Thursday, April 24, 2014
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Modelos con mal comportamiento

LONDRES – «¿Cómo es que nadie vio venir la crisis?» Fue la pregunta de la reina Elizabeth II a los economistas durante una visita a la London School of Economics a fines de 2008. Cuatro años después, la reiterada incapacidad de los analistas para predecir la profundidad y duración de la crisis hubiese dado lugar a otra pregunta de la reina: ¿por qué se sobreestima la recuperación?

Consideremos los hechos. En su pronóstico de 2011, el Fondo Monetario Internacional predijo que la economía europea crecería el 2,1 % en 2012. De hecho, parece más que probable que este año se reduzca el 0,2 %. En el Reino Unido, el pronóstico de 2010 de la Oficina para la Responsabilidad Presupuestaria (ORP) proyectó un crecimiento del 2,6 % en 2011 y del 2,8 % en 2012; de hecho, la economía del RU creció el 0,9 % en 2011 y se mantendrá sin cambios en 2012. La última previsión de la OCDE para el PBI de la zona del euro en 2012 es el 2,3 % menor que la de 2010.

De igual modo, el FMI predice actualmente que tamaño de la economía europea en 2015 será el 7,8 % menor de lo que había estimado dos años atrás. Algunos analistas son más pesimistas que otros (la ORP, en particular, muestra una predisposición alegre), pero parece que ninguno ha sido lo suficientemente pesimista.

Las proyecciones económicas son necesariamente imprecisas: demasiadas cosas tienen lugar como para que los analistas puedan preverlas todas. Entonces, la intuición y las opiniones personales se convierten en parte inevitable de los análisis económicos «científicos».

Pero una cosa es la imprecisión y otra muy diferente es la sobreestimación sistemática de la recuperación económica europea. De hecho, los números fueron revisados reiteradamente, incluso en períodos muy breves, lo que arroja fuertes dudas sobre la validez de los modelos económicos que se utilizan. Estos modelos, y las instituciones que los usan, incorporan teorías sobre la economía que les permiten «suponer» ciertas relaciones. Entre estos supuestos debe encontrarse la fuente de los errores.

Se destacan dos errores clave. Los modelos utilizados por todas las organizaciones de análisis subestimaron dramáticamente el multiplicador fiscal: el impacto de los cambios en el gasto gubernamental sobre el producto. En segundo lugar, sobrestimaron el grado en el que la flexibilización cuantitativa (FC) por parte de las autoridades monetarias –esto es, la impresión de dinero– podía servir de contrapeso al ajuste fiscal.

Hasta hace poco, la ORP, en términos generales alineada con el FMI, suponía un multiplicador fiscal de 0,6: por cada recorte de 1 dólar en el gasto gubernamental, la economía se reduciría solo 60 centavos. Esto supone una «equivalencia ricardiana»: el gasto público financiado con deuda desplaza al menos en parte al gasto privado a través de su impacto sobre las expectativas y la confianza. Si los hogares y las empresas anticipan aumentos impositivos en el futuro como resultado del endeudamiento gubernamental actual, reducirán su consumo e inversión en forma acorde.

Según esta visión, si la austeridad fiscal libera a los hogares de la carga de futuros aumentos en los impuestos, estos aumentarán su gasto. Esto puede ser cierto cuando la economía funciona en pleno empleo –cuando el estado compite con los mercados por cada uno de los recursos. Pero cuando hay capacidad excedente en la economía, puede ocurrir que los recursos «liberados» por la reducción del sector público simplemente sean malgastados.

Las organizaciones dedicadas al análisis están admitiendo finalmente que subestimaron el multiplicador fiscal. La ORP, en una revisión de sus errores recientes, aceptó que «el multiplicador [fiscal] promedio durante los dos últimos años tendría que haber sido de 1,3 –más del doble del estimado por nosotros– para explicar completamente el débil nivel del PBI en 2011-12». El FMI aceptó que los «multiplicadores se han mantenido entre 0,9 y 1,7 desde la Gran Recesión». El efecto de subestimar al multiplicador fiscal ha sido un error sistemático en el cálculo del daño que la «consolidación fiscal» hace a la economía.

Esto nos lleva al segundo error. Los analistas supusieron que la expansión monetaria brindaría un antídoto eficaz a la contracción fiscal. El Banco de Inglaterra esperaba que mediante la emisión de £375 mil millones ($600 mil millones) estimularía el gasto total en £50 mil millones, o el 3 % del PBI.

Pero la evidencia resultante de sucesivas rondas de FC en el RU y los EE. UU. sugiere que, si bien logró reducir el rendimiento de los bonos, el dinero extra fue retenido en gran medida por el sistema bancario y nunca llegó a la economía real. Esto implica que el problema ha sido principalmente la falta de demanda de crédito: renuencia por parte de las empresas y los hogares a pedir prestado en casi cualquier condición en un mercado estancado.

Estos dos errores se exacerban entre sí: Si el impacto negativo de la austeridad sobre el crecimiento económico es mayor que el previsto originalmente y el impacto positivo de la flexibilización cuantitativa es más débil, entonces la combinación de políticas favorecida por prácticamente todos los gobiernos europeos ha estado tremendamente equivocada. Hay muchas más posibilidades de que el estímulo fiscal impulse el crecimiento y muchas menos para los estímulos monetarios.

Todo esto es bastante técnico, pero muy importante para el bienestar de la población. Todos estos modelos suponen resultados con base en las políticas existentes. Su sostenido exceso de optimismo respecto del impacto de las políticas sobre el crecimiento económico valida su implementación y permite a los gobiernos afirmar que sus remedios están «funcionando», cuando claramente no es el caso.

Esta es una decepción cruel. Pero antes de poder mejorar las cosas, los analistas deben volver al tablero de diseño y preguntarse a sí mismos si las teorías económicas que apuntalan sus modelos son las correctas.

Traducción al español por Leopoldo Gurman.

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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.

    1. 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. 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.

    1. 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.

  4. 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?

  5. 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.

    1. 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

      .

    2. 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.

  6. 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!

  7. 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.

  8. 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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