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O que Anna Schwartz pensa da crise mundial?

A co-autora de Milton Friedman no clássico “A monetary history of the United States, 1857-1960” tem algo a dizer sobre a crise.

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Como as elites podem destruir o crescimento econômico e mais sobre a crise mundial

A high level of trust between members of a small elite magnifies the returns to political rent seeking by this elite. We present empirical evidence consistent with this thesis, and argue that it follows naturally from viewing political rent seeking as a cooperative game among members of the elite and a non-cooperative game between the elite and the rest of society.

Isto significa, grosso modo, que a patota que adora louvar os supostos méritos de empresas familiares, devem qualificar seu otimismo. É a literatura sobre “rent-seeking” explicando, creio, o subdesenvolvimento de um grande bananal latino-americano (e suas conexões bolivarianas).

Falando em artigos de economia, eis um que finalmente vai além do colunismo irresponsável ou das explicações contraditórias sobre a crise mundial.

“Where’s the Smoking Gun? A Study of Underwriting Standards for US Subprime Mortgages”
by Geetesh Bhardwaj, and Rajdeep Sengupta

The dominant explanation for the meltdown in the US subprime mortgage market is that lending standards dramatically weakened after 2004. Using loan-level data, we examine underwriting standards on the subprime mortgage originations from 1998 to 2007. Contrary to popular belief, we find no evidence of a dramatic weakening of lending standards within the subprime market. We show that while underwriting may have weakened along some dimensions, it certainly strengthened along others. Our results indicate that (average) observable risk characteristics on mortgages underwritten post-2004 would have resulted in a significantly lower ex post default if they were to be given a loan in 2001 or 2002. We show that while it is possible that underwriting standards in this market were poor to begin with, deterioration in underwriting post-2004 cannot be the explanation for collapse of subprime mortgage market.

Full Text – Acrobat PDF (1.1M)

Entendeu, né? Ao invés de um bate-papo tradicional com uma triste narrativa sobre o dinheiro perdido ou algo mais doentio sobre um suposto fim do capitalismo, o autor investiga uma das mais citadas causas (supostas) da crise: o relaxamento nos critérios para a concessão de empréstimos. Se ele tem razão, há muito o que ser feito ainda.

Engraçado é que pouca gente tem se arriscado, na faculdade, a tentar explicar a crise. Muito papo mole sobre Finanças sumiu diante da crise atual (todos passam horas lamentando o destino do rico dinheirinho na bolsa), mas os macroeconomistas da casa não são capazes de oferecer boas explicações sobre a crise. Eis outro aspecto “rent-seeking” de alguns componentes da academia. O suposto especialista de Macroecoomia é melhor qualificado do que eu (homem de Microeconomia, se é que me entendem), para falar sobre crises. Pelo menos é o que os macroeconomistas normalmente dizem (esta é, por exemplo, a regra de ouro dos pterodoxos). Mas, se isto é verdade, porque eles esperam os colegas dizerem algo sobre a crise para, só então, pronunciarem-se?

Ao meu favor, ter o Alexandre Shwartsman no 5o SEBH (mérito dos colegas da comissão organizadora, Ari e Salvato) e o Hélio Beltrão Jr. no encontro de 15 dias atrás, foi uma forma de tentar promover o debate. Lamentavelmente, quase nenhum macroeconomista da casa foi ou debateu.

Moral da história: diga-me o que és que eu saberei o que não és.

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Cournot, o economista

Eis uma resenha bacana. O autor, Shubik, é velho em Teoria dos Jogos. Cournot, bem, Cournot é aquele engenheiro que, enquanto engenheiro era ótimo economista.

Published by EH.NET (October 2008)

Jean-Philippe Touffut, editor, _Augustin Cournot: Modelling Economics_. Cheltenham, UK: Edward Elgar, 2007. xv + 148 pp. $90 (hardcover), ISBN: 978-1-84720-586-5.

Reviewed for EH.NET by Martin Shubik, Department of Economics, Yale University.
In the early 1950s, when I was a graduate student at Princeton, I had two academic heroes. They were Cournot and Edgeworth (in my lesser Pantheon were Jevons and Walras). As soon as John Nash discussed his thesis on noncooperative games with me, I pointed out to him that his solution which was mathematically highly general was in essence the one that Cournot had applied to economics and had presented in his great book of 1838. The solution called for individual mutually consistent expectations. At that time game theory in either cooperative or noncooperative form was virtually ignored in economics. It seemed to me that this natural extension of Cournot, whose work was unknown to Nash, was going to extend the scope of oligopolistic studies considerably.

Nash and I were joined by John Mayberry in writing an article accepted by _Econometrica_ (“A Comparison of Treatments of a Duopoly Situation,” 1953, 141-54.) This, I believe was the first treatment of oligopoly expanding on Cournot’s work utilizing modern game theory. The
mathematical tools were being forged to expand vastly the noncooperative equilibrium methods to economics so brilliantly started by Cournot.

