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1、乔治索罗斯关于金融市场和泡沫演讲全文2009年10月，乔治索罗斯在位于匈牙利布达佩斯的中欧大学发表了共分五个部分的系列演讲。本文是他关于金融市场和泡沫的演讲的全文。Financial MarketsPublished: October 27 2009 22:26 | Last updated: October 27 2009 22:26 Financial markets provide an excellent laboratory for demonstrating and testing the ideas that I put forward in an abstract form y
2、esterday. The course of events is easier to observe than in most other places. Many of the facts take a quantitative form, and the data are well recorded and well preserved. The opportunity for testing occurs because my interpretation of financial markets directly contradicts the efficient market hy
3、pothesis, which has been the prevailing theory about financial markets. That theory claims that markets tend towards equilibrium; deviations occur in a random fashion and can be attributed to extraneous shocks. If that theory is valid, mine is falseand vice versa. I am not in a good position to crit
4、icize the prevailing paradigm directly. I went into the financial markets in order to make money, and to do that I did not need to know either modern portfolio theory or the theory of rational expectations. I developed my own interpretation of financial markets and put it forward as a clear alternat
5、ive to the prevailing view. When I published The Alchemy of Finance in 1987 I frankly admitted my ignorance of the generally accepted theories. No wonder that the economics profession reciprocated by ignoring my interpretation. The Governor of the Bank of England, Mervyn King, did me the honor of ex
6、plicitly dismissing my theory, but most other economists simply ignored it. All this has changed in the wake of the recent financial crisis. Events have conclusively demonstrated the inadequacy of the efficient market hypothesis. It neither predicted nor explained what happened. At the same time, my
7、 writings provided a conceptual framework in terms of which events could be better understood. They began to be taken seriously, both by otherslike Mervyn Kingand by myself. I began to think that my interpretation does provide a new and better paradigm, and I put it forward as such in a book I publi
8、shed early in 2008, well before the bankruptcy of Lehman Brothers. And yet the theory of reflexivity is still not accepted in academic circles. The failure of the efficient market hypothesis is generally admitted, but insofar as a new paradigm is emerging, it is based on behavioral economics. Behavi
9、oral economics is compatible with reflexivity but, as I will try to show, it explores only one half of the phenomenon.* * * Let me state the two cardinal principles of my conceptual framework as it applies to the financial markets. First, market prices always distort the underlying fundamentals. The
10、 degree of distortion may range from the negligible to the significant. This is in direct contradiction to the efficient market hypothesis, which maintains that market prices accurately reflect all the available information. Second, instead of playing a purely passive role in reflecting an underlyin
11、g reality, financial markets also have an active role: they can affect the so-called fundamentals they are supposed to reflect. That is the point that behavioral economics is missing. It focuses only on one half of a reflexive process: the mispricing of financial assets; it does not concern itself w
12、ith the impact of the mispricing on the so-called fundamentals. There are various feedback mechanisms at work which may validate the mispricing of financial assets, at least for a while. This may give the impression that markets are often right, but the mechanism at work is very different from the o
13、ne proposed by the prevailing paradigm. I claim that financial markets have ways of altering the fundamentals and that may bring about a closer correspondence between market prices and the underlying fundamentals. Contrast that with the efficient market hypothesis, which claims that markets always a
14、ccurately reflect reality and automatically tend towards equilibrium. There are various pathways by which the mispricing of financial assets can affect the so-called fundamentals. The most widely travelled are those which involve the use of leverageboth debt and equity leveraging. These pathways des
