Robert Emerson Lucas Jr., uno de los economistas más
influyentes de las últimas décadas, ha muerto este lunes a los 85 años,
según han informado compañeros y alumnos en las redes sociales y
confirmado la Universidad de Chicago, de la que era profesor. Lucas ganó el premio Nobel de Economía en 1995 por su tesis de las expectativas racionales y muchos de sus discípulos sostenían que en realidad se habría merecido dos.
“Es
imposible exagerar la influencia de Bob en la macroeconomía”, ha dicho
Robert Shimer, director del Departamento de Economía Kenneth C. Griffin
de la Universidad de Chicago, a través de un comunicado.
“Bob deja tras de sí un legado de investigación, enseñanza y liderazgo
revolucionarios que transformaron el campo de la economía”, ha añadido.
Recibió
el Nobel “por haber desarrollado y aplicado la hipótesis de las
expectativas racionales, y con ello haber transformado el análisis
macroeconómico y profundizado nuestra comprensión de la política
económica”, según la justificación que dio la Academia.
Sostuvo
que los responsables políticos no pueden suponer que sus acciones
producirán los resultados previstos, sino que deben tener en cuenta cómo
afectarán a las expectativas de la gente. El trabajo de Lucas sugería,
por ejemplo, que ciertas políticas encaminadas a reducir el desempleo
podrían resultar contraproducentes al avivar las expectativas de
inflación. Sus tesis eran una enmienda, como mínimo parcial, al
keynesianismo y su defensa de la intervención pública en la economía. De alguna forma, revolucionó la metodología de la macroeconomía y obligó a prestar atención a variables que habían quedado relegadas a la microeconomía.
Después de la guerra, su
padre encontró trabajo como soldador en una empresa de refrigeración
comercial, Lewis Refrigeration. Se convirtió en artesano, luego en
ingeniero de ventas, después en director de ventas y, finalmente, en
presidente de la empresa. No tenía título universitario ni formación en
ingeniería, y aprendió la ingeniería que necesitaba de la gente con la
que trabajaba y de los manuales.
Tras graduarse en el
instituto, asistió a la Universidad de Chicago, donde se licenció
primero en Historia. Leyendo al historiador belga Henri Pirenne, cuyo
relato del final de la época romana hacía hincapié en la continuidad de
la vida económica frente a las grandes perturbaciones políticas, se
interesó por la economía. En 1964 se doctoró en esa especialidad,
discípulo de Paul Samuelson y Milton Friedman. Desde entonces, trabajó,
enseñó y siguió investigando, primero en la Universidad Carnegie Mellon
y, más tarde, en la Universidad de Chicago. Tenía dos hijos con su
primera esposa, Rita Lucas, de la que se separó en 1982 y se divorció
años después. Desde 1982 convivía con Nancy Stokes.
Lucas
definía la profesión así: “Los economistas tienen una imagen de
practicidad y mundanidad que no comparten los físicos ni los poetas.
Algunos economistas se han ganado esta imagen. Otros —yo mismo y muchos
de mis colegas aquí en Chicago—, no. No sé si tomarán esto como una
confesión o un alarde, pero básicamente somos narradores de historias,
creadores de sistemas económicos imaginarios”, les dijo a los
estudiantes de la Universidad de Chicago en el discurso de la ceremonia de graduación de 1988.
A
continuación les contó a los graduados cómo provocar una depresión
económica en un imaginario parque de atracciones manipulando la cantidad
de dinero o el precio de los tickets. Y cómo podía corregirse por esa
vía de la política monetaria, si actuaba por sorpresa, esa depresión autoinducida. Su fe en el poder de esas herramientas le llevó en 2003 a afirmar que los macroeconomistas habían resuelto a efectos prácticos “el problema central de la prevención de las depresiones” y deberían dedicarse a otros temas.
Cuando cinco años después, con la caída de Lehman Brothers, se produjo la Gran Recesión, muchos buscaron en esas palabras una contribución a la complacencia
en que se habían instalado los economistas y las autoridades, algo
desprevenidos sobre la vulnerabilidad ante las crisis graves.
Pese
a las críticas, Lucas nunca admitió haberse equivocado con aquella
proclama. Se justificó diciendo que hasta el derrumbe de Lehman
Brothers, el riesgo de una crisis financiera era tan pequeño que haber
recomendado “políticas monetarias preventivas de la envergadura de las
que se aplicaron después habría sido como salirse bruscamente de la
carretera ante la posibilidad de que alguien se desviara de repente de
frente hacia tu carril”, según escribió en un artículo en The Economist.
Al
final la política fiscal, con planes de rescate y estímulo
multimillonarios, y la monetaria, por entonces en manos de Ben Bernanke,
un experto en la Gran Depresión, acabaron evitando juntas consecuencias
mucho más graves para la economía estadounidense y dejaron abierta la
batalla entre keynesianos y monetaristas.
Además de su
decisiva aportación sobre las expectativas racionales, su trabajo
posterior sobre las fuerzas que impulsan el desarrollo económico
contribuyó a generar una avalancha de investigaciones en la llamada
nueva teoría del crecimiento, por la que sus discípulos creen que habría
merecido de nuevo el Nobel. “Cuando Bob centró su atención en el
crecimiento a largo plazo, desarrolló una teoría fundamental de las
diferencias de renta entre países sostenidas por el aprendizaje de
otros, tema que continuó en gran parte de su investigación posterior”,
ha señalado Shimer, que también ha destacado sus aportaciones sobre los
efectos reales de la política monetaria, sus trabajos sobre economía
urbana, sobre comercio internacional o sobre problemas económicos
dinámicos, entre otros.
Robert E. Lucas, Jr.
