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Academic Research - May 22, 2012

Is the crisis financial?

By Noël Amenc, Professor of Finance, EDHEC Business School and Director, EDHEC-Risk Institute

It has become fashionable to blame the financial industry for its alleged role in the current crisis. It is certainly true that high-flying bankers, who often arrogantly flaunt their large bonuses, are the perfect scapegoats. However, with the facts at hand, this search for an ideal culprit is perhaps a bit too simple to be fair. In the present article1, we review several issues over the past five years in which political expedience seems to have taken precedence over scientific facts.

Hedge funds and the subprime crisis, or how to intervene when it’s too late

The French President Nicolas Sarkozy had previously distinguished himself in 2007 by blaming hedge funds, and speculators generally, for the emerging subprime crisis, even though this was palpable nonsense. EDHEC-Risk Institute had pointed out as early as August 20072 that hedge funds were not responsible for the financial crisis. Investment in hedge funds made up less than 5% of total institutional investment, and strategies with high exposure to credit risk accounted for 20% or less of assets invested in hedge funds, so it was hard to believe that all transfers of credit risk could have been done with hedge funds alone as counterparties.

The problem was that banks, not hedge funds, had been affected by excessive investment in asset-backed securities and in structured credit products that turned out to be illiquid and those banks thus appeared insolvent to their counterparties in the money market. So it was the most heavily regulated institutions in the world--institutions whose new capital rules (Basel 2) had been presented three years previously as the result of reflection on the lessons learned from the financial crises of the previous two decades, especially with respect to credit risk—that required the intervention of central banks on a massive scale. It was, in any case, hard to imagine central banks coming to the rescue of “speculators” and running the risk of increased moral hazard.

Ultimately, the error in diagnosis of the causes of the degradation of the subprime market, and the financial markets globally, led to a failure to take the measure of the importance of the crisis and inability to implement, when it was still possible, the firewall required to avoid the financial debacle of the end of 2008. The regulators and decision-makers organised the crisis of 2008. Firstly, by stigmatising the role of speculation instead of understanding that it was the whole of the risk management system at financial institutions that was to blame. Secondly, by focusing on the leverage effect at hedge funds instead of the lack of genuine integration of the leverage effect of banks by the Value at Risk. Thirdly, by preferring to look at the increase in the volume of transactions relating to hedge funds on the financial markets rather than the major risk represented by the failure of the strategy to diminish systemic risk. The latter occurred through the dissemination of risks, notably through securitisation, which instead of reducing risk increased it by setting up structured products based on low-cost debt.

The commodity derivatives market is beneficial for price stability

In reviewing the evidence regarding the impact of commodity trading, speculation, and index investment on price volatility, a recent EDHEC-Risk position paper3 finds that the evidence for the prosecution does not seem particularly compelling. The paper’s conclusion was to agree with the World Bank president, Robert Zoellick, who had said that the answer to food price volatility was not to prosecute or block markets, but to use them better. In the view of EDHEC-Risk’s author, one sensible use of financial engineering is for hedging volatile food price risk with appropriate commodity derivatives contracts.

This position paper echoes previous EDHEC-Risk Institute research results, which were the subject of an open letter to European Commissioner Michel Barnier in September 20104. These results find no evidence that speculation is a cause of high levels of volatility in commodity prices. The latter position, which was supported by the French presidency of the G20, is contradicted both by EDHEC Risk Institute’s own work5 and also by two empirical studies conducted by the two main international economic organisations, the IMF and the OECD6. Besides, the only academic research on which the French position is based has not been the object of any serious publication and corresponds more to a report of convenience with predetermined conclusions than a genuine scientific enquiry. It is pitiful all the same to observe that French academics forget all methodological precautions when affirming that it is not because the causal link cannot be shown that it does not exist, because the absence of link had not been shown either! If that kind of reasoning was transposed to the judicial system, the prisons would doubtless be full of innocent people…

In truth, derivatives markets require speculators in order to be liquid and efficient, and derivatives ultimately help towards better management of the risk of commodity price variations. Derivatives are not the problem but are part of the solution. The answer to food price volatility is not to prosecute or block markets, but to use them better. A number of market-based solutions could potentially help developing countries better manage commodity price volatility, including increasing access to risk-hedging instruments. One sensible use of financial engineering is for hedging volatile food price risk with appropriate commodity derivatives contracts.

