Nationalekonomi efter finanskrisen eller Tillväxtens evangelium ifrågasatt

Robert Skidelsky recenserar Adair Turners bok Economics After the Crisis i senaste numret av TLS. Turner kritiserar tre teman som dominerat både den offentliga diskursen och de politiska förslag som följt i dess kölvatten de tre senaste decennierna:

”His book challenges the three main planks of what he calls the “instrumental conventional wisdom”. The first is that the object of policy should be to maximize Gross Domestic Product per head; the second, that the primary means of doing this is to create freer markets; the third, that increased inequality is acceptable as long as it delivers superior growth. The attack is devastating, leaving little of the policy edifice of the past thirty years standing.”

Mer:

”Economics should draw its arguments from the world as it is, not from a model of perfect markets. It should not attempt to achieve one all-encompassing theory of behaviour. It should not assume that people in financial markets make rational assessments of future probabilities of potential outcomes, but seek to establish how they actually make decisions under different conditions.”

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Paradigm Lost

The Institute for New Economic Thinking har haft sin tredje konferens i Berlin i helgen. Här finns hela programmet med talarlista, alla presentationer streamade, bla. George Soros och Joseph Stiglitz. Så mycket information, så lite tid.

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Bounded Rationality – The Swedish Way

Här är en artikel i The University of Chicago Magazine som använder statistik från det svenska PPM-systemet för att visa människans begränsade rationalitet. Men den klarlägger också skillnader och stridslinjer mellan Rational Choice och Behavioral Economics. Lång men läsvärd.

”Back in Sweden, PPM was conceived on the conventional economic belief that, given lots of information, consumers can better weigh their options and as a result make better decisions; it’s a laissez-faire economist’s—and libertarian’s—dream come true. Because unfettered competition, traditionalists believe, drives down costs and eliminates inferior products, any fund meeting certain standards could enter the market and, with the exception of the default fund, set its own fees and advertise to attract participants’ money. “The combination of free entry, unfettered competition, and free choice seems hard to quarrel with,” Thaler and Cronqvist write. But they raise a standard behavioralist’s caution: “However, if participants are not well-informed or highly motivated, then maximizing choice may not lead to the best possible outcome.””

Här är en delrapport av Cronqvist och Thaler. De avslutar så här: ”We have seen that the portfolios individuals formed themselves seemed heavily influenced by recent returns (an extrapolation bias) and by a preference for investing at close to home (a “familiarity” bias). This is a useful reminder of a general point: markets can actually increase the biases individuals display in nonmarket settings.”

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Andrew W. Lo – Adaptive Markets and the New World Order

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1977721

Abstract:

The traditional investment paradigm is based on several key assumptions including rational investors, stationary probability laws, and a positive linear relationship between risk and expected return with parameters that are constant over time and which can be accurately estimated. These assumptions were plausible during the “Great Modulation” — the seven decades spanning the mid-1930s to the mid-2000s in which equity markets exhibited relatively stable risk and expected returns — but have broken down during the past decade, implying temporary but significant violations of rational pricing relationships. This tension between rational and behavioral market conditions is captured by the Adaptive Markets Hypothesis (AMH), an evolutionary perspective on market dynamics in which intelligent but fallible investors learn from and adapt to changing environments. Under the AMH, markets are not always efficient, but they are highly competitive and adaptive, and can vary in their degree of efficiency as the economic environment and investor population change over time. The AMH has several new implications for financial analysis, including the possibility of negative risk premia, the transformation of alpha into beta, and the importance of macro factors and risk budgeting in asset-allocation policies.

 

 

 

 

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