Vol. 9, No. 2 (Autumn, 1978), pp. 508-523 (16 pages)
https://www.jstor.org/stable/3003596
Inequality and the Organization of Knowledge
Since the seminal work of Lawrence F. Katz and Kevin M. Murphy (1992), the study of wage inequality has taken as its starting point a neoclassical constant-elasticity-of-substitution production function using as inputs capital and lowand high-skill labor. This approach assumes that the organization of production is fixed and determined by a particular specification of technology, and it ignores both the source of the interaction between workers and the organizational aspects of this interaction. These shortcomings are particularly important in light of growing empirical evidence that points, first, to the importance of decreases in the cost of processing and communicating information and, second, to the complementarity between organizational change and adjustments in the distribution of wages (e.g., Timothy F. Bresnahan et al., 2002). This paper argues that theories that seek to guide empirical research on these areas must put knowledge and information at the center of the analysis of organizations and link the organizational structure with aggregate variables via equilibrium frameworks.
In Garicano and Rossi-Hansberg (2003), we present a model of this kind. It determines the patterns of organization, as manifested by the communication and specialization patterns, and the implied wage structure, that result from different costs of acquiring and communicating information. Here, we present a simple variant of this theory that allows us to focus on one of the main aspects of that framework: the sorting of agents into teams and the wage and organizational structure that accompanies that sorting. We use this simple model to analyze the changes in organization and wages that result from a very specific type of technological change: a reduction in the cost of communicating knowledge or information. This model allows us to consider the effect on within-class wage inequality, and the impact of information technology on the creation and form of organizations (e.g., size distribution of hierarchies).
However, because knowledge is exogenously given, and agents cannot invest in learning, an important margin of the model in Garicano and Rossi-Hansberg (2003) is fixed, namely, the degree of “decentralization” or the extent to which problems are solved at lower levels. That model allows the simultaneous study of the acquisition of knowledge, spans of control, and matching in equilibrium. Moreover, it goes beyond the current analysis in that it allows for organizations with an unconstrained number of layers, and in that it studies two aspects of the impact of information technology: communication technology (like here) and the technology to acquire knowledge or information (e.g., processing power through cheaper database access)
- https://www.semanticscholar.org/paper/Inequality-and-the-Organization-of-Knowledge-Garicano-Rossi-Hansberg/ee27698c3fa0866a2d8054ffe3ec4ae9816b6db6?p2df
“Bob deja un legado de investigación,
enseñanza y liderazgo revolucionario que tranformó el campo de la
economía y a este departamento”, dijo Robert Shimer, director del departamento de Economía de la Universidad de Chicago.
Lucas
utilizó las expectativas racionales para desarrollar una teoría sobre
la inflación, en donde los legisladores pueden reducir el desempleo a
corto plazo a través de una política monetaria expansiva, sin afectar en
el largo plazo la tasa de desempleo promedio, un modelo denominado Lucas Islands.
“Es imposible exagerar la influencia de Bob en la macroeconomía”, agrego Shimer.
Robert
Lucas recibió su bachelor’s degree en 1959 y su doctorado en 1964 por
la Universidad de Chicago. Posteriormente desarrolló la “crítica Lucas”,
que simúltaneamente criticaba los estudios macroeconómicos empíricos y
que abrieron la puerta para modernizar ésta área de estudio. También
desarrolló la teoría moderna de la inversión con Edward Prescott y una
teoría relacionada sobre el desempleo de equilibrio.
Fue profesor durante 11 años en el Carnegie Institute of Technology
(posteriormente la Carnegie Mellon University) y docente de la
Universidad de Chicago desde 1975 a la fecha. En los últimos años se
desempeñó como Profesor Emérito en Economía y además de Profesor de
Servicio Distinguido John Dewey en la misma universidad.
Robert Emerson Lucas Jr. nació
en 1937, en Yakima, Washington. El hijo mayor de Robert Emerson Lucas y
Jane Templeton Lucas, quienes se mudaron de Seattle a Yukima para abrir
un pequeño restaurante, The Lucas Ice Creamery.
En
un discurso que dio el 9 de diciembre de 1988, durante la Ceremonia de
graduación para los estudiantes de la Universidad de Chicago, Lucas
definió así su profesión como economista: “Los economistas tienen una
imagen de practicidad y mundanidad que no comparten los físicos ni los
poetas. Algunos economistas se han ganado esta imagen. Otros —yo mismo y
muchos de mis colegas aquí en Chicago—, no. No sé si tomarán esto como
una confesión o un alarde, pero básicamente somos narradores de
historias, creadores de sistemas económicos imaginarios”.
Olivier
Blanchard, profesor de economía emérito en el Massachussets Institute
of Technology, (MIT) definió a Lucas como el macroeconomista más
influyente de los últimos 50 años.
- https://www.eleconomista.com.mx/arteseideas/Robert-Lucas-ganador-del-premio-Nobel-de-Economia-en-1995-murio-a-los-85-anos-20230515-0085.html
10 October 1995
The Royal Swedish Academy of Sciences has decided to award the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, 1995, to
Professor Robert E. Lucas, Jr., University of Chicago, USA,
for having developed and applied the hypothesis of rational
expectations, and thereby having transformed macroeconomic analysis and
deepened our understanding of economic policy.
Rational Expectations Have Transformed Macroeconomic Analysis and Our Understanding of Economic Policy
Robert Lucas is the economist who has had the greatest
influence on macroeconomic research since 1970. His work has brought
about a rapid and revolutionary development: Application of the rational
expectations hypothesis, emergence of an equilibrium theory of business
cycles, insights into the difficulties of using economic policy to
control the economy, and possibilities of reliably evaluating economic
policy with statistical methods. In addition to his work in
macroeconomics, Lucas’s contributions have had a very significant impact
on research in several other fields.
Rational Expectations
Expectations about the future are highly important to economic decisions
made by households, firms and organizations. One among many examples is
wage formation, where expectations about the inflation rate and the
demand for labor in the future strongly affect the contracted wage level
which, in turn, affects future inflation. Similarly, many other
economic variables are to a large extent governed by expectations about
future conditions.
Despite the major importance of expectations, economic analysis paid
them only perfunctory attention for a long time. Twenty years ago, it
was not unusual to assume arbitrarily specified or even static
expectations, for example that the expected future price level was
regarded as the same as today’s price level. Or else adaptive
expectations were assumed, such that the expected future price level was
mechanically adjusted to the deviation between today’s price level and
the price level expected earlier.
