En David Glasner tenemos una pequeña joya que aclara definitivamente el porqué la Hipótesis de la Eficiencia del Mercado (EMH) es una trola a la que se aferran los académicos para hacernos comulgar con ruedas de molino. Porque si la EMH es falsa, o mejor dicho, imposible, toda la teoría neoclásica se viene abajo. Especialmente esa teoría que practican los Market Monetarist (MM, e podríamos traducir por dinero y mercados) como Scott Sumner & co, que son simplistas imitadores de Friedman + Lucas, y no se dan cuenta que estos no se pueden mezclar bien. Al menos Friedman tenía un concepto del ser humano realista, aunque no siempre. (Pido perdón por adelantado a mi amigo Marcus Nunes, quien seguro que no es tan dogmático).
Primero cito a Glasner, un texto que merecería ser acuñado en letras de oro por su precisión y claridad, y luego doy mi opinión.. Solo advierto que todo empezó con una crítica de Summer a Glasner por un comentario de éste, laudatorio, a un texto de Krugman, criticando el optimismo de las bolsas. Sumner se empeña en defender su idea de EMH, a lo que Glasner responde aplastantemente a Sumner. Para el que no quiera leer los prolegómenos, he destacado en negrita lo esencial.
What’s Wrong with EMH? Scott Sumner wrote a post commenting on my previous post about Paul Krugman’s column in the New York Times last Friday. I found Krugman’s column really interesting in his ability to pack so much real economic content into an 800-word column written to help non-economists understand recent fluctuations in the stock market. Part of what I was doing in my post was to offer my own criticism of the efficient market hypothesis (EMH) of which Krugman is probably not an enthusiastic adherent either. Nevertheless, both Krugman and I recognize that EMH serves as a useful way to discipline how we think about fluctuating stock prices.
Here is a passage of Krugman’s that I commented on:
But why are long-term interest rates so low? As I argued in my last column, the answer is basically weakness in investment spending, despite low short-term interest rates, which suggests that those rates will have to stay low for a long time.
My comment was:
Again, this seems inexactly worded. Weakness in investment spending is a symptom not a cause, so we are back to where we started from. At the margin, there are no attractive investment opportunities.
Scott had this to say about my comment:
David is certainly right that Krugman’s statement is “inexactly worded”, but I’m also a bit confused by his criticism. Certainly “weakness in investment spending” is not a “symptom” of low interest rates, which is how his comment reads in context. Rather I think David meant that the shift in the investment schedule is a symptom of a low level of AD, which is a very reasonable argument, and one he develops later in the post. But that’s just a quibble about wording. More substantively, I’m persuaded by Krugman’s argument that weak investment is about more than just AD; the modern information economy (with, I would add, a slowgrowing working age population) just doesn’t generate as much investment spending as before, even at full employment.
Just to be clear, what I was trying to say was that investment spending is determined by “fundamentals,” i.e., expectations about future conditions (including what demand for firms’ output will be, what competing firms are planning to do, what cost conditions will be, and a whole range of other considerations. It is the combination of all those real and psychological factors that determines the projected returns from undertaking an investment, and those expected returns must be compared with the cost of capital to reach a final decision about which projects will be undertaken, thereby giving rise to actual investment spending. So I certainly did not mean to say that weakness in investment spending is a symptom of low interest rates. I meant that it is a symptom of the entire economic environment that, depending on the level of interest rates, makes specific investment projects seem attractive or unattractive. Actually, I don’t think that there is any real disagreement between Scott and me on this particular point; I just mention the point to avoid possible misunderstandings.
But the differences between Scott and me about the EMH seem to be substantive. Scott quotes this passage from my previous post:
The efficient market hypothesis (EMH) is at best misleading in positing that market prices are determined by solid fundamentals. What does it mean for fundamentals to be solid? It means that the fundamentals remain what they are independent of what people think they are. But if fundamentals themselves depend on opinions, the idea that values are determined by fundamentals is a snare and a delusion.
Scott responded as follows:
I don’t think it’s correct to say the EMH is based on “solid fundamentals”. Rather, AFAIK, the EMH says that asset prices are based on rational expectations of future fundamentals, what David calls “opinions”. Thus when David tries to replace the EMH view of fundamentals with something more reasonable, he ends up with the actual EMH, as envisioned by people like Eugene Fama. Or am I missing something?
