• Теги
    • избранные теги
    • Люди267
      • Показать ещё
      Страны / Регионы284
      • Показать ещё
      Разное702
      • Показать ещё
      Компании532
      • Показать ещё
      Показатели107
      • Показать ещё
      Международные организации24
      • Показать ещё
      Формат81
      Издания110
      • Показать ещё
      Сферы6
16 апреля, 07:58

ФРС признала"мыльный" пузырь...

Свежие минутки ФРС удивили публику откровенностью. Впервые чуть ли не с 1996 года ФРС заявила, что американские фондовые индексы перегреты, а цены на акции, соответственно, завышены. Вот, что пишет по этому поводу «Блумберг»: «Некоторые участники рассматривали цены акций как довольно высокие по сравнению со стандартными мерами оценки», — говорится в протоколах дискуссий ФРС, опубликованных в среду. «Некоторые меры оценки, такие как соотношение цены и прибыли, выросли выше исторических норм», — отметил центральный банк. Сложно не согласиться с наблюдениями ФРС. Действительно, соотношение цены акций и прибыли по ним, так называемый индекс Shiller PE, кричит об опасности. Нобелевский лауреат Роберт Шиллер предсказал как минимум крах доткомов и кризис 2008 года, поэтому есть все основания доверять его методике и на этот раз — акции стоят так неоправданно дорого, что биржевой крах, пожалуй, только вопрос времени.

13 апреля, 12:00

Чем ФРС шантажирует Трампа

Свежие минутки ФРС удивили публику откровенностью. Впервые чуть ли не с 1996 года ФРС заявила, что американские фондовые индексы перегреты, а цены на акции, соответственно, завышены. Вот, что пишет по этому поводу «Блумберг»: «Некоторые участники рассматривали цены акций как довольно высокие по сравнению со стандартными мерами оценки», — говорится в протоколах дискуссий ФРС, опубликованных в среду. «Некоторые меры оценки, такие как соотношение цены и прибыли, выросли выше […]

10 апреля, 03:35

What Will The Trump Economy Look Like?

When the economy generated over 200,000 new jobs in January and again in February, Donald Trump suddenly decided that he respected the government statistical agencies. But when the economy produced only 98,000 jobs in March, the Administration was uncharacteristically quiet. That same report revised the earlier numbers downward by about 38,000 jobs. Compared with a year earlier, job creation in February and March declined by 56.4%. So, what sort of economy will the Trump presidency produce and how will it affect the elections of 2018 and 2020? The stock market likes Trump. After a brief dip in stock prices following his election (financial markets famously hate uncertainty), stock traders decided they like Trump. With deregulation, tax cuts, infrastructure spending, weakening of trade unions, and Trump back-pedaling on a threatened trade war, what’s not to like? But gains in stock prices reflect expected higher profits, not a healthier real economy. Even if the market keeps doing well, that doesn’t translate into better conditions for ordinary workers and consumers. At some point, higher profits come at the expense of wage gains. In addition, there is likely to be a duel between a rising deficit driven by tax cuts and a newly prudent Federal Reserve. The deficit will produce economic stimulus, but the three interest rates hikes predicted for the next year will restrain it. What’s the net-net? It’s anybody’s guess. Little is likely to change for the better in the economic outlook of the people who voted for Donald Trump. In addition, the spike in stock prices suggests to some that the market is also close to bubble territory. Yale’s Nobel economist, Robert Shiller, who warned about the 2008 collapse, says the market is already way overvalued. And the coming gutting of the Dodd-Frank Act and of other regulatory protections against financial abuses will increase the risk of a new cycle of bubble and crash. In terms of other strategies of job creation, there is no miracle cure consistent with the economic policies likely to be delivered by Trump and the Republican majority in Congress. The Goldman-Sachs wing of the administration has already won the power struggle with the economic nationalist wing on trade policy. The infrastructure program is likely to be a fake, based on tax credits and privatizations rather than increased public investment. The continued assault on public workers will undercut one of the few oases of secure middle-class jobs. Bottom line: Little is likely to change for the better in the economic outlook of the people who voted for Donald Trump. States that made the difference for Trump, like the industrial upper Midwest, are still in a long-term industrial slide. The stock market may or may not settle back down to earth between now and 2018. But there will be little in the way of bragging rights for Trump to claim for the workaday economy. On the contrary, the trends of more contingent work—Task Rabbits, Amazon warehouse pickers, Uber drivers, temp workers—is likely to intensify. More robots will be replacing more human work. Fewer good payroll jobs will be on offer. As a consequence, the Republicans are likely to follow the usual pattern of lost seats in Congress in the first mid-term election of a new president’s administration. And Trump’s personal unpopularity, plus the remarkable mobilization of grassroots progressives are likely to add to the downdraft. As Trump would say, it’s going to be great.   Robert Kuttner is co-editor of The American Prospect and professor at Brandeis University’s Heller School. His latest book is Debtors’ Prison: The Politics of Austerity Versus Possibility. http://www.amazon.com/Debtors-Prison-Politics-Austerity-Possibility/dp/0307959805 Like Robert Kuttner on Facebook: http://facebook.com/RobertKuttner Follow Robert Kuttner on Twitter: www.twitter.com/rkuttner type=type=RelatedArticlesblockTitle=Related... + articlesList=586e9b82e4b08052400ee0b2,58e7c466e4b05413bfe2a19d,58c2c9fae4b0d1078ca6579f,5894b081e4b0c1284f259c12 -- This feed and its contents are the property of The Huffington Post, and use is subject to our terms. It may be used for personal consumption, but may not be distributed on a website.

10 апреля, 03:35

What Will The Trump Economy Look Like?

