Este no es un post repitiendo el argumento que no hay que ampliar el capital del FMI para que pueda asistir a Europa (ver acá). Sucedió que limpiando mi oficina encontré un viejo working paper del Fondo que le había pedido a Olivier Blanchard (actual economista jefe y director de mi tesis doctoral) para hacerle comentarios. Olivier había venido a Buenos Aires a mediados de 2009 y realizó una presentación en UTDT sobre la marcha de la economía mundial.

Al terminar la misma discutimos un rato sobre la predicción que la tasa de ahorro norteamericana, que había pasado en un año del 2,5% a casi 5%, iba a seguir subiendo en el mediano plazo hasta el 7% (dado que el consumo es la contracara del ahorro, y uno de los determinantes más importantes de la demanda agregada, es importante entender cómo se veía afectado por la mayor volatilidad post-Lehman).

Para ver mejor qué razonamiento estaban haciendo le pedí una copia del paper, que puedo compartir porque está publicado. Lo que sigue es lo que le escribí a Olivier (y a Jaewoo Lee, uno de los autores del trabajo):

When I made a few remarks at the end of your talk in Di Tella, I assumed the basic explanation for the rise in the predicted savings rate was that consumers would adjust downward their expectations on the rate of return on US stocks. That is why I replied that given a more diversified portfolio (partially invested in stocks from the rest of the world), the expected rate of return on that portfolio would adjust only partially.

But now I see in this paper an explanation based on uncertainty and not on changes in expectations of asset returns. And I must say that I more or less agree with a prediction that in the medium run the savings rate will be in the 4-5% range, consistent with current levels (in your graphs I think you had the savings rate increasing in the next years and it were those further increases that I questioned).

Nevertheless I attach some remarks which I copy also to Jaewoo:

a) I think a coefficient of risk aversion of 10 is very high. I understand that with a more realistic value you get an unrealistic level of investment in stock. I suggest to add a fixed cost to buying/selling stocks which would help on matching the predicted portfolio with a lower risk aversion. More sofisticated modelling could have two fixes costs, a high initial one for the first time stocks are bought (reflecting some learning needed to invest in them), and a lower period by period one reflecting transaction and information aquisition costs.

b) The model presumes there is a zero income unemployment risk. I would add unemployment insurance calibrated to actual benefits. I think this is interesting because I believe a policy response to the crisis was the increase in unemployment benefits, and I believe this model could help quantify what effect this had on aggregate consumption, and show whether further increases are a good idea.

c) Perhaps the model can be extended to ask what would be the impact of higher uncertainty (in stock returns) on the capital account? If investors respond to the uncertainty shock by reducing their portfolio exposure to stocks, so would foreign investors, leading to a capital outflow (after the initial attractiveness of US treasure bonds subdue). This would lead to a depreciation of the dollar and a positive medium run effect on net exports. Although this paper is on consumption I guess you are interested in aggregate demand ultimately.

Finally I do not think that uncertainty would remain as high as postulated in some of the simulations. For example in the end you say that investment returns' risk would remain high for the next 5-10 years. I see the horizon for this to be 3-5 years (and obviously the more persistent the shock, the more important is to deal with a correction for the GE effects).

Más tarde ese año visité el FMI para presentar un paper y almorcé con Jaewoo, quien seguía convencido que la tasa de ahorro iba a seguir subiendo (en su trabajo pueden ver que predicen se estabilizaría en el rango 5-7% para fines de 2013), mientras que yo decía que se mantendría en el 4-5% (de hecho los comentarios que le hice eran todos mecanismos que suavizaban la suba del ahorro ante el shock de volatilidad, de los cuales lo único que tomaron fue eliminar la aclaración que el coeficiente de aversión al riesgo usado era tan alto).

Quedamos en que el tiempo diría quien tenía razón. Hace poco encontré este gráfico que indica, por ahora, que si le hubiera hecho una apuesta al FMI se la ganaba.