注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

曼昆和克鲁格曼争论经济增速预测

我觉得这次曼昆在辩论中显然取得了胜利——一个证据是KRUGMAN AND DELONG都没有就这个话题再说什么。我不知道CEA为敢漏掉1980年代经济衰退的数据。似乎没有什么过得去的借口。Delong的证据就更有问题了:拟合度太差(可能有遗漏变量),在除掉“8 quarters of the Reagan boom”之后的T值太小。反过来,MANKIW自己的论文和引用的AER的论文都提供了不错的经验证据。从理论的角度讲CEA预测的最大问题是我们不知道确切的经济复苏的日期。当然我在这也是看了几个博客文章就顺便写写,辩论涉及的论文我都没看。例如,我在想,虽然不知道确切的复苏日期,但复苏日期的预测也是有的啊,前端时间听说Blanchard他们不是做了吗?顺便问一个问题:中国官方讲投资多少亿可以拉动多少GDP/就业,他们是依据的什么研究,哪篇论文?这个不讲清楚,谁知道他们用的模型有没有问题呢?CEA至少为大家的争论提供了材料。下面我就按时间顺序转帖出他们的争论。

Mankiw:

Team Obama on the Unit Root Hypothesis
All academics, to some degree, suffer from the infliction of seeing the world through the lens of their own research. I admit, I do it too. So when I read the CEA's forecast analysis, this sentence jumped out at me:

a key fact is that recessions are followed by rebounds. Indeed, if periods of lower-than-normal growth were not followed by periods of higher-than-normal growth, the unemployment rate would never return to normal.

That is, according to the CEA, because we are now experiencing below-average growth, we should raise our growth forecast in the future to put the economy back on trend in the long run. In the language of time-series econometrics, the CEA is premising its forecast on the economy being trend stationary.

Some years ago, I engaged in a small intellectual skirmish over this topic along with my coauthor John Campbell. Here is the abstract of our paper:
According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view. If fluctuations in output are dominated by temporary deviations from the natural rate of output, then an unexpected change in output today should not substantially change one's forecast of output in, say, five or ten years. Our examination of quarterly postwar United States data leads us to be skeptical about this implication. The data suggest that an unexpected change in real GNP of 1 percent should change one's forecast by over 1 percent over a long horizon.
The view that Campbell and I advocated is sometimes called the unit-root hypothesis (for technical reasons that I will not bother with here). It contrasts starkly with the trend-stationary hypothesis.
In the CEA document, Table 2 shows growth rates immediately after recessions end. It demonstrates that growth is higher than normal in most of the recoveries. Is this evidence against the hypothesis that Campbell and I advanced?
I don't think so. The problem is that those numbers start at the end of the recessions, and we do not know when the recession will end. In other words, if God came down and told us the exact date the current recession was going to end, my forecast subsequent to that date would be for higher than normal growth. But absent that divine intervention, there is always some chance the recession will linger (remember the Great Depression), and an optimal forecast has to give some positive probability weight to that scenario as well. The forecast should be an unconditional expectation, not an expectation conditional on a particular end date for the recession.
The CEA document also gives an intriguing picture:

