という論文IMFのEvridiki TsountaとAnayochukwu Osuekeが書いている(原題は「What is Behind Latin America’s Declining Income Inequality?」;H/T Mostly Economics)。以下はその要旨。

Income inequality in Latin America has declined during the last decade, in contrast to the experience in many other emerging and developed regions. However, Latin America remains the most unequal region in the world. This study documents the declining trend in income inequality in Latin America and proposes various reasons behind this important development. Using a panel econometric analysis for a large group of emerging and developing countries, we find that the Kuznets curve holds. Notwithstanding the limitations in the dataset and of cross-country regression analysis more generally, our results suggest that almost two-thirds of the recent decline in income inequality in Latin America is explained by policies and strong GDP growth, with policies alone explaining more than half of this total decline. Higher education spending is the most important driver, followed by stronger foreign direct investment and higher tax revenues. Results suggest that policies and to some extent positive growth dynamics could play an important role in lowering inequality further.







The administration poured billions into the banks that had brought the country to the brink of ruin, without setting conditions in return. When the International Monetary Fund and the World Bank engage in a rescue, they virtually always impose requirements to ensure the money is used in the way intended. But here, the government merely expressed the hope that the banks would keep credit, the lifeblood of the economy, flowing. And so the banks shrank lending, and paid their executives megabonuses, even though they had almost destroyed their businesses. Even then, we knew that much of the banks’ profits had been earned not by increasing the efficiency of the economy but by exploitation—through predatory lending, abusive credit-card practices and monopolistic pricing. The full extent of their misdeeds—for instance, the illegal manipulation of key interest rates and foreign exchange, affecting derivatives and mortgages in the amount of hundreds of trillions of dollars—was only just beginning to be fathomed.

Obama promised to stop these abuses, but so far only a single senior banker has gone to jail (along with a very few mid- and low-level employees). The president’s former Treasury secretary, Timothy Geithner, in his recent book, Stress Test, made a valiant but unsuccessful attempt to defend the administration’s actions, suggesting that there were no alternatives.




一方、ディーン・ベーカーは、今回のシティの70億ドルの和解(cf. ロイター日本語記事)に絡めて、そうした刑事罰の不在が将来に禍根を残した、と指摘している(H/T Economist’s View)。

Based on the information Norris presents here, Citigroup's top management essentially knew that the bank was engaging in large-scale fraud by passing along billions of dollars worth of bad mortgages. If these people were now facing years of prison as a result of criminal prosecution then it may well affect how bank executives think about these situations in the future. While it will always be true that they do not want to turn away business, they would probably rather sacrifice some of their yearly bonus than risk spending a decade of their life behind bars. The fear of prision may even deter less scrupulous competitors. In that case, securitizing fraudulent mortgages might have been a marginal activity of little consequence for the economy.

Citigroup's settlement will not change the tradeoffs from what Citigroup's top management saw in 2006. As a result, in the future bankers are likely to make the same decisions that they did in 2006.





マージン・コール (字幕版)

マージン・コール (字幕版)




*3:Floyd Norrisの書いたシティグループの和解に関するNYT記事を指す。その記事では、シティのコンサルタント証券化されたモーゲージの多くが基準に達していないと警告した、と報告している。またその警告を無視して経営陣が話を進めた理由として、利益率の高いビジネスから手を引きたくなかったこと、シティが手を引いてもより良心的でない競争相手に回るだけだと考えられたこと、を挙げている。






  • 経済学において今や失業の主流理論となったサーチ理論では、職探しの効率が良くなれば失業率は減少するはず。
  • インターネットによって職探しは効率化したので、この理論によれば、過去20年間に失業率は低下を続けているはずだが、現実にはそうなっていない。
  • よって、サーチ理論には問題あり。それを使い続けている経済学界にも問題あり。



  B = u/v * (p-z) * 定数


u/v(Unemployment-Vacancy Ratio=失業率欠員比率)




