Samuelson and Davidson on ergodicity: A reformulation

The concept of ergodicity in economics seems to have the qualities of a shibboleth—a word or saying used by adherents of a party, sect, or belief, and usually regarded by others as empty of real meaning. It is in use by both neoclassical economics—after Samuelson (1965 Samuelson, P. A. “Proof That Properly Anticipated Prices Fluctuate Randomly.” Industrial Management Review, 1965, 6 (2), 41–49.[Web of Science ®] , [Google Scholar], p. 43), who used the term in his paper on what later became a foundation of the efficient market hypothesis—and post Keynesian economics—after Davidson, who picked up the term in order to highlight methodological differences. Considering the origin of the concept in statistical physics and its use in the topology of dynamical systems, which most economists are not conversant with, the importance ascribed to ergodicity in economic debate seems mystifying. We deconstruct the meaning of the term in the major contributions of Samuelson and Davidson. We suggest an alternative to (non)ergodicity to discuss the nature of randomness in the real world. While neoclassical theory assumes stochastic randomness, post Keynesians assume nonstochastic randomness, a term developed by the mathematician Kolmogorov (1986 Kolmogorov, A.N. “On the Logical Foundations of Probability Theory.” In K. Ito, and J.V. Prokhorov (eds.), Probability and Mathematical Statistics, Moscow, 1986, pp. 467–471. [Google Scholar], p. 467). We argue that even in an ergodic world there is a problem with the idea that stochastic randomness can be dealt with by the financial system.     

Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard

This paper tests an efficient market hypothesis for the Russian ruble–UK sterling exchange rates in the gold standard period 1897–1913. Using Bayesian Markov Chain Monte Carlo methods it is shown how to test a weak-form market efficiency in a doubly truncated regression model with ARMA-GARCH error. The suggested model accounts for time series characteristics of the data and bounds of exchange rates caused by the gold points and government intervention. We find that the weak-form efficiency hypothesis can not be rejected for the gold standard ruble exchange rates in both St.Petersburg and London markets.

市场选择假说最新研究述评

金融市场中出现的大量“异常现象”,使得有效市场假说受到严重的挑战。而对于“非理性的交易者能否生存”问题的回答,则直接涉及有效市场假说的核心,对整个标准金融理论有重要影响。正因如此,自Alchian和Friedman提出“市场选择假说”以来,对该问题的争论就从未停止过。本文通过对“市场选择假说”研究进行较系统地综述,以期为中国金融市场的研究提供一些借鉴,从而使相关研究更贴近于实际金融市场。     

分形及其在证券市场上的应用

比较了有效市场假设与分形市场假设,也即比较了证券市场的线性与非线性的观点,同时还对沪深股指通过比较周收益率与日收益率的分布发现指数的分形特征。     

Are the markets for financial assets efficient? : Evidence for the USA, 1974–1988

The analysis in this paper addresses the efficient markets hypothesis as it pertains to the markets for financial assets. Both weak form efficiency and semistrong form efficiency are investigated for three different financial assets - common stocks, preferred stocks and government bonds. For these assets the markets are indicated to be weak form efficient based on monthly data covering the period January 1974 to June 1988. In the case of semistrong form efficiency, the financial assets markets are efficient with respect to the supply of money for the period after October 1979 but not before. This anomaly is attributed to the different procedures used by the Federal Open Market Committee between the two periods for controlling the growth rate of the money supply.     

保险产业市场结构和市场绩效的关系研究

对于市场结构和市场绩效的关系问题,理论界存在两个较为权威的假说,即市场力量假说和效率结构假说。笔者通过实证分析检验这两个假说在我国保险市场中的适用性,认为在我国保险市场存在传统的市场结构—市场行为—市场绩效假说,保险市场可以通过增加有效率企业的数量,引入竞争机制,最终通过市场自然选择的过程,形成少数新的规模大并能够具有市场力量的保险公司,从而提高保险业的绩效水平。     

The legal theory of finance and the financial instability hypothesis: Convergences and possible integration

This article presents the legal theory of finance (LTF) and compares it with the financial instability hypothesis (FIH), identifying points of convergence and divergence. The study aims to contribute to the literature by connecting these theories and provides the following main conclusions. First, the LTF incorporates aspects of the FIH, as the theories share several key elements, particularly the presence of fundamental uncertainty, the constraint of liquidity, and the necessity for governments to act as lenders of last resort. Second, the liquidity concept used in the LTF can be better comprehended with the use of Keynesian and post Keynesian literature on the topic. Third, the LTF aims to advance and update certain aspects of Minsky’s theory, particularly with regard to the globalization of markets, power relations, and the interdependencies of the political economy of finance. The study concludes that the theories are more complementary than divergent and future studies should create an analytical framework that integrates the theories’ most insightful aspects.     

