Os cantos escuros da macroeconomia

Uma excelente peça de Olivier Blanchard, do FMI, sobre o que sabíamos (ou pensavamos saber) sobre macroeconomia e tudo o que aprendemos nos últimos anos: Where danger lurks.

If the financial system had been less opaque, if capital ratios had been higher, there might still have been a housing bust in the United States in 2007–2008. But the effects would have been limited – a mild US recession at the worst, rather than a global economic crisis.

Can the financial system be made more transparent and more robust? The answer is a qualified yes. Authorities have required increases in bank capital ratios – an essential line of defence against financial system meltdown. But banks are only part of a complex network of financial institutions and markets, and risks are far from gone. The reality of financial regulation is that new rules open new avenues for regulatory arbitrage, as institutions find loopholes in regulations. That in turn forces authorities to institute new regulations in an ongoing cat-and-mouse game (between a very adroit mouse and a less nimble cat). Staying away from dark corners will require continuous effort, not one-shot regulation.

Macroeconomic policy also has an essential role to play. If nominal rates had been higher before the crisis, monetary policy’s margin for manoeuvre would have been larger. If inflation and nominal interest rates had been, say, 2 percentage points higher before the crisis, central banks would have been able to decrease real interest rates by 2 more percentage points before hitting the zero lower bound on nominal interest rates. These additional 2 percentage points are not negligible. Their effects would have been roughly equivalent to the effects of the unconventional monetary policies that central banks pursued when the zero bound was reached – purchasing private sector assets and long-term government bonds to lower long-term interest rates rather than using the standard technique of manipulating a short-term policy rate. (Harvard Professor Kenneth S Rogoff, former head of the IMF’s Research Department, has suggested solutions other than higher inflation, such as the replacement of cash with electronic money, which could pay negative nominal interest. That would remove the zero bound constraint.)

Turning from policy to research, the message should be to let a hundred flowers bloom. Now that we are more aware of nonlinearities and the dangers they pose, we should explore them further theoretically and empirically – and in all sorts of models. This is happening already, and to judge from the flow of working papers since the beginning of the crisis, it is happening on a large scale. Finance and macroeconomics in particular are becoming much better integrated, which is very good news.

But this answer skirts a harder question: How should we modify our benchmark models – the so-called dynamic stochastic general equilibrium (DSGE) models that we use, for example, at the IMF to think about alternative scenarios and to quantify the effects of policy decisions? The easy and uncontroversial part of the answer is that the DSGE models should be expanded to better recognise the role of the financial system – and this is happening. But should these models be able to describe how the economy behaves in the dark corners?

Let me offer a pragmatic answer. If macroeconomic policy and financial regulation are set in such a way as to maintain a healthy distance from dark corners, then our models that portray normal times may still be largely appropriate. Another class of economic models, aimed at measuring systemic risk, can be used to give warning signals that we are getting too close to dark corners, and that steps must be taken to reduce risk and increase distance. Trying to create a model that integrates normal times and systemic risks may be beyond the profession’s conceptual and technical reach at this stage.


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