  • 上式には金融政策の入り込む余地が無い。ロバート・ホールらはゼロ金利下限や商品市場が清算されない状態をDMPモデルに持ち込み、現実世界に近い結果を得たが、コチャラコタは言及していない。
  • Shimer(2005)は、我々が目にする失業率の変動をこのモデルから生産性の変化によって説明することはできない、ということを示した。しかも、最近の景気後退期には生産性はむしろ上昇しており、2008年以降の大収縮期の生産性はほぼ通常のペースで上昇している。
  • pの10%の低下とzの0.05の上昇という数字は、リチャード・フィッシャーがインフレ高騰を予測する基になった勘(gut)と変わらない。フィッシャーの勘は外れ続けており、ほとんどビョーキの域に達している。米国経済の行く末を決定する上で世界で最も大きな力を持つ人々が、バーナンキへの不同意をこのように決めているとはあな恐ろしや。
  • 失業保険失業期間の長期化をもたらしているというならば、それを貰える人と貰えない人で結果が違ってくるはず。SF連銀の研究者が実際にそれを調べたが失業給付延長の失業率への影響は0.4〜0.8%ポイントに過ぎず、しかもスコット・サムナーが指摘したように、失業給付期間の延長自体も内生的に決まるため、この結果はルーカス批判に該当することに注意する必要がある。
  • 債務が圧し掛かった家計で職の重要性が増し、新卒者が職を見つけられずに職歴に大きな傷が残るのを心配している不況下で、zは下がったと考えるのが自然ではないか。オバマ大統領雇用創出者を怯えさせ失業者が十分に飢えていないために自然失業率が9%近くに達したと本当に信じているならば、いかなる計量経済学を使っても説得するのは難しいが、税金引き下げや規制緩和などを訴える銀行や富裕層や企業経営者だけでなく、必死に仕事を探し求めている労働者や就職を控えた学生の声に耳を傾けたらどうか。彼らは魔法の休暇を享受しているわけでも、「z」を楽しんで日がな一日フェイスブックに耽っている無気力な負け犬でもない。



  • 最低賃金が高いと、低賃金労働者低賃金の仕事をより熱心に探すようになり、その仕事を受け入れることが多くなり、断ることが少なくなる。これは均衡雇用水準を引き上げる。
  • すべての職にサーチ摩擦が付き纏うならば、雇用者は職について独占力を幾分なりとも有していると考えるのが理に適っている。その場合、雇用者は市場清算価格まで賃金を引き上げないかもしれない。というのは、そこまで引き上げると全労働者賃金を引き上げなくてはならなくなるからである。最低賃金はそれに抗する方向に働く。そう考えると、経済学入門で考えるのに比べて雇用への悪影響が少なくなることも説明が付く。


*1cf. ここ




以前、アンドリュー・ゲルマンピーター・ドーマン効用理論批判を取り上げたことがあったが、その両者の最近のやり取りがゲルマンブログ紹介されている。エントリには「計量経済学統計学の違い:変動する介入効果から効用に至るまで、経済学者は不変のモデルを好むようだが、統計学者は変動する方が安心する(Differences between econometrics and statistics: From varying treatment effects to utilities, economists seem to like models that are fixed in stone, while statisticians tend to be more comfortable with variation)」という長いタイトルが付けられている。

やり取りは、ある特定の変動に焦点を当てがちな経済学者の傾向についての議論から始まっている。ドーマンが、最近階層モデル(hierarchical modeling)でリスク分析をしたところうまくいったが、計量経済学に何十年も携わってきたにも関わらず、階層モデルなるものをこれまで知らなかった、と書いたのに対し、ゲルマンは次のように答えている。

...it’s my impression that economists are trained to focus on estimating a single quantity of interest, whereas multilevel modeling is appropriate for estimating many parameters. Economists should care about variation, of course; indeed, variation could well be said to be at the core of economics, as without variation of some sort there would be no economic exchanges. There are good reasons for focusing on point estimation of single parameters—in particular, if it’s hard to estimate a main effect, it is typically even more difficult to estimate interactions—but if variations are important, I think it’s important to model and estimate them.




I’ve been mulling the question about economists’ obsession with average effects and posted this on EconoSpeak. I could have said much more but decided to save it for another day. In particular, while the issue of representative agents has come up in the context of macroeconomic models, I wonder how many noneconomists — and even how many economists — are aware that the same approach is used more or less universally in applied micro. The “model” portion of a typical micro paper has an optimization model for a single agent or perhaps a very small number of interacting agents, and the properties of the model are used to justify the empirical specification. This predisposes economists to look for a single effect that variations in one factor have on variations in another. But the deeper question is why these models are so appealing to economists but less attractive (yes?) to researchers in other disciplines.