Ultimately, EDHEC-Risk Institute’s 2011 position paper reveals that French President Nicolas Sarkozy’s view that “the financialisation of agriculture markets… is a contributory factor in price volatility…” is contradicted by Dr. Pierre Jacquet, Chief Economist of the Agence Française de Développement, who notes that a number of market-based solutions could potentially help developing countries better manage commodity price volatility, including increasing access to risk-hedging instruments.

Increasing banks’ capital requirements during the financial crisis: a smart idea?

As in the Solvency II regulation for insurance companies, bank regulation should have two levels of capital requirements: a strict minimum beneath which the bank is legally bankrupt and a target capital requirement that can be managed. Unlike Solvency II, which may require a hard target, i.e., a nearly fixed capital requirement, banking regulation should require soft targets: the difference between available and minimum capital should be a buffer.

Prudential regulations must impose the use of truly loss-absorbing buffers, i.e., regulators must oblige institutions to develop internal policies to hold some buffers above the strict regulatory minimum, to a level aligned with their own assessment of the degree of stress they are facing: high during periods of above-average profitability, medium when business is as usual, and low when a crisis occurs. Naturally, a low buffer—available capital close to the regulatory minimum—requires the institution to have a recovery plan that allows it to restore its buffer over the medium term.

At each point in time, buffers give some flexibility to regulated institutions, allowing them to invest or sell according to their projected health and medium-term policies. The risk of uniform regulatory-driven selling pressure that results in abnormal market conditions and increased fragility should thus be significantly mitigated. Developing less pro-cyclical prudential regulations requires fostering risk management practices that are suitable for individual banks as well as for the banking sector as a whole rather than requiring more capital during downturns, as regulators may be tempted to do when the sector is in bad shape.

As such, during the 2008 crisis the lack of any real visibility on the capital required to maintain activities and haphazard communication (notably that of Mme Lagarde, who, in the midst of the banking crisis relating to the failure of Lehman Brothers, when banks were incapable of raising capital, called for their capital to be strengthened) contributed to an increase in the uncertainty and risk aversion of the markets and ultimately accelerated and amplified the State’s intervention. Even though few banks were in a situation of default, the call for more capital from the regulators and politicians led to massive intervention from the States which subsequently served an anti-financial discourse on the fact that without the intervention of the State bankers cannot develop their business and that ultimately the taxpayer is the true shareholder of the banks in the sense that he is the investor of last resort. Without wishing to underestimate the systemic risks, one should recognise that this blind and pro-cyclical approach to strengthening capital at the wrong moment led to problems of moral hazard being accentuated and to the necessary independence of the central bank, not only with regard to the States but also in relation to the financial system, being undermined forever. The central bank increasingly appears to be the unconditional lender under the influence of the States to the whole banking system, whether it involves the euro zone, the United Kingdom or the United States.

A recent Bank for International Settlements (BIS) publication7 confirms this analysis. It arrives unfortunately late in the day. By forcing the banks to accept public money, the States both put an end to the idea of moral hazard, which is an important instrument in the fight against speculation and irrational behaviour in the financial system, and create an unacceptable sentiment of privilege within public opinion, where the idea that the banks are saved in order to conserve the managers’ bonuses becomes the prevailing consensus. On this final point, it is also a pity that the governments communicate so little on the differences in cost between the various bank bailout plans. According to statistics published by Eurostat on April 23, 2012, Ireland had to spend almost 40.4 billion euros, while Germany put around 40.2 billion on the table for its financial sector. We observe that the cost of the bank bailout has nothing to do with the importance of the financial sector in the economy. For example, the cost of bailing out the German banks is almost three times higher than that of bailing out the British banks. The strong involvement of the public authorities in the governance of Germany’s regional banks is not unrelated to this exorbitant cost. This analysis is consistent with the results of numerous academic studies, notably the one conducted by EDHEC professor Florencio Lopez de Silanes with his co-authors Rafael La Porta and Andrei Shleifer (2002)8, who in their cross-sectional study of 92 countries (developed, developing and transitional economies) conclude that the countries with a significant State presence in the banking sector also have lower income per habitant and less developed, more unstable and relatively inefficient financial systems. At a time when proposals to create public banks are reappearing in the campaign programmes of the candidates for the French presidency, this evidence should be considered carefully. Ultimately, the distinguished French economists, many of whom encouraged the bank/industry strategy in the 1980s guided by the public authorities and today support this type of approach again, should perhaps recall the exorbitant cost of the Credit Lyonnais bailout both for the taxpayer and for the French economy.

