Saturday, August 23, 2014
9

表现不佳的模型

发自伦敦——“为何没人预料到危机降临?”2008年底,英女王伊丽莎白二世到访伦敦经济学院时曾向经济学家们提出这样一个问题。时隔四年,经济预测者在衰退深度以及持续时间上的持续失准又让人们不禁跟女王一样发问:为何会高估了经济复苏?

请参考以下事实:2011年,国际货币基金组织预测欧洲经济将在2012年实现2.1%的增长。但事实上,今年欧洲经济萎缩0.2%似乎已成定局。在英国,其预算责任办公室于2010年预测2011年经济会增长2.6%,而2012年会增长2.8%;而实际上英国经济在2011年只增长了0.9%而2012年将停滞不前。此外世界经济合作与发展组织对欧元区2012年GDP的最新预测也比其2010的推测要低2.3%。

同样地,国际货币基金组织当前预测的2015年欧洲经济规模将比两年预测要小7.8%。其中一些预测者要比另外一些更为悲观(相比之下英国预算责任办公室算是尤其乐观的),但似乎没有人能悲观到足够接近真相的程度。

经济预测必然是不精确的:即将发生的事情如此之多,以致经济预测者们根本无法全部预见。所以判断估计和最佳猜测就成为了“科学的”经济预测中不可分割的一部分。

然而不精确是一回事;对欧洲经济复苏作出系统性高估又是另一回事。事实上,数据一直被反复修改,有时甚至是在很短的时间内被修改,这就使人们不得不怀疑经济预测者们手中经济模型的有效性。这些模型以及其使用机构都依赖于经济中的固有理论,该理论使得他们能够“假定”某些事物之间的关联。而错误的来源必然存在于这些设想之中。

其中有两个非常突出的关键错误。各大预测机构所使用的模型都显著低估了财政乘数:政府支出变化对产出的影响。第二,他们高估了金融当局实施的量化宽松政策——也就是印钞票——对财政紧缩的抵消程度。

直到最近,预算责任办公室——大致与国际货币基金组织一样——都依然采用0.6的财政乘数:也就是政府每减少一美元的支出,经济只会收缩60美分。这就假定了“李嘉图等价定理”:举债融资的公共支出通过对预期和信心的影响至少会在某种程度上挤压私人消费。如果家庭和公司预期到由于政府借款而导致未来增税的话,他们就将减少相应的消费和投资。

从这一观点来看,如果财政紧缩能减轻未来增税给家庭带来的负担,后者就将增加支出。这点或许在经济充分运行时是真实的——当政府和市场都在争夺每一份资源时。但当经济体中出现富余产能时,由公共部门紧缩释放的资源就可能只会被浪费掉。

预测机构最终承认他们低估了财政乘数。预算责任办公室回顾了其近期的错误,承认“这两年的平均财政乘数应该是1.3——比我们原来预测的两倍还要多——这才能解释2011到2012年GDP的疲弱水平。”国际货币基金组织已经承认“自从大萧条以来财政乘数实际上已经处于0.9到1.7之间的水平。”对财政乘数的低估已经导致了“财政巩固”对经济影响的系统性判断失误。

而这又导致我们犯下了第二个错误。预测者假定货币扩张会有效地消除财政紧缩。英格兰银行过去希望通过加印3750亿英镑新钞(约合6000亿美元)可以刺激共计500亿英镑的支出(或等于3%的GDP)。

然而在英美两国先后几轮量化宽松政策中展现出的事实表明虽然债券收益确实有所降低,但额外加印的货币很大程度上还滞留在银行系统,从未流入实体经济。这意味着问题主要是缺乏信贷需求——在这个萧条的市场,无论条件有多优惠,企业和家庭都不愿向银行贷款。

这两种错误相互作用:如果紧缩对经济增长的负面影响比原先估计的要大,而量化宽松政策的积极影响比估计的要弱,那么几乎所有欧洲政府偏爱的政策组合就是一个巨大的错误。财政刺激促进经济增长的余地很大,而货币刺激就没那么有用。

这一切基本上都是些技术问题,但它在很大程度上影响着人们的福祉。所有的经济模型都在现行政策的基础上假定产出。他们一直过于乐观地看待这些政策对经济增长的影响,因此为追求这些政策提供了正当性,并使政府能够声称自身的挽救经济措施正在“起作用”,但事实上却没有。

这是一个残忍的骗局。在这些预测者们起到任何作用之前,他们应该回到图表板前,抚心自问那些支撑他们模型的经济理论究竟是不是对的。

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  1. CommentedMatthew McCarthy

    I agree with the "Models behaving badly because the systems the model is based on have changed." I don't agree with the follow on comment "The goalposts have moved."