There is the so-called folk theorem which I think is typically used as a justification for modeling variation using a common model. But more generally economists seem to like their models and then give after-the-fact justification. My favorite example is modeling uncertainty aversion using a nonlinear utility function for money, in fact in many places risk aversion is _defined_ as a nonlinear utility function for money. This makes no sense on any reasonable scale (see, for example, section 5 of this little paper from 1998, but the general principle has been well-known forever, I’m sure), indeed the very concept of a utility function for money becomes, like a rainbow, impossible to see if you try to get too close to it—but economists continue to use it as their default model. This bothers me. I don’t think it’s like physicists starting by teaching mechanics with a no-friction model and then adding friction. I think it’s more like, ummm, I dunno, doing astronomy with Ptolemy’s model and epicycles. The fundamentals of the model are not approximations to something real, they’re just fictions.




So my deep theory goes like this: the vision behind all of neoclassical economics post 1870 is a unified normative-positive theory. The theory of choice (positive) is at the same time a theory of social optimality. This is extremely convenient, of course. The problem, which has only grown over time, is that the assumptions needed for this convergence, the central role assigned to utility (which is where positive and normative meet) and its maximization, either devolve into tautology or are vulnerable to disconfirmation. I suspect that this is unavoidable in a theory that attempts to be logically deductive, but isn’t blessed, as physics is, by the highly ordered nature of the object of study. (Physics really does seem to obey the laws of physics, mostly.)

I’ve come to feel that utility is the original sin, so to speak. I really had to do some soul-searching when I wrote my econ textbooks, since if I said hostile things about utility no one would use them. I decided to self-censor: it’s simply not a battle that can be won on the textbook front. Rather, I’ve come to think that the way to go at it is to demonstrate that it is still possible to do normatively meaningful work without utility — to show there’s an alternative. I’m convinced that economists will not be willing to give this up as long as they think that doing so means they can’t use economics to argue for what other people should or shouldn’t do. (This also has connections to the way economists see their work in relation to other approaches to policy, but that’s still another topic.)

And I’ve been thinking more about your risk/uncertainty example. Your approach is to look for regularity in the data (observed choices) which best explains and predicts. I’m with you. But economists want a model of choice behavior based on subjective judgments of whether one is “better off”, since without this they lose the normative dimension. This is a costly constraint.

There is an interesting study to be written — maybe someone has already written it — on the response by economists to the flood of evidence for hyperbolic discounting. This has not affected the use of observed interest rates for present value calculation in applied work, and choice-theoretic (positive) arguments are still enlisted to justify the practice. Yet, to a reasonable observer, the normative model has diverged dramatically from its positive twin. This looks like an interesting case of anomaly management.






この両者のやり取りについてデロングがEquitableブログで以下のようにコメントしている(H/T Economist’s View)。

  • 期待効用の意思決定理論は規範的なものであり、実証的なものではない、と理解している。それは、リスクのある環境で目的を達成するために人々がどのように行動すべきかを示すものであり、どう行動するかを示すものではない。期待効用の意思決定理論を人々に教える意味は、確率が分かっている少額の賭けについては人々はリスク中立的であるべき、ということを知らしめる点にある。教える手順は以下の通りとなる。
    1. 人々は少額の賭けについてリスク中立的ではない。
    2. 合理性に関する基本的な考察を取り入れると、目的達成のためには少額の賭けについてリスク中立的であるべき、ということになる。
    3. 従って人々は少額の賭けについてリスク中立的であるべき、ということになる。
    4. 他人を相手に賭けをしている際には、賭け金が少額といえどもリスク回避的になるべきではない。賭けの相手の引き受け手がいるということは自分の主観的確率が偏っていることを意味し、主観的確率に基づく期待効用の意思決定理論は自らの偏りに関する情報を織り込んでいないため、あらぬ方向に導いてしまう。
    5. 自然を相手にした少額の賭けについてもリスク中立的に行動すべきか――そうすることが不安、延いては不幸な感情をもたらすとしても――という問題については未だ回答が無い。
      • デロング自身は、不安や不幸という感情を持たないように自分を訓練し、リスク中立的たるべき、と考えている。
  • 人々が実際にベイズ的な期待効用に基づく意思決定を行っていないにも関わらず、そうした経済主体の参加するものとして市場をモデル化することについて、経済学者の考え方は以下の三つに大別される。
    1. その問題について考えたことさえない。
    2. 個人が期待効用に基づく意思決定を行っていないとしても、組織は、認知に関する制度や手続きによって、期待効用に基づく意思決定者のように振る舞う。
    3. 市場の失敗は個人が期待効用の意思決定理論に沿わず、それを補填する制度も存在しないことから起きる。




