Nobelovec James Heckman o napačnosti teorije racionalnih pričakovanj

Težka tema za poletje, ampak ena izmed ključnih tem za pravilno dojemanje makroekonomije. Za tiste, ki niste sledili dosedanjim postom o tej temi na tem ali ostalih blogih: sredi 1970. let je Robert Lucas razvil teorijo racionalnih pričakovanj, na podlagi katere je prišlo do t.i. makroekonomske revolucije, torej do nastanka t.i. mikrofundiranih makroekonomskih modelov, ki temeljijo na optimizacijskem obnašanju enega samega popolnoma racionalnega reprezentativnega posameznika. In to je osnova za dinamične stohastične modele splošnega ravnotežja (DSGE), ki jih uporabljajo centralne banke za napovedi makro agregatov. To modeli so seveda grdo udarili mimo pri napovedih v času velikih eksogenih šokov, kot je bila sedanja kriza.

Spodaj je izsek iz intervjuja z nobelovcem Jamesom Heckmanom, prav tako iz Chicago University, ki pravi, da sta tako on kot Milton Friedman opozarjala, da so nekateri teorijo racionalnih pričakovanj vzeli preveč resno, kar je privedlo do velikega razkoraka med teorijo in dejstvi (podatki). Povzeto po ekonomskem zgodovinarju Larsu P. Syllu:

James Heckman, winner of the “Nobel Prize” in economics (2000), did an interview with John Cassidy in 2010. It’s an interesting read (Cassidy’s words in italics):

What about the rational-expectations hypothesis, the other big theory associated with modern Chicago? How does that stack up now?

I could tell you a story about my friend and colleague Milton Friedman. In the nineteen-seventies, we were sitting in the Ph.D. oral examination of a Chicago economist who has gone on to make his mark in the world. His thesis was on rational expectations. After he’d left, Friedman turned to me and said, “Look, I think it is a good idea, but these guys have taken it way too far.”

It became a kind of tautology that had enormously powerful policy implications, in theory. But the fact is, it didn’t have any empirical content. When Tom Sargent, Lard Hansen, and others tried to test it using cross equation restrictions, and so on, the data rejected the theories. There were a certain section of people that really got carried away. It became quite stifling.

What about Robert Lucas? He came up with a lot of these theories. Does he bear responsibility?

Well, Lucas is a very subtle person, and he is mainly concerned with theory. He doesn’t make a lot of empirical statements. I don’t think Bob got carried away, but some of his disciples did. It often happens. The further down the food chain you go, the more the zealots take over.

What about you? When rational expectations was sweeping economics, what was your reaction to it? I know you are primarily a micro guy, but what did you think?

What struck me was that we knew Keynesian theory was still alive in the banks and on Wall Street. Economists in those areas relied on Keynesian models to make short-run forecasts. It seemed strange to me that they would continue to do this if it had been theoretically proven that these models didn’t work.

What about the efficient-markets hypothesis? Did Chicago economists go too far in promoting that theory, too?

Some did. But there is a lot of diversity here. You can go office to office and get a different view.

[Heckman brought up the memoir of the late Fischer Black, one of the founders of the Black-Scholes option-pricing model, in which he says that financial markets tend to wander around, and don’t stick closely to economics fundamentals.]

[Black] was very close to the markets, and he had a feel for them, and he was very skeptical. And he was a Chicago economist. But there was an element of dogma in support of the efficient-market hypothesis. People like Raghu [Rajan] and Ned Gramlich [a former governor of the Federal Reserve, who died in 2007] were warning something was wrong, and they were ignored. There was sort of a culture of efficient markets—on Wall Street, in Washington, and in parts of academia, including Chicago.

What was the reaction here when the crisis struck?

Everybody was blindsided by the magnitude of what happened. But it wasn’t just here. The whole profession was blindsided. I don’t think Joe Stiglitz was forecasting a collapse in the mortgage market and large-scale banking collapses.

So, today, what survives of the Chicago School? What is left?

