Para acabar de una vez con los Modelos RCB

Manly Macro - es decir, Wren Lewis -  tiene un didáctico pero demoledor artículo que tritura los modelos RBC, es decir, los moldeos del ciclo real, que son la base de la macro moderna y de los modelos  DSGE, o modelos de Equilibrio General Estocásticos. No se rompan la cabeza con esta jerga: se trata del Dogma que domina la (macro)economía de hoy, que en base a la "Crítica de Lucas", rechaza cualquier explicación de un fenómeno si no está basado en una serie de condiciones que en realidad roban cualquier posibilidad de realismo a las conclusiones. 

La crítica de Lucas, que ha dominado la escena durante cuarenta años, dice que si el gobierno pretende guiar la economía según unos criterios, los agentes no se quedarán adaptatipos-pasivos:verán  cuáles son esos criterios y los incorporarán a sus propios criterios de reacción, con lo que las intenciones de las autoridades se verán frustradas. 

El ejemplo típico es el del intento de aumentar el PIB mediante un aumento de la oferta monetaria. En cuanto los agentes se dan cuenta de lo que pasa, lo que harán es subir los precios y salarios, no la cantidad producida, porque saben que la política monetaria es inflacionista. 

Ergo: los modelos únicamente válidos deben de partir de una "microfundation", que incorpore este tipo de comportamiento o de reacción racional de los agentes, que son la base de modelo, porque si no las conclusiones serán necesariamente equivocadas. Esta es la tiranía de las "microfundation" (y de las matemáticas): todo modelo que no parta de una "buena" base explícita de comportamiento racional de los agentes, y conlleven un gran desarrollo matemático, no sólo es débil, sino debe ser rechazado por cualquiera de las revistas más prestigiosas de la profesión, lo que ha establecido una verdadera censura inquisitorial a cualquier intento de abordar la realidad desde otro punto de vista. 

Todo esto lo describe magníficamente Wren Lewis, 

The basic RBC model contains a production function relating output to capital (owned by individuals) and labour plus a stochastic element representing technical progress, an identity relating investment and capital, a national income identity giving output as the sum of consumption and investment, marginal productivity conditions (from profit maximisation by perfectly competitive representative firms) giving the real wage and real interest rate, and the representative consumer’s optimisation problem for consumption, labour supply and capital. (See here, for example.)

What is the really big problem with this model? Not problems along the lines of ‘I would want to add this’, but more problems like I would not even start from here. Let’s ignore capital, because in the bare bones New Keynesian model capital does not appear. If you were to say giving primacy to shocks to technical progress I would agree that is a big problem: all the behavioural equations should contain stochastic elements which can also shock this economy, but New Keynesian models do this to varying degrees. If you were to say the assumption of labour market clearing I would also agree that is a big problem.

However none of the above is the biggest problem in my view. The biggest problem is the assumption of continuous goods market clearing aka fully flexible prices. That is the assumption that tells you monetary policy has no impact on real variables. Now an RBC modeller might say in response how do you know that? Surely it makes sense to see whether a model that does assume price flexibility could generate something like business cycles?

The answer to that question is no, it does not. It does not because we know it cannot for a simple reason: unemployment in recessions is involuntary, and this model cannot generate involuntary unemployment, but only voluntary variations in labour supply as a result of short term movements in the real wage. Once you accept that higher unemployment in recessions is involuntary (and the evidence for that is very strong), the RBC project was never going to work.

So how did RBC models ever get off the ground? Because the New Classical revolution said everything we knew before that revolution should be discounted because it did not use the right methodology. And also because the right methodology - the microfoundations methodology - allowed the researcher to select what evidence (micro or macro) was admissible. That, in turn, is why the microfoundations methodology has to be central to any critique of modern macro. Why RBC modellers chose to dismiss the evidence on involuntary unemployment I will leave as an exercise for the reader.

The New Keynesian (NK) model, although it may have just added one equation to the RBC model, did something which corrected its central failure: the failure to acknowledge the pre-revolution wisdom about what causes business cycles and what you had to do to combat them. In that sense its break from its RBC heritage was profound. Is New Keynesian analysis still hampered by its RBC parentage? The answer is complex (see here), but can be summarised as no and yes. But once again, I would argue that what holds back modern macro much more is its reliance on its particular methodology.

One final point. Many people outside mainstream macro feel happy to describe DSGE modelling as a degenerative research strategy. I think that is a very difficult claim to substantiate, and is hardly going to convince mainstream macroeconomists. The claim I want to make is much weaker, and that is that there is no good reason why microfoundations modelling should be the only research strategy employed by academic economists. I challenge anyone to argue against my claim.

La conclusión, consecuencia de los a priorismos de los RBC, son que el paro es siempre voluntario (bastaría que los parados aceptarán el salario de mercado) y que todos lo fundamentos de cualquier modelo son falsos, por lo que es difícil descalificar el suyo por eso. En realidad, los ciclos económicos son consecuencia de cambios de cambios tecnológicos o de otra ídole, pero reales, inesperados (¿?) En todo caso, el suyo es el único que son su "microfundation" cumple con la crítica de Lucas, ergo es más verdadero que los demás. 

Casualmente, David Glasner le ha dedicado un post al mismo tema, que también vale la pena leer. 

.. Romer’s most effective rhetorical strategy is to point out that the RBC core of modern DSGE models posit unobservable taste and technology shocks to account for fluctuations in the economic time series, but that these taste and technology shocks are themselves simply inferred from the fluctuations in the times-series data, so that the entire structure of modern macroeconometrics is little more than an elaborate and sophisticated exercise in question-begging.

In this post, I just want to highlight one of the favorite catch-phrases of modern macroeconomics which serves as a kind of default excuse and self-justification for the rampant empirical failures of modern macroeconomics (documented by Lipsey and Carlaw as I showed in this post). When confronted by evidence that the predictions of their models are wrong, the standard and almost comically self-confident response of the modern macroeconomists is: All models are false. By which the modern macroeconomists apparently mean something like: “And if they are all false anyway, you can’t hold us accountable, because any model can be proven wrong. What really matters is that our models, being microfounded, are not subject to the Lucas Critique, and since all other models than ours are not micro-founded, and, therefore, being subject to the Lucas Critique, they are simply unworthy of consideration. This is what I have called methodological arrogance. That response is simply not true, because the Lucas Critique applies even to micro-founded models, those models being strictly valid only in equilibrium settings and being unable to predict the adjustment of economies in the transition between equilibrium states. All models are subject to the Lucas Critique.

La crítica más aguda que se puede hacer a los RBC models es que su fracaso apoteósico en la crisis de 2008 y sus secuelas. Y por supuesto, su fracaso en explicar la crisis de 1929.