Stein sobre cómo QE3 afecta tasas reales de largo plazo

Genevieve Signoret & Patrick Signoret

En un discurso el jueves, el gobernador Jeremy Stein de la Reserva Federal presentó una perspectiva de cómo el relajamiento por parte de la Fed (con herramientas convencionales o no convencionales) afecta las tasas de interés de corto plazo. Se trata de un canal de transmisión indirecto mediante el cual los inversionistas, interesados no sólo en las ganancias totales esperadas de los bonos que compran sino también en los ingresos que reciben en el corto o mediano plazo, “buscan rendimiento” comprando bonos de más largo plazo. Hablando sobre la decisión de política monetaria de la semana pasada, Stein dijo que votó a favor de mantener QE3 sin cambio, pero que fue una decisión difícil. Piensa que en el futuro la Fed debe actuar de manera más transparente y predecible para moderar y concluir QE3. Para tal fin, propuso una regla mecánica que reduciría el ritmo de compras de activos en una cantidad establecida por cada caída de 0.1 puntos porcentuales en la tasa de desempleo.

Jeremy Stein cita un trabajo de investigación de él y Samuel Hanson en el cual encontraron que cambios en la postura de política monetaria de la Fed, aproximadas por cambios en la tasa de interés nominal de los bonos del Tesoro a 2 años en las fechas de decisiones de política monetaria, influyen en las tasas de inflación reales de largo plazo. Esto contradice lo predicho por los modelos macroeconómicos neo keynesianos, dijo en el discurso del jueves:

On the one hand, this finding is at odds with standard New Keynesian macro models, in which the central bank’s ability to influence real variables stems from goods prices that are sticky in nominal terms. In such models, a change in monetary policy should have no effect on forward real rates at a horizon longer than that over which all prices can adjust, and it seems implausible that this horizon could be on the order of 10 years. On the other hand, the result suggests that monetary policy may have more kick than is implied by the standard model, precisely because long-term real rates are the ones that are most likely to matter for a variety of investment decisions.

El efecto en las tasas reales de largo plazo parece ocurrir en la prima por plazo (term premium) y no en las expectativas de inflación o del camino futuro de las tasas de corto plazo:

So what is going on? How, in a world of eventually flexible goods prices, is monetary policy able to exert such a powerful influence on long-term real rates? A first clue is that the movements in distant forward real rates that we document appear to reflect changes in term premiums, as opposed to changes in expectations about short-term real rates far into the future. Said differently, if the Fed eases policy today and yields on long-term TIPs go down, this does not mean that the real short rate is expected to be lower 10 years from now–but rather that TIPs have gotten more expensive relative to the expected future path of short rates. These changes in term premiums then appear to reverse themselves over the following 6 to 12 months.

(Más sobre los componentes de las tasas de largo plazo en este discurso de Ben Bernanke de marzo 2013, el cual resumimos aquí.)

¿Por qué un relajamiento de política monetaria afectaría la prima por plazo? Stein piensa que se trata de un canal de transmisión indirecto mediante el cual los inversionistas, interesados no sólo en las ganancias totales esperadas de los bonos que compran sino también en los ingresos que reciben en el más corto plazo, “buscan rendimiento” comprando bonos de más largo plazo.

Here is where we draw our inspiration from Raghu’s work, in particular his hypothesis that low nominal interest rates can create incentives for certain types of investors to take added risk in an effort to “reach for yield.” While an emerging body of empirical research investigates this hypothesis in the context of credit risk–documenting that banks tend to make riskier loans when rates are low–our focus is instead on the implications of the reach-for-yield mechanism on the pricing of interest rate risk, also known as duration risk.

The theory we sketch involves a set of “yield-oriented” investors. We assume that these investors allocate their portfolios between short- and long-term Treasury bonds and, in doing so, put some weight not just on expected holding-period returns, but also on current income. This preference for current yield could be due to agency or accounting considerations that lead these investors to care about short-term measures of reported performance. A reduction in short-term nominal rates leads them to rebalance their portfolios toward longer-term bonds in an effort to keep their overall yield from declining too much. This, in turn, creates buying pressure that raises the price of the long-term bonds and hence lowers long-term yields and forward rates.

Thus, according to this theory, an easing of monetary policy affects long-term real rates not via the usual expectations channel, but rather via what might be termed a “recruitment” channel–by causing an outward shift in the demand curve of yield-oriented investors, thereby inducing these investors to take on more interest rate risk and to push down term premiums.

Esta teoría, dice Stein, puede explicar cómo las compras de activos por parte de la Fed han reducido las tasas reales de largo plazo:

According to this view, real and nominal term premiums were low not just because we were buying long-term bonds, but because our policies induced an outward shift in the demand curve of other investors, which led them to do more buying on our behalf–because we both gave them an incentive to reach for yield, and at the same time provided a set of implicit assurances that tamped down volatility and made it feel safer to lever aggressively in pursuit of that extra yield. In the spirit of my earlier comments, let’s call this the “Fed recruitment” view.

I take the events of the past few months to be evidence in favor of the recruitment view. And, to be clear, I don’t mean this as a criticism of the set of policies that we have in place. Quite to the contrary–it can be useful to enlist help when you have a big job to do. Indeed, my whole point in talking about the research I described earlier was to underscore my belief that something like this investor-recruitment mechanism is central to how monetary policy acquires much of its traction over the real economy even in ordinary times. Of course, the magnitude of the effect–the extent of downward pressure that we may have been inducing other investors to apply to the term premium–is likely to have been more noteworthy given the unprecedented scope of our overall monetary accommodation. But in an important sense, this effect is just a powered-up version of what makes garden-variety monetary policy work.

Con respecto a la postura de la Fed, Stein dijo que la semana pasada votó a favor de mantener QE3 sin cambio, pero que fue una decisión difícil. Piensa que en el futuro la Fed debe actuar de manera más transparente y predecible para moderar y concluir QE3. Para tal fin, propuso una regla mecánica que reduciría el ritmo de compras de activos en una cantidad establecida por cada caída de 0.1 puntos porcentuales en la tasa de desempleo.

I voted with the majority of the Committee to continue our asset purchase program at its current flow rate of $85 billion per month. It was a close call for me, but I did so because I continue to support our efforts to create a highly accommodative monetary environment so as to help the recovery along by using both asset purchases and our threshold-based approach to forward guidance.

How should the pace of purchases evolve going forward? The Chairman laid out a framework for winding down purchases in his June press conference. Within that framework, I would have been comfortable with the FOMC’s beginning to taper its asset purchases at the September meeting. But whether we start in September or a bit later is not in itself the key issue–the difference in the overall amount of securities we buy will be modest. What is much more important is doing everything we can to ensure that this difficult transition is implemented in as transparent and predictable a manner as possible. On this front, I think it is safe to say that there may be room for improvement.

Achieving the desired transparency and predictability doesn’t require that the wind-down happen in a way that is independent of incoming data. But I do think that, at this stage of the asset purchase program, there would be a great deal of merit in trying to find a way to make the link to observable data as mechanical as possible. For this reason, my personal preference would be to make future step-downs a completely deterministic function of a labor market indicator, such as the unemployment rate or cumulative payroll growth over some period. For example, one could cut monthly purchases by a set amount for each further 10 basis point decline in the unemployment rate. Obviously the unemployment rate is not a perfect summary statistic for our labor market objectives, but I believe that this approach would help to reduce uncertainty about our reaction function and the attendant market volatility. Moreover, we would still retain the flexibility to respond to other contingencies (such as declines in labor force participation) via our other more conventional policy tool–namely, the path of short-term rates.