I think the tradition of incorporating theory into your economic thinking and confronting it with data—that is still very much alive. It might be in the study of wage inequality, or labor supply responses to taxes, or whatever. And the idea that people respond rationally to incentives is also still central. Nothing has invalidated that—on the contrary.

So, I think the underlying ideas of the Chicago School are still very powerful. The basis of the rocket is still intact. It is what I see as the booster stage—the rational-expectation hypothesis and the vulgar versions of the efficient-markets hypothesis that have run into trouble. They have taken a beating—no doubt about that. I think that what happened is that people got too far away from the data, and confronting ideas with data. That part of the Chicago tradition was neglected, and it was a strong part of the tradition.

When Bob Lucas was writing that the Great Depression was people taking extended vacations—refusing to take available jobs at low wages—there was another Chicago economist, Albert Rees, who was writing in the Chicago Journal saying, No, wait a minute. There is a lot of evidence that this is not true.

Milton Friedman—he was a macro theorist, but he was less driven by theory and by the desire to construct a single overarching theory than by attempting to answer empirical questions. Again, if you read his empirical books they are full of empirical data. That side of his legacy was neglected, I think.

When Friedman died, a couple of years ago, we had a symposium for the alumni devoted to the Friedman legacy. I was talking about the permanent income hypothesis; Lucas was talking about rational expectations. We have some bright alums. One woman got up and said, “Look at the evidence on 401k plans and how people misuse them, or don’t use them. Are you really saying that people look ahead and plan ahead rationally?” And Lucas said, “Yes, that’s what the theory of rational expectations says, and that’s part of Friedman’s legacy.” I said, “No, it isn’t. He was much more empirically minded than that.” People took one part of his legacy and forgot the rest. They moved too far away from the data.

Yes indeed, they certainly “moved too far away from the data.”

In one of the more well-known and highly respected evaluation reviews made, Michael Lovell (1986) concluded:

it seems to me that the weight of empirical evidence is sufficiently strong to compel us to suspend belief in the hypothesis of rational expectations, pending the accumulation of additional empirical evidence.

And this is how Nikolay Gertchev summarizes studies on the empirical correctness of the hypothesis:

More recently, it even has been argued that the very conclusions of dynamic models assuming rational expectations are contrary to reality: “the dynamic implications of many of the specifications that assume rational expectations and optimizing behavior are often seriously at odds with the data” (Estrella and Fuhrer 2002, p. 1013). It is hence clear that if taken as an empirical behavioral assumption, the RE hypothesis is plainly false; if considered only as a theoretical tool, it is unfounded and selfcontradictory.

4 responses

  1. Odlično, zelo koristen prispevek. Bom z veseljem porabil, ko bo treba sesuvat kakšno neoliberalno zgodbo.

    Sicer pa je skoraj vedno tako; problem je večinoma v predpostavkah ne v kasnejši logični zgradbi.

  2. Nekateri sklepi na podlagi tega intervjuja so vseeno malo preveč daljnosežni. Kaj pa, če DSGE model rešiš pod predpostavko učenja? Kaj pa če ga rešiš po predpostavko adaptivnih pričakovanj? Ali pa da ga rešiš pod predpostavko nepopolnih informacij? Mogoče pod prepostavko racionalne odločitve, da nekdo nima vseh informacij, in torej ni klasično “racionalen, je pa, kot kaže zgornji primer, o sebi popolnoma prepričan, da je popolnoma racionalen? In tako dalje. Še vedno imaš DSGE model, ampak nikakršnih racionalnih pričakovanj.

    Jože, če ti Marko Golob napiše, da imaš odličen prispevek, potem imaš razlog za skrb. To ti je jasen znak, da si nekje vsekal mimo oz. da tvojemu namenu ni čisto zadoščeno 🙂

  3. Lepo sta mi polepšala tole jutro po deževni noči nekje na jadranski obali. Že dolgo se nisem tako nasmejal.

    Spomnim se internega prodajnega seminarja, ki sem se ga udeležil davnega leta 1989 v Sydneyu, ko sem delal za avstralski IBM. Delal sem v marketinški enoti, ki je prodajala velike high-end računalniške sisteme multinacionalkam in avstralski državi v vrednostih, ki so šle v stotine milijonov avstralskih dolarjev. Človek bi pričakoval, da je nakup takih sistemov o katerem odločajo visoko strokovne ekipe strogo racionalna zadeva. Kje pa! Glavni moto (“the takeaway”) internega IBM-ovega seminarja je bil:

    “Selling is an emotional process. All the rationalisations people are doing are to justify their emotional decision.”