When the economy generated over 200,000 new jobs in January and again in February, Donald Trump suddenly decided that he respected the government statistical agencies. But when the economy produced only 98,000 jobs in March, the Administration was uncharacteristically quiet. That same report revised the earlier numbers downward by about 38,000 jobs. Compared with a year earlier, job creation in February and March declined by 56.4%. So, what sort of economy will the Trump presidency produce and how will it affect the elections of 2018 and 2020? The stock market likes Trump. After a brief dip in stock prices following his election (financial markets famously hate uncertainty), stock traders decided they like Trump. With deregulation, tax cuts, infrastructure spending, weakening of trade unions, and Trump back-pedaling on a threatened trade war, what’s not to like? But gains in stock prices reflect expected higher profits, not a healthier real economy. Even if the market keeps doing well, that doesn’t translate into better conditions for ordinary workers and consumers. At some point, higher profits come at the expense of wage gains. In addition, there is likely to be a duel between a rising deficit driven by tax cuts and a newly prudent Federal Reserve. The deficit will produce economic stimulus, but the three interest rates hikes predicted for the next year will restrain it. What’s the net-net? It’s anybody’s guess. Little is likely to change for the better in the economic outlook of the people who voted for Donald Trump. In addition, the spike in stock prices suggests to some that the market is also close to bubble territory. Yale’s Nobel economist, Robert Shiller, who warned about the 2008 collapse, says the market is already way overvalued. And the coming gutting of the Dodd-Frank Act and of other regulatory protections against financial abuses will increase the risk of a new cycle of bubble and crash. In terms of other strategies of job creation, there is no miracle cure consistent with the economic policies likely to be delivered by Trump and the Republican majority in Congress. The Goldman-Sachs wing of the administration has already won the power struggle with the economic nationalist wing on trade policy. The infrastructure program is likely to be a fake, based on tax credits and privatizations rather than increased public investment. The continued assault on public workers will undercut one of the few oases of secure middle-class jobs. Bottom line: Little is likely to change for the better in the economic outlook of the people who voted for Donald Trump. States that made the difference for Trump, like the industrial upper Midwest, are still in a long-term industrial slide. The stock market may or may not settle back down to earth between now and 2018. But there will be little in the way of bragging rights for Trump to claim for the workaday economy. On the contrary, the trends of more contingent work—Task Rabbits, Amazon warehouse pickers, Uber drivers, temp workers—is likely to intensify. More robots will be replacing more human work. Fewer good payroll jobs will be on offer. As a consequence, the Republicans are likely to follow the usual pattern of lost seats in Congress in the first mid-term election of a new president’s administration. And Trump’s personal unpopularity, plus the remarkable mobilization of grassroots progressives are likely to add to the downdraft. As Trump would say, it’s going to be great.   Robert Kuttner is co-editor of The American Prospect and professor at Brandeis University’s Heller School. His latest book is Debtors’ Prison: The Politics of Austerity Versus Possibility. http://www.amazon.com/Debtors-Prison-Politics-Austerity-Possibility/dp/0307959805 Like Robert Kuttner on Facebook: http://facebook.com/RobertKuttner Follow Robert Kuttner on Twitter: www.twitter.com/rkuttner type=type=RelatedArticlesblockTitle=Related... + articlesList=586e9b82e4b08052400ee0b2,58e7c466e4b05413bfe2a19d,58c2c9fae4b0d1078ca6579f,5894b081e4b0c1284f259c12 -- This feed and its contents are the property of The Huffington Post, and use is subject to our terms. It may be used for personal consumption, but may not be distributed on a website.

07 апреля, 10:17

Ключевые главы из книги «Охота на простака. Экономика манипуляций и обмана»

В издательстве «Манн, Иванов и Фербер» вышла книга «Охота на простака. Экономика манипуляций и обмана». Авторы – два лауреата Нобелевской премии по экономике Джордж Акерлоф и Роберт Шиллер – объясняют, что такое поведенческая экономика и как она позволяет манипулировать человеческими слабостями.

05 апреля, 02:20

The CAEY Ratio & Forward Returns

Authored by Lance Roberts via RealInvestmentAdvice.com, Over the last couple of week’s (see here and here), I have been discussing the value of Shiller’s CAPE ratio. The Cyclically Adjusted P/E ratio, or CAPE, is often maligned by the media as “useless” and “outdated” because despite the fact the ratio is currently registering the second highest level of valuation is history, the markets haven’t crashed yet.  Of course, the key word is…YET. In the second article, I shortened the length of the CAPE ratio to make it more sensitive to price movements which sparked a good discussion on Twitter about forward return analysis using a shortened smoothing period. Leave it to my friend John Hussman to do the heavy lifting: .@ndunivant @LanceRoberts @MebFaber On question about CAPE5 vs CAPE10: CAPE isn't our own preferred metric by a longshot, but here you go. pic.twitter.com/M8rNB3gdUC — John P. Hussman (@hussmanjp) March 27, 2017 Of course, the obvious question is what are his favorite metrics? Here you go. @drenerbas @ndunivant @LanceRoberts @MebFaber Metrics w/ higher and more stable correlation w/ subsequent returns have clearer implications. pic.twitter.com/riXyQKMd68 — John P. Hussman (@hussmanjp) March 28, 2017   Within all of this is a simple point. No matter how you cut it, slice it, dice it, twist it, abuse it, or torture it – valuations matter in the long run. But therein lies the problem, valuations are NOT, and never have been, a market timing tool. It is about the value you pay for something today and the return you will receive in the future, and a point that Research Affiliates recently took a very interesting approach to in a recent report: “Academics have suggested various reasons for sustained higher equity valuations, from the microstructure benefits of improved participation and lower transaction costs to the macroeconomic benefits of larger profit shares. We examine the explanation put forward by Lettau, Ludvigson, and Wachter (2008) that rising valuations are propelled by the large reduction of macroeconomic risk in the US economy. Their intuition is simple—investors require lower returns from equity markets when the aggregate volatility of the economy is lower. It should come as no surprise that investors are glad to pay a higher price and accept a lower return for investing in a stock market that delivers less uncertainty.   Today’s economy is drastically different from just a few decades ago, and radically different from a century ago. Judging from the volatility of two major macroeconomic variables—real output growth and inflation—it has changed for the better. From the days before the US Federal Reserve Bank until today, the annual volatility of the economy has tumbled about 80%.   When we plot the measure of macro volatility with the inverse of a very popular valuation metric, Robert Shiller’s cyclically adjusted price/earnings ratio (CAPE), we find an intriguing and significant positive correlation between expected real equity returns and the aggregate volatility of the economy. Under the restrictive assumption that prices are fair and an appropriate return on retained profits, we assert that earnings yields are an appropriate proxy for an equity market’s future real return. For clarity, we name the inverse of the CAPE, an earnings yield, the cyclically adjusted earnings yield (CAEY).  Research Affiliates makes some very interesting points and the entire paper is worth reading. However, I was most interested in the concept of the Cyclically Adjusted Earnings Yield (CAEY) ratio and its relationship to forward real returns in the market. While the statement that lower valuations, inflation, and lower volatility are supportive of higher valuations is true, there have also been other issues as well as I addressed last week: Beginning in 2009, FASB Rule 157 was “temporarily” repealed in order to allow banks to “value” illiquid assets, such as real estate or mortgage-backed securities, at levels they felt were more appropriate rather than on the last actual “sale price” of a similar asset. This was done to keep banks solvent at the time as they were being forced to write down billions of dollars of assets on their books. This boosted banks profitability and made earnings appear higher than they may have been otherwise. The ‘repeal” of Rule 157 is still in effect today, and the subsequent “mark-to-myth” accounting rule is still inflating earnings. The heavy use of off-balance sheet vehicles to suppress corporate debt and leverage levels and boost earnings is also a relatively new distortion. Extensive cost-cutting, productivity enhancements, off-shoring of labor, etc. are all being heavily employed to boost earnings in a relatively weak revenue growth environment. I addressed this issue specifically in this past weekend’s newsletter. And, of course, the massive global Central Bank interventions which have provided the financial “put” for markets over the last eight years.  Furthermore, the point suggesting investors are willing to accept lower returns in exchange for lower volatility is intriguing.  While academically speaking I certainly understand the point, I am not so sure the average market participant does who is still being told to bank on 6-8% annualized rates of return for retirement planning purposes.  However, this brings us to the inverse of the P/E ratio or Earnings Yield. The earnings yield has often been used by Wall Street analysts to justify higher valuations in low interest rate environment since the “yield on stocks” is higher than the “yield on risk free-assets,” namely U.S. Treasury bonds. This is a very faulty analysis for the following reason. When you own a U.S. Treasury you receive two things – the interest payment stream and the return of the principal investment at maturity. Conversely, with a stock you DO NOT receive an “earnings yield” and there is no promise of repayment in the future. Stocks are all risk and U.S. Treasuries are considered a “risk-free” investment. The chart below, which uses Shiller’s data set, shows the 10-year Cyclically Adjusted Earnings Yield. I have INVERTED the earnings yield to more clearly show periods of over and under-valuations. With the CAEY currently at the 3rd lowest level in the history of the financial markets, it should not be surprising to expect lower returns in the future. Of course, lower returns is exactly what Research Affiliates suggests you will accept in exchange for lower volatility. Right? The chart below shows the CAEY as compared to 10-year forward real returns (capital appreciation only). Not surprisingly, when the CAEY ratio has reached such low levels previously, forward returns were not only low, but negative. Currently, with the earnings yield nearing 3%, forward 10-year returns are going to start approaching zero and potentially go negative in the years ahead. Of course, such declines in returns will, as they always have, coincided with a recession and fairly nasty mean-reverting event which has historically consisted of declines in asset prices of 30% on average. But hey, you are okay with that, right? I mean, after all, you did agree to lower returns when you bought into overvalued equity markets in exchange for lower volatility. For investors, planning for future wealth and security relies on reasonable assumptions about future expected returns. No matter how you do the math, returns over the next decade, which can be forecasted with a fairly high level of predictability, will be low. “Long-term trend of mean reversion implies lower-than-average earnings per share in the future due to a decline in productivity. So, we estimate that EPS growth over the next decade is likely to be at about 1%. In reality, the return for the S&P 500 over the next 10 years could be somewhere between zero to low single digits.” – Chris Brightman, Research Affiliates Remember, while valuations are not a market timing tool in the short-run. Using fundamental measures to predict returns 12-months out is a fruitless endeavor. However, over the long-term, the math is always the same: The price you pay today is extremely indicative of the return you will receive in the future.  Just something to consider.

