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TheMoneyIllusion货币幻觉

美国本特利大学经济学教授斯科特·萨姆纳(Scott Sumner)

 
 
 

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凯恩斯真是精明的投资者吗?  

2009-07-01 08:33:34|  分类: 默认分类 |  标签: |举报 |字号 订阅

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不要相信历史学家

首先说我很喜欢历史,我认为历史学家有诸多有趣的故事值得聊聊,我不认为历史学家会成为经济学家,然而..

一.这取决于如何定义“伟大”。

打开后边的链接,下拉网页至总统排名这一项,这一排名是历史学家通过1966年的一次民意调查得出的。威尔逊排名第6,而其继任者哈丁排名41;而进行上述调查时,总统总数就是41.对此,我们能说什么?

1.  很长一段时间以来我就知道:威尔逊的经济政策或许是美国历史上最糟的。他主持成立了美联储,开征了所得税,后者从0%开始,一直上升到他当总统时的70%左右。从长远看,美联储的成立未必不是一件好事,但毋庸置疑,1913年成立它,确实为时尚早---我们实在不知道哪一时候比较适宜,可使货币政策对中央银行干预金本位的事情做出担保。一战后很长一段时间内,威尔逊施行了高通胀的政策,而当时我们恰恰需要较低的价格;归因于这一政策,在其执政后期,美国出现了严重的经济萧条----到1921年3月哈丁接任时,工业生产下降了32.5%(您肯定意识到:事情确实糟透了!)

但难以置信的是:到1922年11月,经济恢复了,因为工业生产已经超过了此前的经济周期最高点。(若以3%的增长率计算,截至1923年3月前后,形成了一个新的最高点)。他是如何实现这个的呢?回想一下:胡佛和富兰克林·罗斯福依赖于提高工资和税率的政策---这就是富兰克林·罗斯福的经济复苏用时接近九年的原因,其实直到大约8年半后的1933年7月,当时的工业生产数字还是跟1921年3月一样糟糕;与上述政策不同的是:哈丁实行下调工资和大幅削减所得税率的方针。顺便说一句:您是否认为到2011年1月---奥巴马执政2年以后,工业生产能够全面复苏?

2.  有证据表明:在美国历史上,威尔逊执行的外交政策最具破坏性。本来在美欧之间保有一种微妙的均衡关系,除非想永远呆在欧洲,否则美国无需插手欧洲事物。当然,我知道威尔逊确实希望美国涉足欧洲,但他应当了解:在他将美国引入一战泥潭之前,美国一直是奉行孤立主义的国家。当我们抽身而退(这是必然的)时,一场再竞争是不可避免的。一战时威尔逊外交政策导致的恶果。(116,000多具美国士兵的尸体即为明证)

3.  威尔逊是美国历史上最为残暴的总统,仅仅因为与其政治观点相左,他就镇压了数以千计的人民;而将这些人,比如社会主义领袖Eugene Debs及其他诸人,从监狱中释放的事,就留给了哈丁总统。

4.  此外,我最近刚刚了解到:威尔逊还是狠毒的种族主义者。是的,我知道当时种族主义肆虐美国,但是威尔逊比他之前、之后的共和主义者都要恶劣的多。相关事实,可从Reason magazine中的相关文章找到。

所以我们说:若不考虑他所施行的可恶的经济政策、外交政策、公民自由和权利,威尔逊确实是一位伟大的总统。而哈丁,则是有史以来最糟糕的一位。那么,哈丁犯了什么罪过呢?他的几名副手收取贿赂。但是,这不是常见的现象吗?难道艾森豪威尔、约翰逊、尼克松、卡特、里根、布什和克林顿的内阁成员没有沾染丑闻吗?我希望任何历史学家能够详述,明确的告诉我:为什么威尔逊是位伟大的总统,而哈丁则是美国有史以来最为差劲的一位?难道是因为威尔逊更为活跃吗?难道历史学家们遵循了“伟大”一词的原有含义----它在一定程度上意味着“强权”?

二. 凯恩斯真是精明的投资者吗?

昨晚在阅读《财金之王》(The Lords of Finance )时,我开始认真考虑这一问题,(顺便说一句:迄今为止,这确实是一本好书,虽然其中有个小观点我并不认同)。看一下,您如何理解下述内容:

“1920年初,他(凯恩斯)同他兄弟、Bloomsbury区的几位相交,以及来自伦敦的一位金融家朋友,共同组建了一个辛迪加。截至1920年4月底,他们又增投了80,000美元;然而事有突然,在接下来不足4周的时间内,刮起了一阵看好德国的狂风,使德国马克这一衰败的货币起死回生,也刮走了凯恩斯他们所有的资本。凯恩斯发现自己处于破产的边缘,借助于其仁慈的父亲,才得以保释。无论如何,得益于其家庭的骄纵,并因从Ernest Cassel先生---一位敏锐稳重的金融家处获得一笔借款,凯恩斯依然坚持其投机活动。”

