Monday, July 28, 2014
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债务妄想症

纽黑文——

经济学家喜欢谈论阈值——一旦超过了阈值,事情就麻烦了。一般而言,经济学家所言还是包含那么一丝真理的。但公众通常会对经济学家的言论反应过激。

就拿债务-GDP比率来说吧,这个话题如今在欧洲和美国算是大热门。人们不时异口同声地说,希腊的债务达到了年GDP的153%,因此希腊已经破产了。电视里最近经常播放希腊街头的动乱情景,似乎印证了这一说法。那么,事实又是如何呢

在美国,公共债务已逼近年GDP的100%,而且还在不断上升,前景似乎不妙。但我们的想象力有点太丰富了。一个国家果真如人们认为的那样,债务超过GDP的100%就意味着破产?

答案显然是否定的。毕竟,(用货币单位衡量的)债务和(用货币单位除以时间单位衡量的)GDP一除,得到的是纯粹的时间单位。这个单位是年,就这么简单,没什么特殊意义。一年就是地球绕太阳一周的时间,除了农业这样的季节性产业,“年”这个单位并无特别的经济重要性。

我们在高中就学过,必须时刻注意计量单位,单位一错,满盘皆错。

如果经济学家的习惯不是在分析季度GDP数据时将季度GDP数字乘以四,那么希腊的债务-GDP比率将比现在高四倍。如果他们的习惯是将GDP十年化,将季度GDP乘以四十而不是四,那么希腊的债务负担将下降到15%。从希腊的偿付能力出发,这样的单位将更靠谱,因为希腊并不需要在一年内就把债务偿完(除非危机导致希腊无法对现有债务进行再融资)。

顺便说一句,希腊国债中有一部分的债主是希腊人民。此外,债务负担严重低估了希腊人相互欠下的债务(大体上以家庭负债的形式存在)。纵观历史,债务-GDP比率(包括非正式债务)几乎总是超过100%的。

大多数人在读到关于债务-GDP比率数字报道的时候并不作如是想。他们真的如此愚昧,以至于会被这些比率蒙蔽了双眼?就我的个人经验来看,我得说,的确如此,因为即便是职业经济学家如我,也不时需要停下来略作沉思才能避免犯下相同的错误。

那些死抓理性预期模型不放的经济学家永远不会承认这一点——对市场上发生的许多事情而言,唯一的推动力就是愚昧,或者粗心、对基本面信息错误,以及过度关注流行的故事。

希腊的真实状况是发生了社会反馈机制。一开始发生了一些事情,让投资者们开始忧虑希腊债务最终违约的风险有所上升了。对希腊债券需求的下降使得其价格开始下跌,这意味着用市场利率衡量的收益率上升了。利率上升增加了希腊债务再融资的成本,引发了财政危机,迫使希腊政府采取严厉的紧缩手段,从而引起公共动荡和经济崩溃,而这反过来又进一步加深了投资者对希腊能否偿还债务的疑虑。

这一反馈过程跟债务-年GDP比率是否超过某个阈值半点关系都没有,除非参与了反馈过程的人们对这一比率标准深信不疑。平心而论,这一比率可以作为我们评估负反馈风险的一个因素,因为希腊政府不得不更早地再融资其短期债务,而且如果危机推高了利率,当局将迟早要面临严峻的财务紧缩压力。但这一比率绝非造成反馈的原因。

去年,莱因哈特(Carmen Reinhart)和罗格夫(Kenneth Rogoff)写了一篇名为《债务时代的增长》(Growth in a Time of Debt)的论文。这篇被广为引用的论文分析了44个国家200年的情况,发现如果政府债务超过GDP的90%,那么该国就会经历低增长,其年增长率将损失1个百分点。

人们会受此误导,认为既然90%和100%是如此接近,那么一国债务-GDP比率一旦达到100%,必然大事不妙了。但如果你认真阅读了那篇论文,就会发现,90%显然是莱因哈特和罗格夫随机选定的数字。他们将债务-GDP比率分为以下四类(没有解释为何如此分类):30%以下、30—60%、60—90%和90%以上。结果表明,在所有四个类别中,增长率均会随债务-GDP比率的上升而下降,只是最后一类上升得稍多一些。

