quarta-feira, 12 de agosto de 2009

O Que há de Errado com a Economia?

Em provocante artigo da The Economist, Paul Krugman é citado dizendo que a teoria macroeconômica dos últimos trinta anos é “spectacularly useless at best, and positively harmful at worst.” Afinal de contas, a crise financeira de 2008 não teria sido prevista pelos modelos macroeconômicos nem os economistas chegaram a algum consenso sobre como debelá-la, como argumenta a The Economist.
Robert Lucas, da Universidade de Chicago e Nobel em Economia, aceitou o desafio e rebateu o argumento em seu artigo "In Defense of the Dismal Science". Para Lucas, central na discussão é a Hipótese de Mercados Eficientes (EMH):

"One thing we are not going to have, now or ever, is a set of models that forecasts sudden falls in the value of financial assets, like the declines that followed the failure of Lehman Brothers in September. This is nothing new. It has been known for more than 40 years and is one of the main implications of Eugene Fama’s “efficient-market hypothesis” (EMH), which states that the price of a financial asset reflects all relevant, generally available information. If an economist had a formula that could reliably forecast crises a week in advance, say, then that formula would become part of generally available information and prices would fall a week earlier. (The term “efficient” as used here means that individuals use information in their own private interest. It has nothing to do with socially desirable pricing; people often confuse the two.)

Mr Fama arrived at the EMH through some simple theoretical examples. This simplicity was criticised in The Economist’s briefing, as though the EMH applied only to these hypothetical cases. But Mr Fama tested the predictions of the EMH on the behaviour of actual prices. These tests could have come out either way, but they came out very favourably. His empirical work was novel and carefully executed. It has been thoroughly challenged by a flood of criticism which has served mainly to confirm the accuracy of the hypothesis. Over the years exceptions and “anomalies” have been discovered (even tiny departures are interesting if you are managing enough money) but for the purposes of macroeconomic analysis and forecasting these departures are too small to matter. The main lesson we should take away from the EMH for policymaking purposes is the futility of trying to deal with crises and recessions by finding central bankers and regulators who can identify and puncture bubbles. If these people exist, we will not be able to afford them."

Esta resposta gerou várias reações de conhecidos economistas, que a The Economist está publicando como "The Lucas Round Table". O debate é de qualidade e vale a pena acompanhá-lo, participam nomes como Robert Barro, Brad DeLong, Mark Thoma, Richard Posen e Tyler Cowen.

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