    Če to velja za odločitve vrhunskih strokovnjakov katerih nivo informacij je “as good as it gets” , kaj potem šele v primerih “navadnih” državljanov. Množic, če hočete. Kako racionalne so šele njihove odločitve? Samo na avtomobile pri Slovencih se spomnita.(ali pa na navtiko, tu smo Slovenci še bolj “racionalni”)

    Ljudje smo racionalna bitja, ampak samo v kontekstu našega emocionalnega bistva. Mnogi, ki delamo z velikim številom ljudi (študenti so tu izključeni), lahko to potrdimo.

    Igor je v enem samem odstavku lepo ilustriral glavni problem ekonomske znanosti. Na vsak način bi hotela biti podobna naravoslovnim znanostim z vsemi kompleksnimi modeli polnimi velikih matrik, ki dajejo vtis matematične eksaktnosti in nezmotljivosti. V resnici pa vsa njena matematično-logična stavba temelji na močvirju, na podstati človeškega emocionalnega bistva. Ekonomisti smo na nek način podobni vračem, ki se pretvarjajo, da so znanstveniki. Keynes je to vedel.

    Še šala za na konec, ki jo ponavadi povem tistim, ki ne razumejo računovodstva.

    Računovodja pride k direktorju z letnim poročilom. Direktor vpraša računovodja, če je prepričan v svoje številke. Računovodja odgovori:

    “na tiste dve desno od decimalne vejice povsem, na tiste levo pa ne preveč.”

    Šala pove vso bistvo računovodstva. Pa tudi ekonomije.

  4. Igor,
    saj veš, da se s tabo glede velike večine bistveno bolj strinjam kot z Markom (sploh pa glede konkretnih odločitev v realnem življenju in glede slovenskega gospodarstva), ampak glede makroekonomije so racionalizirani mikrofundiranci big time brcnili v temo. Čez nekaj let bo to splošno mnenje in učbeniki popravljeni. Seveda pa bo minilo še nekaj časa, tako kot je mikrorevolucija v makroekonomiji potrebovala precej časa za uveljavitev in prevlado.

    Bom pa za naslednjo kolumno v SP naredil eno primerjavo med napovedmi v fiziki, ki je bistveno bolj eksaktna, in ekonomijo, in kako tudi v fiziki agregacija mikro pojavov v makro ne deluje oziroma da je celota lahko nekaj čisto drugega kot vsota posameznih delov. V začetku tedna nas je ena tramontana skoraj razbila na pomolu, ker nobena pomorska napoved (tudi najboljša, norveška) tega ni napovedala. Bili smo pripravljeni na burjo, dvojni štriki in špringi, udarila pa je orkanska tramontana in odtrgala 2 metra pomola, kjer smo bili vezani. Tudi v fiziki, kjer so pojavi jasni in dobro razloženi na molekularni ravni, se v njihovi agregaciji oblikujejo zelo različna in nenapovedljiva “ravnotežja”. Nato pa si predstavljaj makromodele, ki temeljijo na obnašaanju enega samega popolnoma racionalnega posameznika in ki absolutno ignorirajo ne samo njihovo heterogenost, pač pa interakcije med njimi. In catch je običajno v interakcijah. Zato obstajajo makroekonomske “zakonitosti”, ki nimajo nobene zveze z “mikro obnašanjem racionalnih poameznikov”.

    In iz tega vidika se tukaj absolutno strinjam z Markom. Cela prodaja in marketing bazira na emocionalnosti in čustvenem nadmudrivanju potrošnikov. Kakšna racionalnost neki! In brez te prodaje in nategovanja potrošnikov ni ekonomije. Brez tega ni mogoče ničesar prodati.

    Ampak več o tem avgusta.

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