New Monetarist Economics: Models. In Handbook of Monetary Economics, vol. 3A, ed. Benjamin Friedman and Michael Woodford, 25-96. Amsterdam: Elsevier, pp. 25-96. Williamson, Stephen (2011). Liquidity, Monetary Policy, and the Financial Crisis: A New Monetarist Approach, working paper, Washington University in St. Louis. Woodford, Michael (2003). Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, Princeton N
ANLISIS DE LAS CALIFICACIONES DE RIESgO SOBERANO: EL CASO URUgUAyO*

FERNANDO BORRAz** fborraz@bcu.gub.uy ALEJANDRO FRIED*** afried@bcu.gub.uy DIEgO gIANELLI** dgianelli@bcu.gub.uy Versin: Agosto 2011 RESUMEN Analizamos las calificaciones de deuda soberana a partir de modelos logit para una muestra de 53 pases entre 2000 y 2010. Dado que la literatura sobre el tema omite un tratamiento diferencial para variables explicativas no estacionarias incorporamos un factor de tendencia que interacta con el nivel de actividad para balancear las ecuaciones. Concluimos que las calificaciones de deuda soberana dependen de un conjunto de variables macroeconmicas e institucionales y que Uruguay al cierre del 2010 contaba con meritos suficientes para acceder al Grado Inversor. Sin perjuicio de ello, el alto nivel de dolarizacin interactuara con los restantes fundamentos generndole a su calificacin una alta volatilidad cclica. Palabras clave: deuda soberana, calificaciones, agencias de calificacin, grado inversor Clasificacin JEL: E44, F37, G15
* Las opiniones expresadas son las de los autores y no necesariamente reflejan la posicin oficial del Banco Central del Uruguay ni de la Universidad de la Repblica. Agradecemos los comentarios recibidos de Gerardo Licandro y la eficiente colaboracin de Bethany Mc Cain. Cualquier error es de responsabilidad exclusiva de los autores. Banco Central del Uruguay y Departamento de Economa, Facultad de Ciencias SocialesUniversidad de la Repblica. Banco Central del Uruguay.
** ***
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FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI
ABSTRACT We analyze the sovereign credit ratings trough logit model for 53 countries between 2000 and 2010. Because the literature does not discuss the inclusion of non stationary exploratory variables we incorporate an interaction of the GDP with a trend factor to balance the equations. We find that the sovereign credit ratings can be explained by a set of macroeconomics and institutional variables and that Uruguay predicted rating is the Investment Grade. However, the high level of dollarization is related to the other fundamentals and it implies ratings with high cycliclal volatility. Keywords: sovereign debt, sovereign credit ratings, investment grade, credit ratings agencies JEL Classifications: E44, F37, G15
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I. INTRODUCCIN La calificacin de deuda soberana es una representacin alfa-numrica para la valoracin de las agencias de calificacin sobre la capacidad y voluntad de los gobiernos de hacer frente a los pagos de intereses y capital. A tales efectos, las agencias evalan un conjunto de indicadores macroeconmicos, institucionales y de economa poltica y a partir de ello aplican su juicio en un comit de evaluacin. Estas medidas de solvencia son empleadas por agentes privados para valorizar activos financieros y para calcular el capital requerido por tipo de activo en el sistema financiero. Incluso, para cierto tipo de agente financiero institucional, como ser los fondos de pensiones, se imponen lmites al tipo de activo que puede formar parte de su portafolio en funcin de dichas calificaciones. En particular, no les es permitido invertir en activos de renta fija con calificaciones inferiores al Grado Inversor. Si bien las calificaciones de deuda soberana representan una referencia obligada en cuanto a la determinacin del riesgo, la reputacin de las agencias que las compilan se ha visto cuestionada por episodios recientes en que han mostrado cierta lentitud para ajustar sus calificaciones. En particular, estas agencias han ido detrs de la curva en la crisis Asitica en 1998, en la crisis financiera de EEUU de 2007-2008 y en la de deuda Soberana Europea que enfrenta actualmente Grecia, Italia, Espaa y Portugal. En general, las bajas de calificaciones fueron precedidas por ajustes de mercado en los spreads y CDS de los emisores involucrados. Cavallo, Powell y Rigobn (2008) demuestran que si bien los spreads contribuyen a predecir las calificaciones, estos no son un estadstico suficiente para determinarlas. Dicho estudio concluye que tanto las calificaciones de deuda soberana como los spreads y CDS son seales ruidosas de la calidad crediticia de los agentes. Por ello, las calificaciones de riesgo continan siendo una referencia central en el anlisis de riesgo de incumplimiento. Estudios pioneros en la literatura como Cantor y Packer (1996) estiman un modelo lineal por mnimos cuadrados ordinarios (MCO) con datos de corte vertical para un conjunto de pases y concluyen que en general las calificaciones de riesgo pueden ser explicadas por un conjunto acotado de factores macroeconmicos institucionales, como ser: nivel de actividad,
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crecimiento econmico, inflacin, nivel de endeudamiento y antecedentes de default. A partir de dicho trabajo, sucesivos estudios incorporaron nuevos elementos a la matriz de determinantes, en donde sobresalen indicadores cualitativos vinculados al diseo institucional y a la solidez del sistema poltico de los pases. En particular, se destaca la incorporacin de modelos no lineales ya que los modelos lineales no resultan la mejor aproximacin metodolgica pues asumen que la distancia entre dos calificaciones es la misma independientemente de la posicin relativa de ellas en la escala global. Este supuesto es particularmente cuestionable en el contexto discutido, en la medida en que existen umbrales cualitativamente ms relevantes. Por ello, en la literatura se introdujo la estimacin de modelos de variables ordenadas con errores de tipo logstico o normal. As, sobresalen los estudios de Hu, et al. (2002), Alfonso, et al. (2007b), Pena (1999) y Pena y Rodrguez (2007). La virtud de estimar este tipo de modelos radica en la capacidad de identificar a partir de la informacin disponible los umbrales a partir de los cuales se cambia de categora. La limitante que presenta este mtodo en relacin a MCO es que sus propiedades son asintticas, por lo que se requiere de muestras grandes y un nmero elevado de observaciones para cada categora. Es por ello que suele emplearse para estudios con datos de panel y puede ser recomendable limitar el nmero de umbrales, por ejemplo mediante la agrupacin de aquellas categoras para las cuales se presentan pocas observaciones. Tambin debe tenerse presente que dichos modelos pueden no captar completamente la esencia del proceso pues existe un importante factor cualitativo que es el juicio de los expertos del comit de evaluacin de las agencias. La motivacin del presente estudio es actualizar las estimaciones de Pena y Rodrguez (2007), introduciendo nuevas variables explicativas y realizar una correccin por la no estacionariedad del nivel de actividad, analizando en detalle la posicin actual de Uruguay. Para ello, se utilizarn los resultados de los modelos estimados contrastando la posicin prevista al cierre de 2010 para Uruguay con la de economas Latinoamericanas que han obtenido recientemente el Grado Inversor (Brasil, Per y Colombia) y con su propia posicin a comienzos de la dcada pasada, perodo en el cual cont con el Grado Inversor.
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La siguiente seccin discute la metodologa a emplear. A continuacin se presenta la base de datos a utilizar y una descripcin y comparacin de las calificaciones de deuda soberana de las agencias Moodys y Standard & Poors (S&P). La cuarta seccin presenta los resultados de los modelos estimados para la calificacin y las predicciones para Uruguay y para un conjunto de economas de la regin que recientemente alcanzaron el Grado Inversor. Finalmente, en la quinta se presentan las conclusiones del estudio y sus limitantes. II. METODOLOgA II.A Modelo terico La literatura sobre el tema, en particular los trabajos de Cantor y Packer (1996), Pena (1999), Alfonso et al. (2007a 2007b) y Pena y Rodrguez (2007) establecen que existe una relacin entre las calificaciones de deuda soberana y un conjunto de variables. En base a ello plantemos el siguiente modelo:
donde i representa el pas (i=1,.N), t al tiempo (t=1,.t), Rit es la calificacin asignada por las agencias calificadoras (Moodys y Standard & Poors), Xit son un conjunto de variables determinantes de las calificaciones que varan en el tiempo y entre pases y Wi son variables determinantes constantes en el tiempo. Finalmente, asumimos que el error it se distribuye independiente entre pases y en el tiempo. Es de destacar que en la ecuacin (1) no incluimos un efecto fijo por pas pues dicha variable captara gran parte de la volatilidad entre pases, limitando la incidencia de los fundamentos como factores explicativos. En dicho sentido, si se incorporaran efectos fijos, se debera estimar en dos etapas en donde en la primer etapa se explicaran los dichos efectos fijos por los fundamentos. Es de destacar que la forma reducida sera idntica a la que se propone utilizar en este estudio. Como ya se adelantara, debido a la naturaleza discreta de la variable dependiente clasificacin, la estimacin por mnimos cuadrados ordinarios
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no es apropiada en este caso y por lo tanto se estima un modelo logit ordenado. Dicho modelo puede ser derivado a partir de variables latentes:
donde R* es la calificacin latente inobservada, J es el nmero de categoras de calificacin y 1<2<....<J-1 son umbrales no conocidos (y a estimar) tales que: R=1 R=2 R=3 .... R = J-1 R=J si si si R* 1 1 < R* 2 2 < R* 3 J-2 < R* J-1 R* > J-1
si si
