这个版充斥着一些“学术至高论”的人,我见过的真正的学术牛人倒是对这些街上的,
搞应用的,搞政策也是很佩服的,因为他们都知道理论的缺陷以及和现实的差距。如果
了解谢的或者听过他讲座的都知道他是非常聪明之人。
12 Oct 2010
2010 Economics Nobel Prize: to The Truly Deserving
Andy Xie
The Nobel Committee awarded this year's prize to Peter Diamond, Dale
Mortensen, and Christopher Pissaredes for researching why labor market has
many unemployed and vacancies at the same time. It is based on Professor
Diamond's search theory developed in the late 1960s. Economics is divided
into macro and micro. But even microeconomics is mainly about static
situations, still quite distant from the real world hustle and bustle. Of
course, theorists can assume away the details as noise, i.e., the market
eventually comes to what the theory says. Professor Diamond showed that the
dynamic details could lead to very different outcomes.
I still vividly recall how he showed that, even though there are numerous
shops, the retail price would end up the monopoly price rather than the
perfect competition price, if it is troublesome to walk from one shop to
another. A little bit reluctance on the part of shoppers to look around
could lead to such a different outcome.
Professor Diamond is one of few economists today who truly deserve an honor
like Nobel Prize. The lesson from his research would humble all those
brilliant minds that conjure up pretty math models behind the efficient
market assumption, causing so much damage to th world when misused by
practitioners. The world is granular, not smooth. Ignoring the former can be
deadly, as the last financial crisis shows.
I'm not heaping praises on Professor Diamond just because he signed my Ph.D
thesis. It is one reason. I worked with a different professor on my thesis
mostly. He didn't want to sign it. My thesis was mainly to explain that (1)
Japan's system was not efficient and its peculiarities reflected its
imperfections rather than better inventions and (2) its asset prices were
exaggerated by the system. At the time many prominent economists were
developing theories to explain why Japan's system was better. Professor
Diamond worked with me for a few months and signed my thesis. The history
has been kind to me. What I wrote has turned out to be quite right.
Professor Diamond didn't make a mistake signing my thesis, I hope. And I am
grateful to him for being kind to me
It is not clear why there should be a Nobel Prize for economics. It is not a
science and is closer to philosophy. Modern economics uses sophisticated
mathematics to give it the appearance of science. That is highly mileading
and, sometimes, with disastrous consequences.
Nassim Taleb was talking about suing the Nobel Prize Committee for
contributing to the financial crisis. They awarded the economics prize in
1990 to Harry Markowitz, Merton Miller, and William Sharpe for developing
the optimal asset allocation theory. Mr. Taleb's complaint is that all those
models are backward looking, ignoring the biggest risk to financial
investors, a disruptive event. Such events occur infrequently and cannot be
captured by statistical models that rely on recent data. Hence, such models
lead investors to over invest in stocks vs. bonds. Hence, according to Mr.
Taleb, the Nobel Committee, by conferring legitimacy on the asset allocation
theory, is complicit in causing trillions of dollars of losses that stock
investors have suffered. Mr. Taleb of the 'Black Swan' fame probably has a
lot of anger inside and needs an outlet.
I am not sure that the Nobel Committee is culpable. The theory or at least a
derivative of it-the portfolio insurance theory caused the stock market
crash on October 19, 1987. Richard Bookstaber detailed the story in his book
('A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of
Financial Innovations').
Option pricing model has caused much more harm. In 1997 the Nobel Prize went
to Robert Merton and Myron Scholes in collaboration with the later Fischer
Black for developing tools for valuing stock options. Long before the Prize
the financial industry has used the Black-Scholes formula for valuing
options. When I learnt the theory, any professor would have put a lot of
caveats on its applicability in the real world. It assumes that the market
is continuous and infinitely liquid, i.e., when the market moves from A to B
, one can execute any amount of trades at any price between A-B. The problem
is that, when you need the market most, it's just not there. As Mr. Taleb
points out, the biggest risk is an unforseen and disruptive event. By
ignoring it a model is a deception device.
Are academics responsible for the Wall Street creating vast markets with
false theories? I am not sure. The market happened because too many people
needed to make money. They needed to create the new new thing. The theories
were there to serve as excuses. Without these theories something else would
have happened, causing similar damages.
Andy Xie is an independent economist based in Shanghai, and former Morgan
Stanley star chief Asia-Pacific economist.