2011年度诺贝尔经济学奖得主的官方颁奖词完整版
The art of distinguishing between cause and effect in the macroeconomy
How are GDP and inflation affected by a temporary increase in the interest rate or a tax cut? What happens if a central bank makes a permanent change in its inflation target or a government modifies its objective for budgetary balance? This year’s Laureates in economic sciences, Thomas J. Sargent and Christopher A. Sims, have developed methods for answering these and many other questions regarding the causal relationship between economic policy and different macroeconomic variables such as GDP, inflation, employment and investments.The economy is constantly affected by unanticipated events. The price of oil rises unexpectedly, the central bank sets an interest rate unforeseen by borrowers and lenders, or household consumption suddenly declines. Such unexpected occurrences are usually called shocks. The economy is also affected by more longrun changes, such as a shift in monetary policy towards stricter disinflationary measures or fiscal policy with more stringent budget rules. One of the main tasks of macroeconomic research is to comprehend how both shocks and systematic policy shifts affect macroeconomic variables in the short and long run. Sargent’s and Sims’s awarded research contributions have been indispensable to this work. Sargent has primarily helped us understand the effects of systematic policy shifts, while Sims has focused on how shocks spread throughout the economy.
Two-way relationships and prevailing expectations
One difficulty in attempting to understand how the economy works is that the relationships are often reciprocal. Is it policy that influences economic development or is there a reverse causal relationship? One reason for this ambiguity is that both private and public agents actively look ahead. The expectations of the private sector regarding future policy affect today’s decisions about wages, prices and investments, while economic-policy decisions are guided by expectations about developments in the private sector.
A clear-cut example of a two-way relationship is the economic development in the early 1980s, when many countries shifted their policy in order to combat inflation. This change was primarily a reaction to economic events during the 1970s, when the inflation rate increased due to higher oil prices and lower productivity growth. Consequently, it is difficult to determine whether the subsequent changes in the economy depended on the policy shift or on underlying factors beyond the control of monetary and fiscal policy which, in turn, gave rise to a different policy. One way of studying the effects of economic policy would be to carry out controlled experiments. In practice, however, varying policies cannot be randomly assigned to different countries. Macroeconomic research is therefore obliged to use historical data. The laureates’ foremost contribution has been to show that causal macroeconomic relationships can indeed be analyzed using historical data, even in cases with two-way relationships.
There are good reasons to believe that unexpected shifts in economic policy may have other effects than anticipated changes. It is not trivial, however, to distinguish between the outcomes of expected and unexpected policy. A change in the interest rate or tax rate is not the same as a shock, in the sense that at least part of the change might be expected. This is a longstanding insight in the context of the stock market. A firm which reports improved earnings and higher forecasted profits might still encounter a drop in its share price, simply because the market expected an even stronger report. Moreover, the effects of an unanticipated policy shift might depend on whether it was implemented independently of other shocks in the economy or was a reaction to them.
Sargent’s awarded research concerns methods that utilize historical data to understand how systematic changes in economic policy affect the economy over time. Sims’s awarded research instead focuses on distinguishing between unexpected changes in variables, such as the price of oil or the interest rate, and expected changes, in order to trace their effects on important macroeconomic variables. The questions which the laureates have dealt with are obviously interrelated. Although Sargent and Sims have carried out their research independently, their contributions are complementary in many ways.
Sargent: systematic effects of economic policy
What happens in the macroeconomy when monetary policy systematically follows a Taylor rule, i.e., when the interest rate responds to changes in inflation and the business cycle in a pre-determined pattern? Or what happens if a central bank is instead given a mandate to maintain inflation close to two percent? Sargent’s analysis deals with the effects of such systematic policy rules and the consequences of changes in the rules for policy. Expectations are an integral part of this analytical approach.
Is it possible to determine whether changes in the economy depend on shifts in economic policy? Could such changes instead depend on fluctuations in the overall economy that prompt decision-makers to adopt a different policy? Sargent has examined these issues using a three-step method.
His first step involves developing a structural macroeconomic model, i.e., an accurate mathematical description of the economy. A number of parameters, which determine the relationships among different variables, are introduced into the model. For instance, if we know that consumers’ aggregate demand for goods and services is affected by the expected real interest rate, this relationship should be incorporated in the model. The parameters governing such basic relations should not be affected by the changes in economic policy. This includes preference parameters, which describe how individuals choose between saving and consumption depending on interest rates and income.
The second step consists of solving the mathematical model. Sargent’s method focuses on expectations as to how macroeconomic variables will change. For example, are expectations about inflation in the future affected by changes in economic policy? A reasonable prerequisite for solving the model is that individuals’ inflation expectations in the model correspond to the forecasted inflation generated by the model itself. Imposing such a requirement is easier said than done, however, and the second step in Sargent’s analysis demonstrates how a solution may be found.
The third and last step is entirely statistical. Historical data are used to estimate the fundamental parameters that do not change after a policy shift. To simplify, this implies that parameter values are chosen so that the model will describe historical events as well as possible. In this way, numerical values are obtained for the parameters which describe the economic structure. The complete model can than be used as a “laboratory” to study the effects of different hypothetical experiments, such as a shift in monetary policy.
In a series of articles written during the 1970s, Sargent showed how structural macroeconomic models could be constructed, solved and estimated. His approach has turned out to be particularly useful in the analysis of economic policy, but is also used in other areas of macroeconometric and economic research.
Some of Sargent’s contributions were solely methodological, although he has also applied the new methods in highly influential empirical research. For instance, he has analyzed historical episodes of hyperinflation in different European countries. He has also examined the above-mentioned course of events in the 1970s when many economies initially adopted a high-inflation policy and then reverted to a lower rate of inflation. Sargent showed that the way expectations are formed by the general public as well as central banks’ understanding of the inflation process were based on gradual learning. This could explain why the decline in inflation took such a long time.