试想一下,若非他富裕的父亲和朋友,这位狂妄自大、自作聪明的家伙将会完败,或许会在某地挖坑修渠而惨了余生,这样,我们也就不可能听到他的名字。但他确实有一位富裕的老爹,而且还把他保释出来。

应当提醒业余心理学家的是:的确,上中学时我没有参与学校的Bloomsbury团体,而且在大学和研究生阶段,我也没有取得经济扶助。

难道没有人要写点什么,告诉我凯恩斯从事了其他诸项精明的投资吗?事实是:如果有一位富足的外场手,做什么都无所谓。下面我将说一下,如果比尔盖茨能够借给我3.57亿美元,一天内我将做些什么?

我会去拉斯维加斯,将500万美元扔在轮盘赌机,从数字1到34,一个不落。我大概有90%的可能性能赢,这种情况下,我将从170百万美元的赌注中赢取180百万美元。还上3.57亿美元借款后,我将怀揣10万美元,从此过上富足的余生,天天剪礼券。若出现数字35、36、0或者00,我将再赌一次,这次从数字1到34,我将各投100百万美元,如果赢了,我将收获3.6亿美元,偿还盖茨后,我还剩下30百万美元,借以安享余生。从这两场赌博中,我获胜的几率接近99%。当然,若两次赌博我都失败,我将惹上大麻烦。不过,全输的情况不太可能出现,不是吗?

这说明什么?如果有一位富足的外场手,您就将相对轻松地赶上投资策略,多数情况下(并非总是),这些策略将使您看起来好像天才。从此刻起,若有人告诉我凯恩斯是以为伟大的投资者,我将不再相信。这有关系吗?或许没有关系,但不幸的是:这确实有关系。如果凯恩斯的投资声誉同费雪(他曾在1929年呼吁股票公平定价)的声誉一样,则没人会把他在12章“一般原理”中的观点当回事,在这一章中,凯恩斯极力诋毁有效市场假说;在这一章中,充满了抢座位游戏、选美比赛、冰块价格随季节变动等乌七八糟的内容。但我仅关心他关于“投资者只注重短期”的论断,因为评论家对此做出了诸多评价。

假设投资者只注重短期,比如说他们持有股票为期5年。那么:若某生化公司预期在15年内不会取得任何突破,那么它的价值何在?假设它是有价值的,且它的突破以10亿美元的价格出售给某一大型制药企业。那么此时此刻,它的股票有价值吗?是的,因为目前的投资者知道,这一股票10年后(假设投资者依然只拥有5年的期限)价值的现值为10亿美元,而5年后,投资者将会实现这一价值。通过向后的推导,我们发现:股票的现值,恰恰是投资者所长期关注的。若您不相信我,请将一份20年和30年票据与等值息票价值进行对比。对这种情况,历史学家说:投资者有太多远期利益需要关注,所以他们对没有任何收益的生化股票表现出十足的耐心;从这一意义上说,凯恩斯关于投资的观点的确聪明和精密,但是仔细观察后发现,其观点空无一物。

凯恩斯同经济学家费雪不可同年而语。在其第12章“一般原理”中,凯恩斯根本没有理解费雪效应是如何升高名义利息的。我们教授自校正经济政策和货币政策时,所应用的AS/AD模型是一个绝佳的稳定性工具,这一工具完全由费雪创制。凯恩斯在其1923和1925年的论文中,确实发展了有关经济周期的“飞利浦曲线模型”---这一成就比飞利浦本人早30多年。凯恩斯不相信自校正机制,或者经济萧条中货币政策的效用。他的一般原理意在解释名义GDP,但他连名义GDP是如何确定的,都没有做出说明。

我担心太多的经济学家掉进了凯恩斯对理性预期不屑一顾的陷阱。我大致记得:克鲁格曼在其Lionel Robbins一书中说:他实在不能理解,为什么会有人关注股票市场。毫无疑问,在经济学家中间弥漫着这样的情绪,他们对来自股票投资者的信息不屑一顾,正如Paul Einzig定义的一样,他认为这些投资者是“下等人”。为什么应当关注投资者的想法呢?原因如下:

1. 如果美联储对1929年的股市崩盘有所关注,则他们不会允许美国货币基础在1929年10月至1930年10间骤然崩溃。

2.  如果美联储推行了扩张性的货币政策,那么1930年的经济大萧条或许不会如此严重。

3. 如果1930年大萧条没有这么严重,那么也不会引起如此严重的银行恐慌。

4.  如果没有如此严重的银行恐慌,也许根本就没有经济大萧条本身。

5.  如果没有经济大萧条,那么纳粹或许就不会在德国出现(1929年时,纳粹还是一个小党派。)