04 апреля, 10:06

Links for 04-04-17

Caution Signals Are Blinking for the Trump Bull Market - Robert Shiller Effects of Consumption Taxes on Real Exchange Rates and Trade Balances - PIIE The conduct of monetary policy in a diverse monetary union - Enrico Perotti The Winners...

01 апреля, 19:28

Heterodoxy at the AER, by Scott Sumner

Years ago I used to enjoy reading Scientific American. Once in and a while, however, they did articles on economics. It was clear that the editors of Scientific American had a very low opinion of orthodox economics, as they would usually publish some sort of silly heterodox article---pop economics---which rejected mainstream economic theory. Perhaps a model using an analogy from a field like meteorology or biology. Thus the business cycle might be equated to some sort of cycle in the natural world, with no discussion of things like demand shocks or sticky prices. Now the American Economic Review (which is the top economic journal) has published a similar sort of heterodox paper by Nobel Laureate Robert Shiller. Shiller discusses the way that popular fads and "narratives" may influence consumer behavior, and hence the business cycle. My reaction may be more negative than usual, because I know a little bit about the events Shiller is trying to explain, such as the 1920-21 depression and the Great Depression. The depression of 1920-21 is probably the most well understood business cycle in world history. Until today, I couldn't even imagine anyone contesting the standard view, which is that it was caused by deflationary monetary policy. If we are wrong about this, we have no reason to have any confidence in anything we teach in the macro half of our EC101 textbooks. If Shiller is right, then macroeconomics is back to square one. Not back to 1967, before the natural rate hypothesis. Not back to 1935, before the General Theory. More like 1751, before Hume's writing on money, velocity and business cycles. Is Shiller actually that much of a nihilist? I very much doubt it. More likely, Shiller's a relatively normal Keynesian, who thinks we do know certain things, such as that a highly contractionary monetary/fiscal policy can cause the unemployment rate to rise. (Please correct me if I am wrong.) Rather the problem seems to be his understanding of macroeconomic history. Consider Shiller's description of the 1920-21 depression: In looking for the narrative basis of economic recessions, which might be hard to see since narratives are not easy to measure, it would appear that we would have the most luck looking at really big ones: 1920-1921 was the sharpest US recession since modern statistics are available. The US Consumer Price Index switched suddenly from inflation to deflation: between June 1920 and June 1921, during the Depression, it fell 16 percent, the sharpest one-year deflation ever experienced in the United States. The Index of Wholesale Prices fell much more: 45 percent over the same time interval, its sharpest decline ever. This sort of implies that there is a puzzle to be explained. Why would the price level have suddenly plunged by 16%, the largest decrease ever? Perhaps because the Fed reduced the supply of high-powered money by 15.2% between the fall of 1920 and the fall of 1921, by far the sharpest one-year decline ever experienced in the US? But Shiller doesn't even mention that fact. Instead he says the following: Surprisingly, the online NBER Working Paper Series, almost a hundred years later, when searched, has virtually nothing to say about what caused this spectacular depression. Why, after all, did it happen? Milton Friedman and Anna J. Schwartz, in their Monetary History of the United States, have given the most influential account. According to them, the 1920-1921 contraction has a single identifiable cause: an error made by the fledgling Federal Reserve to raise the discount rate to trim out-of-bounds inflation in 1919 caused by their carelessly over-expansionary policy right after World War I, leading to a necessity to take strong measures against inflation in 1920. Benjamin Strong, the president of the New York Fed, was on a long cruise starting December 1919, and was unable to prevent Federal Reserve Banks (which did not coordinate their policies with each other so much back then) from raising the discount rate as much as a full percentage point in one shot in January 1920. This is misleading in all sorts of ways. First, the 1920-21 depression has been studied by a number of researchers. Much less than the Great Depression, but that's partly because the cause of the 1920-21 recession is so obvious. It's a simple problem. Second, Friedman and Schwartz's views are mischaracterized in a way that makes them seem Keynesian. They certainly did not argue that higher interest rates caused the recession, in the ordinary Keynesian sense of causation. Rather they suggested that higher discount rates led to a massive decline in the money supply, and that this is what caused the sharp deflation and depression. All of these events--World War, the influenza epidemic, the race riots, the Big Red Scare, the oil shock--were associated with hugely unsettling narratives that could have led to a sense of economic uncertainty that might have discouraged discretionary spending of households and slowed down hiring decisions of firms around the world. These certainly sound like more significant potential causes than New York Fed President Benjamin Strong's decision to take a cruise when he was needed. This is a weak argument. Start with the fact that it mixes up two issues, F&S's incidental conjecture that Gov. Strong's cruise led to the Fed policy error, and the much more important question of whether the Fed's highly deflationary monetary policy could have caused a depression. Shiller makes it seem like someone rejecting the cruise ship conjecture must also reject the entire orthodox monetary explanation for the 1920-21 depression. That's just silly. But it's even worse. Shiller offers a series of alternative explanations where no alternatives are needed. We know what happened in 1920-21, a deflationary monetary policy. You'd at least think he would have picked an example where the issue to be explained was a mysterious drop in velocity, not a drop in the money supply. I still wouldn't agree with him, but I could imagine someone arguing that mood shifts among the public might impact velocity. Instead he picks the one depression where velocity seems to add very little to the simple money supply contraction story. And it's even worse. After telling us that the CPI fell by 16% and the WPI by 45% in one year, the most in US history, he speculates about possible psychological causes that have no plausible link to deflation. Take his oil shock example. We also had massive oil shocks in 1974 and 1979-80. Does anyone seriously believe those had a deflationary effect? We had very serious race riots in 1965, 1967 and 1968. Hmmm, those were the first years of the Great Inflation. Red scares? Did the 1979 Russian invasion of Afghanistan trigger a deflationary mood among the public? What happened to the WPI in 1979-80? How about the McCarthyism period? The Cuban Missile Crisis? He also mentions the 1919 influenza epidemic, which may have killed more people than the Black Death. But the Black Death was inflationary, just as the AS/AD model predicts. Indeed all five shocks that he speculates might have cause a big deflation are actually known to have inflationary consequences. Maybe Shiller's theory is "it depends". Sometimes oil shocks are inflationary, and sometimes they are deflationary. But if you are going to make your psychological theory of cycles that elastic, what use is it? I could invent 1000 narrative "theories" to fit any set of time series data. There's much more of the same in the paper, indeed almost nonstop speculation about how things like the Japanese invasion of Manchuria or the Russian agricultural policies in the Ukraine might have impacted the mood of housewives in Peoria during the early 1930s. Yes, I can't "prove" that any of his speculation is wrong, but nonetheless I find it very dismaying. If this is where we are in macro, if we don't know anything about what caused the 1920-21 depression, then why have I even bothered to teach monetary economics for 30 years at Bentley? What's the point of even getting up in the morning and going to work? One irony here is that I actually agree with Deirdre McCloskey, who argues that narratives are really important in economics. Indeed in my view their importance is underestimated by my fellow macroeconomists. I find much of modern macro to be overly technical, perhaps in an attempt to appear more "scientific". I believe that narratives are an important part of how we economists learn about the world. When people are accused of "mere storytelling", I'm usually with the accused. But saying that narratives help us to understand the world, or even to understand how policymakers see the world, is very different from claiming that narratives actually cause major macroeconomic events. As an analogy, human narratives can help us to understand the physical world, but I don't think anyone believes that stories cause earthquakes or evolution. Mood swings might cause business cycles, but Shiller does not present a single shred of evidence in a 35-page AER article. Sad! PS. I am claiming that the 1920-21 depression is "obviously" caused by deflationary monetary policies. I don't mean to suggest that changes in high-powered money are the only way of characterizing that policy. Indeed the undervaluation of gold after WWI is an equally useful way of thinking about the "root causes." PPS. I've always regarded the official data of the 1920-21 downturn to be misleading. The recession technically began in January 1920, but the severe downturn in prices and output only began in September 1920. Until then it was stagflation. HT: Stephen Kirchner (19 COMMENTS)

