Speaker : Robert Shiller
1-1 introduction to course
Introduction
_78bba04358f4b1003caa29f0624dc479_Lect01_1_Introduction_Coursera
So, how shall I begin? This is the blurb for the course, the blurb that’s been in the Yale catalog for a long time. This is a course on finance. It has the word, “markets,” in the name, which suggest that it’s about trading, but I think it’s a broad course in finance. So the blurb says, “Financial institutions are a pillar of civilized society, directing resources across space and time to their best uses.” So this sounds broader. I guess the course is broader. I wrote the title of the course many years ago when I created this course, and it’s been a title for about… To me,this course is about is how we get things done in our society.That’s how we incentivize people to do things.Now, most of us are in our lives, thinking about ourselves – that’s human nature – and about our particular place in the life cycle. So, you may be a young person who’s thinking about getting started in life. But when you join an enterprise or an organization, you have to do things for the organization and you have to take a different perspective. You have to help manage a productive venture that involves many people. So there aren’t that many things that you can do as an individual that are useful, you have to join an organization. This is a fundamental principle of human life. So this is a course about understanding how the institutions work and how we can predict what will happen.And things are rapidly changing in the Information Age that we live in now, so that’s what this course is about. I don’t consider this a vocational course because I think it should be of interest to anybody who is interested in how things work. On the other hand, this course comes across as more vocational than most Yale courses. And in some sense, I pride myself on that, although I consider myself an intellectual. But, this is a relevant course, all right? It’s not about how to make money.You might say it is, I suppose. But, it’s about making things work.These are the topics in this course. So, risk Insurance, diversification, history of finance, innovation, efficient markets, behavioral finance. Actually, behavioral finance is a little bit more prominent than you might think from its appearance as number seven on this list. Behavioral finance is the application of psychology, sociology, other social sciences to understanding financial events.It’s a revolution in finance that I have watched over the whole course of it because I have organized conferences on behavioral finance starting in 1991, working with Richard Thaler at University of Chicago.We’ve been doing that for 25 years, but we just bequeathed that there are regular seminars of professors too, Nick Barberis here at the Yale School of Management. But we’ll talk about it because I kind of believe in a unity of knowledge. So this course will differ from many other finance courses in that I want totalk about real people and how things really work.Then we’ll talk about debt, the stock market, the real estate market, regulation. Oh by the way, regulation is an interest of mine too, more so than most people who teach finance because I think that the markets need to be regulated.Human beings have a tendency to be manipulative and tricky, and finance is used to trick people.That’s why we need regulators.So you shouldn’t assume that I want to send you off to Wall Street. I think that you might go to be a member of the right like the Securities and Exchange Commission or something else as a job and be proud of it. OK? It’s important. And then banking, futures – futures market has a special meaning in finance, monetary policy, endowment management, investment banking, option, money managers, exchanges, public finance, nonprofits, and finally, that last lecture will be on the purpose of all this. So that’s this course. One thought, perspective I wanted to give you was how important is finance anyway. Unless you go into academia, you will get a job somewhere in the real world. So where are the jobs? Well, I looked up on the Bureau of Labor Statistics – it was a publication of the U.S. government. On their website, they have data on just how many people are in different professions in the United States; and they also have a forecast. So what I’m showing – the latest data is for the year 2014, and it has the number of people in thousands. And then also on there we have the projection for 2024. So, you note that at the topI’ve got finance – these are specific finance profession, not all finance professions. Financial analysts, financial managers, personal financial advisors, they all have hundreds of thousands of people. But I wanted you to note, what about the other majors that you have here? I’m not diminishing them. But economics, economists, not so many. But you might also be interested in astronomy – I actually love astronomy. When I was a kid, I thought I’d be an astronomer. But I had to reach reality – there’s lots of exciting fields where there are almost no jobs. How many astronomers are there, sociologists, political scientist, or mathematicians? This is not to diminish your majoring in this field, but you just don’t expect to get a job in those fields. I also put down at the bottom massage therapist, OK? I didn’t know that was a profession, but there is projected to be about 200,000 massage therapists in the United States in 2024. So we don’t have a massage therapy major here, but that’s a sign of how the market makes things important. Now run up, Farahar might be right about this. There’s something wrong with having so many finance people – maybe we need more massage therapists than finance people. But there’s a sense of reality that I think that part of the reason that there’s so many of them is that they deal with important issues that can’t be quickly, they can’t be more easily solved; we need all these people.That’s why I take some pride in this course in being connected to the real world. There are real job opportunities in finance. And there also I think in the new Industrial Revolution period, they will still be. I think this is one of the fields that is not going to be totally replaced by a computer. The problem with finance is a high inequality in this field.Some people make a lot of money, but on the other hand, you have to give it away. This is another thing about this course. If you make a lot of money in finance, it’s a game, you enjoyed it, now give most of it away – that’s going to be a theme.
