期刊-NBER美国国民经济研究局-Spring1994_1_32页_2mb

NBER Reporter Summary - Spring 1994

Core Content

The Spring 1994 issue of the NBER Reporter focuses on research and developments in Asset Pricing, Economic Reform in Latin America, and related topics such as Corporate Taxes, Health and Environmental Regulation, and NBER Activities. It highlights the ongoing academic and policy discussions in these areas, emphasizing the interplay between theory and practice.

Main Topics and Key Information

1. Asset Pricing

• Definition: Asset pricing is the study of financial markets, including stocks, bonds, foreign currencies, and derivative securities.
• General Equilibrium Models: A "stochastic discount factor" is a central concept in modern financial theory, used to calculate expected returns and prices of assets. This factor must be highly volatile to price U.S. equities and fixed-income securities.
• Contradiction with Standard Models: Traditional macroeconomic models, which assume a representative agent with standard preferences, suggest that the stochastic discount factor is not very volatile, which creates a theoretical challenge.
• Alternative Approaches: Some researchers argue for models that consider the production side of the economy rather than consumption. Others suggest that investors may have different risk attitudes, such as "first-order risk aversion" or "myopic loss aversion."
• Derivative Markets: These markets provide insights into market expectations of future volatility. Implied volatilities from options are often more volatile than rational forecasts, and can be exploited for profit.
• Trading Behavior and Asset Prices: Trading itself can generate news and affect asset prices, as shown in the case of the 1987 market crash. This suggests that market dynamics are not always driven by external information.

2. Economic Reform and Modernization in Latin America

• Historical Context: Latin America entered the post-WWII era with optimism, relying on government-led development, protectionism, and state involvement in the economy.
• Growth and Challenges: Between 1950 and 1980, Latin America grew faster than industrial nations but faced structural issues like rigid economic systems, increasing inequality, inflationary financing, and discouragement of exports.
• Debt Crisis (1982-7): The 1982 debt crisis led to a major shift in economic policy. Traditional structuralist approaches failed, prompting a move toward market-oriented reforms.
• New Consensus: A new Latin American Consensus emerged, emphasizing macroeconomic stability, trade liberalization, privatization, and social programs to reduce inequality and poverty.
• Reforms by Country:
  • Early Reformers: Chile (1975), Mexico (1985) were pioneers in economic liberalization.
  • Recent Reformers: Argentina, Brazil, and Peru began reforms in the late 1980s and early 1990s.
  • Very Recent Reformers: Some countries started reforms in the mid-1990s.
  • Future Reformers: Countries that have yet to implement significant reforms.
• Trade Liberalization: Import tariffs were reduced from ~70% to ~12%, and non-tariff barriers were largely eliminated. Regional trading blocs and interest in joining NAFTA reflect ongoing efforts to integrate into the global economy.
• Privatization and Deregulation: A major focus of reforms has been to reduce the size of the state through privatization, often linked to debt reduction schemes. This has led to increased foreign involvement in Latin American industries.
• Challenges: Despite reforms, many countries still face issues such as labor market duality, low investment and savings, and the need for modern regulatory frameworks.

3. NBER Activities and Contributions

• Program in Asset Pricing: Established in 1991, this program explores general equilibrium models, international financial integration, derivative securities, and behavioral aspects of asset pricing.
• Key Researchers: John Y. Campbell, John H. Cochrane, Lars P. Hansen, and others have contributed to understanding the stochastic discount factor and its implications.
• Meetings and Conferences: The NBER has hosted meetings on derivative securities and the industrial organization of the securities industry, aiming to address practical and intellectual challenges in asset pricing.
• Publications: The NBER has published numerous working papers and books on asset pricing, including contributions by Shiller, Romer, and Stein, which explore market behavior, volatility, and risk perception.

Conclusion

The NBER Reporter highlights the evolving landscape of asset pricing theory and the significant economic transformations in Latin America. While no consensus has been reached on modeling the stochastic discount factor, the research continues to provide valuable insights. In Latin America, the shift from state-led to market-oriented policies has been driven by economic crises, the failure of traditional approaches, and the influence of global economic trends. These reforms, though varied in timing and intensity, have generally contributed to improved macroeconomic stability and growth, with a growing emphasis on addressing poverty and inequality through targeted social programs.