2011年10月10日 星期一

Thomas Sargent and Christopher Sims/ 理性預期理論(rational expectations)

Simon 在預測等方面 在歐洲維也納編的作業研究刊物 有精彩的說明.....

----
FT 的標題翻譯總要添油加醋
Lex專欄:諾貝爾獎沒“惡搞”
Lex_Nobel in economics

The Royal Swedish Academy of Sciences has a mischievous bent. At a time when everyone including the Queen of England wonders why economists did not anticipate the financial crisis and still cannot agree a cure, the academy awarded the Sveriges Riksbank Prize (it is not technically a Nobel) to two American professors synonymous with economic modelling. It is popular to question Thomas Sargent's line of work these days. In the 1970s, he revelled in the complex economic models that were the foundation of the so-called dynamic stochastic general equilibrium models now ubiquitous in central bank decision making. More important, he introduced into these models the burgeoning field of rational expectations – another idea increasingly under fire.


瑞典皇家科學院(Royal Swedish Academy of Sciences)可真是喜歡“惡搞”。就在包括英國女王在內的所有人都想知道,為何經濟學家未能預見到金融危機、甚至到現在都拿不出一致對策的時候,瑞典皇家科學院卻將諾貝爾經濟學獎(Sveriges Riksbank Prize,嚴格說來,這並非諾貝爾獎)授予了兩位堪稱“經濟建模代名詞”的美國教授。這段時間,質疑托馬斯•薩金特(Thomas Sargent)所從事職業的做法已經十分流行。上世紀70年代,薩金特沉迷於復雜的經濟模型,建立了所謂的動態隨機一般均衡模型(DSGE)。如今,央行在進行決策時都要用到這些模型。而更重要的是,他在這些模型中引入了當時剛開始興起的理性預期——這在眼下已經成為又一個越發受到抨擊的觀點。

But to blame the current economic problems in the US or Europe on policymakers' over-reliance on models is unfair. Few think neuroscientific research is pointless just because we still know so little about the brain. In a speech last year, Christopher Sims, the co-prize winner, highlighted the many academics now focused on improving these models to understand better how financial shocks affect the economy. A little late, but a worthy aim nevertheless.


但將當前美國或歐洲的經濟問題歸咎於政策制定者過於依賴模型,則有失公平。很少有人認為神經科學研究沒有意義,這正是因為我們對於大腦所知甚少。與薩金特分享這一獎項的克里斯托弗•西姆斯(Christopher Sims)在去年的一次演講中強調,目前許多學者都專注於改進這些模型​​,以更好地了解金融衝擊是如何影響經濟的。儘管這來得有點晚,但仍頗具意義。

Forecasting will remain hard. Each crisis, however, brings more data to analyse. Prof Sims, for example, won his gong for advancing the crunching of numbers to draw out causes and effects of economic changes or shocks. This is useful stuff, whatever its predictive power. Both laureates have advanced their early work. Prof Sargent now recognises that people get confused sometimes, while Prof Sim models the fact that we all can only take in so much information while thinking about the future.


預測仍將是艱難的。不過,每一次危機都提供了更多可供分析的數據。比方說,西姆斯教授獲得諾貝爾獎,是由於他發展了用於分析經濟轉變或危機的原因和影響的數據處理方法。這是一種有用的工具,無論它的預測力如何。兩位得主都改進了他們早期的工作。薩金特現在承認,人們時常會犯糊塗,而西姆斯則針對“所有人在考慮未來時都只能吸收這麼多信息”這一事實建立了模型。

Just because economists get it wrong doesn't mean they should stop trying. Congratulations to you both.


