Kako rekonstruirati sodobno makroekonomijo?

London School of Economics je pred časom imel diskusijo na visoki akademski ravni o tem, kako rekonstruirati makroekonomijo. Tukaj je transcript (Brad DeLong), tukaj pa video. Vprašanje se je večinoma vrtelo okrog tega nesrečnega neokeynesianskega dinamičnega stohastičnega modela splošnega ravnotežja (DSGE), ki je (neo)keynesianski samo po imenu (v bistvu je neoklasični RBC model z rigidnimi cenami, in slednje je vse, kar ima skupnega s keynesianskim). DSGE modeli so akademske igračke, ki temeljijo na pravljičnih predpostavkah racionalnih pričakovanj, racionalnih reprezentativnih agentov, ki medčasovno optimizirajo potrošnjo in varčevanje na podlagi obrestne mere, ki se po eksternem šoku prevalijo iz enega splošnega ravnotežja v drugega itd. In ki jih ne morete uporabiti niti za sajenje koruze, še najmanj pa za napovedovanje ekonomskih kazalcev ali česarkoli drugega. Ker tega pač, milo rečeno, ne počnejo prav uspešno – glejte tukaj, in predvsem paper Edge & Gurkaynak (2010).

Larry Summers se je na začetku debate pohecal, da ne more biti a priori proti DSGE modelom, kajti z imenom so si ti modeli rezervirali oziroma uzurpirali širok spekter oziroma skorajda večino smiselnega prostora. Namreč, kaj pa je lahko nasprotje “dinamičnega stohastičnega modela splošnega ravnotežja“? To je lahko le “stacionarni gotovi model parcialnega neravnotežja“. Takšen pa naš svet prav gotovo ni. Kar pa seveda niti slučajno ne pomeni, da DSGE modeli zaradi imena, ki so jim ga nadeli njihovi alkimisti, kakorkoli objektivno predstavljajo ekonomsko realnost tega sveta.

Olivier Blanchard je bil bolj resen, rekoč, da bomo na dodiplomski ravni še naprej študente učili makroekonomije na podlagi Hicks-Meadovega IS-LM modela, medtem ko naj bi na doktorski ravni uporabljali DSGE modele … ehm, ko bi jih naredili bolj realistične, denimo z vpeljavo financ in likvidnosti. Takrat naj bi bili ti modeli sposobni povedati bolj preprosto in prepričljivo zgodbo o tem, kako ekonomija deluje, česar zdaj ne zmorejo.

No, Robert Waldmann se je pohecal iz obeh, predvsem pa iz Blancharda, ki propagira DSGE modele, čeprav temeljijo na nerealističnih predpostavkah, čeprav v njih ni nobene intuicije in čeprav nihče ne razume, kaj se v njih dogaja, preden “izpljunejo” rezultate simulacij.

Larry Summers opened with a joke

Larry Summers: You know I was tempted to blast off at Dynamic-Stochastic General-Equilibrium models. That is, actually, my inclination. But on the other hand it occurred to me to ask the question: “What wouldn’t be a Dynamic-Stochastic General-Equilibrium model?” That would be a Static-Certain Partial-Equilibrium model. It is hard to see how that represent any kind of an improvement. So I can’t be against DSGE on principle.

I have a sense of humor, but I am going to suppress it and pretend to take the joking answer literally. I note that the diametric opposite of a Dynamic-Stochastic General-Equilibrium model would be a Static-Certain Partial-Disequilibrium model. Even in jest, even Summers has trouble separating the concepts of model and equilibrium — which in context means Nash equilibrium. Also the joke is a joke, a Dynamic-stochastic-partial equilibrium model is not a Dynamic-Stochastic General-Equilibrium model.

It is also easy to answer the question, because there are models older than any DSGE model — Summers can propose we go back to using those models. For one thing, he clearly does use those models (as do DeLong and Krugman). They weren’t equilibrium models.

Bernanke and Blanchard (who have made huge contributions to Reconstructing Macroeconomics) assume in their answers that they are required to start with a standard new Keynesian DSGE model and modify it to reconcile it with reality.

Blanchard said

Suppose you are writing two textbooks, one undergrad, one grad. In the undergraduate textbook, it seems to me that when teaching the IS-LM, [skip]

At the graduate level, we now have this explosion of DSGE models which put one friction and another into the model. Again, targeting pedagogy, it seems to me that there are two mechanisms which are central. The first is leverage, which starting with Ben [Bernanke’s] work and earlier work we have, I think we know how to deal with it. The second is liquidity. And I think there we are much less far along the way. Again, I am hoping that someday we will put it together and have a simple way of thinking about leverage and a simple way of thinking about liquidity. These two things will come into our New Keynesian model, and we will be able to tell a simple story. We are at the stage at which the DSGE models have much too much in them to be fully understood.

Blanchard is not joking. He takes it as a given that the IS-LM model is for undergraduates and that graduate teaching and research should be based on new Keynesian DSGE models. He also notes a problem — current DSGE models do not clarify thought, because we don’t understand what is going on in the computer as it simulates them. He neglects another problem — DSGE models are based on extremely strong assumptions (including rational expectations but also including say the assumption that there is no housing sector or inventories) which we are all sure aren’t literally true. The only defense of the approach is that we should think about simple things which we understand which might give us insights into the much more complex real world. I find it hard to accept the assumption that macroeconmics must be based on incomprehensible models which fundamentally rely on assumptions we are sure are false in ways which seem to have been critically important and which yield, at best, mediocre forecasts.

Vir: Robert Waldmann

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