This book edited by the Director of the Cournot Center, Jean-Philippe Touffut, contains an introduction and seven contributions honoring Cournot and his contributions to modeling in economics.

Jean Magnan de Bornier’s essay is devoted to Cournot as an economist. He notes the considerable gap between the presentation and acceptance of Cournot’s models. It was towards the end of his life that Cournot noted that “mon minuscule” was finally being understood by young economists
such as Jevons and Walras. In 1881 Bertrand wrote a highly negative review, based essentially on the empirical question of whether the prime strategic variable should be price rather than quantity. Game theoretic understanding of the strategic form has shown that both can be cleanly
mathematized, as can be models involving various levels of substitutability and complementarity among goods and services.

Thierry Martin deals with Cournot’s probabilistic epistemology. He stresses the diversity of Cournot’s interests, but deals in particular with Cournot’s interests in the basic foundations of probability. He notes Cournot’s concern both about the objective and subjective significance of probabilities. Cournot noted it “sometimes pertains to a certain measurement of our knowledge, and sometimes to a measurement of the possibility of things, independently of the knowledge we have of them.” This essay also notes his concern for the use of statistics in economics.

Bernard Walliser deals with the functions of economic models. He suggests six: 1. the iconic; 2. the syllogistic; 3. the empirical; 4. the heuristic; 5. the pragmatic; and 6. the rhetorical function. Under these headings (explained in the text) Walliser evaluates Cournot’s considerable contributions with a stress on the use of mathematics in economic application. Walliser also notes Cournot’s concern about the misuse of formalism.

Glen Shafer discusses “From Cournot’s Principle to Market Efficiency.” Cournot’s principle states that an event of small or zero probability singled out in advance will not happen! This is considered in terms of the developments of probability theory over the last century. The discussion is devoted to considering open partial equilibrium models without bankruptcy as applied to finance. Shafer claims to deal with competition and efficiency, but he covers only a narrow partial equilibrium aspect of finance and omits the considerable literature on
oligopoly and open and closed economic models based on variants of Cournot’s model.

Robert Aumann’s Nobel address is essentially reproduced with some editing and no references whatsoever to Cournot and his work.

Robert Solow discusses Cournot and the social income. He notes the two chapters in Cournot that can be regarded as containing preliminary remarks pertaining to the mathematization of a closed equilibrium model are somewhat disappointing in their discussion of social income and do
not provide much of a link to macroeconomics, as is indicated by Cournot’s inadequate consideration of the distinction between annual sales and final consumption.

The last essay is by Alain Desrosiers on comparing the incomparable: the sociology of statistics. He contrasts the approach of Adolphe Quetelet with that of Cournot, noting that Quetelet was an advocate of national offices of statistics, with that of Cournot who was more concerned with
the theoretical foundations of statistics than the practical use of economic statistics.

I read this book with highly mixed reactions. As Cournot is one of my academic heroes I look forward to any celebration of his contributions. This collection presents a mixture. The articles of de Bornier, Walliser and Solow cover Cournot’s role as an economist including both
his strengths and weaknesses. However, to some extent, they do not do full justice to the considerable influence of his work on game theory and its applications to economics.

The articles by Martin, Shafer and Derosieres are addressed to the study of Cournot the probability theorist and statistician.

The prize talk of Aumann on war and peace is out of context and does not belong in this book. It does not pertain to the topic at hand. A far more appropriate reprint would have been “Markets with a Continuum of Traders,” _Econometrica_ 32 (1964), 39-50.

In the opinion of this reviewer Cournot not only was a mathematician and probabilist, he was an excellent modeler linking the economic world with basic abstract models. Not mentioned in this book on modeling economics is the enormous proliferation of works based on Cournot’s modeling and
application of a mutually consistent expectations model to oligopoly and economic competition. Among those clearly influenced have been, Aumann, Dubey, Geanakoplos, Mas-Collel, Shapley, Shell, Shubik, Tirole and many others.
Martin Shubik is Seymour Knox Professor of Mathematical Institutional Economics (emeritus) at Yale University. Among his twenty books and over two hundred articles are _Readings in Game Theory and Political Behavior_ (New York: Doubleday, 1954) and _The Theory of Money and Financial Institutions_ (MIT Press, 2004 and forthcoming, three volumes).

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Males do jornalismo brasileiro

Eis o mal maior: medo de perder lentilhas oriundas das esmolas dos “informes publicitários” governamentais. Por isto há coisas como a que o Diogo cita na matéria cujo link está aí. Agora, veja, como mudar isto? Deveria haver algum tipo de incentivo que proibísse os jornais de terem sua receita vinculada a mais do que 1% de informes oficiais, diariamente. Ou algum outro incentivo neste sentido.

Aí a imprensa brasileira seria mais, digamos, independente. Por falar nisto, você viu a entrevista do Renato Lima aqui?