jueves, agosto 13, 2009


Me ha ocurrido alguna vez que me paso un rato hablando de Lucas hasta que por la mirada espantada de mi interlocutor me doy cuenta de que él tiene a otro Lucas en mente. Empezaré diciendo que cuando yo me refiero a Lucas no suelo estar hablando del pato ni del creador de Chewbacca. Es más probable que esté aludiendo al profesor de Economía de Chicago y premio Nóbel de 1995.

Su aplicación de las expectativas racionales en modelos macroeconómicos da lugar a sorprendentes resultados de inefectividad o incluso de resultados adversos de las medidas de política macroeconómica. Estos resultados no gustan a los que gustan de intervenir en todo momento y lugar y siempre sospechan de los individuos y los mercados. En consecuencia, este hombre se ha ganado unas cuantas enemistades y muchas críticas bastante poco fundadas. De hecho, en mi circulo de amistades se considera una debilidad moral dar valor al trabajo de este economista y "escuela de Chicago" o "chicagoboy" se usa como un insulto.

Al final, el modelo de las expectativas racionales dice algo muy simple pero tremendamente importante: si la gente puede darse cuenta de los efectos de una política los tendrá en cuenta en sus decisiones y esas decisiones pueden modificar los efectos de la política. Esto es particularmente intuitivo si la política va a tener efectos negativos para el consumidor. Es razonable que si tiene algún medio para evitar estos efectos lo pongan en práctica y que esa reacción contra la política dé lugar a efectos distintos a los que tendría si el consumidor tuviese una actitud pasiva.

Es algo así como darle el tirón a un viandante. Es muy probable que puedas huir corriendo despues porque lo has pillado por sorpresa. Pero no esperes pillarlo por sorpresa una segunda vez e irte de rositas. La segunda vez es problable que te rompa la crisma en cuanto te acerques y, haciendo lo mismo, no logres el mismo objetivo que cuando lo pillaste desprevenido.

El caso es que es probable que dependiendo del momento, del lugar y de las circunstancias la economía se comporta como el viandante descuidado o como el viandante avisado. Por otra parte, el grado en que la economía se comporta como el viandante descuidado o el avisado puede ser analizado empíricamente porque ambas actitudes generan efectos observables distintos.

¿Cómo he acabado hablando de Lucas (el economista) hoy? Todo empezó a medidados de julio. Mi semanario de cabecera, The Economist, publicó un artículo mesurado pero bastante crítico sobre el papel del conocimiento económico en la actual crisis financiera internacional. En este artículo se reconocía la fortaleza adquirida por el conocimiento económico pero se les daba mucha cancha a voces críticas. La mayor sorpresa para mí fue que esta semana las cartas al director recogían solamente las opiniones de personas muy críticas con la corriente principal de análisis económico y sobre todo con la modelización y el análisis cuantitativo. La verdad es que era sorprendente que The Economist sólo recibiese cartas en esa dirección. Sin embargo, la razón por la que publicaban sólo estas cartas es que le habían pedido a Robert Lucas que diese su opinión
en la mítica sección de Economic Focus sobre el artículo publicado en la edición del 18 de Julio . Este es el magnífico artículo de Lucas.

El artículo de The Economist peca de un defecto muy generalizado entre los economistas críticos: luchan contra un enemigo complejo, es decir, mitad real y mitad imaginario. Una parte relevante de las críticas giran sobre aspectos tangenciales de la disciplina. Por ejemplo, se puede escuchar que los individuos no son tan listos y, por tanto, el modelo de expectativas racionales no es relevante. Sin embargo, el argumento se le puede dar la vuelta y decir que los individuos no son tan tontos como implicitamente asumen algunos modelos. Al final, el modelo sólo hace una predicción bajo la hipótesis de expectativas racionales que debe ser contrastada con la realidad. El grado de sofisticación de las expectativas individuales no es un acto de fé sino un supuesto con implicaciones contrastables.

Economics focus

In defence of the dismal science
Aug 6th 2009
From The Economist print edition

In a guest article, Robert Lucas, the John Dewey Distinguished Service Professor of Economics at the University of Chicago, rebuts criticisms that the financial crisis represents a failure of economics

THERE is widespread disappointment with economists now because we did not forecast or prevent the financial crisis of 2008. The Economist’s articles of July 18th on the state of economics were an interesting attempt to take stock of two fields, macroeconomics and financial economics, but both pieces were dominated by the views of people who have seized on the crisis as an opportunity to restate criticisms they had voiced long before 2008. Macroeconomists in particular were caricatured as a lost generation educated in the use of valueless, even harmful, mathematical models, an education that made them incapable of conducting sensible economic policy. I think this caricature is nonsense and of no value in thinking about the larger questions: What can the public reasonably expect of specialists in these areas, and how well has it been served by them in the current crisis?