Выбор редакции
30 марта, 19:13

Роберт Шиллер: Если роботы работают, они должны платить налоги

Идея налога на роботов была выдвинута в мае прошлого года в рабочем докладе для Европарламента, подготовленном евродепутатом Мади Дельво из Комитета по правовым вопросам. В докладе делался акцент на том, что роботы способствуют росту неравенства, […]

Выбор редакции
27 марта, 23:27

Shiller's CAPE – Is There A Better Measure?

Authored by Lance Roberts via RealInvestmentAdvice.com, In “Part 1” of this series, I discussed at length whether Dr. Robert Shiller’s 10-year cyclically adjusted price-earnings ratio was indeed just “B.S.”  The primary message, of course, was simply: “Valuation measures are simply just that – a measure of current valuation. If you ‘overpay’ for something today, the future net return will be lower than if you had paid a discount for it.   Valuation models are not, and were never meant to be, ‘market timing indicators.'” With that said, in this missive I want to address some of the current, and valid, arguments against a long term smoothed price/earnings model: Beginning in 2009, FASB Rule 157 was “temporarily” repealed in order to allow banks to “value” illiquid assets, such as real estate or mortgage-backed securities, at levels they felt were more appropriate rather than on the last actual “sale price” of a similar asset. This was done to keep banks solvent at the time as they were being forced to write down billions of dollars of assets on their books. This boosted banks profitability and made earnings appear higher than they may have been otherwise. The ‘repeal” of Rule 157 is still in effect today, and the subsequent “mark-to-myth” accounting rule is still inflating earnings. The heavy use of off-balance sheet vehicles to suppress corporate debt and leverage levels and boost earnings is also a relatively new distortion. Extensive cost-cutting, productivity enhancements, off-shoring of labor, etc. are all being heavily employed to boost earnings in a relatively weak revenue growth environment. I addressed this issue specifically in this past weekend’s newsletter: “What has also been stunning is the surge in corporate profitability despite a lack of revenue growth. Since 2009, the reported earnings per share of corporations has increased by a total of 221%. This is the sharpest post-recession rise in reported EPS in history. However, that sharp increase in earnings did not come from revenue which is reported at the top line of the income statement. Revenue from sales of goods and services has only increased by a marginal 28% during the same period.”   The use of share buybacks improves underlying earnings per share which also distorts long-term valuation metrics. As the WSJ article stated: “If you believe a recent academic study, one out of five [20%] U.S. finance chiefs have been scrambling to fiddle with their companies’ earnings.   Not Enron-style, fraudulent fiddles, mind you. More like clever—and legal—exploitations of accounting standards that ‘manage earnings to misrepresent [the company’s] economic performance,’ according to the study’s authors, Ilia Dichev and Shiva Rajgopal of Emory University and John Graham of Duke University. Lightly searing the books rather than cooking them, if you like.” This should not come as a major surprise as it is a rather “open secret.” Companies manipulate bottom line earnings by utilizing “cookie-jar” reserves, heavy use of accruals, and other accounting instruments to either flatter, or depress, earnings. “The tricks are well-known: A difficult quarter can be made easier by releasing reserves set aside for a rainy day or recognizing revenues before sales are made, while a good quarter is often the time to hide a big “restructuring charge” that would otherwise stand out like a sore thumb.   What is more surprising though is CFOs’ belief that these practices leave a significant mark on companies’ reported profits and losses. When asked about the magnitude of the earnings misrepresentation, the study’s respondents said it was around 10% of earnings per share.“   As shown, it is not surprising to see that 93% of the respondents pointed to “influence on stock price” and “outside pressure” as the reason for manipulating earnings figures. The extensive interventions by Central Banks globally are also contributing to the distortion of markets. Due to these extensive changes to the financial markets since the turn of the century, I do not completely disagree with the argument that using a 10-year average to smooth earnings volatility may be too long of a period. Duration Mismatch Think about it this way. When constructing a portfolio that contains fixed income one of the most important risks to consider is a “duration mismatch.”  For example, let’s assume an individual buys a 20-year bond, but needs the money in 10-years. Since the purpose of owning a bond was capital preservation and income, the duration mismatch leads to a potential loss of capital if interest rates have risen at the time the bond is sold 10-years prior to maturity. One could reasonably argue, due to the “speed of movement” in the financial markets, a shortening of business cycles, and increased liquidity, there is a “duration mismatch” between Shiller’s 10-year CAPE and the financial markets currently. The first chart below shows the annual P/E ratio versus the inflation-adjusted (real) S&P 500 index. Importantly, you will notice that during secular bear market periods (green shaded areas) the overall trend of P/E ratios is declining.  This “valuation compression” is a function of the overall business cycle as “over-valuation” levels are “mean reverted” over time.  You will also notice that market prices are generally “sideways” trending during these periods with increased volatility. You can also see the vastly increased valuation swings since the turn of the century, which is one of the primary arguments against Dr. Shiller’s 10-Year CAPE ratio. Introducing The CAPE-5 Ratio The need to smooth earnings volatility is necessary to get a better understanding of what the underlying trend of valuations actually is. For investor’s periods of “valuation expansion” are where the bulk of the gains in the financial markets have been made over the last 116 years. History shows, that during periods of “valuation compression” returns are much more muted and volatile. Therefore, in order to compensate for the potential “duration mismatch” of a faster moving market environment, I recalculated the CAPE ratio using a 5-year average as shown in the chart below. There is a high correlation between the movements of the CAPE-5 and the S&P 500 index. However, you will notice that prior to 1950 the movements of valuations were more coincident with the overall index as price movement was a primary driver of the valuation metric. As earnings growth began to advance much more quickly post-1950, price movement became less of a dominating factor. Therefore, you can see that the CAPE-5 ratio began to lead overall price changes. A key “warning” for investors, since 1950, has been a decline in the CAPE-5 ratio which has tended to lead price declines in the overall market. The recent decline in the CAPE-5, which was directly related to the