还有一个问题是因果倒置。在经济陷入困境的国家,债务-GDP比率总是倾向于上升。如果这是高债务-GDP比率对应着低经济增长的部分原因,那么就没有理由认为一国应该避免高债务-GDP比率,因为凯恩斯主义理论暗示,财政紧缩会恶化而不是提振经济表现。

当今世界诸多地区所面临的基本问题是投资者对债务-GDP比率反应过激,唯恐某个阈值具有什么魔力,因此要求在时机尚不合适的时候就实施财政紧缩计划。他们要求政府在经济依然孱弱时就削减开支。家庭犹如惊弓之鸟,也在削减支出;而企业则被劝阻通过借贷为资本支出融资。

教训是简单的:我们不必对债务比率和阈值大惊小怪,而是应该担心我们无法意识到我们总是人为地(并且总是毫无道理地)创造这些指标。

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  1. CommentedKeven Vance

    I don't understand this at all. Yes, debt/GDP is a unit of time, so a debt ratio of 150 percent is in fact 1.5 years. But there's a natural interpretation: it would take 1.5 years for an economy to produce output sufficient to repay the entire debt. And given the limits that exist on a government's ability to appropriate output, it's easy to see why larger numbers would be bad. And the argument about how the debt ratio would be four times larger if we used quarterly GDP is just wrong. If we used quarterly data, the debt ratio example above would be six quarters, and if we used monthly data it would be 18 months. It's exactly the same.

  2. CommentedVan Poppel charles

    when I read this and other studies of Prof Shuller, I am wondering why he missed the 2012 reward of economics Nobel price; or is /was he too keynesian minded?

  3. CommentedMatthew Cowan

    There are a lot of delusions about government debt and deficits, including a popularly held delusion that the debt/GDP ratio is not extremely important.

    We need only look at our own history and the experiences of other countries to prove that it is important. In the US, we experienced an excellent economy for the latter half of the 1990's following congressional bills passed to reform spending and balance budgets.

    Conversely, in the US we have experienced an anemic recovery over the past 3 years despite record high levels of spending and deficits. Keynesian theory would dictate that our economy should have taken off given the level of deficit spending we've engaged in with 4 consecutive $1 trillion+ deficits, yet unemployment remains at historically high levels and real GDP growth is well below historical trends.

    In other countries, the same story proves accurate. The Northern European countries fared very well, comparatively, during the most recent global slowdown when compared to countries that engaged in deficit spending and increased the debt/GDP.

    Japan, in particular, has engaged in the largest scale buildup of debt over the past 20+ years. From 1980-1990, its debt/GDP ratio was relatively stable at about 70%. It experienced a recession in 1990 and began increasing its debt/GDP ratio in order to spend its way out of the crisis. Real GDP growth from 1980-1990 ranged from 3%-5% in Japan and since 1990-present GDP growth has ranged from 0%-2.5%.

    Economists who write off a loss of 1% per year of GDP growth in order to justify higher debt/GDP ratios, typically because it favors their political priorities, forget the most powerful concept of finance and economics: compounding. One percent in any given year is not the end of the world (although it is about $160 B of GDP in the US, not a small amount by any standard), but compound that out over several years and you've missed out on quite a bit of economic growth.

    Debt/GDP ratios do matter. The 1 year convention is what it is and if we used the 10 year convention, the issues would still be the same, it would just be the critical 10% threshold that was surpassed. It is sad to see an economist write off a metric of economic peformance as not a big deal. Perhaps he won't give out grades to his students this year because they aren't that important either.

  4. CommentedStefan Schuetzinger

    I like Shillers' unorthodox approach. But he is wrong in a fundamental point. We don't count debts in GDP per year, because our thinking is "in years", but because interest capitalizes after 365 days. So a year has "a particular economic significance".

    I agree, that the 100%-threshold is - to a certain extent -irrational. But is Mr. Shiller willing to lend his money to an economy, which is not competive and which has already accumulated a huge debt-burden ?


