Muere Robert Lucas, el economista de las expectativas racionales
El Premio Nobel de Economía de 1995 era uno de los economistas más influyentes de las últimas décadas
Miguel Jiménez
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.
Lucas nació en Yakima, en el Estado de Washington, en 1937. Sus padres se habían trasladado a Yakima desde Seattle, para abrir un pequeño restaurante, The Lucas Ice Creamery. El restaurante fue víctima de la recesión de 1937-38, y durante la Segunda Guerra Mundial la familia se trasladó a Seattle, donde su padre encontró trabajo como instalador de vapor en los astilleros y su madre reanudó su anterior carrera como artista de moda.
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.
Prevención de crisis
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.
- https://elpais.com/economia/2023-05-15/muere-robert-lucas-el-economista-de-las-expectativas-racionales.html
“Descanse en paz Robert Lucas. Un profesor maravilloso, el más profundo de los pensadores y un escritor increíblemente claro y perspicaz. Siempre estaba obsesionado por las ideas, siempre profundizando”, ha escrito en Twitter el economista español Luis Garicano, que fue su alumno.
" RIP Robert Lucas. A wonderful teacher, the deepest of thinkers and un unbelievably clear, insightful writer. He was always obsessed by ideas, always going deeper. An anecdote from my graduate school years tells a lot about his obsessive drive to learn and to understand.
t was the 3rd year of our PhD. After two gruelling years (the Core, with less than 50% pass rate on Year 1, the Prelims, with another 50% of students gone in Year 2) we were having our first reception as "real" grad students outside in the Social Science Quadrangle of@UChicago
.Lucas approach me, asked me how I was doing. I said after two brutal years, I was very happy. I was enjoying thinking about ideas, about which problem I would tackle for my dissertation, reading a lot and learning a lot, trying to figure out the next step.
He was very disappointed, almost upset, by my answer: "Ideas are hard. What you do not understand takes over your life. You puzzle over it, you cannot sleep until you solve it. This is not a game you enjoy. This is a challenge that obsesses you." He said.
My paper with@johnvanreenen and Claire Lelarge in the AER, and a lot of my research with Esteban Rossi-Hansberg on the knowledge economy, owes a debt to this pathbraking paper My intellectual debt with Bob Lucas is huge"
Luis Garicano
RIP Robert Lucas. Un profesor maravilloso, el más profundo de los pensadores y un escritor increíblemente claro y perspicaz. Siempre estaba obsesionado por las ideas, siempre profundizando.
Una anécdota de mis años de licenciatura dice mucho de su obsesivo afán por aprender y comprender.
Era el tercer año de nuestro doctorado. Después de dos años agotadores (el Core, con menos del 50% de aprobados en el primer año, y los Prelims, con otro 50% de aprobados en el segundo año), tuvimos nuestra primera recepción como estudiantes de posgrado "de verdad" en el cuadrilátero de Ciencias Sociales de @UChicago.
Lucas se me acercó y me preguntó cómo estaba. Le dije que, después de dos años brutales, estaba muy contento. Estaba disfrutando pensando en ideas, en qué problema abordaría para mi tesis, leyendo mucho y aprendiendo mucho, intentando averiguar cuál sería el siguiente paso.
Se sintió muy decepcionado, casi molesto, por mi respuesta: "Las ideas son difíciles. Lo que no entiendes se apodera de tu vida. Le das vueltas, no puedes dormir hasta que lo resuelves. No es un juego que te divierta. Es un reto que te obsesiona". dijo.
Mi artículo con @johnvanreenen y Claire Lelarge en el AER, y gran parte de mi investigación con Esteban Rossi-Hansberg sobre la economía del conocimiento, tiene una deuda con este artículo pionero Mi deuda intelectual con Bob Lucas es enorme.
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.- 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.
RIP Bob Lucas. Surely the most influential macroeconomist of the last 50 years. A perfect example of destructive creation: He made our intellectual lives more difficult, but much more exciting. Bob: Profound thanks.
— Olivier Blanchard (@ojblanchard1) May 15, 2023
- 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:
Robert E. Lucas jr.: La fuerza de los fundamentos
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.
- 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
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