The Secular Stagnation of Investment?-猫眼课题宝

投资长期停滞？

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2017

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作者：

Thomas Philippon;G. Gutiérrez;C. Jones

我们认为，商品市场竞争的长期下降解释了一些宏观经济难题，特别是低利率和企业投资疲软。美国的企业投资低于基于盈利能力、贴现率或企业资产市场价值（Q 理论）的预期。此外，这种投资缺口是由竞争力较弱行业的企业造成的。我们在具有时变参数和偶尔对名义利率（ZLB）具有约束力的零下限约束的 DSGE 模型中探讨了这种现象的宏观经济后果。我们使用投资微观数据校准模型，结果表明竞争减少的趋势可以解释投资、Q 和名义利率的联合演变。如果没有竞争的减少，我们发现美国经济到 2010 年底就会摆脱 ZLB，而今天的名义利率将接近 2%。 2008年12月，美联储将联邦基金利率下调至0至25个基点的目标区间。此后，美国经济的名义利率一直处于或接近零下限（ZLB）。我们本文的目标是阐明为什么会发生这种情况。 Gutiérrez 和 Philippon（2016）表明，相对于盈利能力和估值指标（尤其是托宾 Q 值），投资疲软，而且这种疲软始于 2000 年代初。 Gutiérrez 和 Philippon（2016）发现，缺乏竞争是跨行业和跨公司投资差距的主要原因。即使在控制了当前的市场状况之后，进入较少且集中度较高的行业投资也较少。在每个行业年度内，投资缺口是由准指数公司拥有且位于进入较少/集中度较高的行业的公司推动的。这些公司花费不成比例的自由现金流回购股票。 *纽约大学、CEPR 和 NBER 1 我们论文的主要贡献是研究商品和服务市场竞争下降的宏观经济后果。我们认为，这解释了投资的减少、ZLB问题的持续存在，以及在某种程度上解释了劳动份额的下降。第一节介绍近年来美国经济的相关事实。第 2 部分介绍了我们的基准模型。我们从标准 DSGE 模型开始，在该模型中，我们考虑了短期名义利率的零下限约束的可能性。我们模型最重要的特征是商品市场的竞争程度随时间变化。模型的理性预期均衡由时变函数 xt = Ψt(xt−1,Etxt+1, εt) 表示，其中 x 表示状态，ε 表示冲击。我们论文的一个实证贡献是，我们为模型中的竞争程度构建了一个可观察的时间序列。竞争并不是我们拟合宏观经济数据后得到的残差。它是一个可观察的输入，参数化上面的函数 Ψt。我们使用 Jones (2016a) 的求解方法和途径来求解经济路径。我们使用卡尔曼滤波器和有关 ZLB 预期持续时间的信息来消除驱动模型的其他冲击（生产率、贴现率、风险溢价）。我们的主要发现是，过去 30 年，随时间变化的竞争对宏观经济动态产生了重大影响。例如，如果自 2000 年以来竞争没有减少，2015 年名义利率将略低于每年 2%。文献大量且不断增长的文献研究了具有约束力的零下限 (ZLB) 对名义利率的影响。 Krugman (1998) 以及Eggertsson 和Woodford (2003) 认为ZLB 会导致产量大幅下降。 Lawrence Christiano（2011）表明，当 ZLB 约束时，政府支出乘数可能会很大，这表明财政政策的作用更加重要。科宾等人。 (2012)询问具有约束力的零利率下限的风险是否应该导致政策制定者提高平均通胀率。 Swanson 和 Williams（2014）研究了零利率下限对长期利率的影响，这与经济决策更相关。大多数关于流动性陷阱的研究都是基于从资本积累中抽象出来的简单新凯恩斯主义模型。费尔南德斯-维拉韦德等人。 (2015) 研究了 ZLB 周围新凯恩斯主义模型的确切属性。在这些模型中，消费受到抑制，因为均衡利率高于自然利率——在没有价格或工资刚性的情况下，资产市场会出清的利率。在大多数现有模型中，ZLB事件是由家庭耐心的增加（即主观折扣因子的增加）引发的。然而，明确允许资本积累会使事情变得复杂，因为贴现率的变化意味着消费和投资朝着相反的方向发展。引发 ZLB 事件的冲击也是降低实际利率的冲击，从而鼓励投资。零利率下限被提出作为 2008-2009 年金融危机后大多数主要经济体缓慢复苏的解释。 Summers (2013) 认为自然利率