前回紹介したDemocracy Now!のスティグリッツインタビューは、日本語サイトでも紹介されているように、TPP批判もさることながら、BRICS銀行へのスティグリッツの称賛が一つの大きな特色になっている。司会のエイミー・グッドマンは、スティグリッツを「新銀行の後見人(the godfather of this new bank)」とまで呼んでいる。


The reason I was so enthusiastic is that the needs for funds for development, for infrastructure, are so huge, and the existing institutions can just supply a small percentage. And our global private financial markets just aren’t working. I mean, let me give you an example. Before the 2008 crisis, Ben Bernanke said that there was a savings glut: We had too much savings. You know, he must have been living on a different planet than I was living, because when I traveled around Africa, other development countries, I didn’t see a problem of too much savings. I saw enough—a problem of huge investment needs. And the problem was that existing financial institutions weren’t taking the savings and putting to where it was needed. It was clear that the private institutions couldn’t do this. You know, they knew how to engage in predatory lending and taking advantage of poor people. They were good at that. But they weren’t good of taking the surplus of savings and putting them to the place where there are huge social needs.


It’s not part of their business model. You know, they make money from speculation, from trading, from derivatives, from market manipulation—you know, the gamut of everything except looking around for what are the most socially productive uses of investment and how to manage the risk associated with those investments. So, that’s why you need a development bank.






It’s going to be headed by an Indian. It will be located in Shanghai. It has a governing structure that will involve all of the BRICS countries, and unlike, say, the IMF, where the U.S. is the single country with a veto power, it’s going to—all of them will have equal votes.

One aspect of it is it will employ all the new learning that we have about new instruments, new governance. So, for instance, it has the facility, the ability to, say, create a fund that can bring in not only countries, but, say, sovereign wealth funds, to use not just debt, but equity, or to use more, you know, the advances in modern financial technique, financial risk management. So, I think it’s going to try to be a 21st century institution. The other institutions have been trying to adapt from the 20th century—1944 was when they were founded—but, you know, it’s difficult to move these big institutions, particularly difficult to change governance.

The United States doesn’t like the fact that as of some time in September, the United States will be the second-largest country in the world, according to the new way we measure purchasing power parity, how we compare countries. Well, I think it’s difficult for the United States to accept the notion it’s no longer the—will no longer be the largest country. It’s no longer the largest country in trade, in savings, in other areas, but this will be the second-largest country in the world.


Behind China. But the global governance does not reflect these new economic realities. And this new institution is not going to change everything, I mean, clearly. It’s just a little bit of movement, but it’s a movement in the right direction, reflecting the new economic and political realities and reflecting the learning that we’ve done in the last 70 years.








...it reflects a fundamental change in global economic and political power, that one of the ideas behind this is that the BRICS countries today are richer than the advanced countries were when the World Bank and the IMF were founded. We’re in a different world. At the same time, the world hasn’t kept up. The old institutions have not kept up. You know, the G-20 talked about and agreed on a change in the governance of the IMF and the World Bank, which were set back in 1944—there have been some revisions—but the U.S. Congress refuses to follow along with the agreement. The administration failed to go along with what was widely understood as the basic notion that, you know, in the 21st century the heads of these institutions should be chosen on the basis of merit, not just because you’re an American. And yet, the U.S. effectively reneged on that agreement. So, this new institution reflects the disparity and the democratic deficiency in the global governance and is trying to restart, to rethink that.




I think the sanctions probably motivated Russia to be even more enthusiastic about this, because it gave it a political context in which it wasn’t the outsider but was one of the team of creating a new global architecture.