Beaudry, Galizia & Portier se že nekaj časa ukvarjajo z raziskovanjem stabilnosti gospodarstva (glejte tukaj njihov lanski članek v Vox). V zadnjem članku, ki so ga prejšnji teden predstavili na NBER konferenci, dokazujejo, da krize ne pridejo zaradi zunanjih šokov, pač pa da je gospodarstvo inherentno nestabilno. Dokazujejo, da ima gospodarstvo endogeno vgrajeno cikličnost, ki izhaja iz povsem racionalnih posamičnih odločitev, ki pa v masovni dinamiki vodijo v družbeno “drage” konjunkture in padce.
Zakaj je to pomembno? Če bi bilo gospodarstvo inherentno stabilno okrog ravnotežne (steady-state) situacije, pri čemer bi odmike od ravnotežja, kot predvideva standardna makroekonomija, ustvarjalo zgolj počasno prilagajanje plač in cen zunanjim šokom, bi bila povsem dovolj monetarna politika za glajenje teh ciklov. Toda če je gospodarstvo inherentno nestabilno z vgrajeno 7 do 10-letno ciklično dinamiko, potem monetarna politika ne more učinkovito zmanjševati stroškov takšnih makro oscilacij. Pač pa so potrebne politike, ki spreminjajo spodbude subjektov za njihove odločitve oziroma ki spreminjajo njihovo obnašanje.
Nekaj poudarkov iz zadnjega članka:
There are two polar views about the functioning of a market economy. On the one hand, there is the view that such a system is inherently stable, with market forces tending to direct the economy towards a smooth growth path. According to this belief, most of the fluctuations in the macroeconomy result either from individually optimal adjustments to changes in the environment or from improper government interventions, with market forces acting to prevent the economy from being unstable. On the other hand, there is the view that the market economy is inherently unstable, and that left to itself it will repeatedly go through periods of socially costly booms and busts. According to this view, macroeconomic policy is needed to help stabilize an unruly system.
Most modern macroeconomic models, such as those used by large central banks and governments, are somewhere in between these two extremes. However, they are by design generally much closer to the first view than the second. In fact, most commonly used macroeconomic models have the feature that, in the absence of outside disturbances, the economy is expected to converge to a stable path. In this sense, these models are based on the premise that a decentralized economy is both a globally and locally stable system, and that market forces, in and of themselves, do not tend to produce booms and busts. The only reason why we see economic cycles in most mainstream macroeconomic models is due to outside forces that perturb an otherwise stable system. While such a framework is very tractable and flexible, the ubiquitous and recurrent feature of cycles in most market economies requires one to repeatedly ask whether the market economy, by its very nature, may be inherently non-stable and create recurrent booms and busts, with a bust sowing the seeds of the next boom.
There are at least two reasons why much of the macroeconomic profession adheres to the idea that the market economy is best described as a system with a unique stable steady state, where fluctuations are generated only by exogenous shocks. First, the majority of modern macroeconomic models based on optimizing behavior support the view of such a stable economic system. Second, when looking at the time series behavior of many labor market variables (such as the employment rate, the unemployment rate, or the job finding rate), the estimated impulse response functions indicate that these variables respond to shocks in a manner suggestive of a stable system. For example, if one estimates a simple AR model for labor market variables, the roots of the system are generally well below one, which is consistent with the view that the system is stable.
In this paper, we question this consensus. We begin by arguing that the local stability of the the macroeconomic system should not be evaluated using linear time series methods, even if nonlinearities are thought to be very minor and only relevant rather far away from the steady state. Instead, we show why it is essential to allow for the possibility of nonlinearities (even if these may be very small) when exploring whether a dynamic system is locally stable. We then derive a simple class of time series models which we use to explore the stability properties of a number of macroeconomic aggregates. Using the results, we discuss why local instability should be treated as a relevant theoretical possibility when thinking about macroeconomic dynamics.
The main body of the text focuses on estimating the inherent dynamics of labor market variables and other macroeconomic aggregates. As we show, when we allow for simple nonlinearities in estimation, we generally find that this significantly changes the local properties of the system; in particular, it often switches from being locally stable when the nonlinear terms are excluded to being locally unstable when they are included. Note that our evaluation of local stability properties generally only depends on coefficients on linear terms. Hence, when we find that including nonlinear terms causes the system to switch from being locally stable to locally unstable, it is in fact because the inclusion of those nonlinear terms changes the estimates of the linear terms.
After establishing that the macroeconomic system may be locally unstable, we then turn to examining the nature of the implied dynamics. This can be done by looking at how the system, with its stochastic elements turned off, evolves when it starts away from the steady state. If the steady state is unique and locally unstable, the system will not converge to a point.4 Instead, in such a case there are three possible outcomes. One is that the system is globally unstable; that is, that the system will explode outward until it hits the economy’s underlying capacity or non-negativity constraints. This is very unlikely to be the case for labor market variables, since it would imply for example that we should see the unemployment rate approaching either 100% or 0%.
This leaves two remaining possibilities, both involving endogenous The first of these is that the system may converge to a limit cycle; that is, the system settles into a recurrent pattern of booms and busts. The second possibility is that the system exhibits chaotic dynamics; that is, the system exhibits seemingly random non-recurrent fluctuations (despite being fully deterministic). As we shall show, when we find that the system exhibits local instability, we generally find that that there is a unique steady state and that the (non-stochastic) dynamics converge to a limit cycle. In this sense, our results suggest that a significant part of macroeconomic may reflect forces that create endogenous boom-and-bust phenomena, and therefore that shocks may not be the principal cause of business cycle fluctuations as they are typically assumed to be, instead largely playing the role of rendering the business cycle irregular and hard to predict.
In the last section of the paper we discuss why our findings may be relevant for policy. In particular, we explore how the effects of stabilization policy may change in the presence of local instability and limit cycles. For example, we show that reducing the impact of shocks on the economy may not always help stabilize the system in such cases, and in particular it may only change the frequency of fluctuations without necessarily decreasing their overall amplitude.