这合理吗?或许我还应提及1937年10月因美联储未能足够关注,而引起的股票灾难?您可以回想一下:当时美联储(Paul Krugman也是如此)不希望当年的失业率徘徊在9.4%周围。说实话,我也不希望这样。但市场证明,美联储的政策实在是没有达到收缩效果;而1929年,市场是正确的,美联储错了。正是这些看上去无关紧要的论点说明:讨论凯恩斯是否是位精明的投资者,很有必要。

(翻译纠错。读者发现任何翻译错误请发邮件给我们,谢谢:caijingblog#126.com 将#改为@)


英文原文(地址:http://blogsandwikis.bentley.edu/themoneyillusion/?p=1652):

Don’t trust historians

Let me say first that I like history.  I think historians have a lot of interesting things to say and I don’t think historians should be economists.  But . . .

I  It depends on the definition of “great.”

Go to the following link and scroll down to the Ranking of presidents by historians in a 1996 poll.  Wilson is ranked 6th whereas his successor Harding is ranked 41st.  That’s 41st out of 41 presidents when the poll was conducted.  Where does one even start?

1.  I had known for quite some time that Wilson’s economic policies were perhaps the worst in American history.  He presided over the creation of the Fed and the income tax, which went from 0% to something like 70% while he was president.  In the long run the Fed may have been a good thing, but there can be no doubt that 1913 was premature, we didn’t know anywhere near enough about monetary policy to warrant a central bank meddling in the gold standard.  He presided over a period of very high inflation after WWI, when we actually needed somewhat lower prices.  Then we had a severe depression in his last year of office.  Industrial production had fallen by 32.5% by March 1921 when Harding took office (and you think things are bad now!)

But guess what; by November 1922 we had recovered, as industrial production had already passed the previous cyclical peak.  (If you factor in a 3% trend rate of growth, a new peak was reached around March 1923.)  How did he do it?  Recall that Hoover and FDR relied on policies of propping up wages and raising tax rates—that’s why FDR’s recovery took nearly nine years, and even 8 and 1/2 years from a July 1933 industrial production figure that was roughly as depressed as March 1921.)  Instead, Harding let wages fall and cut income tax rates sharply.  BTW, do you think industrial production will fully recover by January 2011, after Obama has been in office for 2 years?

2.  Wilson had arguably the most destructive foreign policy in American history.  When there is a delicate balance of power in Europe you don’t want to meddle unless you plan to stay there permanently.  Yes, I know Wilson did intend the US to hang around, but he should have known we were an isolationist country before he brought us into WWI.  All he did was assure that the strongest country in Europe lost.  When we pulled out (as was inevitable), a rematch was almost preordained.  WWII was the fruit of Wilson’s foreign policy.  (As were more than 116,000 dead American soldiers.)

3.  Wilson was one of the most repressive presidents in American history, imprisoning thousands of people whose only crime was to disagree with his political views.  It was left to Harding to release people like Socialist leader Eugene Debs from prison, as well as many others.

4.  And I also recently learned that Wilson was a vicious racist.  Yes, I know racism was widespread at the time.  But he was much worse than the Republicans who came before and after him.  Check out this article from Reason magazine.

So other than being a horrible president in terms of economic policy, foreign policy, civil liberties and civil rights, he was a great president.  And Harding was the worst ever.  What was Harding’s great crime?  A few of his aides took bribes.  But isn’t that common?  Didn’t Eisenhower and Johnson and Nixon and Carter and Reagan and Bush and Clinton have cabinet secretaries that got involved in scandals?  I welcome any historians to write in and tell me exactly why Wilson is a great president and Harding is the worst ever.  Is it just a question of Wilson being more active?  Are historians using the old fashioned definition of “great,” which meant something like “powerful?”

II.  Was Keynes really a savvy investor?

I got to thinking about this issue last night well reading The Lords of Finance (which by the way is a fine book so far, despite one little point I will nit pick.)  See what you make of this:

“In early 1920, he [Keynes] set up a syndicate, with his brother, some of the Bloomsbury circle, and a financier friend from the City of London.  By the end of April 1920, they had made a further $80,000.  Then suddenly, in the space of 4 weeks, a spasm of optimism about Germany briefly drove the declining currencies back up, wiping out their entire capital.  Keynes found himself on the verge of bankruptcy and had to be bailed out by his tolerant father.  Nevertheless, propped up by his indulgent family and by a loan from the coolly acute financier Sir Ernest Cassel, he persevered in his speculation”

Translation, without help from his rich daddy and rich friends, this cocky, arrogant, smart-aleck would have fallen on his face, ended up digging ditches somewhere and we would never have heard of him.  But he did have a rich daddy, who bailed him out.

