O futuro dos modelos de equilíbrio geral

Entre as quatro dezenas de leitores de leitores habituais deste blogue há certamente alguns que têm interesse em modelização macroeconómica. Não tenho certeza de que dentro deste leque selecto haja muita gente com interesse em filosofia da ciência – mas, se houver, então não deviam perder a excelente discussão digital entre Olivier Blanchard e outros ilustres macroeconomistas acerca da importância (e relevância) dos modelos de equilíbrio geral DSGE.

A primeira peça de Blanchard, no Peterson Institute – Do DSGE models have a future? – gerou reacções de Narayana Kocherlakota, Simon Wren-Lewis, Paul Romer, Steve Keen, Anton Korinek, Paul Krugman, Noah Smith, Roger Farmer e Brad Delong. Na resposta, Further Thoughts on DSGE, Blanchard arruma para um canto os pontos onde há convergência:

  • A macroeconomia deve ser analisada com equilíbrios gerais;
  • Diferentes objectivos (previsão, análise de políticas) requerem modelos diferentes
  • O equilíbrio parcial tem um papel importante no meio disto tudo

E elenca os pontos onde o consenso começa a desaparecer: o papel específico que os DSGE devem assumir no core do pensamento económico e na importância relativa dos fundamentos microeconómicos dos modelos. Tendo isto em conta:

If one does not accept the two propositions above, then DSGEs are clearly not the way to go—end of discussion. There are plenty of other things to do in life.

If, however, one does accept them (even if reluctantly), then wholesale dismissal of DSGEs is not an option. The discussion must be about the nature of the micro foundations and the distortions current models embody, and how we can do better.

Do current DSGEs represent a basic Meccano set, a set that most macroeconomists are willing to use as a starting point? (For Meccano enthusiasts, the Meccano set number is 10. The Meccano company actually has also gone through major crises, having to reinvent itself a few times—a lesson for DSGE modelers.) I believe the answer to this is no. (I have presented my objections in my first piece on the topic.) So, to me, the research priorities are clear:

First, can we write down a basic model most of us would be willing to take as a starting point, the way the IS-LM model was a widely accepted starting point earlier in time? Given technological progress and the easy use of simulation programs, such a model can and probably must be substantially larger than the IS-LM but still remain transparent. To me, this means starting from the New-Keynesian model, but with more realistic consumption- and price-setting equations, and adding capital and thus investment decisions.

Second, can we then explore serious improvements in various dimensions? Can we have a more realistic model of consumer behavior? How can we deviate from rational expectations, while keeping the notion that people and firms care about the future? What is the best way to introduce financial intermediation? How can we deal with aggregation issues (which have been largely swept under the rug)? How do we want to proceed with estimation (which is seriously flawed at this point)? And, in each case, if we do not like the way it is currently done, what do we propose as an alternative? These are the discussions that must take place, not grand pronouncements on whether we should have DSGEs or not, or on the usefulness of macroeconomics in general.

Já agora, os interessados na questão dos DSGE podem querer seguir um debate sobre essa questão que teve lugar há poucos anos na blogosfera: aqui, aqui e aqui.

E se o tema for demasiado específico, pelo menos leiam o que o mesmo Blanchard tinha a dizer acerca da evolução do pensamento macroeconómico em 2008 (o célebre The state of macro) e a avaliação actualizada que ele faz do campo de investigação: Rethinking Macro Policy: getting granular (2013), Rethinking Macro Policy II (2013) e Where danger lurks (2014).