美国90年代经济增长的新解释

NBERWORKINGPAPERSERIESSPECULATIVEGROWTH:HINTSFROMTHEUSECONOMYRicardoCaballeroEmmanuelFarhiMohamadL.HammourWorkingPaper10518örnBrügemannforoutstandingresearchassistanceandtotheEuropeanCentralBankResearchDepartmentandtheInternationalInstituteforEconomicStudiesfortheirhospitality.WethankFranklinAllen,MariosAngeletos,GadiBarlevy,OlivierBlanchard,ThomasChaney,PeterDiamond,ThomasPhilippon,FrankPortier,PietroReichlin,JeanTirole,JaumeVenturaandseminarparticipantsatBostonUniversity,CORE,DELTA,ESSIM,Harvard,IIES,MIT,theNBEREFGmeetings,Northwestern,Toulouse,andWhartonforusefulcomments.CaballerothankstheNSFforfinancialsupport.ThisisanextensivelyrevisedandtransformedversionofNBERWP#9831,December2002.Theviewsexpressedhereinarethoseoftheauthor(s)andnotnecessarilythoseoftheNationalBureauofEconomicResearch.©2004byRicardoCaballero,EmmanuelFarhi,andMohamadL.Hammour.Allrightsreserved.Shortsectionsoftext,nottoexceedtwoparagraphs,maybequotedwithoutexplicitpermissionprovidedthatfullcredit,including©notice,isgiventothesource.SpeculativeGrowth:HintsfromtheUSEconomyRicardoCaballero,EmmanuelFarhi,andMohamadL.HammourNBERWorkingPaperNo.10518May2004JELNo.D0,D9,E2,E3,G1,H3ABSTRACTWeproposeaframeworkforunderstandingrecurrenthistoricalepisodesofvigorouseconomicexpansionaccompaniedbyextremeassetvaluations,asexhibitedbytheU.S.inthe1990s.Weinterpretthisphenomenonasahigh-valuationequilibriumwithaloweffectivecostofcapitalbasedonoptimismaboutthefutureavailabilityoffundsforinvestment.Thekeytothesustainabilityofsuchanequilibriumisfeedbackfromincreasedgrowthtoanincreaseinthesupplyofeffectivefunding.Weshowthatsuchfeedbackarisesnaturallywhenanexpansioncomeswithtechnologicalprogressinthecapitalproducingsector,whenfiscalrulesgeneratesustainedfiscalsurpluses,whentherestoftheworldhaslowerexpansionpotential,andwhenfinancialconstraintsarerelaxedbytheexpansionitself.Arguably,theseingredientswereallsimultaneouslypresentintheU.S.duringthe1990s.Wealsoshowthatsuchexpansionscanbewelfareimprovingbuttheycancrash.Thelatterismorelikelyifbubblesdevelopalongtheexpansionarypath.These(rational)bubblescanemergeevenwhentheinterestrateexceedstherateofgrowthoftheeconomy.RicardoJ.CaballeroDepartmentofEconomicsMITRoomE52-252aCambridge,[e-mail][e-mail]@delta.ens.fr1IntroductionEconomichistoryhaswitnessedmanystark“speculativegrowth”episodesofextremestockmarketvaluationsaccompaniedbybriskeconomicgrowth.Themostnotablerecentexpe-riencewasthatoftheUnitedStatesinthe1990s.Figure1aillustratesthesharpriseintheNASDAQinthe1990s,followedbythecollapseof2000-2001.Theextremesreachedbyvaluationsshowninfigure1b,andtheircollapseintheabsenceofobviouschangesinfundamentals,aresuggestiveofwidespreadspeculation.Figures1cand1dillustratethegrowthandinvestmentboom-and-bustthataccompaniedthemarket’sgyrations1.a:StockMarketIndices0500100015002000250030003500400045005000-5-4-3-2-101YearsfromPeak05001000150020002500NASDAQSP500b:Price/EarningsRatio1520253035-5-4-3-2-101YearsfromPeakPrice/EarningsRatioc:RealGDPGrowth(%)00.511.522.533.544.55-5-4-3-2-101YearsfromPeakRealGDPGrowth(%)d:Investment/GDP(%)1414.51515.51616.51717.51818.5-5-4-3-2-101YearsfromPeakInvestment/GDP(%)a:StockMarketIndices0500100015002000250030003500400045005000-5-4-3-2-101YearsfromPeak05001000150020002500NASDAQSP500b:Price/EarningsRatio1520253035-5-4-3-2-101YearsfromPeakPrice/EarningsRatioc:RealGDPGrowth(%)00.511.522.533.544.55-5-4-3-2-101YearsfromPeakRealGDPGrowth(%)d:Investment/GDP(%)1414.51515.51616.51717.51818.5-5-4-3-2-101YearsfromPeakInvestment/GDP(%)Figure1:SpeculativeGrowthintheUS.Thenatureandpolicydilemmasofspeculativeexpansionshaveattractedmuchattention(e.g.,InternationalMonetaryFund2000,Shiller2000,Cecchettietal.2000),butourformalunderstandingofthemacroeconomicmechanismsthatunderlietherelationbetweenstockmarketspeculationandrealeconomicactivityremainsquitelimited.Itisalwayspossibletoattributesuchepisodestoirrationalexuberance,andindeeditishighlylikelythatsome1Note:Panelb:thenumeratoristhereal(inflation-adjusted)DatastreamTotalMarketIndex;denom-inatorismovingaverageoverprecedingtenyearsofrealearningscorrespondingtotheindex.Sources:Panela:NasdaqCompositeIndexfromTheNasdaqStockMarket,Inc,SP500fromDatastream.Panelb:DatastreamTotalMarketIndexforUS.Panelc:BureauofEconomicAnalysis(BEA).Paneld:BEA.Annualreportonnationalaccounts(CD-ROM)1998110yearstreasuryrate(realandnominal)00.020.040.060.080.10.120.140.160.1819801985199019952000realrate:pre1990averagerealratepost1990averagerealratenominalrateFigure2:LongRealandNominalRates.ofthatisinvariablypresent.Butwhataretheenvironmentsthatfacilitatetheseboutsofirrationalityor,putdifferently,thatfacilitatetheconfusionofintelligenteconomicagentsbyhavingarationalpaththatisnottoodistantfromobservation?Inthispaperwetakeanextremeapproachtoansweringthepreviousquestionandlookforrationalexpectationsequilibriat