Repensando a macro

Política monetária, política orçamental, rácios de capital, controlo de fluxos financeiros. Anualmente, o FMI produz um documento de reflexão e análise dos principais tópicos de política monetária. Rethinking macro policy II: getting granular é o mais recente, e incorpora a melhor investigação do FMI acerca dos hot topics do policy making. Altamente recomendado. Em baixo, uma citação do autor, Olivier Blanchard.

To go back to the issue raised in the introduction: despite significant research progress and policy experimentation in the last two years, the contours of future macroeconomic policy remain vague. The relative roles of monetary policy, fiscal policy, and macroprudential policy are still evolving. We can see two alternative structures developing: at a less ambitious extreme, a return to flexible inflation targeting could be foreseen, with little use of fiscal policy for macroeconomic stability purposes, and limited use of macroprudential instruments as they prove difficult or politically costly to use. At a more ambitious extreme, central banks could be envisaged to have a broad macroeconomic and financial stability mandate, using many monetary and macroprudential instruments, and more actively using fiscal policy tools. Where we end up is likely to be the result of experimentation, with learning pains but with the expectation of more successful outcomes.

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As cinco lições da Grande Recessão

Por Olivier Blanchard, no Wall Street Journal. Five lessons for economists from the financial crisis:

#1: Humility is in order.

The Great Moderation [the economically tranquil period from 1987 to 2007] convinced too many of us that the large-economy crisis -­ a financial crisis, a banking crisis ­- was a thing of the past. It wasn’t going to happen again, except maybe in emerging markets. History was marching on.

My generation, which was born after World War II, lived with the notion that the world was getting to be a better and better place. We knew how to do things better, not only in economics but in other fields as well. What we have learned is that¹s not true. History repeats itself. We should have known.

#2: The financial system matters — a lot.

It’s not the first time that we¹re confronted with [former U.S. Defense Secretary Donald] Rumsfeld called “unknown unknowns,” things that happened that we hadn’t thought about. There is another example in macro-economics:

The oil shocks of the 1970s during which we were students and we hadn’t thought about it. It took a few years, more than a few years, for economists to understand what was going on. After a few years, we concluded that we could think of the oil shock as yet another macroeconomic shock. We did not need to understand the plumbing. We didn’t need to understand the details of the oil market. When there’s an increase in the price of energy or materials, we can just integrate it into our macro models -­ the implications of energy prices on inflation and so on.

This is different. What we have learned about the financial system is that the problem is in the plumbing and that we have to understand the plumbing. Before I came to the Fund, I thought of the financial system as a set of arbitrage equations. Basically the Federal Reserve would chose one interest rate, and then the expectations hypothesis would give all the rates everywhere else with premia which might vary, but not very much. It was really easy. I thought of people on Wall Street as basically doing this for me so I didn¹t have to think about it.

What we have learned is that that’s not the case. In the financial system, a myriad of distortions or small shocks build on each other. When there are enough small shocks, enough distortions, things can go very bad. This has fundamental implications for macro-economics. We do macro on the assumption that we can look at aggregates in some way and then just have them interact in simple models. I still think that¹s the way to go, but this shows the limits of that approach. When it comes to the financial system, it¹s very clear that the details of the plumbing matter.

#3 Interconnectedness matters.

This crisis started in the U.S. and across the ocean in a matter of days and weeks. Each crisis, even in small islands, potentially has effects on the rest of the world. The complexity of the cross border claims by creditors and by debtors clearly is something that many of us had not fully realized: the cross border movements triggered by the risk-on/risk-off movements, which countries are safe havens, and when and why? Understanding this has become absolutely essential. What happens in the part of the world cannot be ignored by the rest of the world. The fact that we all spend so much time thinking about Cyprus in the last few days is an example of that.

It’s also true in trade side. We used to think if one country was doing badly, then exports to that country would do badly and therefore the exporting countries would do badly. In our models, the effect was relatively small. One absolutely striking fact of the crisis is the collapse of trade in 2009. Output went down. Trade collapsed. Countries which felt they were not terribly exposed through trade turned out to be enormously exposed.

#4 We don’t know if macro-prudential tools work.

It’s very clear that the traditional monetary and fiscal tools are just not good enough to deal with the very specific problems in the financial system. This has led to the development of macro-prudential tools, which what may or may not become the third leg of macroeconomic policies.

[Macroprudential tools allow a central bank to restrain lending in specific sectors without raising interest rates for the whole economy, such as increasing the minimum down payment required to get a mortgage, which reduces the loan-to-value ratio.] In principle, they can address specific issues in the financial sector. If there is a problem somewhere you can target the tool at the problem and not use the policy interest rate, which basically is kind of an atomic bomb without any precision.

The big question here is: How reliable are these tools? How much can they be used? The answer — from some experiments before the crisis with loan-to-value ratios and during crisis with variations in cyclical bank capital ratios or loan-to-value ratios or capital controls, such as in Brazil — is this: They work but they don’t work great. People and institutions find ways around them. In the process of reducing the problem somewhere you tend to create distortions elsewhere.

#5 Central bank independence wasn’t designed for what central banks are now asked to do.

There is two-way interaction between monetary policy and macro prudential tools. When Ben Bernanke does expansionary monetary policy, quantitative easing, and interest rates on many assets are close to zero, there’s a tendency by many players to take risks to increase their rate of return Some of this risk actually we want them to take. Some we don¹t want them to take. That is the interaction of monetary policy on the financial system.

You also have it the other way around. If you use macro prudential tools to, say, slow down the building in the housing sector but you have an effect on aggregate demand, which is going to decrease output.

The question is: How do you organize the use of these tools? It makes sense to have them under the same roof. In practice means the central bank. But that poses questions not only about coordination between the two functions, but also about central bank independence.

