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James Rickards: 経済モデルは一般均衡理論ではなく、動的複雑系理論を使うべき。

はじめに


・過去記事(5年前!)で彼の同様の主張を取り上げた。


・James Rickards は別記事で最先端の経済モデル(カオス理論に基づいた複雑系(or 非線形)経済モデル)を使うべきだと主張していた。問題は、経済学で学位を取ってそれなりのポストに着くには、古臭い一般均衡モデルで論文を書かねば指導教授から睨まれるため、古臭い経済モデルが蔓延ったままだと。

ref: James Rickards : FRB は自分が何をやっているか理解してないし、彼らの採用している経済モデルも現実から乖離している (2015-05-18)


一部引用


・一流の物理学者や数学者を巻き込んで理論的モデルの開発を進めているが、あと 10年はかかりそうだと。


I was an unusual participant in the field. Most of my collaborators were physicists trying to learn capital markets. I was a capital markets expert who had taken the time to learn physics.

One of the team leaders at Los Alamos, an MIT-educated computer science engineer named David Izraelevitz, told me in 2009 that I was the only person he knew of with a deep working knowledge of finance and physics combined in a way that might unlock the mysteries of what caused financial markets to collapse.

I took this as a great compliment. I knew that a fully-developed and tested theory of financial complexity would take decades to create with contributions from many researchers, but I was gratified to know that I was making a contribution to the field with one foot in the physics lab and one foot planted firmly on Wall Street. My work on this project, and that of others, continues to this day.



This approach stands in stark contrast to the standard equilibrium models the Fed and other mainstream analysts use.

An equilibrium model like Fed uses in its economic forecasting basically says that the world runs like a clock. Every now and then, according to the model, there’s some perturbation, and the system gets knocked out of equilibrium. Then, all you do is you apply policy and push it back into equilibrium. It’s like winding up the clock again. That’s a shorthand way of describing what an equilibrium model is.

Unfortunately, that is not the way the world works. Complexity theory and complex dynamics explain it much better.

Distress in one area of financial markets spread to other seemingly unrelated areas of financial markets. In fact, the mathematics of financial contagion are exactly like the mathematics of disease or virus contagion. That’s why they call it contagion. One resembles the other in terms of how it’s spread.


出典


Markets and Black Swans - The Daily Reckoning - https://dailyreckoning.com/markets-and-black-swans/

(2020-04-10)
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