The poor idea of the short selling ban

EDHEC-Risk Institute has condemned the decisions taken by numerous financial market authorities to impose or extend short-selling bans in the wake of renewed market volatility.

These hasty decisions are not only devoid of any theoretical basis, but also fly in the face of empirical evidence. Academic studies, including work by EDHEC-Risk Institute researchers, have documented the positive contribution of short-sellers to market efficiency and shown that constraining short sales significantly reduces market quality – by reducing liquidity and increasing volatility – and can have unintended spillover effects.

In a series of research articles, EDHEC Business School Professor Ekkehart Boehmer and his co-authors have studied short selling activities, looking at the type of information possessed by short-sellers9, at the impact between short selling activities and abnormal returns10, and at the link between short-selling and the price discovery process11. They established that short sellers are important contributors to efficient stock prices, that short interest contains valuable information for the market, that information is impounded faster and more efficiently into prices when short sellers are more active and that short sellers change their trading around extreme return events in a way that aids price discovery.

Professor Boehmer and co-authors, and EDHEC Business School Professor Abraham Lioui, have also looked at the consequences of the previous short selling bans imposed in the USA, UK and continental Europe in 2008. The study led by Professor Boehmer12 concluded that stocks subject to the US ban suffered a severe degradation in market quality, as measured by spreads and price impacts (i.e. liquidity), and intraday volatility. The most recent study13 by Professor Lioui focused on the impact of the bans on leading market and financial indices in the US, France, the UK and Germany and found that these led to a systematic increase in the volatility of market indices and had an even stronger impact on financial indices. None of the studies found any indication that short-selling bans reduced downward pressure in a significant manner.

Against this backdrop, EDHEC-Risk Institute considers that the decisions to impose or extend short-selling bans are a political smokescreen that is likely to be counterproductive, both directly by disrupting market functioning and degrading market quality at a most testing time, and indirectly by further fuelling defiance vis-à-vis sovereign states and the continued inability of their political institutions to address the causes of the current crisis.

CDS market driving sovereign debt prices: the tail wagging the dog?

Having us believe that speculation on the CDS market has a greater influence on the cost of sovereign debt than the warranted investor mistrust of the accumulation of euro zone government deficits, is a rather convenient excuse for European leaders. While they continue to violate the rules on controlling the levels of government debt and spending (which they themselves approved and considered essential when the single currency was introduced), this excuse absolves them of all responsibility in this severe financial and economic crisis.

In fact, the euro zone crisis is not the result of financial speculation, but rather the result of concurrent design, management and communication errors. It is the result of a design error because, in forbidding monetary parity adjustments between countries that do not have the same factors of competitiveness, the euro zone provides troubled countries with no hope of economic recovery, thus forcing their leaders to impose budgetary restraint, which solves nothing in the long-term. It is the result of a management error because the European Central Bank (ECB) is being made to play a very different role to that specified in the treaties, and as it is being transformed into a constant lender of last resort, the ECB is losing all credibility in its ability to prevent sovereign and financial debt crises. Its capacity to stabilise prices in the long-term is also brought into question. Finally, the crisis is the result of a communication error because, by linking the fate of the euro to that of its debtors, European leaders are implying a degree of financial solidarity that does not and cannot exist, due to a lack of common economic and fiscal governance.

If certain parties chose to lend to Greece at rates of up to 12% rather than to Germany at 3%, it is likely that their probabilities of defaulting were different and factored into the pricing. What good does triggering European deflation do to guarantee that creditors who took risks are reimbursed? What good does it do to damage the ECB’s credibility for the sake of covering the month-end expenses of cash-strapped countries, incapable of reforming their own economies? A currency can always survive the default of an issuer, but not if the institution that is supposed to guarantee its value lacks credibility.

On the subject of the influence of CDS on the cost of debt, one may also wonder about the way in which the facts can be apprehended by regulators and researchers, as well as politicians.

In recently released research by Dominic O’Kane, Affiliate Professor of Finance at EDHEC Business School, EDHEC-Risk Institute performed a theoretical and empirical analysis of the relationship between the price of eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the eurozone debt crisis of 2009-2011. The working paper, entitled “The Link between Eurozone Sovereign Debt and CDS Prices,” tests the claim that speculative use of CDS by market participants had caused or accelerated the rapid decline in 2010-11 of bond prices in eurozone periphery countries, a claim that led to the decision by the European Parliament and member states on October 18, 2011, to make the ban on so-called “naked” CDS permanent.