  5. CommentedPierluigi Molajoni

    The lesson is simple: we should worry less, but for the fact that governments have borrowed from investors driven by pure stupidity – or, rather, inattention, misinformation about fundamentals, and an exaggerated focus on currently circulating stories.
    Read more at http://www.project-syndicate.org/commentary/debt-and-delusion#CXQGpKclRJh1Hp7z.99

  6. CommentedKapil Khetan

    All debt including zero coupon debt, can be quoted as having some annual interest cost. So don't see why Prof Shiller makes such a big deal about a rough ratio. Naturally, one can get more accurate by discussing interest coverage (interest payment divided by taxes collected). Interesting to hear Prof Shiller's criticism, but would have been even better to hear about the alternative suggested.

  7. Commentedphilip meguire

    Shiller makes a good point, one grounded in the careful attention to units of measurement that he (and I) were taught in high school. GDP is a flow per unit time. GDP is reported annually and quarterly. This is convenient and conventional, but also entirely arbitrary. Hence the denominator of the debt to GDP ratio features a periodic time unit, the choice of which is arbitrary. The longer the time unit, the lower the ratio. Hence the ratio of debt to GDP is arbitrary and meaningless.

    However, Shiller seems to imply that there is no need to worry about the level of govt. borrowing, and that is an impression I wish to forestall.

    I submit that there are basic three categories of public debt. that held by (1) the central bank and public trust funds, (2) by domestic private parties, and (3) foreign entities. Finally, there is (4), debt used to finance long lived infrastructure projects, about which I will say no more than that this is a very valid use of the govt's borrowing power. (1) is scarcely debt at all, because what is a liability to the Treasury is also an asset of another branch of the Federal govt. (3) is the most troubling, especially when the debt is denominated in a foreign currency (a problem for the PIGS but not for the USA).

    So anything divided by GDP should have the same time unit as GDP itself. I propose the interest paid on the debt, calculated for each of (2) and (3) in the preceding paragraph. This is a measure of the carrying cost of the part of the Federal debt that is owed to parties outside the Federal govt.

    The USA NIPA report the interest paid on (3). The Fed discloses the interest on the Federal debt it holds. So far so good. But calculating the interest paid on debt held by Federal govt. trust funds is not easy. (2) is easily calculated as the residual after calculating (3) and (1), but I bet calculating (1) will prove elusive. I invite the NIPA, especially Table 3.2, to adopt the framework I set out here.

    The only way to evaluate the interest to GDP ratio is relative to the historical record. Recent values of the interest to GDP ratios calculated from the available NIPA data are not too worrying, simply because nominal interest rates are so low. But current nominal rates imply negative real rates. When interest rates rise, the interest to GDP ratio will rise, as will the fraction of every Federal tax dollar devoted to interest on the privately held public debt. Taxes will have to rise, or current government expenditure will have to be cut. This is the sense in which the rise in Treasury borrowing this century amounts to a Sword of Damocles hung over the American economy.

    The problem is that two tax-related ratios currently have values that are unusually low by historical norms. One such ratio is that of Federal income and payroll taxes to nonimputed personal income. The other is of corporate income taxes to corporate cash flows, which is lower now than at any time since the Great Depression. Raising those ratios to the their average levels over 1987-2007 would generate approximately 350B of tax revenue. Further tax increases and expenditure cuts may be needed to get our house in order.

    The Flow of Funds accounts reveal that American corporations currently hold about 2.5 trillion of financial assets having a low risk of capital gain or loss. Corporate profits are at an all-time high, but capital expenditures are anemic. I conclude that the American corporate sector broadly understands that current American fiscal policy is a temporary fool's paradise.

  8. CommentedFernando Fuster-Fabra

    The most sensible analysis I have read in decades that makes macro-Economic more understandable. Without being an economist but with wide experience in project management, I have always argued against the average and median stats delivered by economic experts with little or no considerations of "time" as a resource. It has been my point of view that all projects handle 3 basic resources money & materials, human resources and time. If you are short of one, then you need to compensate with any of the two others. Thus, in a systemic crisis as the one today, we need more time to pay up debt and/or more money to produce growth.

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