Sobre la Teoría de la Expectativas Racionales, y otras pendejadas: de Solow a Syll
"REH basically says that people on the average hold expectations that will be fulfilled. This makes the economist’s analysis enormously simplistic, since it means that the model used by the economist is the same as the one people use to make decisions and forecasts of the future. paste
But, strictly seen, REH only applies to ergodic – stable and stationary stochastic – processes. If the world was ruled by ergodic processes, people could perhaps have rational expectations, but no convincing arguments have ever been put forward, however, for this assumption being realistic.
Of course you can make assumptions based on tractability, but then you do also have to take into account the necessary trade-off in terms of the ability to make relevant and valid statements on the intended target system. Mathematical tractability cannot be the ultimate arbiter in science when it comes to modeling real world target systems. One could perhaps accept REH if it had produced lots of verified predictions and good explanations. But it has done nothing of the kind. Therefore the burden of proof is on those who still want to use models built on utterly unreal assumptions.
In models building on REH it is presupposed – basically for reasons of consistency – that agents have complete knowledge of all of the relevant probability distribution functions. And when trying to incorporate learning in these models – trying to take the heat of some of the criticism launched against it up to date – it is always a very restricted kind of learning that is considered. A learning where truly unanticipated, surprising, new things never take place, but only rather mechanical updatings – increasing the precision of already existing information sets – of existing probability functions.
Nothing really new happens in these ergodic models, where the statistical representation of learning and information is nothing more than a caricature of what takes place in the real world target system. This follows from taking for granted that people’s decisions can be portrayed as based on an existing probability distribution, which by definition implies the knowledge of every possible event (otherwise it is in a strict mathematical-statistically sense not really a probability distribution) that can be thought of taking place.
But in the real world it is – as shown again and again by behavioural and experimental economics – common to mistake a conditional distribution for a probability distribution. Mistakes that are impossible to make in the kinds of economic analysis that build on REH. On average REH agents are always correct. But truly new information will not only reduce the estimation error but actually change the entire estimation and hence possibly the decisions made. To be truly new, information has to be unexpected. If not, it would simply be inferred from the already existing information set.
La REH dice que los agentes económicos toman decisiones sobre el futuro con un conocimiento probable de lo que va a pasar. Es decir, conocen los sucesos con una distribución de probabilidades de los acontecimientos que les pueden afectar. Si se produce un error, los agentes corrigen sus decisiones en función de la nueva información. Hay un proceso de aprendizaje, convergente, de manera que los agentes "aprenden", recalculan sus previsiones, y corrigen la desviación. Así, los planes sólo fallan para algunos, pero en el conjunto se cumplen.
Se deduce de esto que que el mundo en el que actúan no sufre grandes sacudidas, es un mundo "erdotico", encaja le en un moldeo matemático. En otras palabras, los cambios de decisiones debido a a la nueva información no afectan esencialmente al conjunto: no hay grandes oleadas de decisiones uniformes al alza o a la baja, sin que no sean corregidas cuando la información llega a conocimiento de los agentes.
El mundo obviamente no es así. Hay sucesos inesperados, reacciones violentas, y decisiones que hacen tomar otra decisiones a los demás que no tienen por qué ser las correctas. El mundo es, como lo escribía Keynes, con incertidumbre, tanto más cuanto mas lejos en el tiempo tienes que hacer predicciones. En un mundo así las decisiones no pueden ser racionales porque no hay información para que lo sean. Pero hay todavía eminencias (Eugene Fama) que pretenden decir que la crisis de 2008 demuestra que la REH funciona.
Solow, el premio Nobel, pionero de los modelos de crecimiento, tiene una respuesta irrespetuosa, pero contundente, contra Lucas y Sargent y sus Expectativas Racionales:
"Suppose someone sits down where you are sitting right now and announces to me that he is Napoleon Bonaparte. The last thing I want to do with him is to get involved in a technical discussion of cavalry tactics at the battle of Austerlitz. If I do that, I’m getting tacitly drawn into the game that he is Napoleon. Now, Bob Lucas and Tom Sargent like nothing better than to get drawn into technical discussions, because then you have tacitly gone along with their fundamental assumptions; your attention is attracted away from the basic weakness of the whole story. Since I find that fundamental framework ludicrous, I respond by treating it as ludicrous – that is, by laughing at it – so as not to fall into the trap of taking it seriously and passing on to matters of technique."
No hay comentarios:
Publicar un comentario