Si asumimos que los presentan una distribucin logstica (normal) tenemos el modelo logit (probit) ordenado en donde los parmetros , y los umbrales pueden ser estimados por mxima verosimilitud. Finalmente, y considerando que nos interesa focalizarnos en los determinantes de la obtencin del Grado Inversor en el anlisis economtrico excluimos de nuestra muestra a aquellos pases que siempre tuvieron la categora ms alta o la ms baja. Dicha exclusin se basa en que dichos pases no agregan contenido informacional con respecto a la obtencin del Grado Inversor. As mismo, los umbrales para la categora de mxima calidad crediticia (AAA) podran estar determinados por fundamentos alternativos a los que valoramos en el estudio, predominando factores de economa poltica. II.B Variables determinantes de las calificaciones Basados en los trabajos de Cantor y Parker (1996), Pena (1999), Moodys (2004), Standard & Poors (2010) y Alfonso, et al. (2007a 2007b) utilizamos un conjunto de variables explicativas de las calificaciones:
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a Producto Interno Bruto (PIB) ajustado por Paridad de Poderes de Compra (PPP). Su signo esperado es positivo ya que a mayor nivel de actividad y desarrollo se asumen instituciones ms slidas que promueven una mayor voluntad y capacidad de pago as como una base impositiva ms alta. Por otra parte, el costo de aislarse de los mercados financieros es mayor a medida que las economas crecen y se hacen ms interdependientes de los flujos comerciales y financieros internacionales. El ajuste por PPP tiene la virtud de corregir el nivel de actividad por los efectos atribuibles a una mayor o menor capacidad de compra en dlares en cada economa. Dado que el nivel de actividad es esencialmente una variable no estacionaria que se emplea en este caso para explicar las calificaciones de riesgo, las cuales tienen una media incondicional constante, se corregir por tal efecto interactuando dicha variable con una tendencia. El signo previsto para esta interaccin es negativo ya que corregira por el aumento en media del nivel de actividad en el tiempo. a Tasa de crecimiento de la economa. En economas altamente endeudadas la relacin entre tasa de crecimiento y tasa de inters real de la deuda determina la dinmica temporal del servicio de deuda sobre PIB y, por ende, su sostenibilidad. a Inflacin. Es un sntoma de desequilibrios a nivel domstico. Altos niveles inflacionarios revelan en general la necesidad de financiamiento monetario del dficit fiscal y se traducen en mayores tasas nominales a largo. En trminos ms generales, una inflacin alta revela un exceso de gasto que requerir ajustes que podran ser costosos para la economa. En el caso particular de ausencia de deuda denominada en moneda extranjera, no obstante, la inflacin permitira licuar parte del costo de la misma y por ende su signo sera indeterminado. a Razn de deuda a producto. Es la medida ms empleada para reflejar el costo de la deuda en trminos de la actividad de una economa. Su signo es inequvocamente negativo, en la medida en que un mayor stock de deuda a producto requerir de un mayor desvi de recursos para el pago de intereses y principal. a Efectividad del Gobierno. Es un indicador calculado por el Banco Mundial que da cuenta de la capacidad del gobierno para implementar sus
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polticas. El ndice vara de -2,5 a 2,5. Un mayor indicador dara cuenta de una mejor posicin del sector pblico para implementar sus polticas y as enfrentar los compromisos crediticios. Este indicador aproxima la voluntad de pago. a Dolarizacin de la economa. Se define como el porcentaje de deuda soberana y depsitos y crditos del sistema financiero (por cuanto pueden encubrir riesgos sistmicos que generen pasivos contingentes) denominados en dlares y es un indicador de fragilidad en la capacidad de pago de una economa. Cambios abruptos de magnitud en la cotizacin de la moneda pueden exponer las finanzas pblicas a riesgos considerables, afectando seriamente la capacidad de pago de una economa. a Reservas en relacin al PIB. Es una medida de la capacidad de responder a las obligaciones de corto plazo, especialmente relevante para las economas cuya deuda se encuentra denominada en moneda extranjera. a Supervit fiscal como proporcin del producto. Es un indicador del volumen de recursos disponibles por la tesorera para hacer frente a sus obligaciones. Un mayor supervit fiscal ser consistente con una mayor capacidad de pago por parte de los respectivos gobiernos. Del mismo modo, un Saldo en Cuenta Corriente positivo permite internar recursos lquidos. Un saldo negativo en cuenta corriente dara cuenta de un exceso de consumo nacional que eventualmente requerira de financiamiento. El impacto de esta variable sobre la capacidad de pago depender del tipo de financiamiento que reciba el dficit de cuenta corriente a travs de la cuenta de capitales. a Historial de pago. Aquellas economas que declararon default en el pasado reciente tendrn, dado todo lo dems constante, una peor calificacin. Para este propsito se construyo una variable dummy que toma el valor 1 a partir del ltimo default de deuda soberana en los ltimos 21 aos. Esta serie fue construida a partir de la base de datos del estudio de Borensztein y Panizza (2008). a Ingreso a la Unin Europea. Otra variable indicadora empleada para controlar por eventos especficos es la fecha de la incorporacin a la Unin Europea. Esta variable es relevante para de economas emergentes de Europa del este. Su signo esperado es positivo indicando
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una mayor capacidad de pago pues las polticas de las economas pasan a ser supervisadas por la de los otros miembros de la Unin Europea y se abrira el acceso a financiamiento por parte del Banco Central Europeo. II.C Orden de integracin de las variables Dado que en la estimacin de la ecuacin (1) se incluye el nivel de actividad que presenta un orden de integracin diferente a las restantes variables, se propone un mtodo para controlar por sus cambios en media. Como la dimensin temporal de nuestra muestra limita la posibilidad de realizar pruebas de races unitarias en panel con niveles de potencia aceptable optamos por incluir como variable explicativa la interaccin del PIB con una tendencia. El signo esperado de dicha variable es negativo por cuanto corregira por el aumento en la esperanza incondicional del nivel de actividad. Esto nos permite balancear las ecuacines estimadas, eliminando un posible sesgo sistemtico. III. DATOS La base de datos utilizada en este estudio tiene como fuente el Statistical Handbook de la calificadora de riesgo Moodys para 108 pases. Para el anlisis economtrico posterior excluimos a aquellos pases que siempre obtuvieron la mxima y mnima calificacin, y se construy un panel desbalanceado (segn disponibilidad de informacin) de 53 pases para el perodo 2000-20101. Es de destacar que la homogeneizacin de criterios realizada por la agencia Moodys permite la comparacin de indicadores entre pases. III.A Anlisis descriptivo de las calificaciones La calificacin de la deuda soberana refiere al 31 de diciembre de cada ao. Como se mencion anteriormente las calificadoras de riesgo evalan la capacidad y voluntad de pago de la deuda soberana por parte de los
En el Anexo I se detalla la lista de pases.
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gobiernos. Como las calificaciones de las agencias son alfa-numricas, se transformaron a una escala numrica entre 1 y 21 siguiendo la propuesta de Afonso et al. (2007a). Adems, dado que se trata de un nmero importante de categoras se aade una subclasificacin y se dividen las calificaciones individuales mediante un ndice con 7 categoras. Esta divisin permite obtener una medida resumen con mayor contenido cualitativo y menor dispersin pues en la prctica puede resultar difcil para un modelo identificar los umbrales. Por ltimo, se agrupa las clasificaciones en dos categoras excluyentes segn se cuente o no con el Grado Inversor. En lo que respecta a la distribucin en las calificaciones para el total de la muestra de 108 pases se observa que no es normal ni uniforme (ver Tabla 1). Se destaca la alta participacin (aprox. 20%) de calificaciones AAA en la muestra, las cuales sern excludas de nuestro anlisis empirico por los motivos previamente discutidos. A nivel de sub-clasificaciones, excluyendo la relativa a default, se observa una mayor uniformidad en la densidad. Esto nos permitir obtener resultados ms robustos en las estimaciones y es relevante dado que nuestro inters es determinar cual sera la clasificacin adecuada para Uruguay y si este debiera o no recibir el Grado Inversor.
Los siguientes grficos muestran que existe una alta correlacin entre las calificaciones de las agencias. La correlacin estadstica entre las
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notas de ambas agencias no es significativamente distinta de uno. Asimismo, existe una elevada sincronizacin en lo que respecta a los cambios de calificacin en base anual para ambas agencias. Con excepcin del caso de Rusia en 2008 donde Moodys mejor su calificacin al tiempo que S&P la degradaba y Ecuador en 2007 y 2010, y Venezuela en 2010 en donde se dio la situacin inversa, las agencias de calificacin siempre se han movido en la misma direccin. Comparacin de las calificaciones de Moodys y Standard & Poors
En trminos de diferencias de calificaciones entre agencias, en el perodo 2000-2010 existe coincidencia en un 50% de los casos. En 37% de los casos observamos una diferencia de apenas una categora, y en 11% en dos categoras. Apenas en menos de 2% de los casos se constata una diferencia de ms de dos categoras entre las agencias. En lo que refiere a la categorizacin de Grado Inversor, menos del 4% de las observaciones difieren entre ambas calificadoras, lo cual anticipa resultados similares en el estudio emprico en lo que respecta a los pronsticos para ambas agencias.
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La siguiente figura muestra el histograma de las diferencias de clasificacin entre Moodys y S&P. A nivel de posicin central, las diferencias no son significativamente distintas de cero y en ningn caso superan cuatro escalones. Diferencias entre las clasificaciones de Moodys y S&P