不能僅僅因為經濟學家弄錯了,就認為他們應停止嘗試。恭喜二位。



Lex專欄是由FT評論家聯合撰寫的短評,對全球經濟與商業進行精闢分析


譯者/陳雲飛






「理性預期」助破困局 美雙傑獲經濟獎 2011諾貝爾獎 2011年 10月11日 【綜合報導】深究「理性預期」理論而徹底改變總體經濟學的兩位美國經濟學家,昨天成了今年諾貝爾經濟獎得主。瑞典皇家科學會讚譽,兩人的研究成果解析了財經政策與實際效果之間的關係,使當前無論是研究經濟理論,或是政府施政,都獲得更好的工具。
紐約大學教授薩金特(Thomas J. Sargent)與普林斯頓大學教授席姆斯(Christopher A. Sims)共同獲獎,將共享約4600萬元台幣獎金。
理論解釋央行決策 席姆斯昨說:「我和薩金特的理論對於協助我們走出當前的經濟困局,非常重要。」席姆斯說他沒有簡單答案,「我要知道,一定馬上告訴全世界。」
席姆斯主要獲獎研究是「向量自回歸模型」,可解釋為何央行的利率動作通常要一兩年後才會對物價出現實際效果。他曾與現任美國聯準會主席柏南克在普林斯頓一同研究。
薩 金特得知獲獎時正要出門上課,他開玩笑說:「我今天要教兩堂課,我不曉得這算不算慶祝。」薩金特獲獎理論是「結構性總體經濟學」。他指出,二次世界大戰結 束後,西方政府由於預期會出現一波超級通膨,嚴陣以待,各方都預期嚴打通膨的高利率政策將出現;結果這種心態反而直接壓制了物價上漲,升息大刀還沒動用, 物價已恢復平穩。
學者出身的經建會主委劉憶如表示,薩金特受到芝加哥大學理性預期學派大師、1995年諾貝爾經濟學獎得主盧卡斯啟發甚深,過去 10年更將以歐洲為何自1980年代以後,失業率始終高於美國為研究主題,得到結論就是在動盪不安、高風險的年代,一個國家基於保護勞工就業權利的前提 下,所提出的保護勞工政策,反而會造成就業市場大餅萎縮,且勞工一旦失業就會陷入長期失業的困境,無法達到保護勞工的政策目的。
保護勞工影響就業 劉憶如舉例,歐洲解僱勞工的成本很高, 且歐洲國家給予失業者的救助金都很好,但是卻造成歐洲企業降低聘僱歐洲員工的意願,使得整體歐洲就業市場萎縮。她對照台灣現況指出,在2005年前後台灣 也有很多保護勞工的政策,例如提高聘僱外籍白領員工門檻、取消本國勞工試用期等政策,但現在看起來確實造成一些衝擊。
用統計方式去實證 永豐金首席經濟學家黃蔭基昨說,薩金特主張的「理性預期」,是指人們會透過學習去對政府政策做反應,如美國總統歐巴馬實施減稅和企業投資抵減措施,民眾會認為這些優惠未來都將付出代價,反因準備未來繳稅、而減少消費,導致失業率仍高掛、房市仍無起色。這兩人得獎表彰理性預期學派大師在理論和計量實證的貢獻。台經院所長楊家彥說,以往總體經濟學較缺乏實證理論基礎,此次得獎的兩位學者,透過統計方式帶入總體經濟學加以實證,值得肯定。
報你知
理性預期理論心態影響經濟 理性預期理論(rational expectations)解釋的是人的預期心理與經濟、政策的互動關係。例如,如果央行設定物價增幅上限目標,民間會以此目標當薪資調幅參考,避免薪資刺激物價飛漲。
於是央行不必真正升息,一樣能透過「預期心理」掌控物價。紐西蘭等國央行已採用這個理論,明定「通膨目標化」,是理性預期理論拿來應用的例子。

****
據說他們的方法已入教科書 據孤陋者如筆者 Simon 先生從公共事務 如都市再生和規劃等 解釋所謂"理性預期理論(rational expectations)"




American Economists Win Nobel Prize Thomas Sargent and Christopher Sims are credited with uncovering the two-way relationship between government policy and the economy. By Josh Voorhees | Posted Monday, Oct. 10, 2011, at 10:05 AM ET
0
127956419

Two Americans were awarded the 2011 Nobel Prize in economics on Monday for their research into the cause-and-effect relationship between economic policy and the broader economy as a whole.

The two men, Thomas Sargent of New York University and Christopher Sims of Princeton University, carried out their research independently in the 1970s and ‘80s, but their work “is highly relevant today as world governments and central banks seek ways to steer their economies away from another recession,” the Associated Press reports.

The Royal Swedish Academy of Sciences that awards the prize said the two economists, both 68, had developed methods for answering questions such as how GDP and inflation are affected by temporary interest rate hikes or a tax cut.

"Today, the methods developed by Sargent and Sims are essential tools in macroeconomic analysis," the academy said in its citation.

Here’s how the New York Times summed up their research: “Their work uses statistical analysis to disentangle the question of whether a policy change that happened in the past affected the economy or whether it was made in anticipation of events that policymakers thought would happen later. This research has also helped economists better understand how people’s expectations for policy affect the economy.”

沒有留言: