lunes, 31 de octubre de 2011
domingo, 30 de octubre de 2011
sábado, 29 de octubre de 2011
miércoles, 26 de octubre de 2011
How to understand the limits of financial models
Aca
"After 20 years on Wall Street, I’m a disbeliever in grand financial theories. We do have a variety of financial models, but financial modeling is not the physics of markets. The similarity of physics and finance lies more in their syntax than in their semantics. In physics you’re playing against God, and He doesn’t change His laws very often. In finance you’re playing against God’s creatures, agents who value assets based on their ephemeral opinions."
"If you are someone who cannot distinguish between God’s creations and man’s idols, you may mistake models for deep laws. Many economists are such people."
"Economists for the most part have never seen a genuinely successful theory. The simple models they work with fail to reflect the complex reality of the world around them. That lack of success is not the fault of economists, for people, unlike matter, are difficult to theorize about. But it is the economists’ fault that they take their simple models so seriously."
"At the end of the cold war, we imagined a future with no more history, a smooth stroll into the sunrise accompanied by democracy, privatization and free markets. It hasn’t worked out that way. Authoritarian versions of capitalism have spread. Privatization has become oligarchy. The gaps between rich and poor, managers and workers, and owners and employees have widened. Economic models have misfired, and financial models have proved to be enormously inaccurate. More recently, the prescribed cure of a Keynesian stimulus to jump-start spending and employment has had only a muted effect. Low interest rates, the Federal Reserve’s cure for past crises and the progenitor of future ones, are being prescribed again. Lessons have not been learned."
"Any assurance economists pretend to with regard to cause and effect is merely a pose"
"Everyone should understand the difference between a model and reality, and no one should be astonished by the inability of one- or two-inch equations to represent the convolutions of people and markets."
"• Think of models as gedanken experiments. No model is correct, but models can provide immensely helpful ways to estimate value. I like to think of financial models as gedanken, or thought, experiments, like those Einstein carried out when he pictured himself surfing a light wave, or Schrödinger when he pictured a macroscopic cat subject to quantum interference. I believe that’s the right way to use mathematical models in finance, and the way experienced practitioners do use them. Models are only models, not the thing in itself. Models are better regarded as a collection of parallel thought universes to explore. Each universe should be consistent, but, unlike the world of matter, the world of financial concepts and the minds of the humans that interact with them are going to be infinitely more complex than any model you make.
• Beware of idolatry. The greatest conceptual danger is idolatry: believing that someone can write down a theory that encapsulates human behavior and thereby free you of the obligation to think for yourself. A model may be entrancing, but no matter how hard you try, you will not be able to breathe life into it. To confuse a model with a theory is to believe that humans obey mathematical rules, and to invite future disaster."
"After 20 years on Wall Street, I’m a disbeliever in grand financial theories. We do have a variety of financial models, but financial modeling is not the physics of markets. The similarity of physics and finance lies more in their syntax than in their semantics. In physics you’re playing against God, and He doesn’t change His laws very often. In finance you’re playing against God’s creatures, agents who value assets based on their ephemeral opinions."
"If you are someone who cannot distinguish between God’s creations and man’s idols, you may mistake models for deep laws. Many economists are such people."
"Economists for the most part have never seen a genuinely successful theory. The simple models they work with fail to reflect the complex reality of the world around them. That lack of success is not the fault of economists, for people, unlike matter, are difficult to theorize about. But it is the economists’ fault that they take their simple models so seriously."
"At the end of the cold war, we imagined a future with no more history, a smooth stroll into the sunrise accompanied by democracy, privatization and free markets. It hasn’t worked out that way. Authoritarian versions of capitalism have spread. Privatization has become oligarchy. The gaps between rich and poor, managers and workers, and owners and employees have widened. Economic models have misfired, and financial models have proved to be enormously inaccurate. More recently, the prescribed cure of a Keynesian stimulus to jump-start spending and employment has had only a muted effect. Low interest rates, the Federal Reserve’s cure for past crises and the progenitor of future ones, are being prescribed again. Lessons have not been learned."
"Any assurance economists pretend to with regard to cause and effect is merely a pose"
"Everyone should understand the difference between a model and reality, and no one should be astonished by the inability of one- or two-inch equations to represent the convolutions of people and markets."
"• Think of models as gedanken experiments. No model is correct, but models can provide immensely helpful ways to estimate value. I like to think of financial models as gedanken, or thought, experiments, like those Einstein carried out when he pictured himself surfing a light wave, or Schrödinger when he pictured a macroscopic cat subject to quantum interference. I believe that’s the right way to use mathematical models in finance, and the way experienced practitioners do use them. Models are only models, not the thing in itself. Models are better regarded as a collection of parallel thought universes to explore. Each universe should be consistent, but, unlike the world of matter, the world of financial concepts and the minds of the humans that interact with them are going to be infinitely more complex than any model you make.
• Beware of idolatry. The greatest conceptual danger is idolatry: believing that someone can write down a theory that encapsulates human behavior and thereby free you of the obligation to think for yourself. A model may be entrancing, but no matter how hard you try, you will not be able to breathe life into it. To confuse a model with a theory is to believe that humans obey mathematical rules, and to invite future disaster."
sábado, 22 de octubre de 2011
jueves, 20 de octubre de 2011
miércoles, 19 de octubre de 2011
martes, 18 de octubre de 2011
lunes, 17 de octubre de 2011
The case for a nominal GDP [NGDP] target
Goldman Sachs. Reacciones
Bill Woolsey
David Beckworth vs Greg Mankiw
Más reacciones
NGDP targeting is not about 'stimulus'
Brad DeLong. Reacción a Krugman. Comentario a DeLong. Otro
What is nominal GDP targeting
NGDP targeting links
Stephen Williamson. Respuesta a Williamson
What is NGDP targeting? Respuesta de DeLong
Diálogo socrático de DeLong
Nick Rowe
Three objections in NGDP level targeting
Implementing nominal GDP targeting via monetary authorities alone
Can Knut Wicksell beat up Chuck Norris? All Chuck Norris really needs is stamina
McCallum and targeting the growth rate of nominal GDP
Understanding NGDP targeting
Supply shocks and NGDP targeting
Kelly Evans on NGDP
Christina Romer también pide NGDP targeting
Nick Rowe: Negative natural rates of interest and NGDP targets
What is NGDP?
Nominal GDP targeting and stagflation
Diferencias entre varios esquemas de política monetaria
“Ben Volcker” and the monetary transmission mechanism
Daylight saving time and NGDP targeting
Tres respuestas a Greg Ip: Aca, aca y aca
The case for an NGDP target
The world is nominal
Friedman provided a theory for NGDP targeting
Reply to Noahpinion and Andy Harless on NGDP/inflation
NGDP targeting is not a Keynesian business cycle policy
Scott Sumner vs John Taylor. Varios le responden a Taylor
Does nominal GDP exist?
La Fed discutió la posibilidad de adoptar un objetivo de NGDP. Comentan Scott Sumner, David Beckworth, Bill Woolsey
Otro comentario sobre NGDP
George Selgin vs John Taylor. Scott Sumner interviene. Y David Glasner
Paper de Scott Sumner
Monetary policy can't fix all problems
Growth or level targeting?
Una explicación de NGDP targeting
Scott Sumner sobre NGDP y la crisis
Tyler Cowen y Scott Sumer sobre level targeting NGDP targeting: Some questions. Responde Scott Sumner. Y Nick Rowe. David Glasner. Bill Woolsey. David Andolfatto responde Algunas crìticas al NGDP targeting Argumentos a favor
Bill Woolsey
David Beckworth vs Greg Mankiw
Más reacciones
NGDP targeting is not about 'stimulus'
Brad DeLong. Reacción a Krugman. Comentario a DeLong. Otro
What is nominal GDP targeting
NGDP targeting links
Stephen Williamson. Respuesta a Williamson
What is NGDP targeting? Respuesta de DeLong
Diálogo socrático de DeLong
Nick Rowe
Three objections in NGDP level targeting
Implementing nominal GDP targeting via monetary authorities alone
Can Knut Wicksell beat up Chuck Norris? All Chuck Norris really needs is stamina
McCallum and targeting the growth rate of nominal GDP
Understanding NGDP targeting
Supply shocks and NGDP targeting
Kelly Evans on NGDP
Christina Romer también pide NGDP targeting
Nick Rowe: Negative natural rates of interest and NGDP targets
What is NGDP?
Nominal GDP targeting and stagflation
Diferencias entre varios esquemas de política monetaria
“Ben Volcker” and the monetary transmission mechanism
Daylight saving time and NGDP targeting
Tres respuestas a Greg Ip: Aca, aca y aca
The case for an NGDP target
The world is nominal
Friedman provided a theory for NGDP targeting
Reply to Noahpinion and Andy Harless on NGDP/inflation
NGDP targeting is not a Keynesian business cycle policy
Scott Sumner vs John Taylor. Varios le responden a Taylor
Does nominal GDP exist?
La Fed discutió la posibilidad de adoptar un objetivo de NGDP. Comentan Scott Sumner, David Beckworth, Bill Woolsey
Otro comentario sobre NGDP
George Selgin vs John Taylor. Scott Sumner interviene. Y David Glasner
Paper de Scott Sumner
Monetary policy can't fix all problems
Growth or level targeting?
Una explicación de NGDP targeting
Scott Sumner sobre NGDP y la crisis
Tyler Cowen y Scott Sumer sobre level targeting NGDP targeting: Some questions. Responde Scott Sumner. Y Nick Rowe. David Glasner. Bill Woolsey. David Andolfatto responde Algunas crìticas al NGDP targeting Argumentos a favor
viernes, 14 de octubre de 2011
miércoles, 12 de octubre de 2011
martes, 11 de octubre de 2011
lunes, 10 de octubre de 2011
Nobel de Sims y Sargent
Para Chris Sims y Thomas Sargent. Explicaciones del premio 1 y 2
Alex Tabarrok
El WSJ
Entrevista a Sargent
Sims sobre IS-LM. Comentario
Stephen Williamson critica a Krugman
What today’s Nobel prizewinners tell us about monetary policy
Más links
Market Monetarist Methodology – Markets rather than econometric testing
A note on Chris Sims' contributions
Opinion de Scott Sumner
Glaeser: Nobel winners saved macroeconomics
Otro análisis
A Nobel price for the Ancien Regime. Olaf Storbeck se retract un poco
David Henderson
John Taylor
Christopher Sims and tests for causality
What the Nobel prize tells us about oil
James Hamilton. Comentario de Nick Rowe
Pete Boettke
Arnold Kling
Ivan Werning
A prize for the scientific method in economic policy
Sims is not Sargent
David Warsh
Vector Autoregressions and Keynesian macro
High quality global journalism requires investment. Please share this article with others using the link below, do not cut & paste the article. See our Ts&Cs and Copyright Policy for more detail. Email ftsales.support@ft.com to buy additional rights. http://www.ft.com/cms/s/0/5ec11d0a-f973-11e0-bf8f-00144feab49a.html#ixzz1bHziRbkV
The random shock that clinched a brave Nobel Prize. Comentario
Una crítica
Otra
Alex Tabarrok
El WSJ
Entrevista a Sargent
Sims sobre IS-LM. Comentario
Stephen Williamson critica a Krugman
What today’s Nobel prizewinners tell us about monetary policy
Más links
Market Monetarist Methodology – Markets rather than econometric testing
A note on Chris Sims' contributions
Opinion de Scott Sumner
Glaeser: Nobel winners saved macroeconomics
Otro análisis
A Nobel price for the Ancien Regime. Olaf Storbeck se retract un poco
David Henderson
John Taylor
Christopher Sims and tests for causality
What the Nobel prize tells us about oil
James Hamilton. Comentario de Nick Rowe
Pete Boettke
Arnold Kling
Ivan Werning
A prize for the scientific method in economic policy
Sims is not Sargent
David Warsh
Vector Autoregressions and Keynesian macro
High quality global journalism requires investment. Please share this article with others using the link below, do not cut & paste the article. See our Ts&Cs and Copyright Policy for more detail. Email ftsales.support@ft.com to buy additional rights. http://www.ft.com/cms/s/0/5ec11d0a-f973-11e0-bf8f-00144feab49a.html#ixzz1bHziRbkV
The random shock that clinched a brave Nobel Prize. Comentario
Una crítica
Otra
domingo, 9 de octubre de 2011
sábado, 8 de octubre de 2011
jueves, 6 de octubre de 2011
martes, 4 de octubre de 2011
lunes, 3 de octubre de 2011
domingo, 2 de octubre de 2011
sábado, 1 de octubre de 2011
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