Instead, rational expectations are genuinely forward-looking. The
rational expectations hypothesis means that agents exploit available
information without making the systematic mistakes implied by earlier
theories. Expectations are formed by constantly updating and
reinterpreting this information. Sometimes the consequences of rational
expectations formation are dramatic, as in the case of economic policy.
The first precise formulation of the rational expectations hypothesis
was introduced by John Muth in 1961. But it did not gain much prominence
until the 1970s, when Lucas extended it to models of the aggregate
economy. In a series of path-breaking articles, Lucas demonstrated the
far-reaching consequences of rational expectations formation,
particularly concerning the effects of economic policy and the
evaluation of these effects using econometric methods, that is,
statistical methods specifically adapted for examining economic
relationships. Lucas also applied the hypothesis to several fields other
than macroeconomics.
The Phillips Curve Example
The change in our understanding of the so-called Phillips curve is an
excellent example of Lucas’s contributions. The Phillips curve displays a
positive relation between inflation and employment. In the late 1960s,
there was considerable empirical support for the Phillips curve; it was
regarded as one of the more stable relations in economics. It was
interpreted as an option for government authorities to increase
employment by pursuing an expansionary policy which raises inflation. Milton Friedman
and Edmund Phelps criticized this interpretation and claimed that the
expectations of the general public would adjust to higher inflation and
preclude a lasting increase in employment: Only the short-run Phillips
curve is sloping, whereas the long-run curve is vertical. This criticism
was not quite convincing, however, because Friedman and Phelps assumed
adaptive expectations. Such expectations do in fact imply a permanent
rise in employment if inflation is allowed to increase over time. In a
study published in 1972, Lucas used the rational expectations hypothesis
to provide the first theoretically satisfactory explanation for why the
Phillips curve could be sloping in the short run but vertical in the
long run. In other words, regardless of how it is pursued, stabilization
policy cannot systematically affect long-run employment. Lucas
formulated an ingenious theoretical model which generates time series
such that inflation and employment indeed seem to be positively
correlated. A statistician who studies these time series might easily
conclude that employment could be increased by implementing an
expansionary economic policy. Nevertheless, Lucas demonstrated that any
endeavor, based on such policy, to exploit the Phillips curve and
permanently increase employment would be futile and only give rise to
higher inflation. This is because agents in the model adjust their
expectations and hence price and wage formation to the new, expected
policy. Experience during the 1970s and 1980s has shown that higher
inflation does not appear to bring about a permanent increase in
employment. This insight into the long-run effects of stabilization
policy has become a commonly accepted view; it is now the foundation for
monetary policy in a number of countries in their efforts to achieve
and maintain a low and stable inflation rate.
The short-run sloping and long-run vertical Phillips curve
illustrates the pitfalls of uncritically relying on statistically
estimated so-called macroeconometric models to draw conclusions about
the effects of changes in economic policy. In a 1976 study, introducing
what is now known as the “Lucas critique”, Lucas demonstrated that
relations which had so far been regarded as “structural” in econometric
analysis were in fact influenced by past policy. Two decades ago,
virtually all macroeconometric models contained relations which, on
closer examination, could be shown to depend on the fiscal and monetary
policy carried out during the estimation period. Obviously, then, the
same relations cannot be used in simulations designed to predict the
effect of another fiscal or monetary policy. Yet this was exactly how
the models were often used.
The Lucas critique has had a profound influence on economic-policy
recommendations. Shifts in economic policy often produce a completely
different outcome if the agents adapt their expectations to the new
policy stance. Nowadays, when evaluating the consequences of shifts in
economic-policy regimes – for example, a new exchange rate system, a new
monetary policy, a tax reform or new rules for unemployment benefits –
it is more or less self-evident to consider changes in the behavior of
economic agents due to revised expectations.
How could researchers avoid the mistakes forewarned by the Lucas
critique? Lucas’s own research provided the answer by calling for a new
research program. The objective of the program was to formulate
macroeconometric models such that their relations are not sensitive to
policy changes; otherwise, the models cannot contribute to a reliable
assessment of economic-policy alternatives. It is easy to formulate this
principle: the models should be “equilibrium models” with rational
expectations. This means that all important variables should be
determined within the model, on the basis of interaction among rational
agents who have rational expectations and operate in a well-specified
economic environment. In addition, the models should be formulated so
that they only incorporate policy-independent parameters (those
coefficients which describe the relations of the models). This, in turn,
requires sound microeconomic foundations, i.e., the individual agents’
decision problems have to be completely accounted for in the model. The
parameters are then estimated using econometric methods developed for
this purpose. Interesting attempts to derive and estimate such models
have subsequently been made in several different areas, such as the
empirical analysis of investment, consumption and employment, as well as
of asset pricing on financial markets. The program can be difficult to
implement in practice however, and not all attempts have been
successful.
A Large Following
Lucas formulated powerful and operational methods for drawing
conclusions from models with rational expectations. These methods
provided the means for rapid development of macroeconomic analysis and
eventually became part of the standard toolbox. Without them, the
outcome of the rational expectations hypothesis would have been limited
to general insights into the importance of expectations instead of
clear-cut statements in specific situations. Rational expectations have
now been accepted as the natural basis for further studies of
expectation formation with respect to limited rationality, limited
computational capacity and gradual learning.
Lucas has established new areas of research. After his pioneering
work on the Phillips curve, the so-called equilibrium theory of business
cycles has become an extensive and dynamic field, where the effects of
real and monetary disturbances on the business cycle have been carefully
examined. The equilibrium theory of business cycles initially relied on
the assumption of completely flexible prices and immediate adjustment
to equilibrium on goods and labor markets with perfect competition.
