Model globalne sekularne stagnacije in vloga javnih izdatkov

Odkar ga je novembra 2013 Larry Summers potegnil iz naftalina, je sekularna stagnacija postala ključen koncept za razumevanje sedanjega stanja globalne ekonomije. Nas čaka zelo dolgo obdobje ničelnih obrestnih mer in japonsko nizke gospodarske rasti? Nas čakajo dolga “izgubljena desetletja”, desetletja izgubljene rasti? Vprašanje je bilo le, ali je to stanje morbidne stagnacije na meji med življenjem in smrtjo omejeno zgolj na razvite države ali pa je tudi globalne narave.

No, Caballero, Farhi & Gourinchas, trije ekonomisti iz MIT, Harvarda in Berkleya so že leta 2008 pokazali, da je padanje obrestnih mer posledica povečevanja globalnih trgovinskih neravnotežij, kjer države z izvoznimi presežki v iskanju varnih naložb izvažajo kapital in tako potiskajo obrestne mere navzdol. Zdaj so spet združili moči in oblikovali model (glejte razlago tukaj), s katerim pojasnjujejo, zakaj je do tega stanja ničelnih obrestnih mer in dolgoročne stagnacije prišlo in zakaj je to stanje globalno. Osnovna ideja modela je, da kadar obrestne mere padejo na ničlo, slednje ne morejo več delovati za uravnoteženje med presežnim povpraševanjem po varnih sredstvih in njihovo ponudbo. To vlogo prevzame output, od tukaj naprej se navzdol prilagajajo BDP-ji (gospodarska rast limitira k ničli), s čimer se povpraševanje po sredstvih zmanjšuje hitreje od njihove ponudbe. Stanje likvidnostne pasti je normalna posledica in države ena drugo potiskajo v to. Njihov model je v strukturi (overlapping generations, nericardijanska fiskalna politika) in po implikacijah dokaj podoben modelu Eggertssona & Mehrotre “A Model of Secular Stagnation”.

Kje je rešitev? Ena izmed možnosti je, da države prilagajo (devalvirajo) menjalne tečaje in s tem povečujejo konkurenčnost svojega izvoza na račun drugih. Toda to je igra z ničelno vsoto (zero-sum game), saj dobimo valutne vojne in kar je svet že doživel v 1930-ih. Ni se dobro končalo. Druga možnost je, da države individualno znižujejo cene in plače, da bi povečale svojo konkurenčnost, toda to je samo druga pojavna oblika istega mehanizma “siromašenja sosedov“. Glede globalnih posledic je vseeno, ali država prilagaja tečaj ali pa cene in plače. Kratkoročno posamezna država lahko povečuje svojo konkurenčnost z zniževanjem plač ali cen in malenkost ublaži lastno recesijo, toda s tem izvaža recesijo v svet. Tudi to je igra z ničelno vsoto.

Kot pokažejo Caballero, Farhi & Gourinchas, le dolg ni igra z ničelno vsoto in ima multiplikativne učinke. Ali drugače rečeno, bodisi financiranje s povečanim dolgom bodisi povečanje javnih izdatkov z uravnoteženim proračunom zmanjšuje primanjkljaj sredstev na trgu in zmanjšuje globalno likvidnostno past, hkrati pa prek multiplikativnih učinkov spodbuja gospodarsko rast. S tem pa se sklepi modela Caballera, Farhija & Gourinchasa približajo priporočilom Larryja Summersa, ki že nekaj časa govori (kot sem na tem blogu že pisal), da danes ni problem preveč, pač pa premalo dolga. Države bi morale izdati več dolga, več “varnih sredstev”, s čimer bi se – s produktivno uporabljenim zadolževanjem za infrastrukturne projekte – tudi dvignila gospodarska rast ter inflacija in obrestne mere. Izhod iz pogrezanja v dolgoročno brezno stagnacije je začasno močno povečanje javnega dolga z namenom povečanja javnih izdatkov. In s tem smo seveda spet nazaj pri Keynesu iz leta 1936.