15、erve a lot more research. My two propositions focus attention on the reflexive feedback loops that characterize financial markets. There are two kinds of feedback: negative and positive. Negative feedback is self-correcting; positive feedback is self-reinforcing. Thus, negative feedback sets up a te
16、ndency toward equilibrium, while positive feedback produces dynamic disequilibrium. Positive feedback loops are more interesting because they can cause big moves, both in market prices and in the underlying fundamentals. A positive feedback process that runs its full course is initially self reinfor
17、cing, but eventually it is liable to reach a climax or reversal point, after which it becomes self reinforcing in the opposite direction. But positive feedback processes do not necessarily run their full course; they may be aborted at any time by negative feedback.* * * I have developed a theory abo
18、ut boom-bust processes, or bubbles, along these lines. Every bubble has two components: an underlying trend that prevails in reality and a misconception relating to that trend. A boom-bust process is set in motion when a trend and a misconception positively reinforce each other. The process is liabl
19、e to be tested by negative feedback along the way. If the trend is strong enough to survive the test, both the trend and the misconception will be further reinforced. Eventually, market expectations become so far removed from reality that people are forced to recognize that a misconception is involv
20、ed. A twilight period ensues during which doubts grow, and more people loose faith, but the prevailing trend is sustained by inertia. As Chuck Prince, former head of Citigroup said: we must continue dancing until the music stops. Eventually a point is reached when the trend is reversed; it then beco
21、mes self reinforcing in the opposite direction. C h a r t To go back to my original example, the conglomerate boom of the late 1960s: the underlying trend is represented by earnings per share, the expectations relating to that trend by stock prices. Conglomerates improved their earnings per share by
22、 acquiring other companies. Inflated expectations allowed them to improve their earnings performance, but eventually reality could not keep up with expectations. After a twilight period the price trend was reversed. All the problems that had been swept under the carpet surfaced, and earnings collaps
23、ed. As the president of one of the conglomerates, Ogden Corporation, told me at the time: I have no audience to play to.Typically, bubbles have an asymmetric shape. The boom is long and drawn out: slow to start, it accelerates gradually until it flattens out during the twilight period. The bust is s
24、hort and steep because it is reinforced by the forced liquidation of unsound positions. Disillusionment turns into panic, reaching its climax in a financial crisis. Bubbles that conform to this pattern go through distinct stages: inception; a period of acceleration, interrupted and reinforced by suc
25、cessful tests; a twilight period; and the reversal point or climax, followed by acceleration on the downside culminating in a financial crisis. The length and strength of each stage is unpredictable, but there is an internal logic to the sequence of stages. So the sequence is predictablebut even tha
26、t can be terminated by government intervention or some other form of negative feedback. The simplest case is a real estate boom. The trend that precipitates it is that credit becomes cheaper and more easily available; the misconception that turns the trend into a bubble is that the value of the coll
27、ateral is independent of the availability of credit. As a matter of fact, the relationship between the availability of credit and the value of the collateral is reflexive. When credit becomes cheaper and more easily available, activity picks up and real estate values rise. There are fewer defaults,
28、credit performance improves, and lending standards are relaxed. So at the height of the boom, the amount of credit involved is at its maximum and a reversal precipitates forced liquidation, depressing real estate values. Yet, the misconception continues to recur in various guises. The international
29、banking crisis of 1982 revolved around sovereign debt where no collateral is involved. The creditworthiness of the sovereign borrowers was measured by various debt ratios, like debt to GDP or debt service to exports. These ratios were considered objective criteria, while in fact they were reflexive.
