反思宏观经济政策

I M F S T A F F P O S I T I O N N O T E February 12, 2010 SPN/10/03 Rethinking Macroeconomic Policy Olivier Blanchard, Giovanni Dell’Ariccia, and Paolo Mauro I N T E R N A T I O N A L M O N E T A R Y F U N D INTERNATIONAL MONETARY FUND Research Department Rethinking Macroeconomic Policy1 Prepared by Olivier Blanchard, Giovanni Dell’Ariccia, and Paolo Mauro Authorized for Distribution by Olivier Blanchard February 12, 2010 Disclaimer: The views expressed herein are those of the authors and should not be attributed to the IMF, its Executive Board, or its management. The great moderation lulled macroeconomists and policymakers alike in the belief that we knew how to conduct macroeconomic policy. The crisis clearly forces us to question that assessment. In this paper, we review the main elements of the pre-crisis consensus, we identify where we were wrong and what tenets of the pre-crisis framework still hold, and take a tentative first pass at the contours of a new macroeconomic policy framework. JEL Classification Numbers: E44, E52, E58, G38, H50 Keywords: Macroeconomic policy, macroprudential regulation, inflation targets, automatic stabilizers Authors’ Email Addresses: oblanchard@imf.org ; gdellariccia@imf.org ; pmauro@imf.org 1 One of the series of “Seoul papers” on current macro and financial issues. Olivier Blanchard is the IMF’s Economic Counsellor and Director of the Research Department; Giovanni Dell’Ariccia is an Advisor in the Research Department; Paolo Mauro is a Division Chief in the Fiscal Affairs Department. Helpful inputs from Mark Stone, Stephanie Eble, Aditya Narain, and Cemile Sancak are gratefully acknowledged. We thank Tam Bayoumi, Stijn Claessens, Charles Collyns, Stanley Fischer, Takatoshi Ito, Jean Pierre Landau, John Lipsky, Jonathan Ostry, David Romer, Robert Solow, Antonio Spilimbergo, Rodrigo Valdes, and Atchana Waiquamdee for their comments. 2 Contents Page I. Introduction ............................................................................................................................3 II. What We Thought We Knew ................................................................................................3 A. One Target: Stable Inflation......................................................................................3 B. Low Inflation.............................................................................................................4 C. One Instrument: The Policy Rate ..............................................................................5 D. A Limited Role for Fiscal Policy ..............................................................................5 E. Financial Regulation: Not a Macroeconomic Policy Tool ........................................6 F. The Great Moderation................................................................................................7 III. What We Have Learned from the Crisis..............................................................................7 A. Stable Inflation May Be Necessary, but Is Not Sufficient........................................7 B. Low Inflation Limits the Scope of Monetary Policy in Deflationary Recessions ....8 C. Financial Intermediation Matters ..............................................................................8 D. Countercyclical Fiscal Policy Is an Important Tool..................................................9 E. Regulation Is Not Macroeconomically Neutral.........................................................9 F. Reinterpreting the Great Moderation.......................................................................10 IV. Implications for the Design of Policy................................................................................10 A. Should the Inflation Target Be Raised? ..................................................................10 B. Combining Monetary and Regulatory Policy..........................................................11 C. Inflation Targeting and Foreign Exchange Intervention .........................................13 D. Providing Liquidity More Broadly .........................................................................14 E. Creating More Fiscal Space in Good Times............................................................14 F. Designing Better Automatic Fiscal Stabilizers........................................................15 V. Conclusions.........................................................................................................................16 References……………………………………………………………………………………17 3 I. INTRODUCTION It was tempting for macroeconomists and policymakers alike to take much of the credit for the steady decrease in cyclical fluctuations from the early 1980s on and to conclude that we knew how to conduct macroeconomic policy. We did not resist temptation. The crisis clearly forces us to question our earlier assessment. This is what this paper tries to do. It proceeds in three steps. The first reviews what we thought we knew. The second identifies where we were wrong. The third, and the most tentative of the three, takes a first pass at the contours of a new macroeconomic policy framework. A caveat before we start: the paper focuses on general principles. How to translate these principles into specific policy advice tailored to advanced economies, emerging market countries, and developing countries is left for later. The paper also mostly stays away from some of the larger issues raised by the crisis, from the organization of the international monetary system to the general structure of financial regulation and supervision, touching on those issues only to the extent that they relate directly to the issue at hand. II. WHAT WE THOUGHT WE KNEW To caricature (we shall give a more nuanced picture below): we thought of monetary policy as having one target, inflation, and one instrument, the policy rate. So long as inflation was stable, the output gap was likely to be small and stable and monetary policy did its job. We thought of fiscal policy as playing a secondary role, with political constraints sharply limiting its de facto usefulness. And we thought of financial regulation as mostly outside the macroeconomic policy framework. Admittedly, these views were more closely held in academia: policymakers were often more pragmatic. Nevertheless, the prevailing consensus played an important role in shaping policies and the design of institutions. We amplify and modulate these points in turn. A. One Target: Stable Inflation Stable and low inflation was presented as the primary, if not exclusive, mandate of central banks. This was the result of a coincidence between the reputational need of central bankers to focus on inflation rather than activity (and their desire, at the start of the period, to decrease inflation from the high levels of the 1970s) and the intellectual support for inflation targeting provided by the New Keynesian model. In the benchmark version of that model, constant inflation is indeed the optimal policy, delivering a zero output gap (defined as the distance from the level of output that would prevail in the absence of nominal rigidities), which turns out to be the best possible outcome for activity given the imperfections present in the economy.2 2 Blanchard and Galí (2007). Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 4 This divine coincidence (as it has been called) implied that, even if policymakers cared very much about activity, the best they could do was to maintain stable inflation. This applied whether the economy was affected by “animal spirits” or other shocks to consumer preferences, technology shocks, or even changes in the price of oil. The coincidence failed in the presence of further imperfections, further deviations from the benchmark, but the message remained: stable inflation is good in itself and good for economic activity. In practice, the rhetoric exceeded the reality. Few central banks, if any, cared only about inflation. Most of them practiced “flexible inflation targeting,” the return of inflation to a stable target, not right away, but over some horizon. Most of them allowed for shifts in headline inflation, such as those caused by rising oil prices, provided inflation expectations remained well anchored. And many of them paid attention to asset prices (house prices, stock prices, exchange rates) beyond their effects on inflation and showed concern about external sustainability and the risks associated with balance sheet effects. But they did this with some unease, and often with strong public denial. B. Low Inflation There was an increasing consensus that inflation should not only be stable, but very low (most central banks chose a target around 2 percent).3 This led to a discussion of the implications of low inflation for the probability of falling into a liquidity trap: corresponding to lower average inflation is a lower average nominal rate, and given the zero bound on the nominal rate, a smaller feasible decrease in the interest rate—thus less room for expansionary monetary policy in case of an adverse shock. The danger of a low inflation rate was thought, however, to be small. The formal argument was that, to the extent that central banks could commit to higher nominal money growth and thus higher inflation in the future, they could increase future inflation expectations and thus decrease future anticipated real rates and stimulate activity today.4 And, in a world of small shocks, 2 percent inflation seemed to provide a sufficient cushion to make the zero lower bound unimportant. Thus, the focus was on the importance of commitment and the ability of central banks to affect inflation expectations. The liquidity traps of the Great Depression, combining significant deflation and low nominal rates, were seen as belonging to history, a reflection of policy errors that could now be avoided. The Japanese experience of the 1990s, with deflation, zero interest rates, and a continuing slump, stood more uneasily in the way. But it was largely dismissed as reflecting the inability or unwillingness of the Japanese central bank to commit to future money growth and to future inflation, coupled with slow progress on other fronts. (To be fair, the Japanese experience was not ignored by the Fed, which worried about deflation risks in the early 2000s.5) 3 See Romer and Romer (2002). 4 See Eggertsson and Woodford (2003). 5 See Bernanke, Reinhart, and Sack (2004). Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 5 C. One Instrument: The Policy Rate Monetary policy increasingly focused on the use of one instrument, the policy interest rate, that is, the short-term interest rate that the central bank can directly control through appropriate open-market operations. Behind this choice were two assumptions. The first was that the real effects of monetary policy took place through interest rates and asset prices, not through any direct effect of monetary aggregates (an exception to this rule was the stated “two-pillar” policy of the European Central Bank (ECB), which paid direct attention to the quantity of credit in the economy, but was often derided by observers as lacking a good theoretical foundation). The second assumption was that all interest rates and asset prices were linked through arbitrage. So that long rates were given by proper weighted averages of risk-adjusted future short rates, and asset prices by fundamentals, the risk-adjusted present discounted value of payments on the asset. Under these two assumptions, one needs only to affect current and future expected short rates: all other rates and prices follow. And one can do this by using, implicitly or explicitly, a transparent, predictable rule (thus the focus on transparency and predictability, a main theme of monetary policy in the past two decades), such as the Taylor rule, giving the policy rate as a function of the current economic environment. Intervening in more than one market, say in both the short-term and the long- term bond markets, is either redundant, or inconsistent. Under these two assumptions also, the details of financial intermediation are largely irrelevant. An exception was made, however, for banks (more specifically, commercial banks), which were seen as special in two respects. First—and in the theoretical literature more than in the actual conduct of monetary policy—bank credit was seen as special, not easily substituted by other types of credit. This led to an emphasis on the “credit channel,” where monetary policy also affects the economy through the quantity of reserves and, in turn, bank credit. Second, the liquidity transformation involved in having demand deposits as liabilities and loans as assets, and the resulting possibility of runs, justified deposit insurance and the traditional role of central banks as