期刊-NBER美国国民经济研究局-Spring1990_48页_789kb

MBER Reporter Summary: Financial Markets and Monetary Economics

Core Content

The NBER Reporter issue from Spring 1990 provides a detailed overview of the research activities within the NBER's Program in Financial Markets and Monetary Economics. The focus is on how the October 1987 stock market crash influenced the direction and intensity of research in financial markets, particularly in relation to market efficiency, noise traders, financial market imperfections, sovereign debt, and monetary policy.

Main Research Areas and Key Findings

1. Market Efficiency and Stock Price Behavior

• The October 1987 crash raised questions about the efficiency of financial markets, challenging the traditional view that prices reflect all available information.
• Robert Shiller argued that investor behavior was influenced more by psychological factors (fads and fashions) than by fundamentals, and that market prices may not always reflect new information.
• Andrew Lo and Craig MacKinlay found that stock price variances do not behave as expected under market efficiency, suggesting that price movements are not random walks.
• Bruce Lehmann and John Campbell showed that stock prices tend to mean-revert, which contradicts the efficient market hypothesis.
• James Poterba and Lawrence Summers found that mean reversion in stock prices is a consistent pattern, supporting the idea of inefficiency.
• Gregory Mankiw, David Romer, and Matthew Shapiro also found evidence against market efficiency, though less strongly than previous studies.

2. Explaining Market Movements

• Bradford De Long, Andrei Shleifer, and Lawrence Summers proposed that noise traders with non-fundamental beliefs can significantly influence market prices and even earn higher returns.
• These traders may dominate the market over time, which challenges the conventional view that such irrational behavior would fade.
• Fischer Black and Alan Marcus and Charles Nelson argued that mean reversion can still occur in efficient markets, suggesting that it is not necessarily evidence of inefficiency.
• Kenneth Froot and Maurice Obstfeld introduced the concept of bubbles, which can arise even from rational investor behavior.
• Philippe Weil showed that bubbles can either raise or lower stock prices and that relaxing certain assumptions about risk and substitution does not fully explain pricing anomalies.

3. Financial Market Imperfections

• Financial market imperfections, especially information asymmetries, have significant implications beyond asset pricing.
• Joseph Stiglitz emphasized that these imperfections can affect business cycles, productivity, real interest rates, and the role of money.
• Ben Bernanke and Mark Gertler examined how information asymmetries influence the financial structure and non-financial economic performance.
• Glenn Hubbard found that financial constraints can lead to greater sensitivity of investment spending to cash flow and that these effects are more pronounced during recessions.
• Fumio Hayashi, Takatoshi Ito, and Joel Slemrod showed that housing finance imperfections, such as higher down payment requirements in Japan, contribute to higher savings rates compared to the U.S.

4. Sovereign Debt and Government Behavior

• Researchers explored how sovereign debt can be affected by government default and inflationary policies.
• Herschel Grossman studied the reputational effects of default and inflation, showing that governments may avoid defaulting to maintain credibility.
• Alberto Alesina and Guido Tabellini examined how democratic elections and political disagreements can lead to government deficits and external debt accumulation.
• Alesina and Allan Drazen showed that political uncertainty and distributional conflicts can lead to prolonged budget deficits.
• Kenneth Rogoff analyzed the political business cycle, suggesting that attempts to mitigate it may be counterproductive.

5. Monetary Policy and Its Conduct

• The monetary policy regime and its effects on market expectations and economic outcomes were a major research focus.
• James Stock and Mark Watson found that M1 had predictive power for real output in U.S. data.
• Benjamin Friedman reached the opposite conclusion, suggesting that monetary aggregates have limited predictive value.
• Robert Rasche found that money demand has been stable over time.
• Michael Bordo showed that money-income ratios are predictable using macroeconomic and institutional variables.
• Frederic Mishkin examined the term structure of interest rates and found that it contains information about future inflation, especially in longer maturity bonds.
• Carl Walsh concluded that induced policy responses contributed to U.S. inflation during 1976–1984.
• Bennett McCallum and Robert Barro explored monetary policy rules and interest rate targeting, respectively.
• Michael Bordo and Anna Schwartz suggested that money stock targeting could reduce inflation variability in the U.K.

Key Researchers and Their Contributions

• Benjamin M. Friedman: Explored market efficiency, volatility, and monetary policy.
• Robert Shiller: Focused on investor psychology, underpricing, and mean reversion.
• Andrew Lo and Craig MacKinlay: Investigated market efficiency using statistical methods.
• Bruce Lehmann and John Campbell: Studied mean reversion and its implications for trading strategies.
• Bradford De Long, Andrei Shleifer, and Lawrence Summers: Analyzed the role of noise traders in market inefficiency.
• Joseph Stiglitz, Ben Bernanke, and Glenn Hubbard: Examined the effects of financial market imperfections on economic activity.
• Herschel Grossman and Alberto Alesina: Investigated sovereign debt, reputation, and political economy aspects.
• Frederic Mishkin and Bennett McCallum: Focused on monetary policy indicators and rules.

Additional Sections

• In This Issue: Includes a program report, political economy research summary, economic outlook survey, NBER profile, conference updates, and working paper summaries.
• NBER Directors: Lists current and appointive directors, highlighting the diverse academic and professional backgrounds within the organization.
• Contributions: Notes that contributions to the NBER are tax-deductible and provides contact information for the President.

Conclusion

The 1987 stock market crash significantly influenced the research agenda of the NBER's Program in Financial Markets and Monetary Economics, prompting a deeper exploration of market efficiency, investor behavior, and the broader economic impacts of financial market imperfections and monetary policy. The issue highlights the ongoing debate about whether markets are efficient and how alternative explanations, such as noise traders and bubbles, can account for observed price movements. It also emphasizes the role of political economy in shaping fiscal and monetary policy decisions, particularly in the context of sovereign debt and democratic governance.