[Alert to amateur psychologists:  Yes, I was not in my high school's Bloomsbury group, and I worked my way through college and grad school w/o financial aid.]

Don’t anyone write in and tell me that Keynes made lots of other good investments, because if you’ve got a rich backstop, none of that matters.  Here’s what I’d do if Bill Gates was willing to lend me $3.57 billion dollars for a day:

I’d go to Vegas and put $5 million on numbers 1 through 34 on the roulette wheel.  The odds are roughly 90% I’d win.  If I did so, I’d win $180 million on a bet of $170 million.  I repay the $3.57 billion and pocket my $10 million dollars and be rich for the rest of my life, clipping coupons.  If numbers 35, 36, 0, or 00 came up I’d bet again, this time $100 million on each number 1 through 34.  If I won, I’d receive $3.6 billion, repay Gates, and have $30 million dollars to spend for the rest of my life.  The odds are nearly 99% that I’d win one of these two bets.  Of course if both failed, I’d be in big trouble.  But that’s not very likely is it?

What’s the point?  If you have a rich backstop it’s relatively easy to come up with investment strategies that will usually (not always) make you look like a genius.)  From now on I will never believe anyone who tells me that Keynes was a great investor.  Does this matter?  It shouldn’t, but unfortunately it does.  If his investment reputation was like Fisher’s (calling stocks fairly priced in 1929) nobody would take seriously his Chapter 12 in the General Theory where he tries to shoot down the efficient market hypothesis.  That is the chapter that has a lot of nonsense about musical chairs, beauty contests, and the seasonality of ice prices.  But I’d like to focus on his assertion that investors only care about the short run, because I hear this argument a lot from commenters.

Suppose investors only cared about the short run, as they only intended to hold shares for 5 years.  What would be the value of a biotech company that did not expect a breakthrough to occur for 15 years?  To estimate it’s value, let’s suppose that the breakthrough is expected to be worth $10 billion, if the patent were sold to a big pharma  company.  So would the stock be worth anything today?  Yes, because investors today would know that 10 years from now (if investors still had a 5 year horizon) the stock would be worth the present value of $10 billion earned 5 years later.  Through backward induction we can see that the current value of the stock would be exactly the same as if investors had a long term focus.  In case you don’t believe me, contrast the difference in value between a 20 and 30 year bond with equal coupon payments.  All the differences occur in the out years, and yet those differences get correctly priced into the current market values of the bonds.  If anything, history suggests that investors have too much of a long term focus, as they have been remarkably patient with biotech stocks lacking any earnings at all.  So Keynes’ views on investment are superficially witty and sophisticated, but on closer examination are intellectually empty.

Keynes was no where near the economist Fisher was.  In Chapter 12 of the GT (p. 142) he completely fails to understand how the Fisher effect can raise nominal interest rates.  The AS/AD model we teach with its self-correcting economy and monetary policy being the preferred stabilization tool is pure Fisher.  It is right out of his 1923 and 1925 papers where he developed a “Phillips Curve model” of the business cycle more than 30 years before Phillips.  Keynes didn’t believe in a self-correcting mechanism or in the efficacy of monetary policy in a depression.  His GT purports to explain changes in NGDP, but has no explanation for how NGDP is determined.

I worry that too many economists on the left have bought into his scorn for rational expectations.  I vaguely recall Krugman making an offhand comment in his Lionel Robbins talks about failing to understand why anyone would pay attention to the stock market.  Certainly there is a widespread disdain among economists for the message from stock investors, who Paul Einzig affectionately termed the “submen.”  Why should we care what investors think?  Here’s one reason:

1.  If the Fed had paid attention to the 1929 stock market crash maybe they wouldn’t have let the US monetary base fall sharply between October 1929 and October 1930.

2.  And maybe if the Fed had pursued an expansionary monetary policy the Depression would have been less severe in 1930.

3.  And maybe if the Depression was less severe in 1930 we would never have had such serious bank panics.

4.  And if we had not had serious bank panics then maybe there would never have been a Great Depression.

5.  And if there had been no Great Depression it seems far less likely that the Nazi’s would have been elected in Germany.  (They were a tiny party in 1929.)

Is that reason enough?  Or should I also mention what happened when the Fed didn’t pay any attention to the stock crash of October 1937?  Or how about last October’s crash?  You may recall that at that time the Fed (and for that matter Paul Krugman) did not expect the unemployment rate to get anywhere near 9.4% this year.  To be honest, neither did I.  But I knew the markets were saying that Fed policy was far too contractionary.  And just as in 1929, the markets were right and the Fed was wrong.

That’s why these seemingly unimportant debates over whether Keynes was a good investor actually matter.

  [点击查看Scott Sumner的英文博客 [Scott Sumner中文博客]  

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