30、 When the recycling of petrodollars in the 1970s increased the flow of credit to countries like Brazil, their debt ratios improved, encouraging further inflows and starting a bubble.* * * Not all bubbles involve the extension of credit; some are based on equity leveraging. The best example is, of co
31、urse, the Internet bubble of the late 1990s. When Alan Greenspan spoke about irrational exuberance in 1996 he misrepresented bubbles. When I see a bubble forming I rush in to buy, adding fuel to the fire. That is not irrational. And that is why we need regulators to counteract the market when a bubb
32、le is threatening to grow too big, because we cannot rely on market participants, however well informed and rational they are.* * * Bubbles are not the only form in which reflexivity manifests itself. They are only the most dramatic and the most directly opposed to the efficient market hypothesis; t
33、herefore they deserve special attention. But reflexivity can take many other forms. In currency markets, for instance, the upside and downside are symmetrical so that there is no sign of an asymmetry between boom and bust. But there is no sign of equilibrium either. Freely floating exchange rates te
34、nd to move in large, multi-year waves. The most important and most interesting reflexive interaction takes place between the financial authorities and financial markets. Because markets do not tend toward equilibrium they are prone to produce periodic crises. Financial crises lead to regulatory refo
35、rms. That is how central banking and the regulation of financial markets have evolved. Both the financial authorities and market participants act on the basis of imperfect understanding, and that makes the interaction between them reflexive. While bubbles only occur intermittently, the interplay bet
36、ween authorities and markets is an ongoing process. Misunderstandings by either side usually stay within reasonable bounds because market reactions provide useful feedback to the authorities, allowing them to correct their mistakes. But occasionally the mistakes prove to be self-validating, setting
37、in motion vicious or virtuous circles. Such feedback loops resemble bubbles in the sense that they are initially self reinforcing, but eventually self defeating.* * * It is important to realize that not all price distortions are due to reflexivity. Market participants cannot possibly base their deci
38、sions on knowledgethey have to anticipate the future, and the future is contingent on decisions that people have not yet made. What those decisions are going to be and what effect they will have cannot be accurately anticipated. Nevertheless, people are forced to make decisions. To guess correctly,
39、people would have to know the decisions of all of the other participants and their consequences, but that is impossible. Rational expectations theory sought to circumvent this impossibility by postulating that there is a single correct set of expectations and peoples views will converge around it. T
40、hat postulate has no basis in reality, but it is the basis of financial economics as it is currently taught in universities. In practice, participants are obliged to make their decisions in conditions of uncertainty. Their decisions are bound to be tentative and biased. That is the generic cause of
41、price distortions. Occasionally, the price distortions set in motion a boom-bust process. More often, they are corrected by negative feedback. In these cases market fluctuations have a random character. I compare them to the waves sloshing around in a swimming pool as opposed to a tidal wave. Obviou
42、sly, the latter are more significant but the former are more ubiquitous. The two kinds of price distortions intermingle so that in reality boom-bust processes rarely follow the exact course of my model. Bubbles that follow the pattern I described in my model occur only on those rare occasions where
43、they are so powerful that they overshadow all the other processes going on at the same time.* * * It will be useful to distinguish between near equilibrium conditions, which are characterized by random fluctuations, and far-from-equilibrium situations where a bubble predominates. Near equilibrium is
44、 characterized by humdrum, everyday events which are repetitive and lend themselves to statistical generalizations. Far-from-equilibrium conditions give rise to unique, historical events where outcomes are generally uncertain but have the capacity to disrupt the statistical generalizations based on
45、everyday events. The rules that can guide decisions in near equilibrium conditions do not apply in far-from-equilibrium situations. The recent financial crisis is a case in point. All the risk management tools and synthetic financial products that were based on the assumption that price deviations f
46、rom a putative equilibrium occur in a random fashion broke down, and people who relied on mathematical models which had served them well in near-equilibrium conditions got badly hurt. I have gained some new insights into far-from-equilibrium conditions during the recent financial crisis. As a partic
47、ipant I had to act under immense time pressure, and I could not gather all of the information that would have been availableand the same applied to the regulatory authorities in charge. That is how far-from-equilibrium situations can spin out of control. This is not confined to financial markets. I
48、experienced it, for instance, during the collapse of the Soviet Union. The fact that the participants thinking is time-bound instead of timeless is left out of the account by rational expectations theory. I was aware of the uncertainty associated with reflexivity, but even I was taken by surprise by
49、 the extent of the uncertainty in 2008. It cost me dearly. I got the general direction of the markets right, but I did not allow for the volatility. As a consequence, I took on positions that were too big to withstand the swings caused by volatility, and several times I was forced to reduce my positions at the wrong time in order to limit my risk. I would have done better if I had taken sm