توزیع درآمد، سیاست های مالی و اعتباری در یک مدل مبتنی بر کینزی

This work studies the relations between income distribution and monetary/fiscal policies using an credit-augmented version of the agent-based Keynesian model in Dosi et al. (2010). We model a banking sector and a monetary authority setting interest rates and credit lending conditions in a framework combining Keynesian mechanisms of demand generation, a Schumpeterian innovation-fueled process of growth and Minskian credit dynamics. We show that the model is able to account for a rich ensemble of empirical features underlying current and past recessions, including the impact of financial factors on the real economy, and the role in that of income distribution. We find that more unequal economies are exposed to more severe business cycles fluctuations, higher unemployment rates, and higher probability of crises. From a policy perspective, the model suggests that fiscal policies dampen business cycles, reduce unemployment and the likelihood of experiencing a huge crisis and, in some circumstances, also affect long-term growth. Furthermore, the more income distribution is skewed toward profits, the greater the effects of fiscal policies. Interest rates have instead a strong non-linear effect on macroeconomic dynamics. Tuning the interest rate when it is below a given threshold has no detectable effects. Conversely, increasing the interest rate when it is above that threshold yields lower and more volatile output growth, higher unemployment rates, and higher likelihood of crises.

This work studies the interactions between income distribution and monetary and fiscal policies in terms of ensuing dynamics of macro variables (GDP growth, unemployment, etc.) on the grounds of an agent-based Keynesian model.4 The empirical counterpart of this work is quite straightforward. Major recessions characterized by negative growth and prolonged periods of high unemployment rates are recurrent phenomena in the history of capitalist economies, and so are persistent fluctuations in output and employment. In all that, financial factors often appear to play an important role, at least as triggering factors of the outburst of recessionary dynamics: it was so in the Great Depression of 1929, and similarly is with the subprime mortgage crisis in the current Great Recession. Conversely, on the real side, income distribution is a serious candidate in the determination of degrees of (negative or positive) amplification of demand impulses. Interestingly, when one looks at how income is cross-sectionally distributed among individuals, one finds that contemporary industrialized economies have never been so unequal since the Great Depression. So, for example, in the U.S. the ratio between the top 1% and the bottom 90% of incomes has gone from less than 2.6 in the 1970s to more than 3.7 in the new millenium (Atkinson and Piketty, 2010). Indeed, there are solid reasons to believe that individual-income inequality is contributing – now as well as in the aftermath of the 1929s crisis – to depress aggregate demand (Fitoussi and Saraceno, 2010, Kumhof and Rancière, 2010 and Stiglitz, 2011). In the model that follows we shall precisely explore the relationships between financial and real domains of the economy, the role played by income distribution (proxied by the distribution of income between profits and wages) and the impact of monetary and fiscal policies in shaping macrodynamics. The direct ancestor of this work is the “Keynes meeting Schumpeter” formalism (K+S, henceforth) presented in Dosi et al. (2010). To that model, we add a banking sector and a monetary authority setting interest rates and credit lending conditions. Our approach considers the economy as a complex evolving system, i.e. as an ecology of heterogenous agents whose far-from-equilibrium interactions continuously change the structure of the system itself (more on that in Kirman, 2010, Dosi, 2011 and Rosser, 2011). In this framework, the statistical relationships exhibited by macroeconomic variables should be considered as emergent properties stemming from microeconomic disequilibrium interactions. More specifically, we develop an agent-based model that combines Keynesian mechanisms of demand generation, a “Schumpeterian” innovation-fueled process of growth and Minskian credit dynamics. The model, with its evolutionary roots (Nelson and Winter, 1982), belongs to the growing body of literature on agent-based models (Tesfatsion and Judd, 2006 and LeBaron and Tesfatsion, 2008) addressing the properties of macroeconomic dynamics (more on that in Section 2 below).5 The model is grounded on a “realistic” – i.e. rooted in micro empirical evidence – representation of agents' behavior, thus providing an explicit “behavioral” microfoundation of macro dynamics (Akerlof, 2002). The robustness of the model is checked against its capability to jointly account for a large set of empirical regularities both at the micro level (e.g. firm size and growth-rate distributions, productivity dispersions, firm investment patterns) and at the macro one (e.g. persistent output growth, output volatility, unemployment rates, etc.). The model portrays an economy composed of capital- and consumption-good firms, a population of workers, a bank, a Central Bank and a public sector. Capital-good firms perform R&D and produce heterogeneous machine tools. Consumption-good firms invest in new machines and produce a homogeneous consumption good. Firms finance their production and investment choices employing internal funds as well as credit provided by the banking sector. The Central Bank fixes the interest rate and determines the credit multiplier. Finally, the public sector levies taxes on firm profits and worker wages, and pay unemployment benefits. As in every ABM, the properties of the model are analyzed via extensive computer simulations. We perform our simulations exercises employing a three-steps strategy. First, we empirically validate the model, i.e. we assess whether the statistical properties of simulated microeconomic and macroeconomic data are similar to empirically observed ones. Second, we experiment with different income distribution scenarios and study a few key implications in terms of macrodynamics. Third, we use the model as a sort of “policy laboratory” exploring the short- and long-run effects of different fiscal and monetary policies. In line with Dosi et al. (2010), the model is able to match a long list of macro and micro empirical regularities. Moreover, the extended version of the K+S model can replicate new macro and micro stylized facts concerning credit dynamics (including procyclical firm debt and bankruptcy rates, power-law distributed firm-level “bad debt”, etc.). We believe that the credit-enhanced K+S model is able to catch salient features underlying the current as well as previous recessions, the impact of financial factors and the role in them of income distribution. Indeed, we find that different income distribution regimes heavily affect macroeconomic performance: more unequal economies (i.e. economies where income distribution is more skewed towards profits) are exposed to more severe business cycles fluctuations, higher unemployment rates, and higher probability of crises. Moreover, the interactions between credit dynamics and economic fluctuations are strongly “Minskian”. The model can easily account for regimes whereby higher production and investment levels rise firms' debt, eroding their net worths and consequently increasing their credit risk. Banks, in turn, increase the level of credit rationing in the economy and force firms to curb production and investment, thus setting the premises for an incoming recession. On the policy side, the credit-augmented K+S model can be usefully employed to assess the effects of fiscal and monetary policies under various income distribution scenarios. Simulation exercises reveal the strong interactions between income distribution on the one side, and fiscal and monetary policies on the other. As in Dosi et al. (2010), fiscal policies do not only dampen business cycles, reduce unemployment and the likelihood of experiencing a huge crisis, but in some circumstances are able to also affect long-term growth. Here, we are able to generalize that result. The more income distribution is skewed toward profits, the greater the effects of fiscal policies. Conversely, on the monetary policy side, we find a strong non-linearity in the way interest rates affect macroeconomic dynamics. More specifically, there exists a threshold beyond which increasing the interest rate implies smaller output growth rates and larger output volatility, unemployment and likelihood of crises. Again, the impact of interest rate policies is affected by income distribution: changes in interest rates have a milder impact on more “unequal” economies, because higher profit rates allow firms to be relatively more independent from bank credit. Similarly, the sensitivity of real variables to policies affecting credit multipliers falls with higher profit margins. The rest of the paper is organized as follows: in Section 2 we outline some of the theoretical roots of our work. In Section 3 we introduce a credit augmented version of the K+S model. Simulation results are presented in Section 4, and Section 5 concludes.

