Photo Michel Aglietta

MICHEL AGLIETTA

PROFESSEUR(E) ÉMÉRITE

Research interests

  • arrow_right Monnaie et finance
  • arrow_right Macroéconomie financière
  • arrow_right Politique économique

Research group

    Macroéconomie internationale, finance, matières premières et économétrie financière

Contact

HAL

2010-24

Floating European football clubs in the stock market

Michel Aglietta, Wladimir Andreff, Bastien Drut

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Abstract
Since the first initial public offering of a European football (soccer) club in 1983, more than forty other clubs have experienced a venture in the stock market. In this paper, it is investigated how much relevant and successful these experiences of listing and floating football clubs at the stock exchange have been. First, by showing that investing in the Dow Jones StoXX Football index is of little attractiveness in the perspective of an investor's efficient overall asset allocation. Then in examining the determinants of a football club's fair value and the relationship between stock performances and sporting results. Finally, an approach (alternative to the Anglo-American model of capitalism) of corporate governance, based on the concept of a soft budget constraint, is applied to European football clubs taking stake of their lasting financial deficits and debts. This alternative theoretical approach paves the way for an empirical testing of a vicious circle between negotiating higher TV rights revenues and player wage inflation.
Mot(s) clé(s)
2009-29

A systemic approach to financial regulation: a European perspective

Michel Aglietta, Laurence Scialom

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Abstract
The global financial crisis has pinpointed the relevance and the virulence of systemic risk in modern innovative finance. It is grounded in the propensity of credit markets to drift to extremes in close correlation with asset price spikes and slumps. In turn, such a propensity is nurtured by the heuristic behaviour of market participants under severe uncertainty. While plagued by disaster myopia, market participants spread systemic risk. Such adverse conditions have been magnified by financial innovations that have made finance predatory and capable of capturing regulators to annihilate prudential policies. Malfunctioning in finance is so deep and disorders are so widespread that sweeping reforms are the order of the day, if financial stability is viewed as a primary public concern. In this paper we argue that macro prudential policy should be the linchpin of relevant reforms. Being a top-down approach, it impinges both upon monetary policy and micro prudential policy. Central banks should pursue a dual objective of price and financial stability. Bank supervisors should broaden their oversight on a much larger perimeter, encompassing all systematically important institutions. Counter cyclical capital provisions should be required and linked to the control of aggregate credit supply. Leveraged institutions without deposit base should be subject to incentives for a much stricter liquidity management. To stem regulatory capture, prompt corrective action should be enlarged in its scope and adapted to mark-to-market financial intermediaries. Implementing macro prudential policy entails institutional changes. Central banks, bank supervisors and other financial regulators need to work much closer than beforehand, because the spread of systemic risk is not deterred by institutional and geographical frontiers. The changes to make are particularly stringent in Europe, where national parochialism makes the resolution of orderly cross-border bank crisis all but impossible.
Mot(s) clé(s)
2009-3

The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis

Michel Aglietta, Ludovic Moreau, Adrian Roche

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Abstract
The 2007/2008 global credit crisis was born out of opaque securitization transactions. Introducing structured products risk estimation techniques shows how the most basic investment analysis could not be done without detailed and updated knowledge on the assets of the pool. Access to such details was crucial for investors to perform an autonomous valuation, the lack of which led to a pervading acceptance of ratings at face value. The crisis brought numerous delusions to naïve users of these privately issued opinions. Coming back to the central role that investor played during the previous speculative episode and introducing a theoretical discussion on the dynamics of market finance, it is shown that trusting market discipline and due diligence was bound to end up being misguiding. Given that unprecedented rating volatility brought a share of the blame game to rating firms, strategies that would aim at securing an informed use of ratings are finally outlined.
Mot(s) clé(s)
financial crisis, credit risk, rating agencies
2008-21

Permanence and innovation in central banking policy for financial stability

Michel Aglietta, Laurence Scialom

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Abstract
In the first part of this paperer, we emphasize the adaptability and continuity of the lender-of-last-resort doctrine beyond the diversity of financial structures from the 19th century to the present day.. The second part deals with the global credit crisis and the analysis of the central banks' innovative practices during the 2007-2008 financial crisis. We highlight that the lender of last resort's role is not confined to providing emergency liquidity. It aims to provide orderly deleveraging in the financial system in order to preserve the financial intermediation process. Our conclusion underlines that the crisis management has become global and strategic. It opens the way to a major regulatory and supervisory reform.
Mot(s) clé(s)
lender of last resort, central banking, liquidity crisis
2008-20

The regulation of hedge funds under the prism of the financial crisis

Michel Aglietta, Sandra Rigot

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Abstract
This paper deals with two issues. On the one hand, it shows that structural changes in financial markets and in the hedge funds industry make the "light-touch" arguments for regulating hedge funds no longer relevant. On the other hand, pleas for stronger regulation of hedge funds are getting more attention. In the first part of the paper the huge expansion of the industry is outlined and the state of current regulation is highlighted. In the second part an in-depth analysis of risks associated with hedge funds is carried out. It is shown that systemic risk can arise from leverage and from concentration of exposures amongst hedge funds. The part played by hedge funds in the spread of the crisis of structured credit is portrayed. In the third section, the recommendations of professional organisations, regulatory authorities and international institutions are summed up within the framework of risk mapping. This oversight shows the ways of reform: the need of direct regulation, the enhancement of indirect regulation and the overhaul of securitization. The prospective pattern of regulation encompasses macro and micro issues, and impinges upon factors of demand and supply. It emphasizes the enhanced role of public regulators and displays the conditions of an effective market discipline performed by long run institutional investors.
Mot(s) clé(s)
financial leverage, prime brokers, securitization, extreme risks, systemic risk, opacity, long run institutional investors, due diligence, monitoring, disclosure, market discipline, public regulator
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