La Tabla 2 presenta la distribucin conjunta de las sub-calificaciones2. Como se puede observar, excepto para el caso de Islandia en que S&P otorgaba la calificacin 5 y Moodys 7, no hay eventos en los que las sub-calificaciones de ambas agencias difieran en ms de una categora. As mismo, la distribucin de observaciones por categora de sub-calificacin, con excepcin del nivel 1, es ms uniforme que para la calificacin.
En el Anexo II se presenta una Tabla similar para las todas las clasificaciones en escala de 1 a 21.
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Por ltimo, no parecera existir evidencia en trminos de la oportunidad relativa en los ajustes de calificacin. Concretamente, las pruebas de causalidad de Granger tanto para el nivel de calificaciones como para sus ajustes (incluso distinguiendo efectos asimtricos) rechazan la hiptesis de que no existe causalidad en ambos sentidos (ver Tabla 3). Esto ltimo permitira descartar la presencia de un lder y un seguidor sistemtico en lo que respecta a la determinacin del riesgo soberano.
III.B Variables determinantes de las calificaciones La Tabla 4 presenta un conjunto de estadsticos descriptivos para las variables macroeconmicas empleadas en el anlisis economtrico como determinantes de las calificaciones.
Es de destacar que desde un punto de visto terico sera conveniente trabajar con las variables de corto plazo como el resultado fiscal, crecimiento y saldo en cuenta corriente ajustadas por el ciclo econmico. Lamentablemente, a la fecha no se dispone de una base de datos homogeneizada para un conjunto grande de pases con dichas variables.
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IV. RESULTADOS IV.A Logit ordenado calificaciones La Tabla 5 presenta los resultados de la estimacin de un modelo logit ordenado para las calificaciones de acuerdo a un ndice numrico entre 2 y 20 y entre 1 y 6 para las subcalificaciones, excluyendose de ambas las calificaciones mximas (AAA) y mnimas para un mejor ajuste en lo que respecta a los umbrales relevantes para el estudio. Debe tenerse presente que como se trata de un modelo no lineal el coeficiente asociado a cada variable no representa el impacto de la misma sino simplemente la direccin del efecto. En consistencia con los resultados obtenidos por Cantor y Packer (1996), Pena y Rodriguez (2007) y Alfonso, et al. (2007) se observa que las calificaciones de deuda pueden ser explicadas por un conjunto acotado de variables macroeconmicas e institucionales. Un mayor nivel de PIB per cpita ajustado por PPP se asocia a mayores evaluaciones. A su vez, el coeficiente asociado a la tendencia del PIB es negativo penalizando por el hecho de que simplemente por el paso del tiempo tenemos mayores niveles de produccin. Este efecto, que permite corregir un sesgo sistemtico en las proyecciones de calificacin, hasta ahora y segn lo mejor de nuestro conocimiento no haba sido recogido en la literatura. Por otra parte la tasa de crecimiento del PIB nicamente en una de las estimaciones resulta significativa para explicar las calificaciones. Este resultado no es sorprendente pues esperamos que las calificaciones se relacionen con variables de largo plazo y la tasa de crecimiento del PIB puede estar afectada por condiciones puramente cclicas sin incidencia en la capacidad de pago del pas. Para este propsito hubiese sido deseable contar con la tasa de crecimiento potencial, a lo cual no hemos accedido para el conjunto de pases en la muestra. El grado de dolarizacin del pas, la inflacin, la deuda y la razn servicio deuda se encuentran negativamente asociadas a las calificaciones. La efectividad del gobierno que capta el nivel de eficiencia en la recaudacin de impuestos, en el gasto y la corrupcin aparece positivamente asociada a las calificaciones. Tambin y de manera esperable, la razn de reservas a PIB aparece positivamente correlacionada con las calificaciones. Finalmente, ingresar a la Unin Europea y haber cado en default en los ltimos 21 aos se asocia con mayores y menores calificaciones respectivamente.
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IV.B Logit binario Grado Inversor La Tabla 6 muestra los resultados de la estimacin de un modelo logit binario para el Grado Inversor, los cuales son interpretados como la probabilidad condicional de obtener dicha categora en funcin de los fundamentos de cada economa para cada ao. Los signos de los coeficientes estn en concordancia con los encontrados previamente para el nivel de las calificaciones y son compatibles con la literatura y la intuicin econmica.
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Finalmente, en el Anexo III presentamos la estimacin de los umbrales y como prueba de bondad de ajuste las predicciones correctas del modelo. En el modelo binario para el Grado Inversor, se observa un acierto de 90% en las predicciones. IV.C Predicciones para toda la muestra En base a los modelos anteriormente estimados, calculamos la prediccin de tener Grado Inversor para todo el conjunto de paises que no cuentan con mismo en 2010 segn la calificadora Moodys. La siguiente figura muestra que Uruguay cuenta con una probabilidad de obtener el Grado Inversor superior al 50% y es el pas con mayor probabilidad solo por debajo de Montenegro. Este anlisis para la Calificadora S&P sugiere un resultado similar en donde Uruguay es superado tan solo por Montenegro, Turquia y Letonia, quien cuenta con el Grado Inversor por parte de Moodys. Probabilidad predicha de obtener grado Inversor segn modelo logit
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IV.D Predicciones para Uruguay, Brasil, Colombia y Per La Tabla 7 presenta las predicciones del modelo anteriormente estimado para Uruguay, y otros tres pases de la regin como Brasil, Per y Colombia que recientemente obtuvieron el Grado Inversor. Se obtienen los valores fitted (primer columna) de las estimaciones anteriores y se las compara con los umbrales que estima el modelo logit ordenado, computando la calificacin prdicha (segunda columna). Estos resultados se compararn con las calificaciones efectivas (tercera columna). Para el caso de Uruguay se obtienen dos hechos estilizados y robustos a las variables empleadas y al mtodo de estimacin, en particular: (i) la calificacin a 2010 debiera ser mayor a la exhibida en el 2000. (ii) De la comparacin entre pases surge claramente que Uruguay al menos no debiera estar peor calificado que sus pares Latinoamericanos. Un resultado interesante para validar las previsiones es que el modelo sugiere cadas transitorias en las calificaciones para Per y Brasil durante 2009, lo cual se condice con el impacto relativo en estas economas de la crisis financiera.
En cuanto a la probabilidad de obtener el Grado Inversor, los resultados del modelo binomial para las cuatro economas se presentan en el siguiente grfico. Las conclusiones generales del anlisis no contradicen lo discutido para el caso del modelo para las categoras de calificacin. En particular, se observa como las probabilidades de obtener el Grado Inversor han aumentado a partir de mediados de la dcada pasada, especialmente en lo que refiere a Uruguay, alcanzando a la fecha niveles superiores a los ob-
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servados en 2000-2001 cuando contaba con dicha calificacin. En el anexo se presenta la efectividad de las predicciones, la cual para los modelos binomiales supera el 90%. Estas probabilidades, al estar calculadas sobre la base de la informacin efectiva, no incluiran la visin estratgica de las calificadoras sobre el futuro desempeo de las economas. Probabilidad predicha de obtener grado Inversor segn modelo logit
Un punto interesante es que las predicciones para Uruguay presentan una mayor volatilidad que sus pares Latinoamericanos. Esto tambin se observa para los resultados de los modelos ordenados, tanto para las calificaciones como para las sub-calificaciones. Esta volatilidad estara vinculada con el nivel de dolarizacin del pas. El alto nivel de dolarizacin podra exacerbar los factores que afectan positivamente la calificacin y potenciar aquellos que la afectan negativamente en las fases alternativas del ciclo, ya que la deuda producto y el servicio de la misma seran endgenos a los precios relativos en que se encuentre pactada la deuda. IV.E Las calificaciones y el mercado A continuacin y para reforzar el anterior anlisis se presenta para estos pases el spread y la calificacin de deuda soberana. El siguiente grfico muestra como el mercado ha valorizado la deuda Uruguaya asignndole una probabilidad implcita de impago similar a la prevista para los bonos de Per, Brasil y Colombia que cuentan con el Grado Inversor. La correlacin entre calificaciones y spreads parece clara al comienzo de la muestra, cuando conforme el menor riesgo de mercado Uruguay se encontraba mejor
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calificado que los restantes pases latinoamericanos. Lo contrario se observa durante la crisis financiera de 2002-2003, en donde Uruguay y Brasil son penalizados en los precios de sus activos de renta fija en concordancia con una peor calificacin de deuda soberana. Actualmente, los cuatro pases han convergido a niveles de spread similares, ubicados en niveles mnimos histricos; asimismo, con la excepcin de Uruguay, tambin han convergido en su calificacin de deuda soberana a sus mximos niveles histricos. Esto reforzara el pronstico de obtencin del Grado Inversor a corto plazo. Spread y calificacin de deuda soberana (Moodys)
Para contextualizar los resultados previos se procede a comparar el desempeo de estas economas con nfasis en las variables empleadas en el modelo. Para incorporar en una misma figura las categoras relevantes para el anlisis se procedi a normalizar cada variable en desvos respecto a los valores de la muestra considerada y cambiar el signo a aquellas que afectan negativamente la calificacin. Los resultados muestran que el nivel de actividad y la efectividad de las polticas publicas en Uruguay se encuentra en 2010 por sobre el de sus pares; mientras que se observa lo inverso en cuando a inflacin y dolarizacin. Tanto en lo que se refiere al nivel de deuda como al servicio de la misma, Uruguay se encuentra en una posicin intermedia entre Colombia y Brasil.
