최근 거시경제학의 흐름(Narayana Kocherlakota)

# 최근 거시경제학에서 정말 중요한 학자 중의 한 명인 Narayana Kocherlakota가 거시경제학의 최근 동향을 정리하였다. 그의 글은 90년대 이후 박사학위를 받고 활발하게 활동중인 거시경제 전공 경제학 교수들의 연구 경향에 기반하여 여러 가지 특성들을 잡아내고 있다. 연구 과제를 탐색중인 사람들에게 도움이 될 만한 내용들도 있지만, 대학원생들이나 학부생들에게 어필할 만한 흥미로운 내용들도 많다. 아주 예전에 시카고 학파/케인지언의 논쟁으로부터 시작된 Saltwater/freshwater 대립은 현재 freshwater의 우세로 끝났다고 결론내리고 있다. 또한 거시경제학이 현재 intution보다는 math에 더 기반하고 있으며, 학부 교과서가 없어서 이러한 현재의 흐름이 학부생들에게 잘 전달되지 않고 있음도 지적하고 있다.

# 의견이라기보다는 현실을 분석한 글인데 전체적으로 나도 동의하는 내용들이다. 대표적인 Freshwater 스쿨과 Saltwater 스쿨간에 최근 교수진의 이동 및 freshwater 출신 박사가 saltwater 스쿨에서 교수를 맡는 일은 매우 활발하게 일어나고 있다. 그리고 또한 학교 수업을 들을수록 거시경제학에서 이론이 중요하다고 느껴지는데 이게 우리 학교 특성이라기보다는 거시경제학의 최근 동향이라는 느낌도 들었고. 학부생들은 IS/LM 부터 배우지만 사실 이 모델은 너무 구식이다. 여기서는 학부 수업에서부터 Euler equation과 dynamics를 가르치는데 사실 기본적인 내용은 어려운 게 아닌 만큼, 그게 더 효과적인 것 같다. 하지만 역시 일단은 교과서가 좀 확실하게 나와야...;;;

# Kocherlakota는 시카고에서 박사를 받고 미네소타 교수로 있

는 freshwater의 중심 인물이다. 그가 FRB로 옮기면서미네소타 전직 교수가 된 건 모르고 있었다. 뭐 몇 년 있다가 돌아오겠지만... Kocherlakota 가 만든 table에 장용성 교수님이 올라갈 수도 있었을 텐데 하는 아쉬움이 든다. 조금만 학교 범위를 더 넓혔어도 해당될텐데, 워낙 Rochester가 랭킹에서 미끄러지는 중이니 뭐 어쩔 수 없다.


Some Thoughts on the State of Macro - N. Kocherlakota (President, FRB Minnesota)

I’ve read many commentaries in 2008 and 2009 on the state of macroeconomics. For what it’s worth, I thought that I’d offer my own thoughts on the topic.
I begin with a table. It considers the top 17 economics departments, as ranked by US News and World Report in 2009. (I would have used 15, but there was a 4-way tie for 14th in the rankings.) For each of these departments, the table lists all tenured
macroeconomists who received their Ph. D. in 1990 or after.

MIT: Acemoglu, Angeletos, Werning, Lorenzoni
Harvard: Laibson, Gopinath
Chicago: Alvarez, Mulligan, Shimer, Uhlig
Princeton: Rossi-Hansberg, Golosov, Aguiar
Stanford: Bloom, Klenow, Piazzesi, Schneider
Berkeley: Gourinchas
Yale: Engel, Moscarini, Smith, Tsyvinski
Northwestern: Doepke
Penn: Fernandez-Villaverde, Krueger, Schorfheide
Columbia: Ng, Reis, Sala-i-Martin, Schmitt-Grohe, Uribe
Minnesota: Perri, Phelan, Rios-Rull
NYU: Lagos, Leahy, Ludvigson, Violante
Michigan: House, Killian, Stolyarov, Tesar
UCLA: Burstein, Hellwig, Ohanian
Wisconsin: Seshadri, Williams
UCSD: None
CalTech: None
(2012년 1월 - 제가 알고 있는 교수진 이동 및 테뉴어 현황 바탕으로 약간 수정했습니다.)

In terms of determining fields of specialization, I used self-classifications from c.v.’s, departmental classifications, and my own knowledge of teaching assignments.
These people are core researchers in our field. I do not believe that one can write knowledgeably or usefully about the state of macroeconomics without knowing their
collective work well. In part because I’ve written tenure letters or prepared internal tenure cases for roughly half of them, I feel that I can rightly claim to be in this position.

1. Macroeconomists don’t ignore heterogeneity.
For virtually all of these scholars (especially the younger ones), some form of heterogeneity has played a major role in most of their work. The heterogeneity comes in different forms. It may be heterogeneity in terms of income or wage realizations. It may be heterogeneity in terms of job arrivals. It may be heterogeneity in terms of sex or age. It may be heterogeneity in terms of information about the macro-economy. It may be heterogeneity in firm productivity. And so on and so on …

2. Macroeconomists don’t ignore frictions.
Point 1 pretty much implies point 2, becaus heterogeneity is typically not all that interesting without frictions. So, again, for most of these scholars, frictions of some kind lie at the heart of most of their work. Of course, much of the work on monetary economics has some kind of price rigidity. Some papers have labor market frictions, so that workers take time to find jobs. Many papers have asset market frictions. In this work, agents or firms face borrowing constraints of some kind and cannot fully insure themselves against individual-specific shocks (so-called incomplete markets models). Many papers use overlapping generations models (with realistic multiperiod lifetimes) and assume that parents cannot borrow from their children. Frictions are all over the place in modern macroeconomics.

3. Macroeconomic modeling doesn’t ignore bounded rationality.
A lot of macroeconomic modeling does treat all agents as fully rational. But a lot does not – see work by Angeletos, Laibson, Piazzesi, Reis, Schneider, Werning, and Williams (probably among others). These people work at some of the top departments in the country – they are hardly shunned as heterodox pariahs.

4. Macroeconomic models do incorporate a role for government interventions.
Once you start using macroeconomic models with heterogeneous agents and frictions, government intervention is almost inevitable. The Minnesota and Chicago Ph. D.’s are probably best known for being anti-government. Yet, to pick three of the people on the
list, Golosov (Minnesota), Tsyvinski (Minnesota), and Werning (Chicago) have been studying government insurance/taxation systems for most of their careers.

5. Macroeconomists use both calibration and econometrics.
Some macroeconomists use calibration, some use econometrics, and some use both. There’s no real methodological debate left in the field on this issue.
What is true is that most people outside of macro do not like calibration. I don’t know why. I spent seven years of my life thinking about whether econometrics was better than calibration … and pretty much decided that the answer is: “it depends”.

6. There is no freshwater/saltwater divide – now.
These scholars work on different questions and use different models. But it’s hard to see obvious ways to slice them into freshwater/saltwater camps. Nonetheless, the list does reveal the imprint of an old freshwater/saltwater conflict, largely won by the freshwater school. First, compared to other fields in economics, there are surprisingly many Minnesota and Penn Ph. D.’s on this list, and surprisingly few
Harvard Ph. D.’s. Second, some departments have shockingly few young tenured scholars in this important field (including large departments like Harvard and Princeton).

7. These researchers have been much more interested in the consequences of shocks than in their sources.
Why do we have business cycles? Why do asset prices move around so much? At this stage, macroeconomics has little to offer by way of answer to these questions. The difficulty in macroeconomics is that virtually every variable is endogenous – but the macro-economy has to be hit by some kind of exogenously specified shocks if the
endogenous variables are to move. The sources of disturbances in macroeconomic models are (to my taste) patently unrealistic. Perhaps most famously, most models in macroeconomics rely on some form of large quarterly movements in the technological frontier. Some have collective shocks to the marginal utility of leisure. Other models have large quarterly shocks to the depreciation rate in the capital stock (in order to generate high asset price volatilities). None of these disturbances seem compelling, to put it mildly. Macroeconomists use them only as convenient short-cuts to generate the requisite levels of volatility in
endogenous variables.
This particular group of younger scholars has worked more on the consequences of these disturbances and less on uncovering their true sources. I suspect that this ranking of priorities can be attributed in part to the Great Moderation of 1982-2007. Recent events
may well lead to a shift in research priorities.

8. The modeling of financial markets and banks in macroeconomic models is stark.
It is not true that all macroeconomic models assume complete financial markets – quite the contrary (see point 2 above). However, few macroeconomic models capture an intermediate messy reality in which markets are incomplete but there are nonetheless many assets and/or asset trade is conducted through intermediaries. As a consequence, we don’t understand the sources (or costs/benefits) of large-scale daily (or even quarterly)
financial asset re-allocation. In part, this omission reflects a belief among macroeconomists that this level of institutional detail was not essential for questions of interest. In part, it reflects the extreme difficulty in handling mathematical formalizations of these features of reality (see point 9 below). Again, recent events may well lead to a re-ordering of priorities.

9. Macroeconomics is mostly math and little talk.
The work of the people on this list is pretty technical. Most are very gifted intuitive economists. But intuition necessarily plays a limited role in macroeconomics. There are just too many things going on in a macroeconomic model of any interest to rely on
intuition alone. Intuitive explanations invariably end up focusing on one or two of the many equations in a macro model (let alone the many more that operate in the world). The other equations might well end up undoing an effect that seems perfectly reasonable from just looking at one equation in isolation. I believe that it is our need to formalize ideas and intuitions in mathematics that leads to a key misperception about macroeconomics, even among other economists. Macroeconomic models leave out many possibly important features of the real world.
Sometimes, we choose to do so. Far more often, we leave out these aspects of reality because we must: given our computational and conceptual limitations, we simply cannot handle these things in our mathematical models.
The good news is that, thanks in part to the people on this list, we’ve made enormous progress in the kind of realistic complications that we can usefully model. Of course, there is always more left to be done – and recent events have certainly pointed out useful
directions for future work.

10. The macro-principles textbooks don’t represent our field well.
Little of the exciting work that’s been done by this group has made its way into undergrad textbooks. That’s probably inevitable. But it leads to a real misunderstanding about what macroeconomists do – both among lay-people and among economists in other fields. I hope that some of our gifted textbook writers rectify that situation soon!