Räntor på statsobligationer, sedan 1961

Den stora vikt som i den nuvarande krisen som vid räntorna på statsobligationer (t ex har de beskyllts för att ha avsatt Berlusconi), har fått mig nyfiken på hur dessa räntor varierat över tid och vad som kan sägas bestämma dem. (T ex så utgår man ju med krisen i åminne från att statsskuldens storlek bör påverka räntans nivå). Diagrammet plottar därför utvecklingen av räntor på 10-åriga statsobligationer eller motsvarande i 19 rika länder, 1961-2010. Det ska sägas att det är få av serierna som verkligen går tillbaka till 1961; de flesta börjar 1970 eller senare.

Den stora frågan som det här diagrammet väcker hos mig är: varför så höga räntor ca 1975-1985?

Per land ser mönstret ut så här:

Är det hög inflation 1975-85 som orsakar det tydliga omvända-U-mönstret i första plotten? Diagrammet nedan visar räntorna rensat för inflation:

Det kan ju också vara så att de länder som har längre serier skiljer sig systematiskt från dem som har kortare serier: att de med kortare serier tenderar ha högre räntor på statsobligationerna.

Per land ser den inflationsrensade serien ut så här:


länder: Australien, Österrike (1990-), Belgien, Kanada, Danmark (1987-), Finland (1988-), Frankrike, Tyskland, Island (1992-), Irland, Italien (1992-), Japan (1989-), Nederländerna, Norge (1985-), Nya Zeeland, Spanien (1980-), Sverige (1987-), Storbritannien och USA.
källa: OECD iLibrary Main Economic Indicators

Uppdatering 1 april
Lite mer analytiskt om statsskuldernas och statsräntornas utveckling under efterkrigstiden. Den keynesianske ekonomen John Grahl:

"The decisive event which put financial pressure on European governments was the Volcker shock and the very high interest rates to which it led. This reversed the dynamics of public borrowing: in the inflationary 1970s borrowing had not led to persistent burdens of public debt because interest rates were low and inflation itself rapidly reduced the real burden of repayment; now interest rates were very high while inflation slowed. In the 1980s, debt service very rapidly became the fastest growing component of public expenditure as today's defiits mortgaged future revenues. Regardless of the ideological shift against state spending, direct financial pressure compelled European governments toward retrenchment." (s 181f, jfr 198)

Grahl, After Maastricht (Lawrence and Wishart, 1997)

Och Edward Chancellor i FT:

"According to a working paper by Maria Belen Sbrancia of the University of Maryland, negative real interest rates provided a subsidy to the US government equivalent to 2.3 per cent of GDP a year between 1945 and 1980. This 'liquidation effect' amounted to around 20 per cent of tax revenues, calculates Ms Sbrancia. During this period, the ratio of US government debt to GDP fell from 116 per cent to 32 per cent. Deleveraging had never been so painless."

Edward Chancellor, "Post-war financial repression is back", FT 1 april 2012. Med referens till M. Belen Sbrancia, "Debt, Inflation, and the Liquidation Effect" (pdf), paper, University of Maryland, augusti 2011.

Apropå Sbrancias beräkningar: Buttonwood-bloggaren förutspår att också länder idag kommer välja att inflatera bort statsskuld: "Countries are generally trying to tackle their debt mountains the hard way, through austerity. But it will be amazing if, within the next few years, a few do not try the (apparently) easier route of inflating the debt away."
Economist Buttonwood, "Tearing up notes", 10 april

Och Ryan Avent på Free Exchange konstaterar att inflation är ett bra sätt att sänka skuldnivåerna:

"We don't need to make this more complicated than it actually is. And so when the report summarises its findings by saying:

Macroeconomic policies are a crucial element of forestalling excessive contractions in economic activity during episodes of household deleveraging. For example, monetary easing in economies in which mortgages typically have variable interest rates, as in the Scandinavian countries, can quickly reduce mortgage payments and avert household defaults. Similarly, fiscal transfers to households through social safety nets can boost households’ incomes and improve their ability to service debt, as in the Scandinavian countries. Such automatic transfers can further help prevent self-reinforcing cycles of rising defaults, declining house prices, and lower aggregate demand. Macroeconomic stimulus, however, has its limits. The zero lower bound on nominal interest rates can prevent sufficient rate cuts, and high government debt may constrain the scope for deficit-financed transfers.

(Emphasis mine) I can't help but slap my forehead. This is like fretting that you only have two halves of a bridge, each of which only reaches halfway across a chasm. Just put them together.

Economists continue to produce lots of evidence that a more aggressive monetary policy would substantially help demand-deficient economies, and that using monetary policy to finance government debt is a very effective way to deliver a more aggressive monetary policy (especially if the central bank is forthright about what it's doing and why). And yet economists continue to treat the slow recoveries that follow debt busts like a big mystery. It's not a mystery. It's just hard to get policymakers to do what they ought to do."

Ryan Avent, "Dealing with debt", Economist Free  Exchange 10 april

Och sent omsider har jag hittat följande översikts-bloggpost från tankesmedjan Bruegel från juli förra året, som visar att massvis skrevs på temat financial repression redan då, framför allt utifrån forskning av Carmen Reinhart och den ovan nämnda Sbrancia, bland annat av Gillian Tett, Ryan Avent, Gavyn Davies och Paul Krugman. Bruegel-skribenten börjar sin översikt med en introduktion till begreppet:

"Another concept with a catchy name – financial repression – is quietly starting to creep into the policy debate following European discussions of a ‘voluntary’ private sector involvement and American discussions on the debt ceiling. To avoid default and outsized fiscal retrenchment, capturing savings is an increasingly tempting alternative for fiscal authorities as it provides a third way apart from default and fiscal adjustment. Financial repression can take many forms: directed lending to government by captive domestic audiences (such as pension funds), explicit or implicit caps on interest rates, regulation of cross-border capital movements, bank nationalization. While it is generally agreed that monetary policy and regulatory policy could both make significant contribution fiscal consolidation efforts by directly or indirectly capturing large amounts of private sector savings, research on the matter has remained embryonic."

Jeremie Cohen-Setton, "Financial Repression Redux", Bruegel 8 juli 2011

Uppdatering 24 april 2012
Apropå Avents starka debattinlägg från 10 april citerat ovan, så skriver Paul Krugman på sin blogg om en debatt mellan Avent och Matt Yglesias om "the zero bound" - 0 som nedre gräns för räntepolitiken - och om huruvida en ökning av inflationen kan vara rätt stimulans när nominalräntan är 0: alltså stimulans genom negativ real ränta.
Krugman, "Much Ado About Zero", 21 april 2012

Uppdatering 16 december 2012
Ett kapitel i IMF:s World Economic Outlook 2012 (pdf) handlar om statsskuldernas historia. IMF:s skribenter hittar 26 fall sedan 1875 där ett land hade en statsskuld på över 100 procent av BNP. De specialstuderar sex av fallen: Storbritannien efter första världskriget, USA efter andra världskriget, Belgien på 1980-talet, Italien och Kanada på 1990-talet, och Japan de senaste 20 åren. Economists Buttonwood sammanfattar diskussionen.