collapse and recovery in oil prices, has so far been an outlier event. However, complacency “this time is different,” will likely be misplaced as the corrective trend currently remains intact. To get a better understanding of where valuations are currently relative to past history, we can look at the deviation between current valuation levels and the long-term average. The importance of deviation is crucial to understand. In order for there to be an “average,” valuations had to be both above and below that “average” over history. These “averages” provide a gravitational pull on valuations over time which is why the further the deviation is away from the “average,” the greater the eventual “mean reversion” will be. The first chart below is the percentage deviation of the CAPE-5 ratio from its long-term average going back to 1900. Currently, the 56.97% deviation above the long-term CAPE-5 average of 15.86x earnings puts valuations at levels only witnessed five (5) other times in history. As stated above, while it is hoped “this time will be different,” which were the same words uttered during each of the five previous periods, you can clearly see that the eventual results were much less optimal. However, as noted, the changes that have occurred Post-WWII in terms of economic prosperity, changes in operational capacity and productivity warrant a look at just the period from 1944-present. Again, as with the long-term view above, the current deviation is 44.19% above the Post-WWII CAPE-5 average of 17.27x earnings. Such a level of deviation has only been witnessed three times previously over the last 70 years in 1996, 2005 and 2013. Again, as with the long-term view above, the resulting “reversion” was not kind to investors. Is this a better measure than Shiller’s CAPE-10 ratio? Maybe, as it adjusts more quickly to a faster moving marketplace. However, I want to reiterate that neither the Shiller’s CAPE-10 ratio or the modified CAPE-5 ratio were ever meant to be “market timing” indicators. Since valuations determine forward returns, the sole purpose is to denote periods which carry exceptionally high levels of investment risk and resulted in exceptionally poor levels of future returns. Currently, valuation measures are clearly warning the future market returns are going to be substantially lower than they have been over the past eight years. Therefore, if you are expecting the markets to crank out 10% annualized returns over the next 10 years for you to meet your retirement goals, it is likely that you are going to be very disappointed.

Выбор редакции
23 марта, 03:15

5 Charts That Scream "This Is It"

Authored by Stephen McBride via GarretGalland.com, Before yesterday, the S&P 500 and DJIA hadn’t seen a 1% drop since October 2016. For some perspective, Hillary Clinton was the presidential frontrunner the last time markets fell 1%. This was the longest such streak for both indices in over 20 years. In February, the DJIA recorded its longest “winning streak” since 1987. It closed 2,000 points above its 200-day moving average for the first time ever. Also in February, the combined market cap of the S&P 500 topped $20 trillion for the first time. Its market cap has increased by over $2 trillion since the election—staggering. Like we discussed last month, with a proliferation of “record” highs in 2017, where are market valuations at today? The five charts below paint the whole picture best. Chart #1: S&P 500 Price/EBITDA Today, the S&P 500 price/EBITDA sits at an all-time high. Source: The Credit Strategist This tells us that the current rally can be largely attributed to “valuation expansion.” Indeed, around 60% of the gains since 2009 have come from this source. At the same time, earnings growth has been anemic. From 2012–2016, annual earnings growth was just 0.49%. In comparison, from 1995–1999, growth was 9.5%. Chart #2: CAPE Another commonly used metric is the cyclically adjusted, price-to-earnings ratio (CAPE). Currently, the CAPE is 73% above its mean. Besides its reading before the 1929 crash and dot-com bubble, the ratio is at its highest level on record. Source: Robert Shiller Chart #3: Total Market Cap/GDP Warren Buffet’s favorite valuation metric, total market cap relative to GDP, currently stands at 130%—a 129% increase since 2009. This rise also brings the ratio to its highest level since 2000. Source: Gurufocus Chart #4: NYSE Margin Debt High levels of margin debt lead to increased volatility as more people are forced to sell due to margin calls. In January, margin debt hit another record high. The two previous tops were one month and three months prior to the respective 2000 and 2008 market crashes. Source: Advisor Perspectives Chart #5: The Complacency Index Margin debt making another “all-time high” signals the cycle is in late stages when complacency takes hold. And surprise, surprise, that too is at all-time highs. Source: Bloomberg In the past, when the complacency index was high, stocks invariably saw big corrections shortly thereafter. By most metrics, equities look pricey. But even with the bull market now eight years old, sentiment continues to be extremely bullish. So, what are the takeaways from these lofty valuations? Lower Future Returns and Higher Downside Risk To quote Warren Buffet, “The price you pay determines your rate of return.” In a nutshell, this sums up what today’s valuations mean for investors. High valuation metrics aren’t indicative of an imminent market crash. What they do tell us is that we must lower our expectations of future returns. While the correlation isn’t perfect, this chart shows a higher CAPE ratio usually means lower future returns. Source: Bloomberg With the stunning run-up in markets since 2009, investors can’t reasonably expect returns to continue at double the long-term average. At a time of exuberance, it’s important to remember markets are cyclical. The other takeaway from today’s valuations is that when the drawdown does come, it will be severe. As this chart from Star Capital shows, downside risk tends to increase as market valuations become excessive. Source: Star Capital Given current market levels, investors may want to lower their future expected returns. It’s important to note that “record highs” are records for a reason. It’s where previous limits were reached. With that in mind, how should investors approach the markets today? Adopt a Contrarian Investment Strategy While markets continue to make new highs, investors should proceed with care. This is the second-longest period in stock market history without a 10% correction. As detailed above, the higher valuations go, the worst the subsequent drop. The average decline during the last five bear markets was 33% - the next one could be much worse. Of course, markets could rise another 50% from here before falling. But given their run-up since 2009—is it a risk worth taking? *  *  * Learn More About the Contrarian Value Strategy in Our Free Report, 3 Proven Strategies to Invest in Uncertain Markets Like These - In this report, we detail three strategies investors can use to find value in today’s generally overpriced markets. Click here to learn more about this proven investment system that will change how you invest forever.

