Think about all his recent posts mocking the conservative fear that big deficits will lead to higher interest rates. What evidence does Krugman use? He cites the low and falling 10 year bond yields. In other posts he has used TIPS spreads to explain why inflation is the last thing we should be worried about. Now flash back to March 2009, when Krugman warned that $780 billion in stimulus would not be enough to get the job done. Did he know this from his models, as he claimed? Or did he cheat, did he peek at the equity, commodity and bond markets, and notice that all were predicting a severe recession with lots of disinflation, if not outright deflation? I think he peeked.
My theory is there are two kinds of economists:
1. Those who look smarter than they really are, because they rely on the EMH to predict
     Paul Krugman
     Scott Sumner
2. Those who look dumber than they really are because they rely on their own models to predict:
     Conservatives predicting inflation based on Quantity Theory models or Fiscal Theory models.
I bet you never thought you see a list that had Paul Krugman in the pro-EMH camp. But just as with Wall Street in 1933, look at what people do, not what they say. Just as I am a pro-EMH guy who occasional tries market timing in my personal investments, Krugman is an anti-EMH guy who forecasts as if he believes in the EMH. And that makes him a very good forecaster, and very dangerous to us right-wingers. We underestimate him at our peril.

巨額の財政赤字が高金利につながるという保守派の懸念を嘲った彼(=クルーグマン)の最近のブログポストを見てみよう。そこでクルーグマンが挙げた証拠は何だったか? 彼は10年国債の下落しつつある低水準の金利を引き合いに出したのだ。別のブログポストでは、TIPS(物価連動債)のスプレッドを用いて、インフレを心配する必要が無いことを説明していた。さて、去る2009年3月にクルーグマンは7800億ドルの景気刺激策は目的達成には不十分だと警告した。その警告は、彼の言うように、自身のモデルに基づいていたのか? それとも彼はずるをして、株式、商品、債券の各市場を覗き見て、それらの市場がすべて、真性デフレとは言わないまでもインフレの大きな低下を伴う深刻な景気後退を予言していることに気付いたのか? 私は彼は覗き見したのだと思う。

  1. EMH(効率的市場仮説)に頼って予想を立てているので、実際より賢く見える経済学者
  2. 自身のモデルに頼って予想を立てているので、実際より愚かに見える経済学者
    • 貨幣数量説や財政理論のモデルに基づいてインフレを予想している保守派
    • 等々


また、コンツァルは、シュライファーとヴィシュニーの有名な論文「The Limits of Arbitrage」から以下の一節を引用し、株式市場はバブルや仕手に踊らされる傾向が強いが債券市場はそうではない、と考えても問題はないことを指摘している。

A. Which Markets Attract Arbitrage Resources?

Casual empiricism suggests that a great deal of professional arbitrage activity, such as that of hedge funds, is concentrated in a few markets, such as the bond market and the foreign exchange market. These also tend to be the markets where extreme leverage, short selling, and performance-based fees are common. In contrast, there is much less evidence of such activity in the stock market, either in the United States or abroad. Why is that so? Which markets attract arbitrage?
Part of the answer is the ability of arbitrageurs to ascertain value with some confidence and to be able to realize it quickly. In the bond market, calculations of relative values of different fixed income instruments are doable, since future cash flows of securities are (almost) certain. As a consequence, there is almost no fundamental risk in arbitrage. In foreign exchange markets, calculations of relative values are more difficult, and arbitrage becomes riskier. However arbitrageurs put on their largest trades, and appear to make the most money, when central banks attempt to maintain nonmarket exchange rates, so it is possible to tell that prices are not equal to fundamental value and to profit quickly. In stock markets, in contrast, both the absolute and the relative values of different securities are much harder to calculate. As a consequence, arbitrage opportunities are harder to identify in stock markets than in bond and foreign exchange markets.

実証分析を少し行ってみると、ヘッジファンドのようなプロの裁定取引の活動のかなりの部分が、債券市場や外国為替市場といった数種類の市場に集中していることが分かる。そうした市場はまた、極端なレバレッジ空売り、収益ベースの手数料が一般的に見られる市場でもある。一方、株式市場でのそうした活動は、米国内外を問わず、あまり見られない。これはなぜだろうか? どの市場が裁定取引を惹き付けるのだろうか?