Decomposing the misery index: A dynamic approach

The misery index (the unweighted sum of unemployment and inflation rates) was probably the first attempt to develop a single statistic to measure the level of a population’s economic malaise. In this letter, we develop a dynamic approach to decompose the misery index using two basic relations of modern macroeconomics: the expectations-augmented Phillips curve and Okun’s law. Our reformulation of the misery index is closer in spirit to Okun’s idea. However, we are able to offer an improved version of the index, mainly based on output and unemployment. Specifically, this new Okun’s index measures the level of economic discomfort as a function of three key factors: (1) the misery index in the previous period; (2) the output gap in growth rate terms; and (3) cyclical unemployment. This dynamic approach differs substantially from the standard one utilised to develop the misery index, and allow us to obtain an index with five main interesting features: (1) it focuses on output, unemployment and inflation; (2) it considers only objective variables; (3) it allows a distinction between short-run and long-run phenomena; (4) it places more importance on output and unemployment rather than inflation; and (5) it weights recessions more than expansions.

痛苦指数（Misery Index，即失业率与通货膨胀率的不加权求和值）或许是首个旨在构建单一统计指标以衡量人口群体经济困顿程度的尝试。在本研究快报中，我们基于现代宏观经济学的两大基本关系——附加预期的菲利普斯曲线（expectations-augmented Phillips curve）与奥肯定律（Okun’s law），提出了一种可拆解痛苦指数的动态分析方法。我们对痛苦指数的重构形式更契合奥肯定律的核心思想，且最终推出了一款以产出与失业为核心的改进型指数。具体而言，这一新型奥肯指数（Okun’s index）将经济不适程度表征为三大核心要素的函数：（1）上期痛苦指数；（2）增长率口径的产出缺口；（3）周期性失业。该动态方法与传统痛苦指数的构建逻辑存在显著差异，借此可得到具备五大显著特征的指数：（1）聚焦产出、失业与通货膨胀；（2）仅采用客观变量；（3）可区分短期与长期经济现象；（4）更侧重产出与失业而非通货膨胀；（5）对经济衰退的赋权权重高于经济扩张阶段。