22 марта, 18:27

Американская экономика уверенности

Финансовые рынки, кажется, убеждены в том, что недавний всплеск деловой и потребительской уверенности в США вскоре найдёт отражение в реальной экономической статистике, например, в темпах роста ВВП, бизнес-инвестиций, потребления и зарплат. Однако экономисты и политики не до конца разделяют эту уверенность. Если их сомнения оправдаются, последствия будут весьма серьёзны как для США, так и для мировой экономики.

20 марта, 19:59

Shiller's CAPE: Is It Really Just B.S.? – Part 1

Authored by Lance Roberts via RealInvestmentAdvice.com, One of the hallmarks of very late stage bull market cycles is the inevitable bashing of long-term valuation metrics. In the late 90’s if you were buying shares of Berkshire Hathaway stock it was mocked as “driving Dad’s old Pontiac.” In 2007, valuation metrics were being dismissed because the markets were flush with liquidity, interest rates were low and “Subprime was contained.” Today, we once again see repeated arguments as to why “this time is different” because of the “Central Bank put.”  First, let me just say that I have tremendous respect for the guys at HedgEye. They are insightful and thoughtful in their analysis and well worth your time to read. However, a recent article by HedgEye made a very interesting point that bears discussion. “Meanwhile, a number of stubborn bears out there continue to make the specious argument that the U.S. stock market is expensive. ‘At 22 times trailing twelve-month earnings,’ they ask, ‘how on earth could an investor possibly buy the S&P 500?’   The answer is simple, really. Valuation is not a catalyst.” They are absolutely right. Valuations are not a catalyst. They are the fuel. But the debate over the value, and current validity, of the Shiller’s CAPE ratio, is not new. Critics argue that the earnings component of CAPE is just too low, changes to accounting rules have suppressed earnings, and the financial crisis changed everything.  This was a point made by Wade Slome previously: “If something sounds like BS, looks like BS, and smells like BS, there’s a good chance you’re probably eyeball-deep in BS. In the investment world, I encounter a lot of very intelligent analysis, but at the same time I also continually step into piles of investment BS. One of those piles of BS I repeatedly step into is the CAPE ratio (Cyclically Adjusted Price-to-Earnings) created by Robert Shiller.” Let’s break down Wade’s arguments against Dr. Shiller’s CAPE P/E individually. Shiller’s Ratio Is Useless? Wade states: “The short answer…not very. For example, if investors followed the implicit recommendation of the CAPE for the periods when Shiller’s model showed stocks as expensive they would have missed a more than quintupling (+469% ex-dividends) in the S&P 500 index. Over a shorter timeframe (2009 – 2014) the S&P 500 is up +114% ex-dividends (+190% since March 2009).” Wade’s analysis is correct.  However, the problem is that valuation models are not, and were never meant to be, “market timing indicators.”  The vast majority of analysts assume that if a measure of valuation (P/E, P/S, P/B, etc.) reaches some specific level it means that: The market is about to crash, and; Investors should be in 100% cash. This is incorrect. Valuation measures are simply just that – a measure of current valuation. More, importantly, it is a much better measure of “investor psychology” and a manifestation of the “greater fool theory.” If you “overpay” for something today, the future net return will be lower than if you had paid a discount for it. Think about housing prices for a moment as shown in the chart below. There are two things to take away from the chart above in relation to valuation models.  The first is that if a home was purchased at any time (and not sold) when the average 12-month price was above the long-term linear trend, the forward annualized returns were significantly worse than if the home was purchased below that trend. Secondly, if a home was purchased near the peak in valuations, forward returns are likely to be extremely low, if not negative, for a very long time. This is the same with the financial markets. When investors “pay” too much for an investment, future returns will suffer. “Buy cheap and sell dear” is not just some Wall Street slogan printed on a coffee mug, but a reality of virtually all of the great investors of our time in some form or another. Cliff Asness discussed this issue in particular stating: “Ten-year forward average returns fall nearly monotonically as starting Shiller P/E’s increase. Also, as starting Shiller P/E’s go up, worst cases get worse and best cases get weaker.   If today’s Shiller P/E is 22.2, and your long-term plan calls for a 10% nominal (or with today’s inflation about 7-8% real) return on the stock market, you are basically rooting for the absolute best case in history to play out again, and rooting for something drastically above the average case from these valuations.” We can prove that by looking at forward 10-year total returns versus various levels of PE ratios historically. Asness continues: “It [Shiller’s CAPE] has very limited use for market timing (certainly on its own) and there is still great variability around its predictions over even decades. But, if you don’t lower your expectations when Shiller P/E’s are high without a good reason — and in my view, the critics have not provided a good reason this time around — I think you are making a mistake.” While, Wade is correct that investors who got out of the market using Shiller’s P/E ratio would have missed the run in the markets from 2009 to present, those same individuals most likely sold at the bottom of the market in 2008 and only recently began to return as shown by net equity inflows below. In other words, they missed the “run up” anyway. Investor psychology has more to do with long-term investment outcomes than just about anything else. What valuations tell us, is that at current levels investors are strictly betting on there always being someone to pay more in the future for an asset than they paid today.  Huckster Alert… It is not surprising that due to the elevated level of P/E ratios since the turn of the century, which have been fostered by one financial bubble after the next due to Federal Reserve interventions, there has been a growing chorus of views suggesting that valuations are no longer as relevant. There is also the issue of the expanded use of forward operating earnings. First, it is true that P/E’s have been higher over the last decade due to the aberration in prices versus earnings leading up to the 2000 peak. However, as shown in the chart below, the “reversion” process of that excessive overvaluation is still underway. It is likely the next mean reverting event will complete this process. Cliff directly addressed the issue of the abuse of forward operating earnings. “Some outright hucksters still use the trick of comparing current P/E’s based on ‘forecast’ ‘operating’ earnings with historical average P/E’s based on total trailing earnings. In addition, some critics say you can’t compare today to the past because accounting standards have changed, and the long-term past contains things like World Wars and Depressions. While I don’t buy it, this argument applies equally to the one-year P/E which many are still somehow willing to use. Also, it’s ironic that the chief argument of the critics, their big gun that I address exhaustively above [from the earlier post], is that the last 10 years are just too disastrous to be meaningful (recall they are actually mildly above average).” Cliff is correct, of course, as it is important to remember that when discussing valuations, particularly regarding historic over/undervaluation, it is ALWAYS based on trailing REPORTED earnings. This is what is actually sitting on the bottom line of corporate income statements versus operating earnings, which is “what I would have earned if XYZ hadn’t happened.” Beginning in the late 90’s, as the Wall Street casino opened its doors to the mass retail public, use of forward operating earning estimates to justify extremely overvalued markets came into vogue. However, the problem with forward operating earning estimates is they are historically wrong by an average of 33%. To wit: “The biggest single problem with Wall Street, both today and in the past, is the consistent disregard of the possibilities for unexpected, random events. In a 2010 study, by the McKinsey Group, they found that analysts have been persistently overly optimistic for 25 years. During the 25-year time frame, Wall Street analysts pegged earnings growth at 10-12% a year when in reality earnings grew at 6% which, as we have discussed in the past, is the growth rate of the economy.” Ed Yardeni published the two following charts which shows analysts are always overly optimistic in their estimates. “This is why using forward earnings estimates as a valuation metric is so incredibly flawed – as the estimates are always overly optimistic roughly 33% on average. Furthermore, the reason that earnings only grew at 6% over the last 25 years is because the companies that make up the stock market are a reflection of real economic growth. Stocks cannot outgrow the economy in the long term…remember that.   The McKenzie study noted that on average ‘analysts’ forecasts have been almost 100% too high’ and this leads investors into making much more aggressive bets in the financial markets.” The consistent error rate in forward earnings projections makes using such data dangerous when making long-term investments. This is why trailing reported earnings is the only “honest” way to approach valuing financial markets. Importantly, long-term investors should be abundantly aware of what the future expected returns will be when buying into overvalued markets. Bill Hester recently wrote a very good note in this regard in response to critics of Shiller’s CAPE ratio and future annualized returns: “We feel no particular obligation defend the CAPE ratio. It has a strong long-term relationship to subsequent 10-year market returns. And it’s only one of numerous valuation indicators that we use in our work – many which are considerably more reliable. All of these valuation indicators – particularly when record-high profit margins are accounted for – are sending the same message: The market is steeply overvalued, leaving investors with the prospect of low, single-digit long-term expected returns.“ As clearly stated throughout this missive, fundamental valuation metrics are not, and were never meant to be, market timing indicators. This was a point made by Dr. Robert Shiller himself in an interview with Henry Blodgett: “John Campbell, who’s now a professor at Harvard, and I presented our findings first to the Federal Reserve Board in 1996, and we had a regression, showing how the P/E ratio predicts returns. And we had scatter diagrams, showing 10-year subsequent returns against the CAPE, what we call the cyclically adjusted price-earnings ratio. And that had a pretty good fit. So I think the bottom line that we were giving – and maybe we didn’t stress or emphasize it enough – was that it’s continual. It’s not a timing mechanism, it doesn’t tell you – and I had the same mistake in my mind, to some extent — wait until it goes all the way down to a P/E of 7, or something.” Currently, there is clear evidence that future expectations should be significantly lower than the long-term historical averages. Do current valuation levels suggest you should be all in cash? No. However, it does suggest that a more cautious stance to equity allocations and increased risk management will likely offset much of the next “reversion” when it occurs. My job is to protect investment capital from major market reversions and meet investment returns anchored to retirement planning projections. Not paying attention to rising investment risks, or adjusting for lower expected future returns, are detrimental to both of those objectives. Next week, I will introduce a modified version of the Shiller CAPE ratio which is more constructive for shorter-term outlooks.