We argue that a secular decline in competition in the goods markets explains several macroeconomic puzzles, in particular low interest rates and weak corporate investment. Corporate investment in the U.S. is lower than what one would expect based on profitability, discount rates, or the market value of corporate assets (Q-theory). Moreover, this investment gap is driven by firms located in less competitive industries. We explore the macro-economic consequences of this phenomenon in a DSGE model with time-varying parameters and an occasionally binding zero lower bound constraint on nominal interest rates (ZLB). We calibrate the model using micro data on investment and we show that the trend decrease in competition can explain the joint evolution of investment, Q, and the nominal interest rate. Absent the decrease in competition, we find that the U.S. economy would have escaped the ZLB by the end of 2010 and that the nominal rate today would be close to 2%. In December 2008, the Federal Reserve lowered the federal funds rate to a target range of zero to 25 basis points. The U.S. economy has remained stuck at or near this zero lower bound (ZLB) on nominal rate of interest rates ever since. Our goal in this paper is to shed some light on why this has happened. Gutiérrez and Philippon (2016) show that investment is weak relative to measures of profitability and valuation – particularly Tobin’s Q, and that this weakness starts in the early 2000’s. Gutiérrez and Philippon (2016) find that lack of competition explains the bulk of the investment gap across industries and across firms. Industries with less entry and more concentration invest less, even after controlling for current market conditions. Within each industry-year, the investment gap is driven by firms that are owned by quasi-indexers and located in industries with less entry/more concentration. These firms spend a disproportionate amount of free cash flows buying back their shares. ∗New York University, CEPR and NBER 1 The main contribution of our paper is to study the macro-economic consequences of a decline in competition in the markets for goods and services. We argue that it accounts for the decrease in investment, the persistence of the ZLB problem, and, to some extent, the decreased in the labor share. Section 1 presents the relevant facts about the U.S. economy in recent years. Section 2 presents our benchmark model. We start from a standard DSGE model in which we allow for the possibility that the zero lower bound constraint on short term nominal rates binds. The most important feature of our model is a time-varying degree of competition in the goods market. The rational expectation equilibrium of the model is then represented by the time-varying function xt = Ψt(xt−1,Etxt+1, εt), where x represents the state and ε the shocks. An empirical contribution of our paper is that we construct an observable time series for the degree of competition that we feed in the model. Competition is not a residual that we obtain after fitting the macroeconomic data. It is an observable input that parameterizes the function Ψt above. We solve for the path of the economy using the solution method and approach of Jones (2016a). We use a Kalman filter and information about expected duration of the ZLB to back out the other shocks that drive the model (productivity, discount rate, risk premia). Our main finding is that time-varying competition has had a significant impact on macro-economic dynamics over the past 30 years. For instance, absent the decrease in competition since 2000, the nominal interest rate would have been just below 2 per cent per annum in 2015. Literature A large and growing literature studies the consequences of a binding zero lower bound (ZLB) on the nominal rate of interest. Krugman (1998) and Eggertsson and Woodford (2003) argue that the ZLB can lead to a large drop in output. Lawrence Christiano (2011) show that the government spending multiplier can be large when the ZLB binds, suggesting a more important role for fiscal policy. Coibion et al. (2012) ask whether the risk of a binding ZLB should lead policy makers to increase the average rate of inflation. Swanson and Williams (2014) study the impact of the ZLB on long rates, that are more relevant for economic decisions. Most studies of the liquidity trap are based on simple New-Keynesian models that abstract from capital accumulation. Fernández-Villaverde et al. (2015) study the exact properties of the New Keynesian model around the ZLB. In these models, consumption is depressed because the equilibrium interest rate is higher than the natural rate – the rate that would have cleared the asset market in the absence of price or wage rigidities. In most of the existing models, the ZLB episode is triggered by an increase in households’ patience, that is, an increase in their subjective discount factor. Explicitly allowing for capital accumulation complicates matters, however, because changes in discount rates imply that consumption and investment move in opposite directions. The shock that triggers the ZLB episode is also a shock that reduces the real rate, and therefore encourages investment. The ZLB has been proposed as an explanation for the slow recovery of most major economies following the financial crisis of 2008-2009. Summers (2013) argues that the natural rate of interest

The Secular Stagnation of Investment?

投资长期停滞？

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