The purpose of this picture is to show that deeper-than-average recessions are followed by faster-than-average recoveries. (Similar evidence was compiled in the 2005 Economic Report of the President, Chapter 2.) This evidence might be taken as evidence in favor of the trend-stationary hypothesis over the unit-root hypothesis.*
There is another possible interpretation, however: Imagine that the shocks to the economy have time-varying variance. When the variance is high and the economy experience a negative shock, one gets a deep recession. But when recovery comes, it tends to be more robust.
For the econgeeks out there, let me put the point more formally. Suppose growth G is a random variable distributed N(M,V(t)), where M is the mean growth rate and V(t) is the time-varying variance. A recession is when G is negative. Now compute two conditional expectations: E[G / G less than 0] and E[G / G greater than 0]. You will find, I am pretty sure, that an increase in V(t) reduces the first conditional expectation and increases the second. That is, higher variance makes average recessions deeper and average recoveries more robust. But if you don't know whether a future date will occur in a recession or recovery, the best forecast is M, the unconditional mean.
Right now, we are facing a particularly high-variance economy. (Just look at the VIX index.) That means, under the conjecture I just described, that when recovery comes, it will probably be a robust one. But this logic is not necessarily a reason to raise the unconditional expectation of economic growth, because we don't know when that recovery will begin.
Finally, I should note that there is much to forecasting beyond the univariate models in my work with Campbell. And our paper, of course, was only one piece of a large literature. The CEA might well be right that we are in for a robust recovery over the next few years. I don't pretend to have as good a forecasting staff sitting in my Harvard office as the CEA has. (I miss you, Steve Braun.) I certainly hope they are right. We could all use some good economic news right now.
----
* One odd feature of this figure is that it omits the 1980 recession. Perhaps the CEA left it out because that recession was followed quickly by another recession. As a result, in the two years after the 1980 recession ended, growth averaged less than one percent. That episode underscores my main point: when forecasting, you cannot be assured of being in a recovery state rather than in a recession state.
DeLong:
March 03, 2009
Permanent and Transitory Components of Real GDP
Sigh. Greg Mankiw writes:

Greg Mankiw's Blog: Team Obama on the Unit Root Hypothesis: [W]hen I read the [Obama] CEA's forecast analysis, this sentence jumped out at me:

a key fact is that recessions are followed by rebounds. Indeed, if periods of lower-than-normal growth were not followed by periods of higher-than-normal growth, the unemployment rate would never return to normal.

That is, according to the CEA, because we are now experiencing below-average growth, we should raise our growth forecast in the future to put the economy back on trend in the long run.... Some years ago, I engaged in a small intellectual skirmish over this topic along with my coauthor John Campbell.... "According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view.... The data suggest that an unexpected change in real GNP of 1 percent should change one's forecast by over 1 percent over a long horizon..."

Mankiw is here arguing that the Obama administration's forecast is too high, and so forecasts future deficits that are smaller than the deficits are in fact likely to be. Mankiw is arguing that future economic growth is likely to be just average--that there will be no post-recession catch-up during which growth is faster than average.

Whether an unexpected fall in production is followed by faster than average catch-up growth depends what kind the fall in production is. A fall in production that does not also change the unemployment rate will in all likelihood be permanent. A fall in production that is accompanied by a big rise in the unemployment rate will in all likelihood be reversed. You have to do a bivariate analysis--to look at two variables, output and unemployment. You cannot do a univariate analysis and expect to get anything useful out.

Guess what kind of unexpected fall in production we are experiencing right now?

That an unemployment rate higher than normal is likely to be followed by a period when unemployment falls sharply is sure. On average, we expect half of deviations of unemployment from its average value to be erased over the next two years:

 

And those post-recession periods of falling unemployment are also times of rapid output growth. On average, we expect cumulative growth over the next two years to be higher by three-quarters of a percentage point for each one percentage point of higher unemployment now:

 

But Greg Mankiw knows this. At the bottom of his column he writes:

I should note that there is much to forecasting beyond the univariate models in my work with Campbell...

In other words, he notes that when constructing a real forecast it makes no sense to ignore the information in the unemployment rate. And:

[O]ur paper, of course, was only one piece of a large literature. The CEA might well be right...

And that is certainly the way to bet.

Krugman: March 3, 2009, 9:06 pm

Roots of evil (wonkish)

As Brad DeLong says, sigh. Greg Mankiw challenges the administration’s prediction of relatively fast growth a few years from now on the basis that real GDP may have a unit root — that is, there’s no tendency for bad years to be offset by good years later.