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Variables determinantes de las calificaciones para Uruguay y pases de la regin
El mismo anlisis puede realizarse exclusivamente para la economa uruguaya. En este caso, se consideran los aos 2000, 2003 y 2010. La comparacin con el 2000 resulta relevante ya que a dicha fecha Uruguay contaba con el Grado Inversor. La base de comparacin de 2003 permite identificar cuanto se ha avanzado a partir del momento ms crtico de la crisis financiera vivida en 2002. En comparacin con 2003 la situacin es clara y precisas, todos los indicadores considerados se encuentran a varios desvos estndar. Respecto al ao 2000, con excepcin del guarismo inflacionario y el porcentaje de deuda a producto la economa se muestra mucho ms slida. Sobresale el menor servicio de la deuda, tanto por la maturity media de los instrumentos como por las tasas de inters a las que estn colocados. El plazo residual para la deuda del sector pblico global a ms de 5 aos aumento de 40% a ms de 60% en los ltimos diez aos y la relativa al sector no financiero de 40% a ms del 70%, con una duration promedio de 10 aos. A su vez, actualmente se observa una menor vulnerabilidad asociada a cambios en las condiciones de liquidez ya que las operaciones a tasa flotante pasaron de representar un 40% del total a menos del 15%. Adems, la deuda del sector pblico global en manos de no residentes pas de 65% a 55% en la ltima dcada.
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As mismo, la dolarizacin se ha reducido tanto para la deuda pblica como para los pasivos y activos del sistema financiero, al tiempo que han aumentado las colocaciones en Unidades Indexadas. A nivel de deuda del sector pblico global, el grado de dolarizacin de los pasivos se redujo de ms de 85% a 55% y a nivel de la deuda del sector pblico no financiero de 90% a menos de 65% entre 2000 y 2010. Finalmente, el nivel de activos externos del sector pblico aumento de 3 a casi 11 mil millones de dlares entre 2000 y 2010 muy por encima del crecimiento de la actividad medida en dlares y de las obligaciones contradas3. Variables determinantes de las calificaciones para Uruguay en los aos 2000, 2003 y 2010
Debe sealarse que una proporcin importante de los activos externos fueron generados por intervenciones esterilizadas en el mercado de cambio; por lo cual, si bien aumentaron las reservas, tambin creci la deuda de corto plazo en moneda nacional, especialmente las Letras de Regulacin Monetaria del Banco Central del Uruguay.
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Estos cambios se procesaron en un contexto de crecimiento a partir de 2003, el cual tuvo como resultado un nivel de actividad per cpita ajustado por PPP al cierre de 2010 75% superior al del 2000. En trminos de crecimiento real de la economa, las tasas promedio de los ltimos 6 aos superan el 6% interanual, lo cual contrasta con la tendencia histrica de crecimiento de aproximadamente 2,5%. Este proceso se ha visto potenciado por crecientes flujos de Inversin Extranjera Directa, especialmente en las cadenas productivas vinculadas al sector primario, lo cual ha contribuido al aumento de la tasa de inversin y ha confirmado la confianza de los inversores en la estabilidad macroeconmica y poltica de Uruguay. Se destaca as mismo, en el plano institucional la creacin en 2005 de la Unidad de Gestin de Deuda en la esfera del Ministerio de Economa y Finanzas, lo cual habra contribuido a fortalecer el seguimiento de estos indicadores. V. CONCLUSIONES y LIMITACIONES Analizamos las calificaciones de deuda soberana a partir de datos de panel en modelos binomiales y multinomiales para un conjunto de 53 pases. Los mtodos empleados cumplen con el propsito de corregir por la no linealidad en las distancias entre calificaciones, identificando umbrales para ordenar las predicciones. Segn los diversos modelos estimados, las calificaciones de deuda soberana dependen positivamente del producto per capita ajustado por PPP, del saldo en cuenta corriente, el crecimiento real de la economa, la posicin fiscal, la efectividad del gobierno en cuanto a la implementacin de polticas pblicas y la relacin de activos externos lquidos a producto. En cambio, dependen negativamente del nivel de inflacin, del grado de dolarizacin, del servicio de la deuda como indicador de liquidez, de la razn deuda a producto y de los antecedentes de impago. Si bien estos factores se encuentran ampliamente discutidos en la literatura, el aporte metodolgico de est trabajo consisti en incorporar en las estimaciones un factor de tendencia que interacta con el nivel de actividad para balancear las ecuaciones. Esta alternativa es, hasta donde sabemos, novedosa y permite corregir por factores con tendencia estocstica. En las estimaciones realizadas dicha variable fue significativa para todas las especificaciones y mostr siempre el signo esperado.
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En lo que respecta a las conclusiones relativas a la calificacin de deuda uruguaya, el anlisis es concluyente en varios sentidos. En primer lugar, la posicin al cierre de 2010 de los fundamentos es ms robusta que en el perodo 2000-2001. En segundo lugar, la comparacin de los resultados de Uruguay con los de Brasil, Per y Colombia, sealan que, al menos, la calificacin de Uruguay no debiera ser inferior a la de sus pares Latinoamericanos. Tanto el modelo multinomial, como el binomial para la probabilidad de obtener el Invesment Grade, coloca las predicciones de calificacin para Uruguay al cierre de 2010 por sobre la de los mencionados pases de la regin. Los spreads en el mercado secundario son consistentes con este anlisis, en la medida en que han tendido a converger a sus mnimos histricos. Finalmente, con excepcin de Montenegro para Moodys -y para el modelo de S&P Turqua y Letonia- Uruguay se encuentra mejor posicionado que los restantes pases que no cuentan con el Grado Inversor para acceder a dicho umbral. Al anlisis anterior debe aadirse que durante 2011 la economa uruguaya, con excepcin del guarismo inflacionario, y en el margen la posicin fiscal y la cuenta corriente, habra potenciado an ms sus fortalezas en lo que respecta a la prediccin de su calificacin de deuda soberana. Por ello, no sera extrao que actualizando la informacin al cierre de 2011 Uruguay mejore an ms sus perspectivas de obtener el Grado Inversor. No obstante, Uruguay an presenta debilidades estructurales, la ms importante de las cuales contina siendo el elevado ratio de dolarizacin. En segundo orden sobresale el nivel de endeudamiento respecto al PIB (el cual actualmente es superior al de 2000-2001), su posicin fiscal ajustada por ciclo y la tasa de inflacin, toda ellas muy vinculadas al propio nivel de dolarizacin de la deuda. Si bien la dolarizacin es una variable altamente significativa en los modelos estimados, su efecto en un panel podra estar subestimando su impacto para Uruguay por no recoger sus efectos sobre otras variables. Eso ltimo validara hasta cierto punto la lentitud con que las agencias han ajustado su visin para la calificacin de la deuda soberana uruguaya. Un hecho estilizado robusto que surge de las predicciones de los modelos multinomiales y binomiales es que Uruguay presenta mayor volatilidad en su calificacin prevista. Esto es, la sensibilidad de los resultados al ciclo sera ms alta para Uruguay que para otros pases en la muestra. Este
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resultado guarda relacin con el alto grado de dolarizacin de la deuda. En perodos de bonanza, en donde el tipo de cambio real muestra una tendencia a la apreciacin por la va de los efectos Salter-Swan y/o Ballassa-Samuelson, la relacin deuda producto, el servicio de la deuda y la dolarizacin descienden endogenamente. Esto ltimo pone cierta nota de cautela en las conclusiones del estudio. Un cambio en las condiciones de liquidez internacionales, o la eventualidad de un shock domstico o regional podran tener consecuencias adversas sobre los fundamentos de la calificacin soberana. Sin perjuicio de otras vulnerabilidades, como la posicin fiscal en el ciclo, la inflacin y la flexibilidad de la economa para enfrentar shocks adversos, el nivel actual de dolarizacin en la deuda pblica es sin duda el taln de Aquiles para obtener y mantener el Grado Inversor y es donde la poltica econmica debera continuar realizando sus mayores esfuerzos.
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REFERENCIAS BIBLIOgRFICAS
Alfonso, Antonio; Gomez, Pedro y Rother, Philipp (2007a): What Hides Behind Sovereign Debt Ratings European Central Bank WP N 711. Alfonso, Antonio; Gomez, Pedro y Rother, Philipp (2007b): Short and Long-run Determinants of Sovereign Debt Credit Ratings. Borensztein, Eduardo y Panizza, Ugo (2008): The Costs of Sovereign Default IMF WP N WP/08/238. Cantor, Richard y Packer, Frank (1996): Determinants and Impact of Sovereign Credit Ratings Economic Policy Review 2(2): 37-53. New York, United States: Federal Reserve Bank of New York. Cavallo, Eduardo; Powell, Andy y Rigobn, Roberto (2008): Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions BID WP N647. Hu, Yen-Ting; Kiesel, Rudiger y Perraudin, William (2002): The estimation of transition matrices for sovereign credit ratings. Journal of Banking & Finance, 26 (7), 1383-1406. Moodys Investor Service (2004):A Quantitative Model for Foreign Currency Government Bond Ratings Pgina web de Moodys. Pena, Alejandro (1999): La calificacin de Riesgo Soberano: Anlisis de sus determinantes. Mimeo, Banco Central del Uruguay Pena, Alejandro y Rodriguez, Anala (2007): La metodologa de rating -trhough the cycle- : aplicacin para la estimacin de ratings soberanos, Jornadas Anuales de Economa del BCU 2007. Standard & Poors (2010): Sovereign Government Rating Methodolgy and Assumptions Pgina web de Standard & Poors.
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ANEXO I: LISTADO DE PAISES
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ANEXO II: TABLAS DE DISTRIBUCIN DE CALIFICACIONES POR AgENCIA
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ANEXO III: UMBRALES y PREDICCIONES
LA DEMANDA DE DINERO EN UNA ECONOMA DOLARIzADA: UNA ESTIMACIN PARA URUgUAy1