    The problem is in the idea that fixed models can mimic reality when reality is constantly changing. That error leads to statements like "This implies that the problem has mainly been a lack of demand for credit..." which is entirely false. Ask anyone applying for a mortgage or home equity loan how easy it is to get credit. The answer will be it is ridiculously hard. A few years ago a mortgage could be available in days with no downpayment and sometimes without proof of employment, where now a mortgage with 70% downpayment takes 2 months of paperwork - but people are still doing it. The money being retained in banks is not "a sign of low demand for credit", the demand for credit is real people requesting credit. The money retained in banks is just money retained in banks - the next step is a model which may or may not be appropriate depending on current circumstances. In today's circumstances it can actually be money purchasing government bonds at 3% with no liabilities and no maintainance required. Since it is being purchased with government loans at an effective 0% it is a reasonable investment. Credit demand is irrelevant to banks retaining money because there are risk free ways to use the money instead of lending. Expecting a relationship between money retained and credit demand is not a valid model.

  2. Portrait of Pingfan Hong

    CommentedPingfan Hong

    The problem is not that most economists underestimate the fiscal multiplier, but they misunderstand the fiscal multiplier. In the real economy, a fiscal multiplier is not a structural parameter at all: the relationship between a change in fiscal policy and a change in GDP is not fixed, but varying over time in response to changes in a number of other variables, such as investors' risk aversion, consumers' confidence, and output gaps. Assuming a constant fiscal multiplier and making projection and policies based on this assumption can be deadly wrong.

      CommentedRichard Potter

      Precisely. Like unseasoned bond traders using duration alone to forecast changes in bond prices due to interest rate movements, these macro forecasters ignore the concept of "convexity", i.e. the multiplier is a non-linear function, and not a constant.

      I wonder if Keynes realized that as well? Any thoughts, Lord Skidelsky?

  3. CommentedDaniel Tanner

    penetrating !
    "Because they're sheep, and sheep get led." - from movie "Wall Street"
    You should know, all the society systems are self-affecting.

  4. CommentedZsolt Hermann

    Models behaving badly because the system the models are based on have changed.
    The goalposts have been moved.
    Although globalization is not new, international business and economic cooperation, or even financial unions are not new, but we never had such an integral, interdependent system as we do now.
    Despite the multi-level connections before individuals, nations or companies still functioned independently, separated from each other as if there was a clear space around them, there were new, relatively untouched markets, workforce to tap into.
    Today the whole system is locked into one network, there cannot be any independent calculations, projections as even relatively small, relatively insignificant elements can change the overall balance completely. Everybody is moving together tied into the same net.
    We need completely new methods, a completely new ideology for all human interaction, one which always looks at the total sum of the system, the overall direction the system is moving towards.
    Only such plans, moves will succeed that are going alongside the best interest of the whole, regardless of individual, national, or company interests.
    The same way any negative input or direction would backfire with multiple force.
    Even today we can watch these dynamics already working.

      CommentedEdward Ponderer

      "Models behaving badly because the system the models are based on have changed. The goalposts have been moved."

      Precisely! I was also was a sucker for this twice, about 3 years apart, just like the economists -- once as an undergraduate in a course in quantum mechanics, and once as a graduate student in a course studying microwave devices, and I hope never again. The key in my cases, and the economists cases on a much grander scale, is to miss that models are local approximations on many scales. Constants are really locally slow changing variables, variables are functions of other variables, linear equations are really nonlinear equations, and nonlinear equations are really differential equations. All is built on shifting sands and the future goes into the clouds. It ends in deterministic chaos.

      Now the answer is to course correct. But the problem is there are too many dimensions, to many factors, many we can detect till -- perhaps -- after the fact.

      The key is that these are all about our ever more global world, where the interdependent coupling grows in strength and complexity with every passing hours. Second-order and tertiary effects, cross-couplings (e.g., human economy and environment), etc., continues to shift the rules. The problem is growing,, embryonic - and so is the solution.

      The only computer capable of judging and balancing this complex of human interactions is the whole of humanity itself. And it must be realized that an embryo is always born into an environment where it can now longer survive -- except in its fully newborn form.

      What form is that? Something beyond just cells phones and Internet, Facebook and Twitter, and the information superhighway in general. But there is the beginning of a sense of greater intelligence, emotion, nervous system and body here.