However, Lucas’s methodological approach is not incompatible with sticky
prices and various market failures such as imperfect competition and
imperfect information. Nevertheless, these frictions and imperfections
should not be introduced in an arbitrary way, but should be explained as
a result of rational agents’ decisions and interaction in a
well-specified choice situation. Interpreted in this way, Lucas’s
methodological approach has been accepted by nearly all macroeconomists.
Indeed, the greatest advances in modeling frictions and market
imperfections seem to have been made precisely when this methodological
approach has been followed.
Lucas’s pioneering work has created an entirely new field of
econometrics, known as rational expectations econometrics. There, the
rational expectations hypothesis is used to identify the most efficient
statistical methods for estimating economic relations where expectations
are the key components. A number of researchers have subsequently made
important contributions to this new field.
1. The rational expectations hypothesis
Agents’
expectations about the future are obviously important for many of their
current decisions. Therefore the development of the economy is to a
considerable degree affected by current expectations about future
developments. One example is wage formation, where expectations about
future inflation and labor demand strongly affect the contracted wage
for the contract period, which in turn strongly influences realized
inflation. Bond rates and other asset prices are further obvious
examples. Interest rates vary with expected future inflation, since
bondholders want to be compensated for the depreciation caused by
inflation. Stock prices are influenced by expected future dividends and
capital gains. Firms’ and households’ investment in capital and saving
in financial assets are then influenced by these asset prices and
expected future returns, incomes, and taxes.
In spite of their importance, expectations long received very
superficial treatment in economic analysis. A couple of decades ago it
was not unusual to assume exogenous or even static expectations, for
instance such that the expected future price level was equal to today’s
price level, regardless of the development of the economy. In some cases
expectations were expressed as an arbitrary function of observed
variables. So-called adaptive expectations were an improvement. They
imply that expectations of the future are mechanically adjusted to
previous expectation errors: if today’s price level exceeds previous
expectations of today’s price level, today’s expectations of the future
price level are adjusted upwards in proportion to the error. Such
expectations imply, however, that agents mechanically repeat previous
errors without ever realizing how primitive their method is; these
expectations are only backward-looking. Rational expectations are
instead truly forward-looking and imply a much more sophisticated, and
more realistic, way of forming expectations; agents learn from their
mistakes and use their intellectual capacity to understand the way the
economy works.
The rational expectations hypothesis is best described as the
consistent application of the hypothesis of rational behavior to
individuals’ and firms’ behavior in genuinely dynamic situations, with
uncertainty about the future, imperfect information and costly
information gathering. The hypothesis does not imply that all agents
have the same information, or that all agents know the `true’ economic
model; it simply means that agents use available information in the best
way and collect further information only if the expected benefit
exceeds the cost.
Expressed in this way the rational expectations hypothesis is easy to
grasp and no more controversial than the usual rationality hypothesis
in static situations. But it is often technically difficult to apply the
hypothesis in economic analysis; the consequences of the hypothesis are
frequently dramatic, for instance in regard to the effects of
stabilization policy.
John Muth (1961) was the first to formulate the rational expectations
hypothesis in a precise way. He used it in a study of the classic
cobweb phenomenon. Muth’s analysis was restricted to a single market in
partial equilibrium. The importance of the rational expectations
hypothesis became apparent when Lucas extended the hypothesis to
macroeconomic models and to the analysis of economic policy.
In a series of path-breaking papers, starting with Lucas (1972b), he
extended and applied the hypothesis to general equilibrium situations.
Especially, he demonstrated that it could successfully be applied to the
study of economic policy. In this undertaking, an important development
was to look at economic policy, not as in previous literature as a
series of independent actions, but as systematic behavior, an implicit
or explicit rule, with both predictable and unpredictable components.
For instance, monetary policy by a central bank is often more
productively seen as the continuous adjustment of policy instruments to
observed variations in inflation and unemployment, than as just a series
of independent adjustments. Lucas realized and explained the
far-reaching consequences of endogenous rational expectations formation,
especially for the effects of changes in economic policy and for
econometric evaluation of economic policy. He later applied the
hypothesis to several other fields than macroeconomics and economic
policy.
Lucas also developed operational methods to solve general equilibrium
systems with rational expectations. These methods are now standard in
economic analysis (see below). Without such methods, the implications of
the rational expectations hypothesis would probably have been
restricted to general insights about the importance of expectations,
rather than precise and operational statements in specific situations.
The rational expectations hypothesis is by now accepted as the
standard frame of reference and the starting point for later studies of
expectation formation, for instance with bounded rationality, limited
computational capacity, and gradual learning. This role is similar to
that of the Arrow-Debreu model of general equilibrium on a set of
complete markets as the starting point for later work on incomplete
markets, transaction costs, and imperfect competition.
2. An equilibrium theory of business cycles
A considerable
part of Lucas’s research has been devoted to an equilibrium theory of
business cycles. After the Second World War business-cycle research was
dominated by Keynes’ followers. Business cycles were seen as
disequilibrium phenomena. Disequilibrium here refers to the assumption
that important variables in the analysis, for instance prices and wages,
are exogenously fixed and not explained endogenously in the model. This
meant that the supply of labor in the labor market and the supply of
goods in the goods market might be rationed. In some cases prices and
wages were assumed to be mechanically adjusted to the level of excess
supply in each market, such that price and wage inflation was a
decreasing function of the rate of unemployment: the so-called Phillips
curve. The Keynesian approach was rightly criticized for postulating
such relations without giving them rigorous theoretical explanations.
The critique carried special weight since it showed that the Keynsian
approach in effect assumed agents to behave consistently against their
own best interests.
Even if the Phillips curve lacked a satisfactory theoretical
explanation, by the end of the 1960s it had substantial empirical
support. It was generally interpreted as implying a long-run tradeoff
between inflation and unemployment: the authorities in a country could
achieve a long-run reduction in unemployment by pursuing a more
expansionary stabilization policy leading to higher inflation. This
interpretation was criticized by Milton Friedman and Edmund Phelps, who
emphasized that the interpretation disregarded the effects of
expectations: If expectations were adjusted to higher inflation, the
Phillips curve would shift and the long-run tradeoff between
unemployment and inflation would vanish; the long-run Phillips curve
would become vertical and the long-run, ‘natural’, unemployment rate
would be independent of inflation. Friedman and Phelps assumed adaptive
expectations in their critique. However, with such expectations,
unemployment can still be permanently reduced, if inflation is allowed
to increase steadily over time.