The EDHEC-Risk research shows that CDS spreads do not drive the sovereign bond spread in all circumstances, and that in various countries and at various times, the opposite effect is present. The results are in line with those of a recent report from the French regulatory authority, the AMF, entitled “Price Formation on the CDS Market: Lessons of the Sovereign Debt Crisis (2010- ),” even though the latter study is less comprehensive than EDHEC-Risk’s working paper. EDHEC-Risk is keen to stress that certain conclusions in the AMF report should be analysed with care. A causal link between rising CDS spreads and their decision-making character has not been established or proven in the report, which moreover does not include a formal test on the subject.

According to the author of the EDHEC-Risk report, Dominic O’Kane, “CDS spreads are a cleaner and more transparent measure of market-perceived credit than bonds since CDS are not limited by supply, are as easy to buy as to sell, and have a lower cost of entry.” He also stated that, “It would be wrong to suggest that the 200bp level highlighted by the AMF report is the level at which the CDS market “causes” the bond market spreads to increase. A more valid explanation would be that the CDS market establishes a truer estimate of forward-looking sovereign risk which is not reflected in the bond market where some market participants are required to hold high-quality Eurozone debt. The significance of a CDS spread of 200bp is that this corresponds to the approximate capitulation level at which these Eurozone bond investors no longer see the sovereign as a “safe haven” due to its deteriorating credit fundamentals and risk of a major downgrade in its credit rating. What we then see is the bond spreads catching up with the “fair value” that had already been established in the CDS market. The CDS and bond markets then begin to move together. Recent events have confirmed this. The widening of Greek CDS spreads before bond spreads in 2010, which was criticised at the time by various governments, was correct and was due to the CDS market being an earlier predictor of default than the bond market.”

From that perspective, EDHEC-Risk considers that by banning "naked CDS" the market is removing one sovereign risk mitigation tool from the toolkit of banks. EDHEC-Risk fears that this can only have the negative and unintended consequence of increasing average sovereign funding costs. The ban will make the market less liquid and will prevent many participants from easily hedging the sovereign risk that they wish to avoid. These participants include investors in infrastructure projects as part of public-private partnerships, equity investors who wish to avoid the sovereign risk inherent in certain stocks, banks who wish to hedge the sovereign risk of their commercial loans, and trading desks buying protection in order to hedge their credit value adjustment (CVA) risk. Finally, we find it fairly contradictory to criticise the backward-looking nature of the ratings agencies or to call into question the oligopolistic structure of the offering, while at the same time seeking to limit the efficiency and liquidity of the CDS market because of its excessively forward-looking nature, which is then qualified as exaggerated over-reactivity!

Last but not least, it is incredible all the same that those who lambast the dangerousness and the opaque nature of the over-the-counter markets, like the CDS market, take exception to the fact that by following the unanimous recommendations of leaders and regulators, derivative instruments are created and traded on organised, and therefore highly regulated and secure, markets, as is the case with the recent Eurex announcement. How is it possible to think that the G20 recommendations are a priority and at the same time decry their implementation? How is it possible to want to ban a contract that one has praised in the past? Did Monsieur Hollande oppose the decision of Prime Minister Laurent Fabius to create a derivative contract on French debt in 1986, the same contract that is being revived today in Frankfurt?

Must one recall that the least costly debt, that of Germany or the United States, is that which is subject to the most liquid futures contracts, and that futures contracts are indispensable instruments in managing interest rate risk for institutional investors and banks, who are large holders of French sovereign debt? Today, given the disconnect between the German and French economies and, consequently, in the evolution of their interest rates, the bund futures contract no longer allows this risk to be managed efficiently, and therefore makes French debt riskier, or at least makes the management of the risk more difficult and more costly. Is the French treasury agency (AFT), which manages the cost of French debt, so incompetent or lacking in a sense of the public interest as to have affirmed on several occasions that the commercialisation of French sovereign debt, would benefit from this type of contract?

A financial transaction tax will have no beneficial effect on the volatility of the financial markets and will increase the problems of the euro zone

There is a substantial body of empirical work studying the effect of a financial transaction, or Tobin, tax, on the volatility of the prices of financial securities. Most of these studies find that a transaction tax either fails to reduce return volatility or leads to an increase in volatility. Moreover, the imposition of a transaction tax leads to a reduction in the demand for that financial security, and thus, a drop in its price. This drawback could go against the wishes of euro zone leaders to facilitate the distribution of their debt in stable conditions and to decrease the cost of debt for the zone’s most fragile economies.