One thing we are not going to have, now or ever, is a set of models that forecasts sudden falls in the value of financial assets, like the declines that followed the failure of Lehman Brothers in September. This is nothing new. It has been known for more than 40 years and is one of the main implications of Eugene Fama’s “efficient-market hypothesis” (EMH), which states that the price of a financial asset reflects all relevant, generally available information. If an economist had a formula that could reliably forecast crises a week in advance, say, then that formula would become part of generally available information and prices would fall a week earlier. (The term “efficient” as used here means that individuals use information in their own private interest. It has nothing to do with socially desirable pricing; people often confuse the two.)

Mr Fama arrived at the EMH through some simple theoretical examples. This simplicity was criticised in The Economist’s briefing, as though the EMH applied only to these hypothetical cases. But Mr Fama tested the predictions of the EMH on the behaviour of actual prices. These tests could have come out either way, but they came out very favourably. His empirical work was novel and carefully executed. It has been thoroughly challenged by a flood of criticism which has served mainly to confirm the accuracy of the hypothesis. Over the years exceptions and “anomalies” have been discovered (even tiny departures are interesting if you are managing enough money) but for the purposes of macroeconomic analysis and forecasting these departures are too small to matter. The main lesson we should take away from the EMH for policymaking purposes is the futility of trying to deal with crises and recessions by finding central bankers and regulators who can identify and puncture bubbles. If these people exist, we will not be able to afford them.

The Economist’s briefing also cited as an example of macroeconomic failure the “reassuring” simulations that Frederic Mishkin, then a governor of the Federal Reserve, presented in the summer of 2007. The charge is that the Fed’s FRB/US forecasting model failed to predict the events of September 2008. Yet the simulations were not presented as assurance that no crisis would occur, but as a forecast of what could be expected conditional on a crisis not occurring. Until the Lehman failure the recession was pretty typical of the modest downturns of the post-war period. There was a recession under way, led by the decline in housing construction. Mr Mishkin’s forecast was a reasonable estimate of what would have followed if the housing decline had continued to be the only or the main factor involved in the economic downturn. After the Lehman bankruptcy, too, models very like the one Mr Mishkin had used, combined with new information, gave what turned out to be very accurate estimates of the private-spending reductions that ensued over the next two quarters. When Ben Bernanke, the chairman of the Fed, warned Hank Paulson, the then treasury secretary, of the economic danger facing America immediately after Lehman’s failure, he knew what he was talking about.

Mr Mishkin recognised the potential for a financial crisis in 2007, of course. Mr Bernanke certainly did as well. But recommending pre-emptive monetary policies on the scale of the policies that were applied later on would have been like turning abruptly off the road because of the potential for someone suddenly to swerve head-on into your lane. The best and only realistic thing you can do in this context is to keep your eyes open and hope for the best.

After Lehman collapsed and the potential for crisis had become a reality, the situation was completely altered. The interest on Treasury bills was close to zero, and those who viewed interest-rate reductions as the only stimulus available to the Fed thought that monetary policy was now exhausted. But Mr Bernanke immediately switched gears, began pumping cash into the banking system, and convinced the Treasury to do the same. Commercial-bank reserves grew from $50 billion at the time of the Lehman failure to something like $800 billion by the end of the year. The injection of Troubled Asset Relief Programme funds added more money to the financial system.

There is understandable controversy about many aspects of these actions but they had the great advantages of speed and reversibility. My own view, as expressed elsewhere, is that these policies were central to relieving a fear-driven rush to liquidity and so alleviating (if only partially) the perceived need for consumers and businesses to reduce spending. The recession is now under control and no responsible forecasters see anything remotely like the 1929-33 contraction in America on the horizon. This outcome did not have to happen, but it did.

Both Mr Bernanke and Mr Mishkin are in the mainstream of what one critic cited in The Economist’s briefing calls a “Dark Age of macroeconomics”. They are exponents and creative builders of dynamic models and have taught these “spectacularly useless” tools, directly and through textbooks that have become industry standards, to generations of students. Over the past two years they (and many other accomplished macroeconomists) have been centrally involved in responding to the most difficult American economic crisis since the 1930s. They have forecasted what can be forecast and formulated contingency plans ready for use when unforeseeable shocks occurred. They and their colleagues have drawn on recently developed theoretical models when they judged them to have something to contribute. They have drawn on the ideas and research of Keynes from the 1930s, of Friedman and Schwartz in the 1960s, and of many others. I simply see no connection between the reality of the macroeconomics that these people represent and the caricature provided by the critics whose views dominated The Economist’s briefing.

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