Using the rational expectations hypothesis, Lucas (1972b) presented
the first theoretically satisfactory derivation of a short-run sloping
and long-run vertical Phillips curve. In the model he constructed,
agents have imperfect information and cannot unambiguously distinguish
whether a local price increase is due to rising demand for their own
product or a general increase in the price level because of an expansion
of the money supply. In contrast to previous disequilibrium analysis,
this was an example of consistent equilibrium analysis in the
sense that all important variables were determined in the model, that
the variables controlled by agents were set according their objectives,
and that the agents had rational expectations about the future
development of the model’s variables. Lucas formulated the model’s
equilibrium as a functional equation for the functions describing the
responses of the model’s endogenous variables to exogenous random
disturbances, and he also solved the functional equation. (1) Lucas
showed that it is rational for the producers in the model to interpret a
proportion of each price increase as caused by increased demand and
therefore to increase output somewhat. Econometric estimation on time
series generated by the model would then result in a positive relation
between inflation and employment. However, any attempt to exploit this
relation and, by more expansionary monetary policy, permanently increase
employment would be fruitless and only result in more inflation.
(1) Expectations are modeled as a function
describing how prices are expected to depend on exogenous disturbances.
This expectation function results in a pricing function describing how
the actual prices depend on the exogenous disturbances. The expectation
function is hence mapped into the space of pricing functions; this
results in the relevant functional equation. The solution to the
functional equation is a fixpoint where the expectation function and the
pricing function coincide. Such a solution indeed exists, since the
functional equation can be shown to be a contraction mapping.
During the 1970s governments and central banks allowed inflation to
take off in a number of countries. As predicted by Friedman, Phelps, and
Lucas, the short-run Phillips curves shifted such that no permanent
gain in employment could be achieved.
This was the first example of a rigorous equilibrium business cycle
model with endogenous rational expectations. The model’s main importance
eventually derived from its role as a methodological example. The
actual explanation of business cycles in the model, imperfect
information about the money supply, has not been considered too
convincing, because precise information about the money supply is easily
accessible. Although disturbances to money demand and money supply
multipliers can be difficult to observe, it has not been possible to
demonstrate empirically that imperfect information about monetary
aggregates is an important explanation of business cycles.
After Lucas’s pioneering contribution, equilibrium business cycles
rapidly became a dynamic research area. A large number of followers in
the `real business cycles’ literature have emphasized real disturbances
in productivity rather than monetary disturbances as a cause of business
cycle variations. More recently, monetary disturbances have received
new interest. The typical working method in the equilibrium business
cycle literature is to begin by formulating a consistent stochastic
equilibrium model, and then calibrate or estimate the model parameters,
using earlier estimates of central parameters or new estimates of the
model’s more specific relationships. Thereafter the model is evaluated
according to how well it can reproduce actual historical time series.
The model is in a way used as a laboratory, where postulated relations
and subtheories are tried out. (2)
(2) See for instance the papers collected in Cooley (1995).
Lucas’s work has adhered to an easily stated principle: The models
should be explicit and complete, in the sense that all important
variables should be determined endogenously through interaction between
rational agents with rational expectations in a specified environment.
This implies an insistence on completeness in the theoretical analysis
that, in principle, is accepted by most researchers in economics. In
practice, this insistence may be very difficult to achieve, especially
since many macroeconomic problems require analysis of dynamic situations
with explicit uncertainty.
The equilibrium theory of business cycles was initially developed
under the maintained assumptions of completely flexible prices and
instantaneous equilibria with perfect competition on goods and factor
markets. These assumptions have sometimes, erroneously, been regarded as
a necessary and integrated part of the equilibrium business cycle
approach. Lucas’s approach is indeed consistent with sticky prices and
market imperfections. In a discussion of models with predetermined
prices that are fixed during a specific contract period, Lucas wrote
(1980b, p. 712): “If…contract length is viewed as emerging from a
decision problem solved by agents, then these models, so elaborated,
would be equilibrium models.”
Lucas’s approach hence appears completely consistent with frictions and imperfections. However, it insists that they not be postulated, that is, introduced in an arbitrary way, but instead be explained
as a result of agents’ decisions and interaction in their environment.
Interpreted this way, Lucas’s methodological approach has been accepted
by almost all macroeconomists, even if the application of it is very
demanding and often encounters practical problems. It appears as if the
most progress in modeling frictions and imperfections has been made when
this methodological principle has been followed, for instance in the
new-Keynesian literature on sticky prices (see the contributions
collected in Mankiw and Romer (1991)). Lucas’s general approach has
indeed become a prototype for practically all modern researchers in
macroeconomics.
3. Macroeconometric evaluation of economic policy
The
‘Lucas critique’ – Lucas’s contribution to macroeconometric evaluation
of economic policy – has received enormous attention and been completely
incorporated in current thought. Briefly, the ‘critique’ implies that
estimated parameters which were previously regarded as ‘structural’ in
econometric analysis of economic policy actually depend on the economic
policy pursued during the estimation period (for instance, the slope of
the Phillips curve may depend on the variance of non-observed
disturbances in money demand and money supply). Hence, the parameters
may change with shifts in the policy regime. This is not only an
academic point, but also important for economic-policy recommendations.
The effects of policy regime shifts are often completely different if
the agents’ expectations adjust to the new regime than if they do not.
Nowadays, it goes without saying that the effects of changing
expectations should be taken into account when the consequences of a new
policy are assessed – for instance, a new exchange rate system, a new
monetary policy, a tax reform, or new rules for unemployment benefits.