In this paper we have explored the interactions between the financial and real sides of an evolutionary agent-based economy under different mixes of fiscal and monetary policies. After showing the ability of the model to reproduce the main stylized facts concerning credit dynamics at the micro and macro levels, we analyzed the effects of fiscal and monetary policies under different conditions characterizing the distribution of income between wages and profits. Our results emphasize the high interdependence between the effectiveness of macro policies and the patterns of income distribution. In the presence of a high profit margins, redistributive fiscal policies are able to dampen business cycle fluctuations and to keep the economy close to full employment. In line with the result shown in Dosi et al. (2010) we find that some fiscal policies are in any case necessary to keep the system away from a stagnant long-term trajectory, even in presence of abundant “Schumpeterian” opportunities of innovation. Also the effects of monetary policy are highly dependent on income distribution. In particular, monetary policy turns out to be effective only in regimes characterized by low profit-to-GDP ratios. In contrast, high profit shares lead to a form of liquidity trap, wherein firms prefer to keep funds idle instead of investing them into capacity expansion. In such a situation, the ability of monetary policy to stimulate the real sector through the credit channel is totally hampered. The results of our experiment strongly support the old-fashion Keynesian view of economic policies with their relative emphasis on fiscal ones both as countercyclical instruments and as necessary conditions to keep the economy on a “virtuous” high growth path. Needless to say, if there is some truth in our conclusions they run exactly counter the current European recipes: the recent fiscal austerity programs pursued by EMU countries, if we are right, are likely to worsen the state of the economy, further lowering the rate of growth, and increasing the instability of European economies. The model can be extended in several directions. First, we deliberately focused on a regime wherein average inflation is zero and the Central Bank interest rate is fixed throughout the experiments. This takes away the effects of further distributive changes induced by different inflation rates. In addition, it allows one to study more neatly the dynamic consequences on output and unemployment of persistent interest rate policies. However, one could easily extend the analysis to a framework in which average inflation can be positive and where the Central Bank adjusts interest rates and credit conditions in the light of some output and inflation targeting (the famous Taylor Rule being one of the possible strategies). This would involve also the introduction of a full-fledged analysis of labor markets (e.g. along the ways followed by Fagiolo et al., 2004 and Dawid et al., 2008). Second, one could extend the present framework introducing heterogeneous banks. This would allow one to study the macroeconomic effects of banking crises and the consequences on output and public finances of different bail-out schemes. Third, we have assumed a constant number of firms in the model. Although this assumption seems quite reasonable in light of the existing empirical evidence (see the remarks in footnote 8), one could extend the model allowing for a variable number of firms, whose entry depends endogenously on expectations about future market conditions. This extension would allow also to study the effects of monetary and fiscal policies on the entry rate of firms. Fourth, in this model we assumed that firms follow a mark-up pricing rule. An interesting extension of the paper would consist into testing the implications for aggregate output and price dynamics of alternative pricing rules, (e.g. of the kind discussed in Blinder, 1998). Finally, the consumption side of the model is highly stylized: workers fully consume their wage. One could easily extend the model allowing for households savings and indebtedness. The latter played an important role in the recent crisis. Indeed, we conjecture, that these modifications are likely to strengthen the main conclusions on the impact of monetary and credit policies discussed in this work.