【英语生活】狗有几条腿？

Abraham Lincoln posed the question: "How many legs does a dog have if you call a tail a leg?" Honest Abe's answer was four. A tail is still a tail even if you call it a leg.The world of finance is a bit more complicated, but not much. How can a package of loans be worth more than the sum of their individual values? The amount borrowers pay is just the same even if you call the loans an asset-backed security or a collateralised debt obligation.

Securitisation in lending may add value by allowing the risk characteristics of the new instrument to be precisely tailored to the risk characteristics sought by the buyer. This account was espoused by many academics, especially those in love with the efficient market hypothesis. Not many people in the financial services industry felt the need to offer a social rationale for activities that were so obviously profitable. But if they did, it was the same story: such packaging and repackaging led to more efficient risk allocation.

There is something in that argument. But could there be tens of billions of dollars a year of profit in it? Could the advantages of slightly more elaborate differentiation of an already wide range of fixed-interest products really be so large? If differences in risk appetite determined the market, you would not expect the list of institutions that bought securitised products to be so similar to the list that sold them.

Another account is favoured by economists less convinced of market efficiency and more impressed by information asymmetries. No one is sure what complex packages of loans and securities are worth. You need models to value them, and only fools derive certainties from models. You might expect that undervaluation would be as common as overvaluation, and in general you would be right. But there is a twist. It is not people who undervalue securities who buy them, but people who overvalue them. The errors of market participants affect prices in one direction only.

This mechanism - a variant of the notorious "winner's curse" - explains why packaging can be rewarding for the issuer. But the apparent value added is illusory. The buyer loses what the seller gains. It may, however, be some time before the buyer catches on. George Akerlof famously explained what the eventual secondary market would be like in his Nobel Prize-winning study of "the market for lemons". Trading would be thin and prices would be below the average intrinsic value of the goods. This is exactly what we see today.

To think that today's market conditions are exceptional, and that yesterday's euphoria represented a normal state of affairs, is a fundamental misconception. On the contrary: in market equilibrium, opaque products sell with difficulty and at a discount. A barrel of apples whose quantity and quality can only be guessed at should sell for less than the combined value of the apples, and does. There was never an economic rationale for structured products on the scale on which the financial services industry created them. They were the result of a frenetic search for commissions and bonuses.

Nor should we be impressed by the argument that since a large fraction of mortgages was turned into mortgage-backed securities, an adequate supply of mortgages depends on securitisation. That argument confuses the mechanism of supply with the source of supply. You might as well suggest that since 25 per cent of groceries are bought on Friday, closing stores on Friday would reduce our food consumption by 25 per cent.

The objective should not be to revive the originate and distribute model of banking, which has demonstrably failed, but to secure its orderly winding down. Banks should retire to the traditional and profitable business of taking deposits to make loans: the business we want them to do and the business they really understand. The government plans to provide insurance for new asset-backed securities. That is like helping a junkie to detox by guaranteeing drug supplies until the local dealer resumes normal service.

美国前总统亚伯拉罕•林肯(Abraham Lincoln)提出过这样一个问题：“如果把尾巴叫做腿，那么一只狗有几条腿？”诚实的亚伯拉罕给出的答案是4。就算把尾巴叫做腿，尾巴也仍是尾巴。金融领域要复杂一些，但也不是很多。一个贷款包的价值怎么可能比单笔贷款价值的总和还要高？即便你把这些贷款称作资产支持证券或抵押债务债券，借款人偿还的金额还是一样的。



根据买家希望的风险特征，量身定制贷款证券化的风险特征，这种新的工具也许会增值。这一说法得到了许多学者的支持，特别是那些钟爱有效市场假说的人。在金融服务业，感到有必要为显然盈利的行为提供社会原理的人不是很多。但只要有人这样做，他们提出的原理都是一样的：这些打包和再打包行为可带来更为有效的风险分配。





这个论点有些道理。但其中能够产生每年数百亿美元的利润吗？对业已广泛的固定利率产品进行再细致些的区分，优势真有那么大吗？如果对风险偏好的差异能决定市场，你就不会看到，购买证券化产品的机构列表与出售这些产品的机构列表如此相似。





另一种说法得到了不太相信市场效率、而是更相信信息不对称的经济学家们的青睐。没有人能确定复杂的贷款和证券包的价值。你需要衡量其价值的模型，但只有傻子才会从模型中推导出必然结果。你可能会认为，低估和高估一样普遍，一般来说你是正确的。但其中有一个问题。购买产品的不是那些低估其价值的人，而是那些高估其价值的人。市场参与者的错误只会从一个方向影响价格。





这一机制——众所周知的“赢家的诅咒”(winner's curse)的变体——解释了证券打包为何会对发行者有利。但明显增加价值只是幻觉。买家的亏损正是卖家的盈利。然而，让买家理解到这点需要一些时间。在获得诺贝尔奖的“柠檬市场”研究中，乔治•阿克洛夫(George Akerlof)对最终的二级市场会是什么样子做出了著名的解释。交易将变得清淡，价格将低于商品的平均内在价值。这正是我们今天所看到的。



认为今天的市场环境是例外，昨天的欢愉才是正常状态，这种想法是根本错误的。相反，在市场均衡的情况下，不透明的产品很难出售，而且会折价出售。如果一桶苹果的质量和数量只能靠猜测，那么它的售价应该低于单个苹果加在一起的价格，而且确实如此。结构性产品以金融服务业创造出的规模出现，这其中不存在任何经济原理。它们是对佣金和奖金疯狂追逐的结果。







我们同样不应相信以下理论：大量抵押贷款变成了抵押贷款支持证券，因此抵押贷款的充足供应依赖于证券化。这一理论混淆了供应机制和供应来源。你或许还可以说，因为25%的食品是在周五购买的，所以周五店铺关门会令我们的食品消费减少25%。





我们的目标不应是恢复银行业的创造和销售模型（这个模型显然已失败），而是要确保它的有序结束。银行应回归盈利的传统存贷业务：这是我们希望它们去做的，也是它们真正了解的业务。政府计划对新的资产支持证券提供保险。这就像是在当地毒品贩子恢复正常服务前，通过保证毒品供应来帮助吸毒者戒毒。



译者/梁艳裳