When Lucas’s seminal article (1976) was published, practically all
existing macroeconometric models had behavioral functions that were in
so-called reduced form; that is, the parameters in those functions might
implicitly depend on the policy regime. If so, it is obviously
problematic to use the same parameter values to evaluate other policy
regimes. Nevertheless, the models were often used precisely in that way:
Parameters estimated under a particular policy regime were used in
simulations with other policy rules, for the purpose of predicting the
effect on crucial macroeconomic variables. With regime-dependent
parameters, the predictions could turn out to be erroneous and
misleading. For instance, the same change in a central bank’s
instrumental interest rate can have very different effects in different
regimes. Such phenomena, which might superficially be interpreted as a
complex and strange property of the economic system, are given a
relatively simple and intuitive explanation in the light of Lucas’s
result.
Expressed in this way, the point is easy to grasp. But to establish
it in a convincing and rigorous way required deep insights into the
relationship between typical behavior functions in macroeconomic models
and the result of dynamic optimization in microeconomic models of
economic behavior. With these insights, Lucas could theoretically
convince his contemporaries as well as later economists that three
crucial building blocks of traditional macro models, the consumption
function, the investment function and the Phillips curve, had parameters
that were regime dependent.
(3)
As shown in modern macroeconomic textbooks, the same relation can be
derived in several different ways. One situation is when nominal wages
for period t are set one period in advance in period t-1, in proportion
to expectations of the period t price level. If realized inflation then
exceeds expected inflation, the realized real wage will be lower. If
labor demand is decreasing in the real wage, employment will then be
higher.
Time series of employment and inflation generated by this simple
model economy will show a positive relation between employment and
inflation. It may then be tempting to try to increase the average
employment level, by running a more expansionary monetary policy that
results in more inflation. Assume therefore that monetary policy is
changed to a more expansionary stance and results in a new stochastic
process for inflation.
Thus more expansionary policy just leads to more inflation, but does not increase average employment.
Lucas’s contribution was also an implicit call for a new research
program. This program involves formulating and estimating
macroeconometric models with parameters that are independent of the
policy regime, so that they can be used for evaluating alternative
policies. The principle is again easy to state. The models should be
formulated in terms of policy-independent parameters, for instance
describing households tastes and firms technology. These parameters can
then be estimated with specially developed econometric methods. In
practice, as emphasized above, it is often quite difficult to follow
this principle. Nevertheless, the principle has been successfully
applied in a number of cases, such as investment behavior’s dependence
on depreciation rules, taxation, and access to subsidized investment
funds; consumption behavior’s dependence on taxes and transfers; labor
supply’s dependence on wages, taxes, and unemployment benefits.
Lucas’s pioneering contributions have actually created a new subfield
within econometrics: rational expectations econometrics . Here, the
theoretical analysis of the consequences of rational expectations is
used to identify the most suitable methods for estimating relations and
models where expectations are key components. Some early contributions
are collected in Lucas and Sargent (1981).
4. Other contributions
In addition to his work in
macroeconomics, Lucas has made significant contributions to a number of
other research fields, such as investment theory (Lucas and Prescott
(1971)), financial economics (Lucas (1978)), monetary theory (Lucas
(1980a), Lucas and Stokey (1987)), dynamic public economics (Lucas and
Stokey (1983)), international finance (Lucas (1982)) and, most recently,
economic growth (Lucas (1988)). In these fields Lucas’s work has been
of great importance, given research a new direction, and generated a
large new literature.
One of these contributions concerns asset pricing. Lucas (1978)
solved the first model of asset pricing in a general equilibrium with
rational expectations. This work is one of the most influential in
financial economics and has become the starting point for a whole new
literature that tries to integrate financial economics and
macroeconomics. Lucas showed that asset prices can be expressed as a
function of the economy’s state variables, which is the solution to a
functional equation that arises from a combination of an equilibrium
assumption and a first-order condition for the agents’ individual
decision problem. This method has become standard in financial
economics.
Another example is the field of endogenous growth which, after two or
three seminal papers – one of which is by Lucas (1988) – has quickly
become a large and rapidly developing area. In previous growth
literature, the long-run growth rate was exogenously determined. In the
new growth literature, the economy’s growth rate is endogenously
determined because accumulation of physical capital, human capital and
new technological know-how does not lead to diminishing returns. A large
group of followers have been extending this literature.
5. Summary
Robert Lucas is the economist whose work has
had the greatest impact on the development of macroeconomics and
macroeconometrics since 1970. His work has brought about a rapid and
revolutionary development: the application of the rational expectations
hypothesis, the emergence of an equilibrium theory of business cycles,
and the macroeconometric evaluation of economic policy. Lucas has also
made major contributions to several other fields of economics.
Other Contributions
In addition to his work in macroeconomics, Lucas has made
outstanding contributions to investment theory, financial economics,
monetary theory, dynamic public economics, international finance and,
most recently, the theory of economic growth. In each of these fields,
Lucas’s studies have had a significant impact; they have launched new
ideas and generated an extensive new literature.
Further reading
The Royal Swedish Academy of Sciences (1995), The Scientific Contributions of Robert E. Lucas, Jr.
Lucas, R.E. (1972), “Expectations and the Neutrality of Money”, Journal of Economic Theory 4, 103-124.
Lucas, R.E. (1976), “Econometric Policy Evaluation: A Critique”, Carnegie-Rochester Conference Series on Public Policy 1, 19-46.
Lucas, R.E. (1981), Studies in Business-Cycle Theory, MITPress, Cambridge, MA.
Lucas, R.E. (1987), Models of Business Cycles, 1985, Yrjö Jahnsson Lectures, Basil Blackwell, Oxford.
Lucas’s achievements are described at greater length in Royal Swedish
Academy of Sciences (1995). His two best-known publications are Lucas
(1972) and (1976). The research he carried out during the 1970s is
compiled in Lucas (1981). A relatively easily accessible account of his
views on business-cycle theory may be found in Lucas (1987).