CONRADO BRUM
cbrum@bcu.gub.uy
ELIzABETH BUCACOS PATRICIA CARBALLO
ebucacos@bcu.gub.uy
pcarballo@bcu.gub.uy
Versin: Setiembre 2010 RESUMEN En el rgimen monetario aplicado en Uruguay desde 2007, que utiliza la tasa de inters interbancaria como instrumento, la gestin de la liquidez ha venido adquiriendo una importancia creciente. En este marco, la estimacin de la demanda de dinero sigue resultando imprescindible para proyectar factores de oferta y demanda de liquidez. En el presente trabajo se ajusta un modelo para la demanda real de dinero que incorpora a los factores explicativos tradicionales producto y tasa de inters-, una variable que mide la volatilidad relativa de los rendimientos reales de un activo sustituto -nominado en dlares y de renta fija- y del propio dinero.
1 Esta investigacin fue realizada en el marco del cumplimiento del objetivo institucional 1.2 del Plan Estratgico del Banco Central del Uruguay para el ao 2010. En este trabajo participaron las siguientes reas: Investigaciones Econmicas y Poltica Monetaria y Programacin Macroeconmica. Los conceptos involucrados en este documento son de estricta responsabilidad de los autores, no comprometiendo por tanto, la opinin institucional del Banco Central del Uruguay. Agradecemos a Jos Antonio Licandro, Adriana Induni, Gerardo Licandro, Alejandro Pena, Alejandro Fried, Diego Gianelli, Vernica Espaa, Alejandro Aquino, Ana Caviglia, Silvia Cabrera, Jos Ignacio Gonzlez y Andrea Machado, quienes de una u otra manera hicieron aportes valiosos a este trabajo. Cualquier error que pueda persistir es de nuestra entera responsabilidad.
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CONRADO BRUM, ELIZABETH BUCACOS, PATRICIA CARBALLO
En la relacin de largo plazo encontrada, la cantidad real de dinero guarda una relacin positiva y unitaria con el producto y una relacin inversa con la tasa de inters. La variable volatilidad incide positivamente en la demanda real de dinero operando como una variable exgena. A partir de la relacin de cointegracin hallada, se especific un modelo de correccin de errores que cumple con los requisitos habituales de estabilidad. Palabras clave: Demanda de dinero, portafolio, cointegracin, Uruguay Clasificacin JEL: E41, G11, C22, N16.
ABSTRACT Under the monetary regime put into practice since 2007 in Uruguay, which uses interbank interest rate as an instrument, liquidity management has become more and more important. As a result, money demand estimation is still essential in order to project supply and demand liquidity factors. This paper adjusts a model for real money demand by adding to traditional explanatory variables real output and nominal interest rate an additional variable that measures relative volatility of real returns of a dollar-denominated fixed-income substitute asset and money itself. In the long-run relationship found, real money balances are positively related with real output with unitary elasticity and those balances are inversely related with nominal interest rate. Besides, the volatility variable has a positive influence on money demand and acts as an exogenous variable. The error-correction model specified satisfies usual stability requisites. Keywords: Money demand, portfolio, cointegration, Uruguay. JEL Classification: E41, G11, C22, N16.
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I. INTRODUCCIN En el rgimen monetario que se viene aplicando en Uruguay desde julio de 2007, en el que se utiliza a la tasa de inters a un da como instrumento para alcanzar los objetivos intermedios y finales del Banco Central, la gestin de la liquidez interbancaria ha venido adquiriendo una importancia creciente2. En este marco, la estimacin de la demanda de dinero sigue resultando imprescindible, en la medida que sirve para proyectar tanto la emisin en poder del pblico como los depsitos bancarios ms lquidos3. Si bien ya se haban realizado algunos trabajos previos sobre el tema en Uruguay, fue recin a mediados de 2002, cuando se pas a un sistema cambiario de libre flotacin, que la estimacin de la demanda de dinero comenz a tener mayor relevancia4. Bucacos y Licandro (2002) presentaron una estimacin de demanda de dinero, que comenz a ser utilizada como referencia en el rgimen de agregados monetarios que estaba vigente. En esa oportunidad se ajust un modelo de correccin de errores a una funcin de demanda de dinero, y se encontr una relacin bsica de largo plazo con una dinmica que cumpla con los requisitos estadsticos de estabilidad. Bucacos (2005) realiz una nueva aproximacin a la demanda de dinero en Uruguay, que ajustaba a la misma demanda de dinero que el trabajo anterior, un modelo de cointegracin peridica, donde se encontraron relaciones estables pero estacionalmente variables entre la demanda de saldos reales y sus factores explicativos. Fried y Trujillo (2006) realizaron un nuevo modelo para estimar la demanda de dinero en Uruguay considerando un agregado monetario ms amplio que el que se haba utilizado en trabajos anteriores. Al agregado M1, que incluye la emisin en poder del pblico y los depsitos a la vista, le fueron incorporando las cajas de ahorro en moneda nacional, a medida que las mismas fueron adquiriendo carcter ms transaccional. Esto ltimo se hizo a travs de un ndice de dinerabilidad elaborado por los mismos autores.
3 4
Inicialmente se buscaba que la tasa call interbancaria a un da se ubicara en torno a la Tasa de Poltica Monetaria (TPM), pero desde feb-2008 el objetivo se fij sobre la Tasa Media de Mercado, que adems de operaciones entre bancos, considera a las operaciones que estas instituciones realizan con el BCU. Las variaciones de la emisin en poder del pblico afectan la oferta de liquidez, mientras que la evolucin de los depsitos bancarios afecta la demanda de fondos para constituir encajes. Ver Della Mea, U. (1991), Della Mea, U. y Dominioni D.(1992), Licandro G. (1992) y Fernndez S.(1999).
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En el presente trabajo se ajusta un modelo de correccin de errores para la demanda de dinero, utilizando un agregado monetario elaborado de acuerdo a la propuesta metodolgica de Fried y Trujillo, e incorporando a los factores explicativos tradicionales nivel de actividad y tasa de inters-, una variable que mide el riesgo relativo de los rendimientos reales de un activo sustituto (nominado en dlares y de renta fija) y el propio dinero. Para definir esta ltima variable se aplicaron elementos de la teora del portafolio de Markowitz (1952) y los aportes de Tobin (1958). Los resultados encontrados no permiten rechazar la hiptesis de estabilidad de la demanda de dinero. Se encontr evidencia de que existe una relacin de largo plazo entre la demanda real de dinero, el producto y la tasa de inters. En dicha relacin la variable que mide la volatilidad relativa aparece como exgena. La estabilidad del modelo dinmico de corto plazo se contrast a travs de diversos tests de residuos recursivos, de constancia de parmetros y de bondad de ajuste. El trabajo se organiza de la siguiente manera. En la segunda seccin se presenta el marco conceptual que permite especificar la funcin de demanda de dinero. En la tercera se presenta el modelo de estimacin y se muestran los principales resultados encontrados. Y en la cuarta se resumen las principales conclusiones. II. MARCO CONCEPTUAL Siguiendo a los antecedentes nacionales consultados, en este trabajo se utiliza una especificacin de la demanda real de dinero de largo plazo consistente con el modelo de dinero en la funcin de utilidad (Sidrauski, 1967), modelos de costos de transaccin (Wilson, 1989) y modelos de cash-in advance (Clower, 1967; Lucas, 1980). La forma general es la siguiente:
Tomando logaritmos puede expresarse as:
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Donde: md es la cantidad nominal de dinero en logaritmos p es el nivel general de precios en logaritmos y es el producto real en logaritmos i es la tasa de inters nominal La demanda por saldos reales tiende a incrementarse a medida que se incrementa el nivel de actividad (demanda por motivo transaccin) por lo que 1 > 0. El otro componente de la demanda real de dinero est dado por el motivo especulacin. La tenencia de saldos reales vara de forma inversa a la tasa de inters nominal que pagan otros activos financieros, 2 < 0. En efecto, sean iM e i los rendimientos nominales del dinero y de los otros activos financieros respectivamente (en principio ambos estn nominados en moneda nacional), rM y rOA sus rendimientos reales, y e la inflacin esperada, entonces:
Se verifica que el diferencial de rendimiento real es la tasa de inters nominal que paga el activo alternativo:
Si se cumple la paridad abierta de tasas de inters, la tasa de inters en moneda nacional tiende a estar arbitrada con la tasa de inters en moneda extranjera ms la tasa de devaluacin esperada. Es decir que implcitamente la tasa de inters en moneda extranjera y la tasa de devaluacin esperada pueden interpretarse como argumentos de la funcin de demanda de dinero por motivo especulacin. Esto no es para nada trivial, especialmente en el caso de economas abiertas y dolarizadas como la uruguaya, en el que la moneda extranjera, especficamente el dlar, se ha constituido histricamente en un activo utilizado por los agentes como un refugio para protegerse de las fluctuaciones del rendimiento relativo del dinero en trminos de su poder de compra. No obstante, ms all del efecto directo de las tasas de inters sobre la demanda de saldos reales, existe otro efecto que opera a travs de la incertidumbre implcita en los rendimientos reales del dinero y los activos
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competitivos. Este efecto tiene su gnesis en la aplicacin de la Teora del portafolio a la demanda de dinero [Markowitz (1952) Tobin(1958)]. Sea q un portafolio que sin prdida de generalidad podemos suponer compuesto por dos activos, el dinero M y un activo nominado en dlares ( U$S ). El rendimiento real esperado del portafolio es: Rq = rM + (1 ) rU$S donde es la participacin del dinero en el portafolio y rM y rU$S son las tasas de inters reales del dinero y el activo en dlares, respectivamente.
Estas tasas pueden expresarse de la siguiente forma: rM = iM e rU$S = iU$S + e e siendo iM e iU$S los retornos nominales e la tasa de devaluacin esperada5 e la tasa de inflacin esperada
Sustituyendo, se llega a la siguiente expresin del rendimiento real esperado del portafolio: Rq = e + (1 ) [iU$S + e e ] El rendimiento real esperado del portafolio tiene asociado un riesgo que se presenta en la siguiente expresin:
Siendo q , M y U$S los desvos estndar de los rendimientos reales del portafolio, del dinero y del activo en dlares, respectivamente. A su vez, es el coeficiente de correlacin entre los rendimientos de ambos activos. Esto puede expresarse as:
La devaluacin se define como la tasa de variacin del tipo de cambio del peso con respecto al dlar estadounidense (es decir cantidad de pesos por dlares).
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Suponiendo que la tasa de inters nominal del activo en dlares est incorrelacionada con las tasas de inflacin y devaluacin esperadas, y operando convenientemente se llega a la siguiente expresin:
