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on History and Philosophy of Economics |
| By: | Thomas Delcey (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | This paper investigates the polysemic character of the Efficient Market Hypothesis through a comparison of the contributions of the two authors who introduced this hypothesis in 1965, Eugene Fama and Paul Samuelson. While both had a normative approach, it is argued that the key point distinguishing the two contributions is the expertise developed by each author. Fama interpreted his model to make practical recommendations for investment strategy. Samuelson interpreted his model to discuss and promote a political expertise that would be useful for policymaking such as the Pareto optimality of speculative price or the social benefit of speculation. The second part investigates the context of paper writing. We suggest that two elements are central to explain Fama and Samuelson's stance: first, the contrasting viewpoints of their research institutions, respectively Chicago and MIT, and second, the position of each author in early financial economics. Finally, we show how their early contrasted stance is consistent with Fama and Samuelson's opposite reactions to the Efficient Market Hypothesis controversy in the 1980s. In conclusion, we suggest that this opposition between Fama and Samuelson is useful to discuss the early EMH controversy in the 1980s. |
| Abstract: | Cet article étudie le caractère polysémique de l'efficience des marchés financiers à travers une comparaison des contributions des deux auteurs qui ont introduit cette théorie, Eugene Fama et Paul Samuelson. Nous montrons que, si les deux auteurs avaient tous les deux une approche normative, l'élément principal qui les différencie est leur conception de l'expertise. Fama interprétait son modèle pour donner des recommandations pratiques en termes de stratégie d'investissement. Samuelson interprétait son modèle pour discuter et mettre en avant une expertise politique utile pour le décideur public comme l'optimalité parétienne des prix spéculatifs ou les bénéfices sociaux de la spéculation. La seconde partie de l'article étudie le contexte des deux contributions. On suggère que deux éléments sont centraux pour expliquer les positions normatives de Fama et Samuelson : premièrement, le point de vu contrasté de leurs institutions respectives de recherche, l'université de Chicago et le MIT, et deuxièmement, la place qu'occupent les deux auteurs dans le champ émergeant de l'économie financière. Nous montrons dans une dernière partie que ces positions sont cohérentes avec les réactions opposées de Fama et Samuelson à la controverse concernant l'efficience des marchés financiers dans les années 1980. L'article conclut en suggérant que cette comparaison peut être utile à l'analyse de cette controverse. |
| Keywords: | Fama (Eugene F),Samuelson (Paul A),efficient market hypothesis,polysemy,efficience des marchés financiers,expertise,polysémie,Samuelson (Paul A.),Fama (Eugene F.) |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-01618347&r=all |
| By: | Christoffer Koch; Gary Richardson; Patrick Van Horn |
| Abstract: | Countercyclical capital buffers (CCyBs) are an old idea recently resurrected. CCyBs compel banks at the core of financial systems to accumulate capital during expansions so that they are better able to sustain operations during downturns. To gauge the potential impact of modern CCyBs, we compare the behavior of large and highly-connected commercial banks during booms before the Great Depression and Great Recession. Before the former, core banks did not expect bailouts and were subject to regulations that incentivized capital accumulation during booms. Before the later, core banks expected bailouts and kept capital levels close to regulatory minima. Our analysis indicates that the pre-Depression regulatory regime induced money-center banks to build capital buffers between 3% and 5% of total assets during economic expansions, which is up to double the maximum modern CCyB. These buffers enabled those banks to continue operations without government assistance during severe crises. This historical analogy indicates that modern countercyclical buffers may achieve their immediate goals of protecting core banks during crises but raises questions about whether they will contribute to overall financial stability. |
| JEL: | E02 E42 G01 G2 G21 G3 N1 |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:26710&r=all |
| By: | Christian Pinshi (UNIKIN - University of Kinshasa) |
| Abstract: | The cointégration methodology has bridged the growing gap between economists and econometricians in understanding dynamics, equilibrium and bias on the reliability of macroeconomic and financial analysis, which is subject to non-stationary behavior. This paper proposes a comprehensive literature review on the relevance of the error correction model. Econometricians and economists have shown that error-correction model is a powerful machine that provides the economic system and macroeconomic policy with a refinement in the econometric results. |
| Keywords: | Keys words : Cointegration,Error correction model,Macroeconomics JEL Classification : C32,E0 |
| Date: | 2020–01–25 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-02454971&r=all |
| By: | Janet Currie; Henrik Kleven; Esmée Zwiers |
| Abstract: | The last 40 years have seen huge innovations in computing technology and data availability. Data derived from millions of administrative records or by using (as we do) new methods of data generation such as text mining are now common. New data often requires new methods, which in turn can inspire new data collection. If history is any guide, some methods will stick and others will prove to be a flash in the pan. However, the larger trends towards demanding greater credibility and transparency from researchers in applied economics and a “collage” approach to assembling evidence will likely continue. |
| JEL: | A0 B0 C0 H0 I0 J0 L0 |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:26715&r=all |
| By: | Palmer, Edward; Könberg, Bo |
| Abstract: | Sweden?s reform began with a published sketch in 1992 and developed into nonfinancial defined contribution (NDC) legislation in 1994. This paper discusses the underpinnings of the Swedish NDC scheme?s financial stability, factors influencing the adequacy of benefits, and its interplay with other components of the pension system: the public financial defined contribution scheme, the minimum pension guarantee, and the occupational schemes. The paper also includes information on the December 2017 broad six-party political agreement on forthcoming legislation. It concludes with recommendations for additional improvements in the overall old-age pension system, based on the analysis of financial stability, adequacy, and differences in outcomes, and the interaction of the NDC scheme with the guarantee benefits and the occupational schemes. |
| Keywords: | Pensions&Retirement Systems,Population&Development,Demographics,Economic Growth,Disability |
| Date: | 2019–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:hdnspu:136539&r=all |
| By: | Loukas Balafoutas; Rudolf Kerschbamer |
| Abstract: | We review the literature on credence goods since Dulleck and Kerschbamer (Journal of Economic Literature 44(1), 5-42, 2006). We consider various markets for credence goods and briefly discuss evidence on the extent of fraud. We then review theoretical and empirical contributions on the determinants of seller and consumer behavior in markets for credence goods. The topics include informational asymmetries, pro-social motivations and seller characteristics, as well as several features of the market structure and institutional environment (separation of diagnosis and treatment, liability, verifiability, reputational concerns, competition between experts and second opinions). We also describe recent developments in this area of research (such as the role of investing in more precise diagnostic technologies) and offer an outlook on future questions. |
| Keywords: | Credence Goods, Expert Services, Fraud, Undertreatment, Overtreatment, Overcharging |
| JEL: | D82 D83 D21 D22 D18 I11 L15 |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:inn:wpaper:2020-01&r=all |