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Think about all his recent posts mocking the conservative fear that big deficits will lead to higher interest rates. What evidence does Krugman use? He cites the low and falling 10 year bond yields. In other posts he has used TIPS spreads to explain why inflation is the last thing we should be worried about. Now flash back to March 2009, when Krugman warned that $780 billion in stimulus would not be enough to get the job done. Did he know this from his models, as he claimed? Or did he cheat, did he peek at the equity, commodity and bond markets, and notice that all were predicting a severe recession with lots of disinflation, if not outright deflation? I think he peeked.
My theory is there are two kinds of economists:
1. Those who look smarter than they really are, because they rely on the EMH to predict
ãããããPaul Krugman
ãããããScott Sumner
ãããããetc
2. Those who look dumber than they really are because they rely on their own models to predict:
ãããããConservatives predicting inflation based on Quantity Theory models or Fiscal Theory models.
ãããããetc
I bet you never thought you see a list that had Paul Krugman in the pro-EMH camp. But just as with Wall Street in 1933, look at what people do, not what they say. Just as I am a pro-EMH guy who occasional tries market timing in my personal investments, Krugman is an anti-EMH guy who forecasts as if he believes in the EMH. And that makes him a very good forecaster, and very dangerous to us right-wingers. We underestimate him at our peril.
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A. Which Markets Attract Arbitrage Resources?
Casual empiricism suggests that a great deal of professional arbitrage activity, such as that of hedge funds, is concentrated in a few markets, such as the bond market and the foreign exchange market. These also tend to be the markets where extreme leverage, short selling, and performance-based fees are common. In contrast, there is much less evidence of such activity in the stock market, either in the United States or abroad. Why is that so? Which markets attract arbitrage?
Part of the answer is the ability of arbitrageurs to ascertain value with some confidence and to be able to realize it quickly. In the bond market, calculations of relative values of different fixed income instruments are doable, since future cash flows of securities are (almost) certain. As a consequence, there is almost no fundamental risk in arbitrage. In foreign exchange markets, calculations of relative values are more difficult, and arbitrage becomes riskier. However arbitrageurs put on their largest trades, and appear to make the most money, when central banks attempt to maintain nonmarket exchange rates, so it is possible to tell that prices are not equal to fundamental value and to profit quickly. In stock markets, in contrast, both the absolute and the relative values of different securities are much harder to calculate. As a consequence, arbitrage opportunities are harder to identify in stock markets than in bond and foreign exchange markets.
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