19 марта, 09:19

Низкие ставки - смерть инвестиционного бизнеса

Москва, 17 марта - "Вести.Экономика". Если сегодня есть что-то, что способно будет поразить финансовых историков будущего, то это, безусловно, беспрецедентно низкие процентные ставки. Никогда раньше ставки по депозитам или доходность облигаций не были такими низкими в номинальном выражении, причем некоторым правительствам удается даже занимать по отрицательным ставкам.

17 марта, 18:01

Низкие ставки - смерть инвестиционного бизнеса

Если сегодня есть что-то, что способно будет поразить финансовых историков будущего, то это, безусловно, беспрецедентно низкие процентные ставки.

17 марта, 18:01

Низкие ставки - смерть инвестиционного бизнеса

Если сегодня есть что-то, что способно будет поразить финансовых историков будущего, то это, безусловно, беспрецедентно низкие процентные ставки.

16 марта, 18:30

This Is What a Stock Market Bubble Looks Like

Let’s compare today’s market to the 1990s tech bubble, which pretty much sets the standard for a modern stock market mania...

15 марта, 13:36

Биржи США на краю пропасти: ничем хорошим для «быков» это не кончится

В последний раз, когда американский ученый-экономист, профессор экономики Йельского университета, лауреат Нобелевской премии по экономике Роберт Шиллер слышал подобные рассуждения фондовых инвесторов в 2000 г., ничем хорошим для «быков» это не закончилось.

15 марта, 10:25

Почему эксперты прогнозируют обвал, а инвесторы играют на стороне «быков»?

Тогда Шиллер понимал, что трейдеры были очарованы новой эпохой технологической трансформации: Интернет стал определяющим фактором в американском бизнесе, традиционные показатели рыночной стоимости акционерного капитала устарели. Сегодня уже политические перемены грозят поменять правила игры: Дональд Трамп и его смелые планы сократить налоги и дать резкий толчок экономическому росту с расходами на инфраструктуру в триллион долларов.

14 марта, 20:24

Биржи США на краю пропасти, но "быки" не боятся

Москва, 14 марта - "Вести.Экономика". В последний раз, когда американский ученый-экономист, профессор экономики Йельского университета, лауреат Нобелевской премии по экономике Роберт Шиллер слышал подобные рассуждения фондовых инвесторов в 2000 г., ничем хорошим для "быков" это не закончилось.

07 октября 2015, 11:41

Фондовый рынок теряет триллионы: кризис уже близко

Мировой фондовый рынок потерял в III квартале 2015 г. $11 трлн. Падение во всех крупных мировых экономиках сильно ударило по "бумажному богатству", и это был худший квартал для фондового рынка с 2011 г.

03 сентября 2015, 17:12

Роберт Шиллер: «справедливая» стоимость S&P 500 составляет 1300 пунктов

«Сейчас очень опасное время», - отметил в интервью CNBC нобелевский лауреат Роберт Шиллер. – «Типичное соотношение P/E (прим. ProFinance.ru: цена акции/доход на акцию), на которое обычно смотрит большинство инвесторов, на самом деле вводит в заблуждение. В то же время соотношение CAPE (Cyclically Adjusted Price-Earnings, разработанное господином Шиллером) указывает на «спра… читать далее…

23 октября 2013, 21:27

Пузыри на рынкax недвижимости?