El rendimiento esperado del portafolio tiene un riesgo asociado a las varianzas de las tasas de devaluacin e inflacin y de la covarianza existente entre ellas. A partir de un anlisis ceteris paribus de cada uno de los trminos y suponiendo que la tasa nominal que paga el activo en dlares es conocida, , se llega a que: - La varianza de la tasa de inflacin tiene un impacto unitario en la varianza del portafolio ya que afecta por igual al rendimiento real de ambos activos. - El impacto de la varianza de la tasa de devaluacin esperada sobre la varianza del portafolio es positivo y decrece a medida que se incrementa la proporcin de dinero en el portafolio. Esto implica que ante una mayor volatilidad de la tasa de devaluacin el agente representativo reacciona reduciendo la participacin del activo en dlares en el portafolio. - El ltimo trmino es negativo en el intervalo relevante ( 0 1), por lo que una covarianza positiva de la tasa de inflacin con la tasa de devaluacin tiene un impacto amortiguador de la varianza del portafolio. En un contexto de alta covarianza entre las tasas de inflacin y devaluacin el agente representativo reacciona disminuyendo la participacin del dinero en el portafolio . Cuando = 0 la varianza del portafolio se iguala a la varianza del activo sustituto del dinero. La expresin anterior se reduce entonces a:
Cuando = 1 la varianza del portafolio se iguala a la varianza del rendimiento del dinero:
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Sea v el diferencial de volatilidades de los rendimientos del activo sustituto y del dinero:
Ante un incremento de este diferencial es de esperar que los agentes aumenten su demanda de dinero. Al incorporar esta variable en la ecuacin de demanda de dinero se llega a la siguiente especificacin:
Donde 1 > 0 2 < 0 3 > 0 La racionalidad de la incorporacin de la variable vt en la especificacin final del modelo de demanda de dinero es captar los fenmenos de desmonetizacin y remonetizacin experimentados por la economa uruguaya, que provocan fluctuaciones en la cantidad real de dinero que van ms all de las oscilaciones del producto y la tasa de inters. Esto se profundiza en el siguiente punto. III. ANLISIS EMPRICO III.1 Los datos Se utilizaron datos trimestrales correspondientes al perodo 1981.12010.1 para la cantidad real de dinero, el nivel de actividad, la tasa de inters nominal y la volatilidad relativa de los rendimientos reales del dinero y un activo sustituto. La cantidad real de dinero fue calculada deflactando el agregado monetario M1 con el ndice de Precios al Consumo (IPC)6. El ndice M1 utilizado incorpora las cajas de ahorro de acuerdo a la evolucin
El agregado M1 incluye emisin en poder del pblico, depsitos a la vista y cajas de ahorro. Los promedios trimestrales de esta variable fueron calculados con los datos a fin de mes.
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del ndice de dinerabilidad de estos depsitos calculado por Fried y Trujillo (2006). Este ndice (IDCA) considera el efecto que han tenido, sobre el grado de dinerabilidad de las cajas de ahorro, ciertas innovaciones tecnolgicas, tales como la introduccin de cajeros automticos y tarjetas de dbito, concomitantemente con factores institucionales tendientes a generalizar el cobro de sueldos y pasividades mediante cajeros automticos. Grfica 1
Fuente: Fried y Trujillo (2006)
Con respecto al nivel de actividad econmica, se utiliz el Producto Interno Bruto base 2005, empalmando hacia atrs con la serie con base 1983. La tasa de inters nominal utilizada es la pasiva promedio para plazos de 1 a 89 das ( it ), representativa del costo de oportunidad del dinero en trminos de rentabilidad. La volatilidad relativa de los rendimientos reales del activo sustituto -de renta fija y nominado en dlares- y el propio dinero fue medida a travs de la variable . Se consideraron expectativas adaptativas, es decir que las tasas esperadas de devaluacin e inflacin coinciden con las variaciones pasadas de esas variables (tasas de variacin promedio trimestral). A los efectos del clculo de varianzas y covarianzas se tomaron ventanas de cuatro trimestres mviles.
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La incorporacin de la variable vt busc captar el fenmeno de desmonetizacin de los 80s, la relativa recuperacin de los 90s y la fuerte remonetizacin de los ltimos seis aos. Estos procesos experimentados por la economa uruguaya en el perodo de estudio han implicado fluctuaciones de la cantidad real de dinero que van ms all de las oscilaciones del producto y la tasa de inters, justificando la inclusin de vt . El grfico siguiente muestra la evolucin del grado de monetizacin y de la variable vt . Grfica 2
Es evidente que ambas variables se encuentran asociadas positivamente. En particular, el ltimo subperodo marcado por una fuerte remonetizacin coincide con un fuerte incremento de la variable vt , provocado sobre todo por una mayor volatilidad de la tasa de devaluacin y, en menor medida por la reduccin de la covarianza de las tasas de devaluacin e inflacin.7 Estos elementos estn directamente relacionados con el rgimen de flotacin cambiaria adoptado desde mediados de 2002:
En el cuadro siguiente se presentan las covarianzas muestrales entre las tasas de inflacin y devaluacin correspondientes a diferentes subperodos. Se dejaron de lado los perodos de crisis para no distorsionar la lectura de los datos.
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Grfica 3
El grado de integracin de las series involucradas se analiz mediante la aplicacin el test Augmented Dickey-Fuller (ADF) a las series en niveles y en diferencias. De all surge que las series , yt e (it) son integradas de orden 1 con un nivel de confianza del 95%. Esto implica que es posible encontrar una combinacin lineal entre las variables en niveles, que presente residuos estacionarios y que permita especificar un modelo de correccin de errores. La variable (vt ), que en la especificacin final aparece como exgena en la ecuacin de largo plazo, es integrada de orden 0. Grfica 4
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El grfico 1 permite observar que en la mayora del perodo considerado hubo un movimiento conjunto, sincronizado y en el mismo sentido entre y ( yt )por un lado, y otro en sentido inverso entre e (it ) por el otro, lo que podra estar anticipando la existencia de una relacin de cointegracin entre estas tres variables. Para contrastar esta hiptesis se utiliz el test de Johansen, cuyos resultados se presentan al comienzo del apartado 3.2. III.2 Anlisis de Cointegracin Se utiliz el Test de Johansen para estudiar la cointegracin entre la cantidad real de dinero y sus fundamentos, yt e it . El test se realiz incorporando como variables exgenas a la variable (vt ), las dummies estacionales, y algunos quiebres significativos en las series que intervienen en la relacin de largo plazo.8 Se encontr una relacin de cointegracin significativa al 5%, segn los estadsticos de la traza y el mximo valor propio. En la relacin de largo plazo encontrada la cantidad real de dinero guarda una relacin positiva con el nivel de actividad -con una elasticidad unitaria-, y una relacin inversa con la tasa de inters. La variable volatilidad interviene en la relacin de largo plazo como una variable exgena; La misma aporta informacin relevante para la estimacin de la misma, pero no interviene directamente.
Los valores crticos de estos tests no toman en cuenta la presencia de variables exgenas. No obstante, la contundencia de los resultados inclina la balanza a favor de rechazar la no existencia de una relacin de cointegracin entre las variables.
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III.3 El modelo El modelo se estim siguiendo el procedimiento de estimacin la Engle-Granger. En la primera etapa se estim la relacin de largo plazo utilizando las variables en niveles tal como se especifica en la siguiente ecuacin:9
La cantidad real de dinero y el nivel de actividad estn en logaritmos, no as el resto de las variables de la ecuacin.
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Donde Fj denota variables deterministas que representan la estacionalidad, quiebres y otras intervenciones, y ut el residuo de la ecuacin. Los resultados de la ecuacin se presentan en el siguiente cuadro:
La estimacin de los parmetros muestra una demanda real de dinero con elasticidad-ingreso unitaria, y una semielasticidad-tasa de inters de -0.30. La variable volatilidad incide positivamente en la demanda real de dinero, en lnea con la argumentacin terica explicada en la seccin 2. La variable Rampa capta aquella parte del proceso de remonetizacin de los ltimos aos, que no pudo ser captada por la variable vt . Entre los factores que pueden modificar el grado de monetizacin de una economa, o su inverso que es la velocidad de circulacin del dinero, se mencionan habitualmente en la literatura: cambios en la estructura productiva de la economa (grado de integracin vertical), modificaciones en los hbitos de consumo de la poblacin, innovaciones tecnolgicas y culturales.
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El resto de los cambios de nivel que se incluyen en la relacin de largo plazo representan cambios en los criterios estadsticos en la forma de medir el dinero. Como los residuos de esta estimacin resultaron estacionarios, fue posible especificar un modelo de correccin de errores para la tasa de variacin de la cantidad real de dinero, tal como se presenta en la siguiente ecuacin:
donde: ResidLP corresponden a los residuos de la ecuacin de largo plazo Fj denota variables deterministas que representan la estacionalidad e intervenciones ut es el residuo de la ecuacin El siguiente cuadro presenta los principales resultados de la estimacin del Modelo de Correccin de Errores.
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Como puede observarse ante un desvo en la cantidad real de dinero con relacin a su nivel de largo plazo, la tasa de variacin de la cantidad real de dinero corrige en el trimestre siguiente un 35% de dicho desequilibrio, corrigiendo ms del 80% del desvo al cabo de cuatro trimestres. Asimismo, la elasticidad-ingreso de corto plazo se estim en 0.42 y la semielasticidad-tasa de inters en -0.12. De esta estimacin se obtuvieron residuos bien comportados: ruido blanco (estacionarios e incorrelacionados), normales y homocedsticos.
En cuanto a la varianza de los residuos, los resultados de los tests ARCH y White y el examen del correlograma de los residuos al cuadrado aportan evidencia a favor del no rechazo de la hiptesis de homocedasticidad de los residuos. Asimismo, la estimacin de la ecuacin postulando residuos heterocedsticos no detecta estructura alguna en la varianza residual.
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No se detectaron problemas de especificacin del modelo de acuerdo a los resultados obtenidos a partir del Test de Ramsey con uno y dos rezagos. Por lo tanto, los estimadores obtenidos seran insesgados y consistentes. La estabilidad del modelo fue testeada a partir de los residuos recursivos, y de las pruebas de CUSUM y CUSUM-SQ. La evidencia obtenida se inclina hacia la hiptesis de homogeneidad temporal del modelo.10 Grfica 5