I always thought the unit root thing involved a bit of deliberate obtuseness — it involved pretending that you didn’t know the difference between, say, low GDP growth due to a productivity slowdown like the one that happened from 1973 to 1995, on one side, and low GDP growth due to a severe recession. For one thing is very clear: variables that measure the use of resources, like unemployment or capacity utilization, do NOT have unit roots: when unemployment is high, it tends to fall. And together with Okun’s law, this says that yes, it is right to expect high growth in future if the economy is depressed now.

But to invoke the unit root thing to disparage growth forecasts now involves more than a bit of deliberate obtuseness. How can you fail to acknowledge that there’s huge slack capacity in the economy right now? And yes, we can expect fast growth if and when that capacity comes back into use.

Mankiw:

Wanna bet some of that Nobel money?
Paul Krugman suggests that my skepticism about the administration's growth forecast over the next few years is somehow "evil." Well, Paul, if you are so confident in this forecast, would you like to place a wager on it and take advantage of my wickedness?

Team Obama says that real GDP in 2013 will be 15.6 percent above real GDP in 2008. (That number comes from compounding their predicted growth rates for these five years.) So, Paul, are you willing to wager that the economy will meet or exceed this benchmark? I am not much of a gambler, but that is a bet I would be happy to take the other side of (even as I hope to lose, for the sake of the economy).

-----
Related comments for econ geeks

On the substantive question that Paul raises about the unit root literature and the distinction between cyclical and other fluctuations in output, it is an issue that Campbell and I addressed in a companion paper, where we decided that the conventional wisdom on this matter, which Paul still espouses, does not hold. I do not claim we had the last word on the subject, but it is just wrong to say we missed the obvious point that Paul raises. I don't blame Paul for not being aware of this paper. After all, he is an international trade theorist rather than an empirical macroeconomist, and it is hard for anyone to stay informed about all literatures in the field.

Paul also directs us to a Brad DeLong post that includes this intriguing graph:

 

 Brad infers from this cloud of points that higher unemployment typically points to more rapid subsequent growth.

There is not enough information presented for me to know whether to agree with Brad's inference. My guess is that this regression line (at least I presume it is a regression line) is completely driven by the few observations in the upper right, which are probably all from the Reagan-era boom that followed the 1982 recession. It looks like if you take out that one episode, the relationship would largely disappear. I would be curious to see the statistical significance of the regression, using the relevant serial correlation corrected standard errors (I believe that 8 lags would be needed, given the overlapping data). If I am right that what we have here is an uncorrelated cloud plus the Reagan boom, then I would not expect a high level of statistical significance for this relationship. If I am wrong, and the relationship is highly statistically significant, then it might encourage Paul to take the bet.

Update: Phil Rothman of East Carolina University was nice enough to email me the regression results. For the entire sample, the regression yields an R-bar-squared of 11 percent, and a t-statistic of 3.5. For the sample leaving out 8 quarters of the Reagan boom, the coefficient is smaller, the R-bar-squared is 5 percent, and the t-statistic is 2.1. (See also the figure here.) I will leave it up to Paul to determine whether these results are robust enough to take to the bank, so to speak.

Further update: Here.

Mankiw:
The Myth of Economic Recovery
A reader, in response to my dispute with Paul Krugman, brings to my attention an article in the March 2008 issue of the American Economic Review:

Growth Dynamics: The Myth of Economic Recovery
Valerie Cerra and Sweta Chaman Saxena

Using panel data for a large set of high-income, emerging market, developing, and transition countries, we find robust evidence that the large output loss from financial crises and some types of political crises is highly persistent. The results on financial crises are also highly robust to the assumption on exogeneity. Moreover, we find strong evidence of growth overoptimism before financial crises. We also find a distinction between the output impact of civil wars versus other crises, in that there is a partial output rebound for civil wars but no significant rebound for financial crises or the other political crises.

本文来自: 中国经济学教育科研网论坛(http://bbs.efnchina.com) 详细出处参考:http://bbs.efnchina.com/dispbbs.asp?boardid=30&ID=402795

文章评论
关注我们

快速入口
回到顶部
深圳网站建设