lenders of last resort. The resulting distortions were the main justification for bank regulation and supervision. Little attention was paid, however, to the rest of the financial system from a macro standpoint. D. A Limited Role for Fiscal Policy In the aftermath of the Great Depression and following Keynes, fiscal policy had been seen as a—perhaps the—central macroeconomic policy tool. In the 1960s and 1970s, fiscal and monetary policy had roughly equal billing, often seen as two instruments to achieve two targets—internal and external balance, for example. In the past two decades, however, fiscal policy took a backseat to monetary policy. The reasons were many: first was wide skepticism about the effects of fiscal policy, itself largely based on Ricardian equivalence arguments. Second, if monetary policy could maintain a stable output gap, there was little reason to use another instrument. In that context, the abandonment of fiscal policy as a cyclical tool may have been the result of financial market developments that increased the effectiveness of monetary policy. Third, in advanced economies, the priority was to stabilize and possibly decrease typically high debt levels; in emerging market countries, the lack of depth of the domestic bond market limited the scope for countercyclical policy anyway. Fourth, lags in the design and the implementation of fiscal policy, together with the short length of Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 6 recessions, implied that fiscal measures were likely to come too late. Fifth, fiscal policy, much more than monetary policy, was likely to be distorted by political constraints. The rejection of discretionary fiscal policy as a countercyclical tool was particularly strong in academia. In practice, as for monetary policy, the rhetoric was stronger than the reality. Discretionary fiscal stimulus measures were generally accepted in the face of severe shocks (such as, for example, during the Japanese crisis of the early 1990s). And policymakers would sometimes turn to discretionary fiscal stimulus even during “normal recessions.” A countercyclical fiscal stance was also seen as desirable in principle (though elusive in practice) for emerging markets with limited automatic stabilizers. This often took the form of louder calls for fiscal prudence during periods of rapid economic growth. And even for emerging markets, the consensus recipe for the medium term was to strengthen the stabilizers and move away from discretionary measures. As a result, the focus was primarily on debt sustainability and on fiscal rules designed to achieve such sustainability. To the extent that policymakers took a long-term view, the focus in advanced economies was on prepositioning the fiscal accounts for the looming consequences of aging. In emerging market economies, the focus was on reducing the likelihood of default crises, but also on establishing institutional setups to constrain procyclical fiscal policies, so as to avoid boom-bust cycles. Automatic stabilizers could be left to play (at least in economies that did not face financing constraints), as they did not conflict with sustainability. Indeed, with the increase in the share of government in output as economies developed (Wagner’s law), automatic stabilizers played a greater role. Somewhat schizophrenically, however, while existing stabilizers were seen as acceptable, little thought was given to the design of potentially better ones. E. Financial Regulation: Not a Macroeconomic Policy Tool With the neglect of financial intermediation as a central macroeconomic feature, financial regulation and supervision focused on individual institutions and markets and largely ignored their macroeconomic implications. Financial regulation targeted the soundness of individual institutions and aimed at correcting market failures stemming from asymmetric information, limited liability, and other imperfections such as implicit or explicit government guarantees. In advanced economies, its systemic and macroeconomic implications were largely ignored. This was less true in some emerging markets, where prudential rules such as limits on currency exposures (and sometimes an outright prohibition against lending to residents in foreign currency) were designed with macro stability in mind. Little thought was given to using regulatory ratios, such as capital ratios, or loan-to-value ratios, as cyclical policy tools (Spain and Colombia, which introduced rules that de facto link provisioning to credit growth, are notable exceptions).6 On the contrary, given the enthusiasm for financial deregulation, the use of prudential regulation for cyclical purposes was considered improper mingling with the functioning of credit markets (and often seen as politically motivated). 6 See Caruana (2005). Administrator 高亮 Administrator 高亮 Administrator 高亮 Administrator 高亮 7 F. The Great Moderation Increased confidence that a coherent macro framework had been achieved was surely reinforced by the “Great moderation,” the steady decline in the variability of output and of inflation over the period in most advanced economies. There is still some ambiguity as to whether this decline should be seen as having started much earlier, only to be interrupted for a decade or so in the 1970s, or as having started in earnest in the early 1980s, when monetary policy was changed.7 There is also some ambiguity as to how much of the decline should be seen as the result of luck, that is, smaller shocks, structural changes, or improved policy. Improvements in inventory management and good luck in the form of rapid productivity growth and the trade integration of China and India likely played some role. But the reaction of advanced economies to largely similar oil price increases in the 1970s and the 2000s supports the improved-policy view. Evidence suggests that more solid anchoring of inflation expectations, plausibly due to clearer signals and behavior by central banks, played an important role in reducing the effects of these shocks on the economy. In addition, the successful responses to the 1987 stock market crash, the Long-Term Capital Management (LTCM) collapse, and the bursting of the tech bubble reinforced the view that monetary policy was also well equipped to deal with the financial consequences of asset price busts. Thus, by the mid-2000s, it was indeed not unreasonable to think that better macr