Moreover, the implementation of a tax on financial transactions presents its own challenges. For example, can regulators really distinguish between transactions related to fundamental business and those that are purely speculative? Can regulators determine the appropriate rate for the Tobin tax that would reduce the activities of investors who are not fully rational, but not drive away trade by rational investors? And, from the point of view of speculators, unless all major financial centres introduced it, the Tobin tax would appear easy to circumvent by routing transactions through countries where the tax is not imposed14.

EDHEC-Risk Institute, in an open letter to European Commissioner Michel Barnier15 and to the French Prime Minister, François Fillon16, highlighted the problems posed by what seems to us to be a bad idea. Here again, the desire to punish the financial sector prevailed over reason and facts, at the risk of punishing the whole economy.


Our remarks may seem to some to be a reaction to attacks that we consider to be unfounded, but, over and above the reaction, we would like to help both the decision-makers and the public understand that choosing a strategy of scapegoats (who are not necessarily always innocent but not guilty all the time either!) contains a first-order risk, which is that of not asking the right questions about the crisis, and about the sustainability of the social and economic models of mature economies. France, in its history, has often favoured these scapegoat strategies in order to avoid having to ask the right questions. This strategy of avoidance is probably the true enemy of the country. Rather than believing they are enslaved or threatened by Finance, the French people would be better off fearing false truths, fleeing semantic facility instead of reasoning, and giving up beliefs that hide the facts. The biggest danger that Finance poses for France is that it constitutes the most effective pretext for not asking the right question, that of a thorough reform of our “real” economy! If France wishes to remain a credible country in Europe and in the world, it has to behave in a credible manner and avoid using the denial of economic and social realities as a differentiation strategy…


  1. This text is drawn from a detailed summary of remarks made by the author at a conference presentation on the theme, “Is the crisis financial?” in Nice on February 13, 2012 and in Paris on April 16, 2012.

  2. Amenc, N. August 2007. Three Early Lessons from the Subprime Lending Crisis: A French Answer to President Sarkozy. EDHEC Position Paper.

  3. Till., H. July 2011. A Review of the G20 Meeting on Agriculture: Addressing Price Volatility in the Food Markets. EDHEC Position Paper.

  4. ERI/part/CE/10-1867, Nice, September 6, 2010, Open Letter to European Commissioner Michel Barnier.

  5. Oil Prices: the True Role of Speculation, November 2008, and Has There Been Excessive Speculation in the US Oil Futures Markets?, November 2009.

  6. IMF, Global Financial Stability Report, October 2008 and OECD, Speculation and Financial Fund Activity: Draft Report, 24/04/2010.

  7. BIS Quarterly Review, March 2012

  8. La Porta, Rafael, Florencio Lopez-De-Silanes, and Andrei Shleifer. 2002. “Government Ownership of Banks.” Journal of Finance, 57(1): 265-301.

  9. Which shorts are informed? Ekkehart Boehmer, Charles Jones and Xiaoyan Zhang. Journal of Finance 63, 2008, 491-528. (Lead Article and Finalist, 2008 Smith Breeden Prize. BSI Gamma Foundation Grant.)

  10. The good news in short interest. Ekkehart Boehmer, Brad Jordan and Zsuzsa Huszar. Journal of Financial Economics 96, 2010, 80-97. (Fama/DFA Prize for the best paper in the Journal of Financial Economics.)

  11. Short selling and the price discovery process. Ekkehart Boehmer and Julie Wu. EDHEC-Risk Institute Working Paper, May 2010.

  12. Shackling short sellers: The 2008 shorting ban. Ekkehart Boehmer, Charles Jones and Xiaoyan Zhang. EDHEC-Risk Institute Working Paper, September 2009.

  13. Spillover Effects of Counter-Cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales. Abraham Lioui. Journal of Alternative Investments 13, 2011, 53-66. Also available as EDHEC-Risk Institute Position Paper, March 2010.

  14. EDHEC-Risk Institute Position Paper A Short Note on the Tobin Tax: The Costs and Benefits of a Tax on Financial Transactions

  15. EDHEC-Risk Institute Letter to European Internal Market and Services Commissioner, July 12, 2011

  16. EDHEC-Risk Institute Letter to the French Prime Minister, January 10, 2012

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