In fairness, David also rejects rational expectations, so he would not accept even my version of the EMH, but I think he’s too quick to dismiss the EMH as being obviously wrong. Lots of people who are much smarter than me believe in the EMH, and if there was an obvious flaw I think it would have been discovered by now.
I accept Scott’s correction that EMH is based on the rational expectation of future fundamentals, but I don’t think that the distinction is as meaningful as Scott does. The problem is that in a typical rational-expectations model, the fundamentals are given and don’t change, so that fundamentals are actually static. The seemingly non-static property of a rational-expectations model is achieved by introducing stochastic parameters with known means and variances, so that the ultimate realizations of stochastic variables within the model are not known in advance. However, the rational expectations of all stochastic variables are unbiased, and they are – in some sense — the best expectations possible given the underlying stochastic nature of the variables. But given that stochastic structure, current asset prices reflect the actual – and unchanging — fundamentals, the stochastic elements in the model being fully reflected in asset prices today. Prices may change ex post, but, conditional on the realizations of the stochastic variables (whose probability distributions are assumed to have been known in advance), those changes are fully anticipated. Thus, in a rational-expectations equilibrium, causation still runs from fundamentals to expectations.
The problem with rational expectations is not a flaw in logic. In fact, the importance of rational expectations is that it is a very important logical test for the coherence of a model. If a model cannot be solved for a rational-expectations equilibrium, it suffers from a basic lack of coherence. Something is basically wrong with a model in which the expectation of the equilibrium values predicted by the model does not lead to their realization. But a logical property of the model is not the same as a positive theory of how expectations are formed and how they evolve. In the real world, knowledge is constantly growing, and new knowledge implies that the fundamentals underlying the economy must be changing as knowledge grows. The future fundamentals that will determine the future prices of a future economy cannot be rationally expected in the present, because we have no way of specifying probability distributions corresponding to dynamic evolving systems.
If future fundamentals are logically unknowable — even in a probabilistic sense — in the present, because we can’t predict what our future knowledge will be, because if we could, future knowledge would already be known, making it present knowledge, then expectations of the future can’t possibly be rational because we never have the knowledge that would be necessary to form rational expectations. And so I can’t accept Scott’s assertion that asset prices are based on rational expectations of future fundamentals. It seems to me that the causation goes in the other direction as well: future fundamentals will be based, at least in part, on current expectations.
¿Que tenemos aquí? Pues la evidencia de que la escuela neoclásica, y su hija putativa la austríaca, se basan en un ser humano perfecto y clarividente. Es capaz de prever el futuro dentro de un rango de probabilidades, lo que hace que sus errores se compensen con el tiempo y se corrijan. Como dice David, si el hombre fuera clarividente, no existiría el futuro, porque sería el presente,... Y no habría problema económico (porque el problema económico es en esencia intertemporal, es proyección al futuro, proyección que se basa en la que hacen los individuos, pero es obviamente imposible que acierten a coordinarlos, sobre todo en el conjunto de todos las proyecciones: sería como que un mono con un ordenador escribiera Hamlet a la primera).
Es decir, la EMH lleva a la paradoja que no hace falta que corramos riesgos (en sentido Nurksiano), porque el mercado no yerra sistemáticamente, anticipa el futuro, ergo, no hay futuro. Pero los errores res no se corrigen por arte de magia o de mercados, porque las velocidades comparadas de los mercados de factores, financieros, y bienes, son muy distintas. Es especialmente trágico que mientras el precio de una acción pueda duplicarse en una hora, la inversión que ha financiado sea en realidad iliquidable.
Si así fuera, no habría crisis, retrocesos, guerras incluso, porque si una guerra fuera prevista, seguramente se evitaría compensando económicamente a los que se supone ganarían. Se apunte que sería suficientemente racionales.
Lo que no dice nadie, ni los austriacos, no los neoclásicos, ni nadie, salvo Keynes, es si somos todos igual de inteligentes, o unos más que otros. Y eso me parece importante, porque en un plano realista, unos dominarán el mercado y además, intentarán dominar al regulador para que regule a su favor. Eso es básicamente lo que pasa, y se supone que la democracia debe paliar esto. Keynes creía en las élites como algo inevitable, pero que deberían liderar por el bien común. Los otros dicen que todos somos iguales, y que si alguien es tonto, que se joda. Es lo mejor para todos, afirman.
Como alguno leerá sesgado, aclaró que creo los mercados necesarios. Simplemente no espero milagros de ellos.
Gracias, Glasner.
