Publication: Tres ensayos sobre crédito, liquidez y capital bancario
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2016-12-15
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Universidad Complutense de Madrid
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Abstract
El articulo de Miller, 1977, destacó el papel de la liquidez para la determinación de los precios. Desde entonces, varios estudios han tratado de explicar los determinantes de la liquidez, y de formalizar sus implicaciones para la toma de decisiones de los agentes. La preocupación sobre el papel de la liquidez no es algo tan nuevo como se podría pensar. Dos ejemplos, sobre la importancia de la liquidez para la determinación de los precios y sobre cómo la liquidez y el capital estan relacionados, son la crisis de los bancos florentinos del siglo XIV y el colapso del mercado de los tulipanes en el siglo XVII. El primer sistema bancario que funcionaba bajo criterios modernos, nació en Florencia. Los bancos florentinos eran entidades familiares, altamente internacionales, cuyo negocio se centraba en los préstamos comerciales y la gestión de efectivo. El impago de la corona británica alrededor del año 1340, llevó a la bancarrota de los bancos florentinos más internacionales. Los bancos domésticos, a fin de garantizar la tenencia de efectivo, respondieron redujendo el flujo de crédito a la economía real y vendiendo bonos de la República. La elevada liquidez de dichos activos garantizaba, en principio, una rápida recuperación del dinero invertido. A pesar de ello, el exceso de oferta de bonos en el mercado, provocó una caída abrupta de los precios. Las autoridades, para intentar garantizar la estabilidad del sistema, reaccionaron mediante la compra de bonos en el mercado. A pesar de lo cuál, el sistema bancario colapsó, y la crisis económica se extendió durante 40 años. Familiar, ¿ verdad ?. Otro buen ejemplo, de cómo las restricciones de capital y la liquidez interactúan, fue el estallido de la burbuja del mercado de los tulipanes del año 1636. La ausencia de compradores en una subasta rutinaria de tulipanes, en Harleem, propicio la caida de los precios...
The seminal paper of Miller, 1977, highlighted the role of liquidity for price determination. Since then, several studies have tried to explain the determinants of liquidity, and to formalize the implications of that for decision making process of agents. Concerns on the market role of liquidity are, however, not as new as one could think. Two examples, on the importance of liquidity for the determination of asset prices and on how liquidity and capital are related, are the Florentinian banking crisis in the 14th century and the burst of tulips market in the 17th century. The first banking system, considered to work under modern standards, was born in Florence. Florentinian banks were highly international, family owned, institutions centered on commercial credit and cash management business. The default of the English Crown around 1340, triggered bankruptcy of international business based Florentinian banks. Domestic business based banks, responded reducing the amount of credit to the real economy, to insure cash holdings, while selling Florentinian Republic Bonds. High liquidity of those assets granted, initially, a quick recovery of their investments. However, excess supply of bonds in the market, led to an abrupt price fall. Regulatory response was, then, to buy bonds in the market, in a try to guarantee system stability. Despite those efforts, the entire banking system collapsed and the economic downturn lasted for more than 40 years. Familiar, isn’t it? Another good example, of how capital constraints and liquidity interact, was the burst of tulips market in 1636. Absence of buyers on a routine tulip auction, in Haarlem, triggered price falls. Those plummeted due to short selling activities, and the try to recover cash holdings, by merchants. Merchants have, heavily, invested on tulips following previous years skyrocketing prices. While short selling activities were banned from the market, prices continued falling...
The seminal paper of Miller, 1977, highlighted the role of liquidity for price determination. Since then, several studies have tried to explain the determinants of liquidity, and to formalize the implications of that for decision making process of agents. Concerns on the market role of liquidity are, however, not as new as one could think. Two examples, on the importance of liquidity for the determination of asset prices and on how liquidity and capital are related, are the Florentinian banking crisis in the 14th century and the burst of tulips market in the 17th century. The first banking system, considered to work under modern standards, was born in Florence. Florentinian banks were highly international, family owned, institutions centered on commercial credit and cash management business. The default of the English Crown around 1340, triggered bankruptcy of international business based Florentinian banks. Domestic business based banks, responded reducing the amount of credit to the real economy, to insure cash holdings, while selling Florentinian Republic Bonds. High liquidity of those assets granted, initially, a quick recovery of their investments. However, excess supply of bonds in the market, led to an abrupt price fall. Regulatory response was, then, to buy bonds in the market, in a try to guarantee system stability. Despite those efforts, the entire banking system collapsed and the economic downturn lasted for more than 40 years. Familiar, isn’t it? Another good example, of how capital constraints and liquidity interact, was the burst of tulips market in 1636. Absence of buyers on a routine tulip auction, in Haarlem, triggered price falls. Those plummeted due to short selling activities, and the try to recover cash holdings, by merchants. Merchants have, heavily, invested on tulips following previous years skyrocketing prices. While short selling activities were banned from the market, prices continued falling...
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Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa), leída el 07-03-2016