How Important Are Scale Effects for Growth When Knowledge Is a Public Good?

In this paper, by proposing an R&D accumulation law for an economy with an expanding number of firms, I seek to reconcile the following three facts: the positive relationship between the fraction of income allocated to R&D expenditure and growth; the positive relationship between the number of firms and total factor productivity growth; and knowledge as a non‐rival and non‐excludable good. There are scale effects because of the public nature of knowledge, but the economy also grows in the absence of population growth. I find that population growth explains one‐fifth of market income growth but only one‐sixteenth of efficient income growth.     

国际金融形势分析与展望

2002年全球金融板块呈现调整特征:一是国际股票市场全线大跌,但其他市场却有不同程度的“好”行情;二是股票、风险投资等直接融资受挫,银行信贷等间接融资重拾风光;三是美元强货币走跌,欧元等弱货币走强;四是美国等强势金融体遭困,东南亚等弱势金融体逞强。与此相对应,中国的对外金融呈现一派繁荣景象,以开放促改革的局面初步形成。     

处于21世纪经济运行轴心的中国资本市场

现代科技与现代金融是推动21世纪经济增长的两个巨轮,发达的资本市场是现代金融的心脏和特征性标志,我们应从国家战略的高度和经济发展的逻辑角度来认识中国资本市场的发展问题。     

Optimality and Natural Selection in Markets

We ask if natural selection in markets favors profit-maximizing firms and, if so, is there a difference between the predictions of models which assume all firms are profit maximizers and the predictions of models which explicitly take account of population dynamics in the market. We show that market selection favors profit maximizing firms, but we also show that the long-run behavior of evolutionary market models is nonetheless not consistent with equilibrium models based on the profit-maximization hypothesis. Dynamic equilibrium paths with market selection are not Pareto optimal, nor even asymptotically optimal. The discrepancy arises because the dynamics created by firm evolution causes prices to vary over time and the resulting dynamical system need not have stable steady states.     

Asymmetry in forward exchange rate bias: A puzzling result

In this paper we document that the hypothesis that the forward exchange rate discount is an unbiased predictor of future currency depreciation holds in periods when the forward US dollar is quoted at a premium against the Japanese yen and the Deutschmark, but fails when it is quoted at a discount for the post-Bretton Woods floating exchange rate era. Moreover, the observed asymmetry is statistically significant. This puzzling result remains to be explained.     

Quantifying central banks’ scientization: why and how to do a quantified organizational history of economics

ABSTRACT

A subset of research in the history of economics is organizational history – i.e. the study of the organizations producing, circulating and applying economic ideas. This article maintains that some research questions in organizational history call for quantitative methods because they ask about magnitudes. More precisely, we claim that quantitative methods should complement rather than replace other research methods when the research question is at least partly about magnitudes. We walk the walk with a study of one type of organization, central banks, and of its changing relationship with economic science. Our results point unambiguously toward a growing dominance of central banks in the specialized field of monetary economics. Central banks have swelling research armies, they publish a growing share of the articles in specialized scholarly journals, and these articles tend to have more impact today than the articles produced outside central banks.     

Rio plus Ten: Politics,Poverty, and Environment

The purpose of this paper is to contrast the work of Douglass North and Karl Polanyi regarding financial institutions associated in market economies. Both implicitly acknowledge the synergy between public and private financial markets, which can serve to solidify an alliance between wealth holders and the state, potentially at the expense of “sociery” at large. This alliance may stimulate growth, according to North, as well as impose the strain of the market, according to Polanyi. Taken together, these insights undercut the classical story of the neutral role of money, as well as the notion of a clear distinction between public and private, politics and markets.     

Dealing with the Duhem-Quine thesis in financial economics: can causal holism help?

Acceptance of the Duhem–Quine thesis implies a recognitionthat empirical tests of individual hypotheses are in fact testsof individual hypotheses in conjunction with the networks fromwhich those hypotheses are derived. This leads to a problemin the evaluation of disconfirming evidence: is it the individualhypothesis or the network that is refuted? This paper examineshow financial economists deal with this ‘joint-testing’problem in their empirical evaluation of the efficient marketshypothesis. Causal holists argue that the holistic testing theyespouse circumvents the difficulties surrounding joint-testingproblems. This paper assesses whether a causal holist approachcan resolve the ambiguity surrounding the evidence against theefficient markets hypothesis. It concludes that, without a resolutionof the ontological–epistemological tension in causal holismidentified by Fleetwood (Cambridge Journal of Economics, 2002,vol. 26, 27–45) and a clearer outline of the nature ofholistic testing, causal holism cannot help financial economistsdeal with the implications of the Duhem–Quine thesis forempirical testing.