Robert E. Lucas, Jr. was born in 1937 in Yakima, Washington,
USA. He received his Ph.D. in economics from the University of Chicago
in 1964. He began as Assistant Professor of Economics in 1963 at
Carnegie-Mellon University, where he became Associate Professor in 1967
and Professor of Economics in 1970. Since 1975, he has held a
professorship in Economics at the University of Chicago. He is Second
Vice-President of the Econometric Society, a Fellow of the American
Academy of Arts and Sciences and a member of the National Academy of
Sciences.
Professor Robert E. Lucas, Jr.
Department of Economics
University of Chicago
The Scientific Contributions of Robert E. Lucas, Jr.
Lucas, R.E. (1972a), “Econometric Testing of the Natural Rate Hypothesis,” in O. Eckstein, ed., The Econometrics of Price Determination, Board of Governors of the Federal Reserve System, Washington, DC, 50-59.
Lucas, R.E. (1972b), “Expectations and the Neutrality of Money,” Journal of Economic Theory 4, 103-124.
Lucas, R.E. (1973), “Some International Evidence on Output-Inflation Tradeoffs,” American Economic Review 63, 326-334.
Lucas, R.E. (1975), “An Equilibrium Model of the Business Cycle,” Journal of Political Economy 83, 1113-1144.
Lucas, R.E. (1976), “Econometric Policy Evaluation: A Critique,” Carnegie-Rochester Conference Series on Public Policy 1, 19-46.
Lucas, R.E. (1977), “Understanding Business Cycles,” Carnegie-Rochester Conference Series on Public Policy 5, 7-29.
Lucas, R.E. (1978), “Asset Prices in an Exchange Economy,” Econometrica 46, 1429-1445.
Lucas, R.E. (1980a), “Equilibrium in a Pure Currency Economy,” Economic Inquiry 18, 203-220.
Lucas, R.E. (1980b), “Methods and Problems in Business Cycle Theory,” Journal of Money, Credit and Banking 12, 696-715.
Lucas, R.E. (1981), Studies in Business-Cycle Theory, MIT Press, Cambridge, MA.
Lucas, R.E. (1982), “Interest Rates and Currency Prices in a Two-Currency World,” Journal of Monetary Economics 10, 335-360.
Lucas, R.E. (1987), Models of Business Cycles, 1985 Yrjö Jahnsson Lectures, Basil Blackwell, Oxford.
Lucas, R.E. (1988), “On the Mechanics of Economic Development,” Journal of Monetary Economics 22, 3-42.
Lucas, R.E. and E.C. Prescott (1971), “Investment under Uncertainty,” Econometrica 39, 659-681.
Lucas, R.E. and T.J. Sargent (1981), Rational Expectations and Econometric Practice, Allen & Unwin, London.
Lucas, R.E. and N.L. Stokey (1983), “Optimal Fiscal and Monetary Policy in an Economy without Capital”, Journal of Monetary Economics 12, 55-94.
Lucas, R.E. and N.L. Stokey (1987), “Money and Interest in a Cash-In-Advance Economy,” Econometrica 55, 491-514.
Mankiw, N.G. and D. Romer, eds. (1991), New Keynesian Economics, Volumes I and II, MIT Press, Cambridge, MA.
Muth, J.F. (1961), “Rational Expectations and the Theory of Price Movements,” Econometrica 29, 315-335.
- https://www.nobelprize.org/prizes/economic-sciences/1995/press-release/
- https://www.nobelprize.org/prizes/economic-sciences/1995/advanced-information/
- https://www.sciencedirect.com/science/article/abs/pii/S0164070411000802?via%3Dihub
Razones
(investigadoras y docentes) por las que Bob Lucas fue el
macroeconomista más influyente de los últimos 70 años, contadas por Hugo
Rodríguez Mendizábal que disfrutó de ellas en primera persona:
Hugo Rodríguez MendizábalEl 15 de mayo leímos la triste noticia del
fallecimiento de Robert E. Lucas Jr. Se ha marchado uno de los
economistas que forjó la Economía como la entendemos hoy en día. Su
investigación se propagó por básicamente todas las áreas de nuestra
disciplina, trascendió escuelas de pensamiento, y es una pieza
fundamental tanto en trabajos teóricos como empíricos.
El investigador
Robert E. Lucas Jr. se graduó como doctor por la Universidad de
Chicago en 1964. Después de trabajar 11 años en Carnegie Mellon, en 1975
volvió al Departamento de Economía de la Universidad de Chicago de
donde no marchó. En 1995 le fue otorgado el Premio Nobel de Economía por
“haber desarrollado y aplicado la hipótesis de expectativas racionales
y, por lo tanto, haber transformado el análisis macroeconómico y haber
profundizado en cómo entendemos la política económica”.
Es difícil encontrar un área de la Macroeconomía donde Bob no haya
hecho una contribución fundamental. A su revolución de expectativas
racionales (Expectations and the neutrality of money, Journal of Economic Theory, 1972) le siguió su célebre “crítica” (Econometric policy evaluation. A critique, Carnegie-Rochester Conference Series on Public Policy, 1976) donde imponía disciplina en el trabajo empírico. Su On the mechanics of economic development (Journal of Monetary Economics,
1988) contribuyó a las bases de la teoría moderna del crecimiento. Algo
parecido ocurrió con sus trabajos con Ed Prescott sobre desempleo (Equilibrium search and unemployment, Journal of Economic Theory, 1974) o sobre inversión (Investment under uncertainty, Econometrica, 1971), valoración de activos (su famoso árbol en Asset prices in an exchange economy, Econometrica, 1978), política fiscal con Nancy Stokey (Optimal fiscal and monetary policy in an economy without capital, Journal of Monetary Economics, 1983), teoría monetaria (de nuevo su artículo de 1972 y tantos otros que vinieron después), o la teoría de la empresa (On the size distribution of business firms, The Bell Journal of Economics,
1978). Son todos trabajos que sacuden la disciplina y la dirigen en una
nueva dirección arrastrando consigo a numerosos investigadores que
siguen sus pasos desarrollando y aplicando sus teorías.