1.金融機構是文明社會的支柱，將資源最佳地配置於時間與空間。
2.講者認為這堂課不是教我們怎麼賺錢，而是在告訴我們怎麼將事情完成，怎麼驅使人去完成事情。
3.一個人的能力能做到的事沒有那麼多，常常是需要合作的，所以這堂課是關於機構怎麼運作以及我們如何預測什麼會發生。
4.行為金融學是心理學與社會學在金融領域的應用，也是講者多年研究的項目，這堂課和其他課不同在於，他會講很多人們在金融實際如何行為與運作。
5.和很多教金融市場的人不同，講這認為金融市場是非常需要管制的，他認為人們的天性就是去操縱以及陷害他人，而金融就是用來騙人的。
6.最後講者提到金融行業的工作機會，在未來也是相當有需求的，可能歸因於金融不是人們可以很容易做決定的事情。
1-2 Good and Evil
_ed8623d04d75274e674f34f4b661f242_Lect01_2_Good-and-EvilSo the idea is, I said this before, finance is a technology, it can be used for good or evil.It has a tendency for a successful practitioners to start attracting a lot of money. That doesn’t mean that you can’t be a moral and ethical person in finance. So one thing I note in giving talks around the world that when you go to poor countries and give a talk, they are intrinsically interested in finance because people today recognize that financial markets are part of economic success. They understand that in China, they understand that in Russia, they understand that in Brazil and many more countries. Because finance is a real technology. They’re not so interested in getting foreign aid, they don’t need foreign aid, they just need the right principles and the wealth appear on its own. So this is not a course about how you can lead a rich and self-indulgent life. It’s a course that involves some moral purpose. Andrew Carnegie was one of the richest men in America. He said that he thinks that rich people, people who succeed in business.People who succeed are people with a natural, practical talent. And the business world selects for people with this natural talent. And so when they make a lot of money it is their obligation to give it away for the benefit of society and not to their useless children or spoiled children.Moreover, Andrew Carnegie said, you can hear him say this, he said that you should give it away while you are still young because you’ve amassed all this wealth, what’s going to happen to it? It’s absurd the story that happens. Young people make a lot of money when their talents are at their strongest. Then they get old and they don’t know what to do anymore. They work until they die or they become self-indulgent. And it ends up with their children. And then it ruins the children’s life because now they have no purpose and they’re just filthy rich. And they just squander it. So like Vanderbilt and his grandson, William Henry Vanderbilt, made huge amounts of money. And then his son married a socialite, the famous Mrs. Vanderbilt, who spent all the money in showing off her wealth and having big parties. Maybe that was good in some sense, but you don’t want that to happen. So what Carnegie said is you have to retire early. And become a philanthropists that’s the second stage of your life. So I want to come back to this thing that if you go into finance think of your life as having two states. Like Bill Gates, Bill Gates was running Microsoft then he retired and set up the Gates foundation and he’s actively working on giving it away. So this is not a course, again, repeat, not a course. It’s a course on how you can make your mark on society, but it’s not a course on how to get rich.
有觀點認為，許多人的成功是來自於老天給的天賦，年輕人應該將這些財富分享出去，而這堂課主要不是在教我們賺錢，而是如何在社會有貢獻、有成就。
1-3 VaR and Stress Tests
_c256cea1900cd07022d138b5aa6ebd21_Lect02_2_VaR-and-stress-tests-2And I just mentioned, there’s something else in finance called VAR. It means variance and it means value at riskbut actually there’s a third one that’s vector autoregressionbut I was just thinking that it can be confusing. So thevariance of a portfolio is defined as a measure of its variability.In finance, some people use VAR for ‘value at risk’and this term is relatively new. It didn’t appear until after the stock market crash of 1987. And so, it’s a measure used by some finance people to quantify risk of of an investment or of a portfolio and it’s quoted in units of dollars for a given probability and time horizon.For example, if it says, let’s say1%, one-year value at risk of 10 million, it means that there is a 1% chance that the portfolio will lose 10 million in one year.And then, there’s another measure of risk that’s become popular in recent years especially after the financial crisis of 2007-09 and that’s called the stress test.Now, the term stress test goes back to the 1960s or so and it refers to something that your doctor would order if he was worried about your heart and he would have you get on a treadmill in a medical facility, and run and they have an electrocardiogram hooked up to you and they check out your heart while you’re under stress, the stress of running. But now the term has moved into finance. Office of Federal Housing Enterprise Oversight actually was doing stress tests on Fannie Mae and Freddie Mac before the 2008 crisis. It didn’t work. Those two firms both failed but they were trying anyway. So, a stress test reflects the idea. It’s not a basic statistical concept, it’s a measure. It’s a method of assessing risks to firms or portfolios. The idea of a stress test is that, let’s look at a portfolio not just by its historical returns and how variable they are, but let’s look at the details of the portfolio and ask what vulnerabilities there are for various kinds of financial crisis because what actually stresses firms the most are crisis, it’s not just normal variation and this is something I’m going to come back to later in this lecture that there are extreme events occur and so… The stress test is a test usually ordered by government to see how some firm will stand up to a financial crisis. The Dodd-Frank Act in the United States of 2010 requires the Federal Reserve to do annual stress tests for non-bank financial institutions it supervises. I think they’re already doing them for banks and they wanted to be at least three different economic scenariosthat the Fed would present. What they would do is, they would get information from the firm about all of their interconnectedness with other institutions, everything they own, how safe is it, and they would look at, say for example, what would happen if there were a severe recession, or what would happen if the dollar depreciated or appreciated, or what would happen if there’s a short term liquidity crisis with suddenly ability to borrow money in the short term dries up.