Slednje je sicer nekaj, ob čemer desničarski politiki in poslovni časniki ponorijo. Toda ne pozabite, da nas je njihovo malikovanje trga, zniževanja plač in socialne države ter prostega pretoka kapitala spravilo v te težave, danes nam pa njihovo propagiranje “majhne države” preprečuje izhod iz krize.

In Caballero et al. (2008a,b), we argued that the (so called) ‘global imbalances’ of the late 1990s and early 2000s (Figure 1) were primarily the result of the great diversity in the ability to produce safe stores of value around the world, and of the mismatch between this ability and the local demands for these assets. In particular, we highlighted the US as the main producer of (safe) assets, and China, oil-producing economies (especially the Middle East) and Japan as the main sources of demand for these stores of value. The growing global shortage of safe assets imparted a strong downward secular trend to world real (safe) interest rates for more than two decades. Capital flows acted as the propagating mechanism by which the asset-scarce regions dragged asset-rich regions’ interest rates down.

Figure 1. Global imbalances

In Caballero et al. (2015) we address this question systematically, with a simple and tractable framework. We ask: How do liquidity traps spread across the world? What is the role played by capital flows and exchange rates in this process? What are the costs of being a reserve currency in a global liquidity trap? How do differential inflation targets and the degree of price rigidity influence the distribution of the impact of a global liquidity trap? What is the role of (safe) public debt and government spending in this environment?

The main contribution of our recent work is to provide a simultaneous and coherent answer to these questions. In our model, once real interest rates cannot play their equilibrium role any longer, global output becomes the active margin: lower global output – by reducing income and therefore asset demand more than asset supply – rebalances global asset markets. In this world, liquidity traps emerge naturally and countries drag each other into them.

As usual, inflation is important because higher expected inflation reduces the impact of the (nominal) ZLB constraint. Beyond this, we show that unlike the all-or-none result of the benchmark model with fully rigid prices, it is possible for some regions of the world to escape the liquidity trap if their inflation targets are sufficiently high. We also show that wage flexibility plays out differently across countries and at the global level. In a global liquidity trap, inflation rates are equated across countries, so as to equate real interest rates. It follows that countries with more downward price flexibility bear a smaller share of the global recession. At the global level, however, more downward price flexibility tends to increase global real interest rates, pushing the global economy further into recession.

Our model is non-Ricardian, which gives a role to debt policy. Both issuing additional debt or a balance budget increase in government spending can potentially address the net shortage of assets and stimulate the economy in all countries, alleviating a global liquidity trap. They are associated with large Keynesian multipliers, which exceed one in the case of government spending. They also worsen the current account and net foreign asset position of the country undertaking the policy stimulus.

World interest rates and global imbalances go hand in hand: countries with large safe asset shortages run current account surpluses and drag the world interest rate down. Once at the ZLB, the global asset market is in disequilibrium: there is a global safe asset shortage that cannot be resolved by lower world interest rates. It is instead dissipated by a world recession, which is propagated by global imbalances: surplus countries push world output down, exerting a negative externality on the world economy. Economic policy enters a regime of increased interdependence across the world, with either negative or positive spillovers depending on the policy instrument. Exchange rate policy becomes a zero-sum game of currency wars where each country seeks to depreciate its exchange rate to stimulate its economy, at the expense of other countries. In contrast, safe public debt issuances and increases in government spending are positive-sum and benefit other countries beyond the frontier of the issuer.

Unfortunately, this state of affairs is not likely to go away any time soon. In particular, there are no good substitutes in sight for the role played by US Treasuries in satisfying global safe asset demand. With a mature US growing at rates lower than those of safe asset demander countries (as highlighted by The Economist in October 2015), its debt and currency are likely to remain under upward pressure, dragging down (safe) interest rates and inflation, and therefore keeping the world economy (too) near the dangerous ZLB zone.

While we are at the early stages of experimentation with negative policy rates, it is highly unlikely that the space in this direction is large enough to make a first-order difference to the ZLB logic. Moreover, there is nothing magic about ‘zero’ interest rates per se, as the mechanism carries more broadly to scenarios where interest rates have limited space to be the main equilibrating variable.

Vir: Caballero, Farhi & Gourinchas (2015), VoxEU

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