Не могу уже вспомнить, когда мне тут объясняли, почему не надо было ждать роста цен на недвижимость в Германии...Как бы то ни было, Бундесбанк уже разглядел возможные пузыри на рынке недвижимости в крупных городах страны :). Логика прежних рассуждений о недвижимости в Германии была простой. Валюта в Германии казалась недооцененной из-за большущего профицита по счету текущих операций, поэтому цены должны были расти.  Процентные ставки ЕЦБ были слишком низкими для Германии, что обязано было стимулировать рост цен на недвижимость. Понимающие это инвесторы должны были ускорить рост цен... Сегодня трудно найти читающего человека, который еще не слышал о свежеиспеченном лауреате Нобелевской премии Роберте Шиллере. Многие сразу же нарисуют его знаменитую картинку американского пузыря на рынке жилья. Но еще больше вокруг уверенных в том, что они видят пузырь на рынке недвижимости, будь то в Австралии, Канаде, Великобритании, Китае, России...Нельзя за такое осуждать. Раз уж жилье доминирует наше и их богатство, то очень хочется знать, пора ли купить квартирку или же лучше вовремя соскочить с обреченного поезда. Вдобавок к мыслям о Москве, Лондоне, Париже, Берлине, Таллине, Риге, Юрмале и Малаге, не лишне еще раз вспомнить о Гонконге. Ведь это Гонконг был правильной подсказкой к пониманию кризиса в Латвии и еврозоне. На рисунке из мартовского доклада цб Гонконга о финансовой стабильности показаны цены на жилье. Виден пузырь 1997 года, падение цен к 2004 году, в течение 6 лет, как заказывали Рейнхарт и Рогофф, и последующий волшебный взлет к сегодняшнему счастью (или горю?).  После лопнувшего пузыря в 1997 году правители Гонконга уже прекрасно понимали, чем рискуют, как понимают сейчас специалисты Бундесбанка, насмотревшись на страдания Ирландии и Испании.  Поэтому они внимательно следили за ростом цен на недвижимость и изо всех сил старались защитить экономику от будущих потрясений. О перспективах Гонконга в период "необычной" политики ФРС давно уже записывал здесь и здесь.  Там же сохранил параграф Позена о трудностях определения пузырей, не говоря уже об их предотвращении оружием денежно-кредитной политики. Со времени тех записей, несмотря на 6 раундов (!) затягивания гаек в Гонконге и настойчивые публичные предупреждения цб, цены на жилье продолжали расти...Уже много лет не стихают споры о пузыре на рынке недвижимости Гонконга.

22 октября 2013, 20:18

Олег Григорьев о лауреатах премии им. Нобеля

Колонка опубликована в журнале "Профиль" от 20 октября 2013 года (N833) Присуждение Нобелевской премии 2013 года по экономике еще раз подтвердило, что современная экономическая теория — это не наука и с научными критериями подходить к ней глупо В этом году решение о присуждении Нобелевской премии в области экономики выглядело донельзя скандальным. Два из трех лауреатов — Юджин Фама и Роберт Шиллер — не только радикально расходятся в своих концепциях по одному и тому же вопросу, но еще и крайне неодобрительно отзываются друг о друге. Кстати, последнюю из известных мне колкостей в адрес своего оппонента Шиллер опубликовал совсем недавно, в конце июля этого года. Ситуация, конечно, абсурдная. Один (Фама) говорит, что финансовых пузырей нет и быть не может, потому что никто не знает, что это такое. Другой (Шиллер) утверждает, что пузыри возможны и он знает, что они собой представляют. Он же предсказал кризис 2007—2008 годов. Фама же уверяет, что такого рода предсказания ничего не стоят, поскольку раз в сто лет и палка стреляет, и если постоянно одно событие предсказывать, то рано или поздно повезет. Третий лауреат, Ларс Хансен, теорией не занимается и своей концепции не имеет. Он разрабатывает методы количественного анализа явлений финансового рынка. И полученные им результаты опровергают теоретические построения обоих его коллег. Впрочем, чтобы опровергнуть разработанную Фамой концепцию эффективных рынков, никаких сложных расчетов и не требуется. События 2007—2008 годов наглядно показали ее ценность. Любопытно, что Фама был одним из претендентов на Нобелевскую премию еще в 2009 году, но тогда ему ее постеснялись дать. Как будто с тех пор что-то изменилось! Один из наших отечественных либералов, защищая решение Нобелевского комитета, заявил, что «на самом деле в гипотезе эффективных рынков нет ничего такого, что можно опровергнуть эмпирически». Ну да, и в гипотезе всемирного заговора тоже нет ничего такого, что можно опровергнуть эмпирически. Невозможность эмпирического опровержения — это, согласно общепринятому критерию Карла Поппера, как раз явный признак ненаучности теории. Любой человек, претендующий на то, чтобы называться ученым, кто бы он ни был, должен это понимать. Но ни тем, кто вручает премию, ни нашим либералам Поппер не указ, хоть именно он и разработал любезную сердцу и тех, и других концепцию открытого общества. Так какую мысль хотели донести до нас таким экстравагантным способом? Еще раз подтвердилось то, о чем многие догадывались, но не решались говорить вслух. То, что называется современной экономической теорией, — это вовсе не наука, и с научными критериями подходить к ней глупо. Это религия, организованная как бюрократическая структура. В таких структурах вознаграждается не реальный результат, а правильное поведение. Что сегодня является правильным и одобряемым поведением? Прежде всего это доходящая до абсурда верность букве и духу первоисточников религии. Это качество в полной мере присуще Юджину Фаме. Он из трех лауреатов самый титулованный, обладатель множества других премий. Его теория эффективных рынков — это теория о божественной сущности финансовых рынков, то есть теория ни о чем. Другой нобелевский лауреат, Пол Кругман, в свое время иронизировал по этому поводу, что рынки правильно оценивают, что пол-литра кетчупа должны стоить ровно в два раза дешевле одного литра, но ничего не могут сказать о том, почему и литр, и пол-литра стоят столько, сколько они стоят. Присуждение премии Роберту Шиллеру сигнализирует, что в рамках религиозной доктрины допустима некоторая доза безобидной и не сильно противоречащей догматам ереси. После кризиса такой допустимой ересью были признаны исследования в области так называемой поведенческой экономики. Здесь идея заключается в том, что сам рынок устроен идеально, но сомнению подвергается способность простых людей правильно пользоваться ниспосланным им инструментом. В тех сложных условиях, в которые попала ортодоксальная экономическая наука, когда противоречия между ее утверждениями и реальным положением дел бросаются в глаза всем, хорошим поведением считается «просто возделывать свой сад» и стараться не задумываться о высоких материях. Упорный труд есть лучшее средство справиться с обуревающими человека сомнениями. Этот образец поведения демонстрирует Ларс Хансен — и поделом награда. В общем, последнее решение о присуждении Нобелевской премии по экономике показало, что она не имеет никакого отношения к поиску истины, а есть лишь способ контроля и управления научным сообществом. http://www.profile.ru/article/ekonomika-kak-religiya-77602. От ред. so-l.ru - в смысле религиозности науки показательны слова самого Шиллера в которых он это прямо и признает, см. интервью: