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专栏 - 斯坦福商学院评论

18世纪阿姆斯特丹金融危机启示录

彼得•库迪斯 2014年06月03日

本专栏由财富中文网与斯坦福商学院合作推出,荟萃来自该学院的最新研究智慧。斯坦福商学院一直以教授的前沿研究和专业的管理课程在全球范围内久负盛名,包括MBA项目和斯坦福“点燃”创新项目。
经济学家研究发现,个人的亲身经历比其他因素更能影响一个人的风险偏好,悲观者和乐观者之间真正的区别在于他们是否亲身经历过这样的痛苦过程。这一点至今没有改变。

    它曾经是一家傲视业界、富可敌国的投资公司,能从世界一流的金融机构源源不断地获得贷款。它用借来的钱大把大把地押注,购买资产,获得更高的回报。但当这些资产的市值下跌,贷款机构开始要求更多的抵押品,最后这家公司竟然轰然倒塌。很多惊魂未定的贷款机构全面收紧贷款要求,造成整体的信贷紧缩。

    这里说的是2007年倒闭的那家巨型次贷公司吗?是2008年破产的雷曼兄弟(Lehman Brothers)吗?

    都不是。1772年,一场空前的危机击中了阿姆斯特丹:一家受人尊敬的荷兰投资银团对不列颠东印度公司(British East India Company)股票的投资变成了一场灾难。

    日前,斯坦福大学商学院(Stanford Graduate School of Business)教授彼得•库迪斯基于这场荷兰危机共同撰写了一篇文章,围绕“个人经验(而非市场信息)决定乐观、悲观以及信贷的获得与否”这种不那么科学的方法给出了现代经验。

    毫不奇怪,信贷具有“助周期性”。当资产价格一片繁荣时,乐观的贷款机构倾向于发放更多贷款,进而加剧市场的狂欢。当资产价格下跌时,贷款机构会控制风险,有时这种做法会加速下跌。

    但是,是什么推动了乐观或悲观情绪呢?库迪斯与巴塞罗那庞培法布拉大学(Universitat Pompeu Fabra)的汉斯-乔亚吉姆•沃斯发现了一些令人意外的答案。

    当年的荷兰金融市场固然没有今天的任何科技,但他们的很多做法都和今天的交易员一样。投资者们买入证券,有时会用买入的股票质押获得贷款。用今天的话说,他们基于保证金买入股票。贷款机构为了自身安全,会要求一个超出贷款金额一定百分比的“折幅”,质押现金或证券。如果证券价格下跌超过一定幅度,贷款机构会要求投资者交出更多资金,与“折幅”保持一致。如果投资者拿不出追加保证金,贷款机构有权将证券平仓,收回贷款额。

    阿姆斯特丹危机始于荷兰Seppenwolde银团对东印度公司的股价做出了巨额的反向下注。这只股票在1771年早已大跌,主要是因为孟加拉的损失。但这家公司靠借钱继续支付高股息,掩盖了问题。Seppenwolde深信东印度股价会很快反弹,基于保证金大举买入该股。但它的股价并未反弹,在东印度公司降低了股息后,股价甚至进一步走低。

    长话短说,1772年圣诞节后,Seppenwolde很快就破产了。这场灾难是当时荷兰报纸的头条新闻。它彻底毁了阿姆斯特丹一批商人和银行家。为了防止出现全面的信贷崩溃,阿姆斯特丹市只能作为最后贷款人暂时介入。这种情形是不是似曾相识?

    事实上,贷款给Seppenwolde的那些机构一个荷兰盾都没损失。他们在几周内就清空了全部的东印度股票,收回了所有贷款。

    然后,事情峰回路转。库迪斯和沃斯发现,荷兰贷款机构对于Seppenwolde的倒闭做出的反应截然不同。那些曾经贷款给Seppenwolde、但一毛钱也没损失的贷款机构变得越发悲观,要求所有新借款人都提供更多的“折幅”。而那些从未贷款给Seppenwolde、因而躲过一劫的贷款机构则根本没有提高要求。事实上,这些贷款机构可能还略略降低了对借款人的“折幅”要求,至少表明他们和过去一样乐观。

    It was a confident, high-powered investment firm with credit lines at top financial institutions. It made big bets using borrowed money to buy assets and generate higher returns. But when the market for those assets went south, lenders demanded more collateral until the firm suddenly collapsed. Many frightened lenders clamped down on all borrowers, setting off an overall credit crunch.

    The implosion of a giant subprime mortgage lender in 2007?The collapse of Lehman Brothers in 2008?

    No. This crisis hit Amsterdam in 1772, after a respected Dutch investment syndicate made a disastrous bet on shares of the British East India Company.

    A new paper on the Dutch debacle, coauthored by Peter Koudijs at Stanford Graduate School of Business, turns up modern-day lessons about the not-so-scientific ways in which personal experience rather than market information can determine optimism, pessimism, and access to credit.

    It’s no surprise that credit is “pro-cyclical.” When asset prices are booming, optimistic lenders tend to make more loans and often feed the euphoria. When markets sink, lenders rein in risk and sometimes make the downturn worse.

    But what drives the underlying optimism or pessimism? Koudijs, working with Hans-Joachim Voth at the UniversitatPompeuFabra in Barcelona, found surprising answers.

    Though the Dutch financial markets then had none of today’s technology, they employed many of the same practices that traders use today. Investors bought securities, sometimes borrowing money with loans secured by the shares they were buying. In today's language, they bought shares on margin. Lenders protected themselves by demanding a “haircut” – collateral in cash or securities that exceeded the loan amount by a specified percentage. If the value of the securities dropped below that specified percentage, the lender would demand that the investor put up additional money to stay in line with the haircut. If the investor couldn’t come up with the added margin, the lender was entitled to liquidate the securities and recoup the loan amount.

    The Amsterdam crisis began when a Dutch group known as the Seppenwolde syndicate made a big, contrarian bet on the shares of East India Company. Those shares had plunged in 1771 mainly because of losses in Bengal, but the company kept paying high dividends and covered up its shortfalls by borrowing money. Convinced that East India shares would quickly rebound, the Seppenwolde group aggressively bought them on margin. But instead of rebounding, the shares fell even further after the company slashed its dividend.

    To make a long story short, the Seppenwolde group went bankrupt shortly after Christmas of 1772. The disaster was a top story in Dutch newspapers. It ruined some of Amsterdam’s merchants and bankers. To prevent a general credit collapse, the city of Amsterdam stepped in temporarily as a lender of last resort. Sound familiar?

    As it happened, the lenders to Seppenwolde never lost a guilder. Within weeks, they had liquidated all the East India shares and had recovered the money they had loaned.

    But then the story took a strange turn. Koudijs and Voth found that Dutch lenders reacted to the Seppenwolde collapse in strikingly different ways. Those who had made loans to Seppenwolde but hadn’t actually lost money became far more pessimistic and demanded much bigger haircuts from all new borrowers. But those who had dodged the bullet by not lending to Seppenwolde didn’t tighten their requirements at all. In fact, those lenders slightly reduced haircuts to their borrowers – a sign they were at least as sanguine as before.

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