Freitag, 18. Dezember 2015

Interview mit Lars P. Hansen

... über GMM, Macro-Finance und Risiko/Unsicherheit.

Die Fed in Minneapolis hat ein Interview mit Lars P. Hansen, Nobelpreisträger und "Erfinder" der GMM-Methode, geführt.

Der Anfang:
"Region: Let’s start, if we could, with asset prices and the generalized method of moments, known as GMM. When you were honored with the Nobel award in 2013 for your work on the GMM, the committee said that the GMM is “particularly well suited to testing rational theories of asset prices.” Could you give a brief description of the method and its importance to later work?

Hansen: Sure. I like to think about this as the following: Economists can build a full-scale model of a macroeconomy with many different equations, where they map out a really rich structure of financial markets and the macroeconomy. The question is: Is there a way that you can study the connections between asset prices and macroeconomic outcomes without necessarily getting all the other details exactly correct? For instance, an econometrician may wish to avoid specifying the precise information used by investors or detailing all of the ingredients that govern the evolution of the macroeconomy. My aim was to develop methods that allow for initial investigation of linkages without requiring a fully fleshed-out model. [...]"

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