En los próximos días veremos multitud de reseñas sobre su trabajo. Como ejemplo se puede leer el obituario a su memoria en el Departamento de Economía de la Universidad de Chicago o la descripción que Tom Sargent
hizo hace unos años de lo que aprendió de él. Todas esas reseñas
demuestran que Bob fue un gigante de la Economía construyendo los
fundamentos de nuestra disciplina y cuyo legado todavía perdura y
seguirá perdurando. Pero para los que tuvimos la suerte de conocerlo
personalmente y compartir con él momentos de nuestra vida, Bob no es
sólo eso. Bob fue también un gigante como profesor y un gigante como
persona. Aquí me gustaría compartir con vosotros mi experiencia en esas
otras dos facetas suyas. Simplemente, me parece terriblemente injusto
que pasen desapercibidas porque eran tan magníficas como su talento
investigador.
El profesor
Cualquiera que se haya sentado en una clase de Bob dirá lo mismo. Era
un profesor excepcional. Se preocupaba por sus clases y por sus
estudiantes. Era algo importante para él y a lo que dedicaba tiempo e
interés.
Un indicador de su excelente hacer como docente era mirar la pizarra
tras una de sus clases. Estaba toda la lección del día allí,
perfectamente ordenada, sin que faltase ni sobrase nada. Y lo más
increíble es que lo hacía sin aparentemente ningún esfuerzo. Iba
construyendo todo el contenido de la clase poco a poco, como un puzle
cuyas piezas iban encajando con exactitud para, al final, descubrir toda
la imagen que se quedaba allí, hasta que la borraran, para los que no
habían tenido tiempo de copiarlo todo, para resolver dudas o,
simplemente, para los que nos maravillaba observar tanta perfección
junta.
Otro indicador eran sus exámenes. Creo que es uno de los pocos
profesores que conseguía que sus alumnos aprendieran cosas también en
los exámenes. Consistían en pequeños modelos diseñados por él para la
ocasión con los que responder a las preguntas concretas que hacía. Había
que usar las herramientas que enseñaba, pero en contextos nuevos. Y lo
hacía así porque eso era lo que enseñaba: a usar herramientas. Eran
exámenes tremendamente justos con el proceso de aprendizaje de los
estudiantes.
Después de cada examen los corregía todos y, una vez corregidos, los
devolvía con notas manuscritas sobre las respuestas. Además, entregaba
la solución al examen y, para cada pregunta, incluía un resumen de las
respuestas más numerosas de la clase para que pudiéramos aprender de los
errores de todo el grupo. Antes de cada examen también distribuía una
colección de estas soluciones de cursos anteriores para que
aprendiésemos de las respuestas de otros años a otras preguntas que
había puesto. Esta idea me pareció tan brillante y me fue tan útil como
estudiante que la he incorporado en mi rutina como docente.
Lo mismo ocurría con sus estudiantes de doctorado (listas incompletas de sus estudiantes de doctorado se pueden consultar aquí o aquí).
Daba igual que cada año dirigiera 4 o 5 tesis. Siempre encontraba un
hueco para vernos, nos recomendaba artículos que pensaba que nos podían
ser útiles y siempre era constructivo en sus comentarios. En resumen,
nos cuidaba. Y lo seguía haciendo después de 1995, tras recibir el
premio nobel. Seguía dedicándonos el mismo tiempo, aunque, sin duda,
hubiera aumentado significativamente la demanda del mismo.
La persona
Si tuviera que resumir en pocas palabras la bellísima persona que era
Bob serían generosidad y honestidad. Bob era generoso con su tiempo y
con sus ideas. Era generoso en el trato y en el respeto que mantenía
independientemente de si eras el primero o el último de la clase.
Al mismo tiempo, no tenía ningún problema en reconocer un error o en
atribuir una idea a quien se merecía esa atribución. A Bob le interesaba
la coherencia lógica de las ideas. En mi opinión, tenía la rara
habilidad en nuestra profesión de ofrecer una mente abierta a cualquier
idea incluso si iba en contra de lo que pensaba. Una prueba de ello es
este extracto de la entrevista en EconomicDynamics en 2012:
“[…] I drew from this the idea that all cycles are probably
driven by the same kind of shocks. […] As I have written elsewhere, I
now believe that the evidence on post-war recessions (up to but not
including the one we are now in) overwhelmingly supports the dominant
importance of real shocks. But I remain convinced of the importance of
financial shocks in the 1930s and the years after 2008. Of course, this
means I have to renounce the view that business cycles are all alike!”
En su caso, rectificar sí era de sabios. Así de grande era. Siempre
se aprendía algo con él incluso en los extremadamente raros momentos en
los que se equivocaba. En resumen, era el ejemplo del poder que tienen
los buenos fundamentos en todas las facetas de una persona.
Te debemos mucho, Bob. Descansa en paz.
por Hugo Rodríguez Mendizábal
Hugo Rodríguez Mendizábal es doctor en Economía por la University
of Chicago (1997). En la actualidad es científico titular del Instituto
de Análisis Económico (CSIC), profesor asociado de la Barcelona School
of Economics (BSE) e investigador de MOVE (Markets, Organisations and
Votes in Economics). También dirige el programa de posgrado en Política
Macroeconómica y Mercados Financieros de la BSE. Su investigación se
centra en la Macroeconomía, la intermediación financiera y la política
monetaria.
- https://nadaesgratis.es/hugo-rodriguez/robert-e-lucas-jr-la-fuerza-de-los-fundamentos
" Keynes
creó la macro
Los "sintetizadores neoclásicos" (Samuelson, Solow, Modigliani, Tobin)
la educaron durante su infancia
Pero solo llegó a la madurez de la mano de Bob Lucas (DEP) que nos
enseñó cómo hacer análisis macro teniendo en cuenta decisiones
económicas fundamentadas" JuanF Jimeno
Lo que hacen los economistas” R.Lucas
- https://brujulaeconomica.blogspot.com/2010/09/what-economists-do-blucas.html
- https://dialnet.unirioja.es/servlet/articulo?codigo=5016661
