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Think outside the box

MAKE JAPAN GREAT AGAIN

スウェーデン国立銀行賞受賞者の奇妙な経済学

10月14日に発表された今年のスウェーデン国立銀行賞(経済学)は奇妙なものでした。

授賞理由は「資産価格の実証分析」ですが、受賞者の1人シラーがITバブルや住宅バブルに早くから警鐘を鳴らしていたのに対し、ファーマは「バブルが何のことか分からない」「予測できない」と、正反対の考え方だからです。 *1

投機バブル 根拠なき熱狂―アメリカ株式市場、暴落の必然

投機バブル 根拠なき熱狂―アメリカ株式市場、暴落の必然

 

ファーマの考え方は3年前のインタビューによく示されています。

Many people would argue that, in this case, the inefficiency was primarily in the credit markets, not the stock market—that there was a credit bubble that inflated and ultimately burst.

 

I don’t even know what that means. People who get credit have to get it from somewhere. Does a credit bubble mean that people save too much during that period? I don’t know what a credit bubble means. I don’t even know what a bubble means. These words have become popular. I don’t think they have any meaning.

 

I guess most people would define a bubble as an extended period during which asset prices depart quite significantly from economic fundamentals.

 

That’s what I would think it is, but that means that somebody must have made a lot of money betting on that, if you could identify it. It’s easy to say prices went down, it must have been a bubble, after the fact. I think most bubbles are twenty-twenty hindsight. Now after the fact you always find people who said before the fact that prices are too high. People are always saying that prices are too high. When they turn out to be right, we anoint them. When they turn out to be wrong, we ignore them. They are typically right and wrong about half the time.

 

Are you saying that bubbles can’t exist?

 

They have to be predictable phenomena. I don’t think any of this was particularly predictable.

加えてすごいのが「政府が資金調達すると民間資金が同額減少する(マネーはゼロサム)」「不況時の国債発行・財政出動には、雇用と所得を増加させる効果が無い」という主張です。

Unfortunately, bailouts and stimulus plans are not a cure. The problem is simple: bailouts and stimulus plans are funded by issuing more government debt. (The money must come from somewhere!) The added debt absorbs savings that would otherwise go to private investment. In the end, despite the existence of idle resources, bailouts and stimulus plans do not add to current resources in use. They just move resources from one use to another.

1. Bailouts and stimulus plans must be financed.

2. If the financing takes the form of additional government debt, the added debt displaces other uses of the funds.

3. Thus, stimulus plans only enhance incomes when they move resources from less productive to more productive uses.*2

Are any of these statements incorrect?

The New Yorkerのインタビューで「信用バブルは人々が過剰貯蓄することか?」「信用バブルの意味が分からない」と語っていることからも、政府の国債発行によってマネー(預金)が増えることを理解していないことが伺えます。(参考:【国債がデフォルトしないことの常識的な説明】)

専門分化が進んだことの弊害でしょうか。

 

参考記事

Years before Fama promoted the “Efficient Markets Hypothesis” as an equilibrium-fixated explanation for the obvious fact that it’s “extremely difficult to predict in the short run”, Benoit Mandelbrot had developed the concept of fractals which gave a far-from-equilibrium explanation for precisely the same phenomenon.

株価の短期予測が困難なことは、ファーマの効率的市場仮説ではなく、マンデルブロフラクタルでも説明可能との指摘です。フラクタルはシラーとも矛盾しません。

禁断の市場 フラクタルでみるリスクとリターン

禁断の市場 フラクタルでみるリスクとリターン

*1:短期と長期の違いで説明するには無理があります。

*2:ニューディール政策のように、失業者を公共事業に雇用することは、“less productive”から“more productive”への移動のはずですが。