      The key in natural evolution is always crisis and altruistic response. Social networks of individuals that become something greater.

      Consider this Google Tech Talks Youtube video: "Learning from Bacteria about Social Networks," Google Tech Talk on Youtube, http://www.youtube.com/watch?v=yJpi8SnFXHs Note that the manner that food is detected and located, for example, is impossible from the informatin available to small subsets of individual, but as an interconnected whole, the distributed statics gel at a fantastic rate of speed.

      Try to project this concept from 70 billion bacteria, to a "megacolony" of 7 billion human beings. Understand how we can be come a true model, and a true answer. Yes, Humanity itself can do it -- if it is whole and in balance. We have all the means. What it takes now is integral education, and developing through it a sense of mutual responsibility -- to act in mutual guarantee.

  5. CommentedManfred Dix

    Lord Skidelsky says at the end of the article "There is much greater scope for fiscal stimulus to boost growth...". Really? Greece has a debt to GDP ratio of close to 200%. More scope for borrowing money? How about other countries, like Italy or Portugal with close to 100% of ratios. The good Lord seems to forget that the Eurozone countries do not print their own money.
    I guess the states in the United States which the 1840s went bankrupt at the time had it all wrong. They should have borrowed even more, for "fiscal stimulus" to "enhance growth". [Who would have loaned them the money? That question, of course, goes unanswered by Lord Skidelsky and others.]
    And such thinking passes for high quality economics being taught at prestigious universities?

  6. CommentedAvraam Dectis

    .
    Quantitative Easing is not printing money.

    Quantitative Easing is buying debt with printed money - effectively monetization. This is highly useful in economies characterized by low inflation, high unemployment, high debt and overcapacity - it lowers the effective debt service of the government.

    Perhaps another key mistake is failing to recognize that printed money, used in other ways during similar economic duress, could be highly stimualtive.

    For example, many industrialized countries are suffering from various degrees of inadequate birth rates. That could be addresses with a Socially Positive Stimulus using printed money.

    An SPS, ( which is a stimulus aimed at a social ill), would be implemented as follows. It would be declared that a small amount of money would be given to whomever gave birth, with a bonus if they were married. That number would automatically rise until an acceptable birth rate presented itself.

    There is no way to know what sum would generate an acceptable result. Some people might be motivated at 10,000 pounds, others at 30,000. Eventually the automatic adjustment would ensure the desired effect.

    A stimulus that increases the birth rate is both a very strong short and long term stimulus. Short term because the stimulus money is spent raising the child. Long term because the child will become a taxpaying adult. Another benefit is that additional taxpayers reduce pressure on social programs.

    The automatic nature of the adjustment is an example of an Automatic Economic Stabilizer, and the same mechanism can be applied to taxing and trade.

    Perhaps the biggest key mistake is the lack of a search for new solutions.

      CommentedAvraam Dectis

      Hello Odysseas Argyriadis,

      The concerns about overpopulation are valid.

      I am only suggesting birth rate enhancement in rapidly aging societies.

      Also, it may well be that this planet could support many more people with the right technological advances.

      If a form of energy was developed that was plentiful and virtually free, many problems would go away. Better ecological management could help as well. Ultimately the answer may come down to our technological progress and world stewardship

      .

      CommentedOdysseas Argyriadis

      Even though the argument presented is a sound one, it does not take into account the macro viability of such a move (encouraging birth rates).
      If we accept, for the sake of this argument, that the planet can support an unlimited number of humans then all is well since the global economy is stimulated artificially through birth rates.
      If, on the other hand, we accept that the planet cannot support an unlimited number of humans, then we are creating an even bigger problem through such an incentive, overpopulation, which will create even more serious problems due to diminishing resources.
      This boils down to the same essential problem that many consider a sound argument: even though we want to keep an economic system that promotes infinite growth, this is impossible due to limited resources. Unless there are plans to colonize planets in our solar system in the next century, we are just transferring the problem to the future generations.

  7. CommentedAlexandros Liakopoulos

    Excellent analysis, Professor Skidelsky! However, I cannot miss to pinpoint one question: what is out of the scope of economic forecasters due to their neoliberal training, which subjects micro to macro economics and forgets the fact the very nature of the science is all about POLITICAL ECONOMY and not about "economics" in the first place, is it also outside of the scope of political (strategic) forecasters?

    In other words, economic forecasters cannot predict and cannot provide any vital solutions in the medium and macro terms; they can only prescribe "bandages" in the "bullet trauma" the world economy is suffering, due to their training, which excludes them from being able to "see the big picture" by design. Their training as "economists" and not as "political economy scientists" forces them to deal with thousands of small burning trees while the whole forest is on fire.

    However, this situation is predictable for a strategic analyst and forecaster. Therefor, within the Cold Economic War Era we are currently undergoing at the world level, economists' assumptions, analysis and ongoing work can very well be predicted, "channeled" and "handled" according to the specific interests of the Very Serious Power(s), which cover the medium and long terms while dealing with the short term subjects.

    What economists' cannot do, the Very Serious Power(s) can do. After all, the US government acts on a "50 years forward orientation" since 1997 and the speech of the CIA director at the time. Therefor, economists' incapacity to deal with the crisis, which you highlight so excellent, could also serve as a policy instrument, "designed" to provide an excellent excuse to the Very Serious House for boosting its own agenda and change the World Order in a US Pantocracy Model.

    People behave in a certain matter when "crisis" changes everything; economists are also expected to act and think in the way they are trained; whoever knows which way they are trained, also knows what to expect; if expectations can be incorporated in a wider (and deeper in time) plan. Being so, should we blame the economists for behaving according to their (bad - one sided - anti-scientific) training, or should we blame those people abusing this very well known characteristic of world economists to cover their own involvement for "shooting world economy with a bullet" in the first place?

    Year 2012: Six years after the collapse of Mac n Mae and 4 years after Lehman - which "triggered" every single "focal financial crisis" on the planet - we all talk about "Greece's financial problems", "South's financial problems", "the Divided States of Europe's financial problems", "China's slowdown", "Japan's recession", etc. We also talk about "US financial cliff" and not "crisis", as also other "little agendas". However, what we miss to talk about is Capitalism as we knew it exists no more, it collapsed and ended!

    We live after the end of the previous world order, in between with the next one. Global Regulations from US government cover the vacuum of power after every "too-big-to-fail" (state or company) does fail and looks for "protection"; Old World Order gives its space to a New One, step-by-step and "tower-after-tower" (of Power). "Game theories" apply better in such Eras, in such Historic Times as the current years. However, "game theories" are hardly in the courses of the economists'. On the other hand, they serve as an everyday tool for political analysts.

    Today, Geography and Politics revenge Economy and prove that Power and money are two distinctive things: while money do serve as a means of Power, real Power can destroy money all together and - by doing so - it can absorb the territory, the legal frameworks, even the political systems of every "falling" entity. This is both foreseeable and very well known, especially among Very Serious Power(s), House(s), People and Institution(s). Even more, this is also "treat-able", which is a much more SERIOUS (seriousness and "dangerous-ness on world politics are mostly the same thing) "aspect of the world politics of today.

    Economists' Inability to forecast is very well-forecasted, nowadays! Actually, "everyone's else" inability to forecast is expected, as people tend to make assumptions and form their expectations according to information provided. Whoever controls the information flows, also control "others' ability to foresee independently". And this is the exact problem of our world, while it collapses step-by-step, "according to plan", exactly as predicted!

  8. CommentedFrank O'Callaghan

    Skidelsky is right about many things but he leaves out some important issues.

    Quantitative easing and fiscal austerity act on different people. Higher taxes on the low paid, cutting services and increasing their point-of-issue cost hits most people but 'printing money' helps only those to whom that money is given.

    How did we get into this mess? Fraudulent accounting by and large. Those who directed and benefited from thee creation of the crisis are insulated from the damage.

    For quantitative easing to work, equal checks should be given to everyone to spend as they wish (spaced out over time). It would be interesting to see what the multiplier and the tax yield would be.

  9. CommentedProcyon Mukherjee

    Robert Skidelsky offers many insights that raise further questions. First of all is it at all about forecasting errors, or is it that results have followed the intent where forecasting is just a means?

    Let me take only two examples, first that monetary transmission while continuing at the zero lower bound have sometimes forced investments back into those assets that may not generate employment, very typical is buy-back of stocks, or merger and acquisition, or simply buying less risky assets from buyers while selling even more risky assets (sometimes leveraging on one side has negated the deleveraging by the other); any amount of monetary release if it does these would have little impact on the employment position or GDP.

    The second is on fiscal stimulus, where we have reasons to believe that federal fund flow in a range of sectors that were intended to generate employment in the public sector, actually showed a trend downhill in the period 2009 to late 2011, which begs the question that stimulus does not simply turn into jobs. All of the above have less to do with forecasting, it is a mix of what the monetary transmission is actually being used for and the lack of will to execute actions for specific delivery of targets like employment.

    Procyon Mukherjee

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