Saturday, November 1, 2014
8

Deuda y espejismos

NEW HAVEN – A los economistas les gusta hablar de umbrales que, cuando son atravesados, indican dificultades. Por lo general hay una cierta verdad en lo que dicen. Pero a menudo, el público reacciona en forma exagerada ante esos comentarios.

Consideremos, por ejemplo, la relación entre deuda y PBI, tan comentada en las noticias estadounidenses y europeas actuales. A veces se dice, casi sin pausar para respirar, que la deuda de Grecia equivale al 153% de su PBI anual, y que es insolvente. Combinemos esas afirmaciones con las recientes imágenes televisivas de los disturbios callejeros griegos. ¿Qué les parece?

Aquí en los EE. UU., puede percibirse como una imagen de nuestro futuro, a medida que la deuda pública se acerca peligrosamente al 100% del PBI anual y continúa en ascenso. Pero tal vez esta imagen está excesivamente impresa en nuestra imaginación. ¿Es posible que la gente crea que un país se torna insolvente cuando su deuda supera el 100% del PBI?

Claramente, eso sería una tontería. Después de todo, la deuda (que se mide en unidades monetarias) y el PBI (que se mide en unidades monetarias por unidad de tiempo) dan como resultado una razón en unidades de tiempo puro. No hay nada de especial en usar un año para esa unidad. Un año es el tiempo que le lleva la tierra orbitar al sol, lo que, excepto en el caso de industrias estacionales como la agricultura, no tiene ningún significado económico particular.

Deberíamos recordar esto de nuestras clases de ciencia en la escuela secundaria: siempre se debe prestar atención a las unidades de medida. Si erramos con las unidades, estaremos completamente perdidos.

Si los economistas no anualizaran habitualmente los datos trimestrales del PBI y multiplicaran el PBI trimestral por cuatro, la proporción entre la deuda y el PBI griego sería cuatro veces la actual. Y si habitualmente tomaran el PBI por década, multiplicando los números trimestrales por 40 en vez de por 4, el peso de la deuda griega sería del 15%. Desde el punto de vista de la capacidad de pago griega, esas unidades serían más relevantes, ya que Grecia no tiene que pagar el total de su deuda en un año (a menos que la crisis convierta en imposible la tarea de refinanciar la deuda actual).

Ya que estamos, parte de la deuda nacional griega está en manos de griegos. Como tal, el peso de la deuda subdeclara seriamente las deudas de los griegos entre sí (en gran medida en forma de obligaciones familiares). En cualquier momento de la historia, la razón entre deuda y PBI anual (incluidas las deudas informales) excedería, por mucho, el 100%.

La mayor parte de la gente nunca piensa en esto cuando reacciona frente a la razón entre deuda y PBI de los titulares. ¿Es posible que verdaderamente sea tan estúpida como para confundirse por esas relaciones? Desde mi experiencia personal, puedo decir que sí, porque incluso yo, un economista profesional, me descubrí alguna vez cometiendo exactamente el mismo error.

Los economistas que adhieren a los modelos de expectativas racionales nunca lo admitirán, pero mucho de lo que sucede en los mercados es consecuencia de la estupidez pura, o, más precisamente, del desinterés, la desinformación sobre los conceptos básicos, y una atención desmedida sobre las historias que circulan en el momento.

Lo que verdaderamente está sucediendo en Grecia es el funcionamiento de un mecanismo de retroalimentación social. Algo llevó a que los inversores temieran que el riesgo de una eventual cesación de pagos de la deuda griega hubiese aumentado ligeramente. La menor demanda de la deuda griega causó que su precio decayese, lo que implicó que su rendimiento, en términos de las tasas de interés del mercado, aumentó. Las mayores tasas de interés hicieron que para Grecia fuese más costoso refinanciar su deuda, y eso creó una crisis fiscal que ha obligado al gobierno a imponer severas medidas de austeridad, que derivaron en disturbios públicos y un colapso económico que ha alimentado incluso un mayor escepticismo sobre la capacidad de Grecia para pagar su deuda.

Esta retroalimentación no tiene nada que ver con que la relación entre deuda y PBI anual haya sobrepasado un cierto umbral, a menos que quienes contribuyen a esta retroalimentación crean en esa relación. Sin duda, la razón es un factor que nos ayuda evaluar los riesgos de retroalimentación negativa, ya que el gobierno debe refinanciar antes la deuda de corto plazo y, si la crisis impulsa las tasas de interés al alza, las autoridades tarde o temprano enfrentarán intensas presiones en favor de la austeridad fiscal. Pero la relación no es la causa de la retroalimentación.

Una ponencia escrita el año pasado por Carmen Reinhart y Kenneth Rogoff, titulada “Growth in a Time of Debt” (Crecimiento en tiempos de deuda), ha sido ampliamente citada por su análisis de 44 países a lo largo de 200 años, que detectó que cuando la deuda gubernamental excede el 90% del PBI, los países experimentan un crecimiento más lento y pierden aproximadamente un punto porcentual en la tasa anual.

Uno puede pensar equivocadamente que, como el 90% está tremendamente cerca del 100%, a los países que se meten en ese tipo de situaciones comienzan a sucederles cosas terribles. Pero si se lee cuidadosamente su trabajo, resulta claro que Reinhart y Rogoff eligieron el valor 90% casi arbitrariamente. Decidieron, sin explicación, dividir las relaciones entre deuda y PBI en las siguientes categorías: menos del 30%, 30-60%, 60-90% y más del 90%. Y resulta que esas tasas de crecimiento disminuyen en todas esas categorías a medida que aumenta la relación entre deuda y PBI, solo que un poco más en la última.

También existe la cuestión de la causalidad inversa. Las relaciones entre deuda y PBI suelen aumentar en los países con problemas económicos. Si esta es parte de la razón por la cual las relaciones entre deuda y PBI corresponden a un crecimiento económico menor, hay menos motivos para creer que los países deberían evitar una razón más elevada, ya que la teoría keynesiana implica que la austeridad fiscal jugaría en contra, y no a favor, del desempeño económico.

El problema fundamental que enfrenta actualmente la mayor parte del mundo es que los inversores reaccionan exageradamente a las razones entre deuda y PBI porque temen que se cruce algún umbral mágico, y exigen programas de austeridad fiscal demasiado pronto. Piden a los gobiernos que disminuyan su gasto mientras sus economías aún son vulnerables. Los hogares se asustan, así que también disminuyen sus gastos, y las empresas son disuadidas de financiar sus gastos de capital a través del crédito.

La lección es simple: Tenemos que preocuparnos menos por las razones y umbrales de deuda, y más por nuestra incapacidad para ver estos indicadores como los constructos artificiales –y a menudo irrelevantes– que son.

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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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