TA:“The Dodd-Frank Wall Street Reform and Consumer Protection Act was passed into Federal law on July 21, 2010 as a response to the financial crisis of 2007 to 2008. This Act constitutes the most significant changes to U.S. financial regulation since the regulatory reform that followed the Great Depression. ”
The Dodd-Frank Act didn’t specify what the three different scenarios were, but they did say that there should be at least three. So this is a different story. This is scenario analysis. It’s not something that we’re going to emphasize in this course because it’s… More institutional details that get into the calculations. The European banking authority which was created in 2011, after the financial crisis, has also instituted regular stress tests for European banks. The United Kingdom, China and other countries all do stress tests now but the question is, do they work? Well, there is a growing amount of skepticism that they can really measure what will happen in the next crisis. Anat Admati is a professor at Stanford who’s been arguing it’s all garbage. You can’t. These guys who are trying to predict what will happen to these companies in a financial crisis,they just don’t have the imagination and understanding of how things work out in a panic, in a financial panic and she thinks that they are just way underestimated. Generally, the stress test come out saying it’s okay, don’t worry. It does remind me, I was on stage with the chief economist of, Freddie Mac here at Yale. We had a… It was around 2005 and he was boasting about their stress tests. And he said that… So I asked him what if there’s a real estate crisis and home prices fall a lot. They’re company that guarantees mortgages on homes, and so he said, “Well, we have figured out what would happen to our portfolio even under extreme stress situations.” I said, “Well, what is your…? “. I did this on stage not this stage, it wasn’t build yet. I said, “What’s the biggest price decrease you ever considered for your stress test?” They said, “Oh, we considered a 13% drop in home prices.” And then I said to him, “Well, what if it’s bigger than that?” And then he looked chagrined then he said, “We’ve never seen home price drops, not since the Great Depression. You’re not talking about another depression, are you?”. We’re still friends. I still meet him on vacation but the problem is that home prices fell 30% right after that meeting or within a couple of years. And these two companies, Fannie and Freddie that were considered safe. Well, actually if you read the OFHEO reports on the stress tests back, and they will say, there is some concern still. You know, they’re hedging, but basically they said don’t worry and so that was the end of OFHEO. The government shut it down. So the question is whether we can do it this time. So Anat Admati doubts that we can do this time. She thinks there are bigger worries. The stress tests are all coming out as no problem but now she’s not so sure. If I were the CEO of a firm, I imagine I would ask for stress tests and doing it internally, but you don’t want it public.What if it comes out bad? See, the problem is if you ever release that information then all of your other companies that might do business with you are worried about that and so they wouldn’t want to do business with you. So, it’s like your reputation is at stake. So if the government demands that you reveal information for a stress test, you have every incentive that you try to whitewash it. And so the question is whether the regulators have enough incentive to demand and push. The Dodd-Frank Act gave regulators, the Office of Financial Research subpoena power, so they can go in there and demand information from firms. But it’s hard to get it I think. In the real world it’s a battle. They don’t want to tell you.
1.關於風險的衡量，VaR原本是指變異數，是指投資組合的變異程度，而在1987年股市危機後，Value at Risk（風險價值模型）的定義出現，是指一投資組合輸錢的機率，舉例來說，1%一年一千萬風險價值就是指，有百分之一的機率，在一年內會損失掉一千萬。
2.壓力測試Stress Test是在07年金融危機後開始廣為使用的，是對於企業資產組合的評估，08年危機以後，美國政府在2010年通過多福法案，規定聯準會每年對非銀行金融機構做壓力測試，且至少帶入三個情境。
3.壓力測試倒底有沒有用受到質疑，史丹佛教授Anat Admati就認為它是一個垃圾，他認為他們根本沒有能力去想像危機來時的樣子，且常常是低估的，此外，即便管理單位有權利調查這些非銀行機構的財務狀況，他們會不會願意給予真實資料也是個問題，畢竟企業不會希望自己公司不利消息流出。