One of the major achievements of the last 20 years is that most central banks have become independent of elected governments. Independence was given because the mandate and the tools were very clear. The mandate was primarily inflation, which can be observed over time. The tool was some short-term interest rate that could be used by the central bank to try to achieve the inflation target. In this case, you can give some independence to the institution in charge of this because the objective is perfectly well defined, and everybody can basically observe how well the central bank does..

If you think now of central banks as having a much larger set of responsibilities and a much larger set of tools, then the issue of central bank independence becomes much more difficult. Do you actually want to give the central bank the independence to choose loan-to-value ratios without any supervision from the political process. Isn’t this going to lead to a democratic deficit in a way in which the central bank becomes too powerful? I¹m sure there are ways out. Perhaps there could be independence with respect to some dimensions of monetary policy -­ the traditional ones — and some supervision for the rest or some interaction with a political process.

Multiplicadores, parte XXVI – Blanchard responde aos críticos

Foi preciso esperar algum tempo, mas aí está a resposta de Olivier Blanchard aos seus críticos. Depois de ter posto meio mundo a falar acerca de multiplicadores, o economista-chefe do FMI escreveu finalmente um paper a explicar melhor as suas ideias acerca da subestimação dos efeitos contraccionistas da consolidação orçamental (expressadas pela primeira vez numa caixa do World Economic Outlook) e a refutar, um por um, os ataques feitos pelos mais cépticos. Growth forecast errors and fiscal multipliers já está disponível no site do FMI.

No estudo inicial, recorde-se, Blanchard e o seu co-autor Daniel Leigh analisaram a relação entre as previsões para a consolidação orçamental dos países europeus (feitas pelo próprio FMI) e os erros verificados ao nível da previsão de crescimento económico. As duas variáveis apareciam negativamente correlacionadas; ou seja, quanto maior era o grau de consolidação orçamental, mais a previsão para o crescimento falhava o alvo. A conclusão dos autores era que os organismos de previsão estavam a subestimar o multiplicador orçamental, uma conclusão que foi desafiada pelo Financial Times, que alegou falta de robustez da correlação, e pela Comissão Europeia, que aponto problema de endogeneidade.

No novo estudo, os economistas do FMI respondem a todas as críticas. Primeiro, alteram a amostra de países: incluem economias que ficaram do fora (Luxemburgo, Letónia, etc.), retiram as economias cujo saldo estrutural mais variou (Alemanha e Grécia), excluem as economias sob programa de ajustamento e deixam de fora os outliers.  Em todos estes casos a relação entre as variáveis permanece forte e estatisticamente significativa.

A relação perde força quando é utilizada como amostra o lote de economias desenvolvidas ou quando se aponta apenas para as economias em desenvolvimento. A justificação dos autores é simples: isto é o que seria de esperar se fossem as condições particulares da armadilha de liquidez a aumentar o valor dos multiplicadores. De facto, no conjunto das economias desenvolvidas, bem como no conjunto das economias em desenvolvimento, a política monetária ainda tem, em média, margem para actuar.

Para responder à crítica da Comissão Europeia, o estudo utiliza variáveis de controlo para a possibilidade de o crescimento inferior ao esperado estar correlacionado com outras causas. Os autores controlam as seguintes variáveis: défice/PIB, dívida pública/PIB, CDS dos Estados, consolidação orçamental dos principais parceiros comerciais, dívida externa/PIB e dívida privada. Os resultados, ao contrário do que sugeriram os críticos, mantêm-se. Estes resultados, mostram ainda controlos adicionais, não resultam do facto de o volume de consolidação orçamental ter sido subestimado (o que poria o ónus da culpa não na dimensão do multiplicador, mas na dimensão da consolidação).

Do estudo resultam ainda duas conclusões interessantes. Aparentemente, os erros de previsão apenas estão correlacionados com a variação do saldo entre 2009 e 2012, desaparecendo no período 1997-2008. Este resultado é consistente com a interpretação dos autores, segundo a qual são as condições específicas do período actual que aumentam o valor do multiplicador – taxas de juro perto do zero, crise financeira a limitar a possibilidade de comportamentos ‘ricardianos’ e uma grande capacidade produtiva subutilizada. Finalmente, o multiplicador da despesa parece ter sido mais subestimado do que o multiplicador da receita.

If we put this together, and use the range of coefficients reported in our tables, this suggests that actual multipliers were substantially above 1 early in the crisis. The smaller coefficient we find for forecasts made in 2011 and 2012 could reflect smaller actual multipliers or partial learning by forecasters regarding the effects of fiscal policy. A decline in actual multipliers, despite the still-constraining zero lower bound, could reflect an easing of credit constraints.

However, our results need to be interpreted with care. As suggested by both theoretical considerations and the evidence in this and other empirical papers, there is no single multiplier for all times and all countries. Multipliers can be higher or lower across time and across economies. In some cases, confidence effects may partly offset direct effects. As economies recover, and economies exit the liquidity trap, multipliers are likely to return to their precrisis levels.

Nevertheless, it seems safe for the time being, when thinking about fiscal consolidation, to assume higher multipliers than before the crisis. Finally, it is worth emphasizing that deciding on the appropriate stance of fiscal policy requires much more than an assessment regarding the size of short-term fiscal multipliers. Thus, our results should not be construed as arguing for any specific fiscal policy stance in any specific country. In particular, the results do not imply that fiscal consolidation is undesirable. Virtually all advanced economies face the challenge of fiscal adjustment in response to elevated government debt levels and future pressures on public finances from demographic change. The short-term effects of fiscal policy on economic activity are only one of the many factors that need to be considered in determining the appropriate pace of fiscal consolidation for any single country.