sábado, 30 de enero de 2010

Enlaces interesantes

El endeudamiento español: si sumamos deuda pública y privada, solo nos supera Gran Bretaña y Japón. Incluso Italia está menos endeudada. También aquí . Conviene leer la entrada de Conthe titulada "La conversión de Zapatero".

En la entrevista de John Cassidy, Posner menciona a Davidson 

"Yes. I’ve read Davidson. (Paul Davidson, a professor at University of Tennessee is a leading post-Keynesian.) I’ve read some of those people. But I don’t really get much out of it that isn’t in Keynes. I’m kind of stalled in the General Theory and his essay in the Q.J.E. (In 1937, a year after the publication of The General Theory of Employment, Interest, and Money, Keynes wrote an expository article in the Quarterly Journal of Economics.)".  

No está mal. Le viene a decir que si el bueno de Davidson no hubiera escrito nada, tampoco habría pasado gran cosa. El Posner es así. Algo semejante dijo cuando John Rawls presentó su libro Political Liberalism: que ya no tenía nada que decir. Pero lo mejor es que Davidson, que debe de ser un tipo excepcional lee la entrevista y escribe un comentario que me ha parecido espectacular porque cada vez admiro más a la gente con capacidad de resumir cuestiones complejas de forma clara (de manera que el lector aprende algo rápidamente. Los juristas, la distinción entre riesgo e incertidumbre que para explicar derecho de seguros y algo de banca es útil). Aquí va el comentario de Davidson:

I am pleased that Posner has read what I (Davidson) wrote. Yes Posner is correct that I have used Keynes as the basis for my analysis of uncertainty and Post Keynesian theory. When Keynes wrote, unfortunately, the theory of stochastic probability theory [ ergodic theory] had not been developed in the English language. Thus Keynes’s uncertainty is not terchnically defined and can easily be thought to be the same of Knight’s concept of uncertainty – but they are quite different. Knight is using an epistemological definition of uncertainty, Keynes has an ontological uncertainty concept. This makes a big difference in understanding how financial institutions and money contracts, especially loan contracts i.e., leverage making contracts, affect financial crisis. What I have done was to use technical language to show Keynes’s general theory rejects several axioms that underlie classical theory. The Classical theory's ergodic axiom underlies Friedman’s monetarism, Lucas’s rational expectations, , and the laissez-faire economic philosophy Fama’s efficient market theory. An axiom is defined as a universal truth that needs not be proven.The ergodic axiom presumes that the same probability distribution that governed past economic outcomes governs all future outcomes. Thus, given the ergodic axiom, the future is statistically predictable– and rational decision makers know (in the actuarial sense at least) what the future is when they make a decision today. Thus, a rational economic person would never sign a loan contract unless he/she “knew” they could service this debt within their known future income and budget constraints. In a classical theory, there can never be a default by optimizing rational people, there can be no foreclosures, and no insolvencies. Hence the theories based on the ergodic axiom cannot develop a useful policy to solve these financial systemic problems when they occur in the world of experience. Keynes rejected the ergodic axiom as a basis for his general theory. Thus, in his general theory, there need not exist any current objective probability distribution that decision makers “know” will govern future outcomes. Without going into details, Knight’s unique events that cause uncertainty is the equivalent of Taleb’s black swan – an occurrence that occurs in an ergodic system but that will have a very low, but still fixed probability , of occurrence. So with a big enough sample one can predict the existence of a black swan financial disaster in a Knight system. In a nonergodic system there is no probability (as Keynes stated in his 1937 article) on which to estimate future outcomes. Thus the necessity to seal economic transaction with monetary contracts that FIX payments into the future!

Sobre los efectos del endeudamiento sobre el valor de los activos (Rajiv Sethi) (este profe de Columbia se marca unas entradas que son auténticos "micropapers"). 

"The latest paper (de Geanakoplos) in the sequence is The Leverage Cycle, to be published later this year in the NBER Macroeconomics Annual. Among the many insights contained there is the following: the price of an asset at any point in time is determined not simply by the stream of revenues it is expected to yield, but also by the manner in which wealth is distributed across individuals with varying beliefs, and the extent to which these individuals have access to leverage. As a result, a relatively modest decline in expectations about future revenues can result in a crash in asset prices because of two amplifying mechanisms: changes in the degree of equilibrium leverage, and the bankruptcy of those who hold the most optimistic beliefs.
De Newmark's Door, los cien mejores documentales científicos disponibles gratis en la red

Entrevista a Nassim Taleb de hace algunos años

DS: Proponents of Value at Risk will argue that it has its shortcomings but it's better than what you had before.
NT: That's completely wrong. It's not better than what you had because you are relying on something with false confidence and running larger positions than you would have otherwise. You're worse off relying on misleading information than on not having any information at all. If you give a pilot an altimeter that is sometimes defective he will crash the plane. Give him nothing and he will look out the window. Technology is only safe if it is flawless. 

Y la valoración por Pablo Triana de Nassim Taleb como el único que apuntó exactamente al origen de la crisis

For VaR did ultimately cause the crisis (and the Taleb-predicted bail-out), precisely by providing reckless bankers with an iron-clad, scientifically-smelling, regulatory-sanctioned alibi to monstrously leverage their balance sheets with the most toxic and illiquid of financial wares. ...VaR (a mathematical model which for the past years has been the tool charged with dictating the capital requirements for banks' trading activities, and which, because of the way it is calculated, consistently delivered very economical price tags for speculation activities thus enabling untold leverage) banks would not have been able to gorge on Subprime CDOs for amounts way larger than their entire equity base... without VaR the pain would have been much more diluted. VaR is supposed to measure expected losses from a trading portfolio... It is calculated by looking at past data and then inferring future market behavior. If markets have been trotting along calmly, as was certainly the case prior to the summer of 2007, VaR will say that there´s no risk ahead. The VaR figure will be small, resulting in small capital charges, allowing banks to have to pay just a little upfront (maybe as little as less than 1%) in order to devour monstrous amounts of those "non-risky" assets. This is valid both for liquid and illiquid stuff since VaR, incredibly, does not discriminate between, say, a Treasury Bond and a CDO; all that matters is what past data says, potentially resulting in the obscene conclusion that a T-Bond may incur a higher capital charge than a CDO. That is, VaR can make it easier (cheaper) for you to gorge on deleteriously lethal stuff than on staid safe alternatives.

Many bankers love to have VaR setting capital charges, because they can use it as the perfect excuse to achieve their golden dream: building up hugely geared bets on hugely junky assets. Since the junk would deliver tasty yields (at least until it inevitably blows up) you would be able to claim extraordinary returns on capital. Headline-grabbing profits, enhanced share prices, and mouthwatering bonuses would surely follow. Traders know that VaR can be made to be negligible (just find the right combination of asset type and time series that would render a placid past period), permissively opening the gates of leverage paradise.

Y tras un paseo por los blogs españoles, uno que parece hecho en un país más rico, En Silicio, de un estudiante de doctorado de la U. Valencia - ingeniería (biología de sistemas) que se llama Francisco Llaneras. El blog es de los buenos.

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