Grfica 6
10
Los contrastes de homogeneidad temporal del modelo fueron realizados para el tramo final del perodo de estudio. Esto obedece a la presencia de variables dummies asociadas a intervenciones las que acotan el perodo muestral para el cual es posible realizar los tests en EViews 7.
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Grfica 7
Por otra parte, la estabilidad de los parmetros se contrast a travs del test de coeficientes recursivos. En todos los casos, los coeficientes estimados no varan significativamente a medida que se agrega informacin muestral, mientras que las bandas de confianza tienden a estrecharse. Grafica 8
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Otro indicador de la estabilidad del modelo se obtuvo a partir del Test de Bondad de Ajuste. Para analizar si el valor de la variable dependiente en el momento t pudo haber provenido del modelo ajustado para los datos hasta ese momento, se compara el error con la desviacin estndar en toda la muestra. En la parte inferior de la grfica se presentan los puntos en los que la hiptesis nula de constancia de parmetros sera rechazada a niveles de significacin del 5%, 10% y 15%. Grfica 9
En los ltimos 20 trimestres el ajuste del modelo no ha sido bueno en slo 2 ocasiones. No obstante, si consideramos un nivel de significacin del 5% no fue posible rechazar la hiptesis nula de constancia de parmetros. Adicionalmente, se realiz el test de Chow considerando una serie de puntos de quiebre correspondientes a cambios de regmenes y otros eventos relevantes que implicaron intervenciones en la ecuacin estimada. En todos los casos la evidencia recolectada se inclina hacia el no rechazo de hiptesis nula de ausencia cambio estructural.
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Se prob la exogeneidad dbil de las variables explicativas de la demanda de dinero que participan en la ecuacin de corto plazo. Para ello se hicieron dos regresiones auxiliares en las en las que el residuo cointegrador no aporta informacin sobre la dinmica de las variables explicativas.
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Para completar el anlisis de la exogeneidad fuerte del producto y de la tasa de inters, que es lo que permite realizar predicciones de la demanda de dinero, condicional en las previsiones de las variables exgenas (producto y tasa de inters), se realiz el test de causalidad en el sentido de Granger, cuyos resultados son presentados en el siguiente cuadro.
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Como puede observarse la evidencia encontrada apunta a rechazar las hiptesis de que el producto y la tasa de inters no causan en el sentido de Granger a la cantidad real de dinero. Esto se cumple tanto en niveles como en diferencias de las variables.11 Asimismo, no fue posible rechazar las hiptesis de que la cantidad real de dinero no causa en el sentido de Granger al producto y a la tasa de inters. III.4 Principales Resultados El modelo especificado implica una serie de avances en materia de modelizacin de la demanda de dinero en Uruguay. En primer lugar, la incorporacin de la variable vt logr captar, al menos en parte, el proceso de desmonetizacin que experiment la economa uruguaya durante los aos ochenta, la recuperacin moderada de los noventa, y la fuerte remonetizacin de los ltimos aos. No result significativa la tendencia determinista que los antecedentes consultados asociaban a innovaciones tecnolgicas. Es muy probable que parte del efecto de esta variable haya sido captado por la propia variable vt . En segundo lugar, se estim una elasticidad-ingreso de largo plazo de la demanda de dinero unitaria, en lnea con lo postulado por la teora econmica. Por otra parte, la exogeneidad fuerte del producto y la tasa de inters, que son las variables explicativas de la demanda de dinero y adems forman parte del vector cointegrador, habilita a realizar predicciones de la demanda de dinero. Los errores de prediccin pueden provenir de tres fuentes distintas: errores en la estimacin de los estimadores, errores en las proyecciones de las variables exgenas y errores estocsticos inherentes al propio modelo. El no rechazo de la hiptesis de estabilidad del modelo, y el hecho de que las proyecciones de las variables exgenas provengan de otros modelos externos a la demanda de dinero, permiten concentrarse en los errores de previsin inherentes al propio modelo. Para ello se tomaron como dados los valores de las variables exgenas y se mantuvieron constantes las estimaciones de los parmetros realizadas para toda la muestra.
11 Si bien el Test de Causalidad en el sentido de Granger debe realizarse con variables estacionarias, el hecho de que las mismas estn cointegradas llev a que adems se realizara el contraste con las variables en nivel.
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Siguiendo esta lnea, se evalu la capacidad predictiva del modelo a partir de los estadsticos habituales que se construyen para tal fin: la Raz del Error Cuadrtico Medio (RECM), Error Medio (EM) y Error Absoluto Medio (EAM).
En primer lugar, el comportamiento del error medio, que para todos los horizontes se ubica cercano a cero, sugiere que los errores de proyeccin, como era de esperar, no tienen un sesgo sistemtico en el perodo evaluado. Por otra parte, los resultados que surgen de los estadsticos RECM y EAM sugieren que el error de prediccin se reduce a medida que se aleja el horizonte de proyeccin. Esto era esperable por tratarse de un modelo de correccin de errores. Al considerar el horizonte de proyeccin de la poltica monetaria -6 trimestres- estos estadsticos arrojan un error promedio que se ubica entre 3% y 4%. Estos hallazgos justifican la utilizacin del modelo de demanda de dinero para la programacin monetaria de mediano plazo.
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IV. CONCLUSIONES En este documento se present un modelo de correccin de errores para la demanda real de dinero para el perodo 1981.1-2010.1. Este modelo, adems de los fundamentos tradicionales producto y tasa de inters-, incluye una variable que mide la volatilidad relativa de los rendimientos reales del dinero y un activo sustituto. El modelo se estim siguiendo el procedimiento de estimacin la Engle-Granger. En una primera etapa, se encontr una relacin de largo plazo entre la cantidad real de dinero, el nivel de actividad econmica y la tasa de inters, estimndose una elasticidad-ingreso unitaria y una semielasticidad-tasa de inters negativa, en lnea con lo postulado por la teora econmica. La participacin de la variable volatilidad en la estimacin de la relacin de largo plazo result relevante para captar, al menos en parte, el fenmeno de desmonetizacin de los 80s, la relativa recuperacin de los 90s y la fuerte remonetizacin de los ltimos seis aos. Una vez obtenidos los residuos de la relacin de cointegracin y contrastada la exogeneidad dbil del producto y la tasa de inters, se especific un modelo de correccin de errores para la tasa de crecimiento de la cantidad real de dinero. Ante un desvo en la cantidad real de dinero con relacin a su nivel de largo plazo, la tasa de variacin de la cantidad real de dinero reacciona corrigiendo dicho desequilibrio a una velocidad relativamente alta. La demanda real de dinero estimada cumple con los requisitos habituales de estabilidad, obtenindose residuos bien comportados. Adicionalmente, se analiz la exogeneidad fuerte de las variables consideradas obtenindose evidencia de que el producto y la tasa de inters tienden a anticipar temporalmente a la cantidad real de dinero, no existiendo retroalimentacin. Esto, sumado a la exogeneidad dbil, implica la exogeneidad fuerte de las variables explicativas consideradas, lo que habilita la utilizacin del modelo con fines predictivos de la demanda de dinero.
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Finalmente, se evalu la capacidad predictiva del modelo a distintos horizontes. Los resultados encontrados sugieren que el modelo es adecuado para ser utilizado en la programacin monetaria de mediano plazo. Del modelo de demanda de dinero estimado se derivan algunos elementos que permiten ser optimistas en cuanto al futuro de la poltica monetaria. El fenmeno de desmonetizacin que atraves la economa uruguaya durante los aos ochenta, que en su momento fuera pensado como permanente, fue finalmente revertido, inicindose luego un fuerte y sostenido proceso de remonetizacin. Este fenmeno fue viabilizado por la aplicacin de una poltica monetaria orientada a alcanzar una inflacin baja y estable, y sin compromisos cambiarios. La profundizacin de esta poltica permitira entrar en un crculo virtuoso que ayude a consolidar la desdolarizacin de la economa, potenciando a la propia poltica monetaria.
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V. REFERENCIAS BIBLIOgRFICAS Bucacos, Elizabeth y Gerardo Licandro (2002). La demanda de dinero en Uruguay: 1980.1 -2002.4. Revista de Economa del BCU, noviembre de 2003. Bucacos, Elizabeth (2005). Acerca de la estacionalidad estocstica. Una aplicacin para la demanda de dinero en Uruguay. Revista de Economa del BCU, noviembre de 2005. Clower, Robert W., (1967). A reconsideration of the microfoundations of monetary theory. Western Economic Journal, 6, 1-8. Della Mea, Umberto (1990). La demanda por medios de pago, revisitada, Revista de Economa, Vol. V, N 2-3, Diciembre 1990-Abril 1991, Banco Central del Uruguay. Della Mea, Umberto y Daniel Dominioni (1992). Tendencias y predictibilidad de la base monetaria uruguaya: los aos recientes. Trabajo presentado en las sptimas Jornadas Anuales de Economa del Banco Central del Uruguay. Fernndez, S., (1999). Un modelo para la demanda de dinero en Uruguay (1983-1998). Trabajo de Investigacin Monogrfica. Licenciatura en Economa. Facultad de Ciencias Econmicas y Administracin, Universidad de la Repblica. Fried, Alejandro y Jos M. Trujillo (2006). Demanda de dinero en Uruguay: una nueva aproximacin. Documento presentado en las Jornadas de Economa 2006 del BCU. Gagliardi, Enrique (2007). Macroeconoma de economas pequeas y abiertas. Tomo I, Segunda Edicin. Universidad ORT, Central de Impresiones Ltda.
REVISTA DE ECONOMA
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Lucas Jr., Robert, (1980). Two illustrations of the quantity of money. American Economic Review, 70 (5), 1005-1014. Markowitz, Harry M. (1952). Portfolio Selection. The Journal of Finance, marzo de 1952. Novales, Alfonso (1993). Econometra. Segunda Edicin. Pascale, Ricardo. Decisiones Financieras (2003). Ediciones de la Plaza. 4 Edicin Revisada. Sidrauski, Miguel (1967). Inflation and economic growth. Journal of Political Economy, 75, 534-544. Tobin James (1958). Liquidity preference as a behaviour toward risk, Review of Economic Studies, Febrero de 1958. Wilson, Charles (1989). An infinite horizon model with money, in Green and J.A. Scheinkman (eds.), General Equilibrium, growth and trade, New York, Academic Press.
Grfica Industrial Uruguaya Ltda.

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REVISTA DE ECONOMA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

ANNEX A.1 Historical Transitions

A.2 Market capitalization

CRISIS DE DEUDA EUROPEA

A.4 Is the EURO a Reserve Currency? International Confidence must be earned!

CRISIS DE DEUDA EUROPEA

A.5 EUROPEs Milestones -- 1948 to present

A.5 EUROPEs Milestones -- 1948 to present ...cont.d from previous page

CRISIS DE DEUDA EUROPEA

Deputy Managing Director and Chief Economist, Institute of International Finance.

* Includes IIF estimates

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

Chart 4 Inflation Pressures Receding Mature economies Emerging Economies

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

Chart 10 External Vulnerability Fed custody holdings on behalf of foreign insitutinons

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

Presidente de la Asociacin de Bancos Privados del Uruguay.

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

CRISIS DE DEUDA EUROPEA

UNDERSTANDINg UNCONVENTIONAL MONETARy POLICy: A NEW MONETARIST APPROACH

Source: Federal Reserve Bulletin

Table 2: Federal Reserve Assets ($billions)

Source: Federal Reserve Bulletin

The reasons for this lack of arbitrage appear to be something of a puzzle.

and it will be one of four types:

59 , so the nominal interest

1. Liquidity trap. In this equilibrium

Conclusion: The Feds Monetary Policy Future

ANLISIS DE LAS CALIFICACIONES DE RIESgO SOBERANO: EL CASO URUgUAyO*

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

En el Anexo I se detalla la lista de pases.

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

Variables determinantes de las calificaciones para Uruguay y pases de la regin

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

ANEXO I: LISTADO DE PAISES

FERNANDO BORRAZ, ALEJANDRO FRIED y DIEGO GIANELLI

ANEXO II: TABLAS DE DISTRIBUCIN DE CALIFICACIONES POR AgENCIA

ANEXO III: UMBRALES y PREDICCIONES

LA DEMANDA DE DINERO EN UNA ECONOMA DOLARIzADA: UNA ESTIMACIN PARA URUgUAy1

ELIzABETH BUCACOS PATRICIA CARBALLO

CONRADO BRUM, ELIZABETH BUCACOS, PATRICIA CARBALLO