The Volatility Debate: Discussion
回顾并辩护Shiller关于股票价格波动性的观点，但批评其效率概念基于不可获得的未来信息，并指出对农业而言，商品和土地市场的投机效率更值得关注。
examines a narrow concept of volatility as-sociated with efficiencies as measured by the relationship of stock prices to discounted fu-ture dividends. The paper is essentially a re-view and defense of Shiller's writings on stock price volatility. I have two main criticisms. First, this debate is already in the literature, the evidence against Shiller's concept of efficiency is strong, and it need not be further belabored. Whether his concept of efficiency is appropriate needs more attention. Second, whether stock markets are efficient is of lim-ited consequences for agriculture. Issues of greater interest here are efficiency of the speculative markets in agriculture-commod-ity markets and land markets-and the mech-anisms that explain the volatility in these mar-kets. Shiller's Efficiency Concept The most widely accepted statement of the efficient markets hypothesis was given by Fama. A market in which price always fully reflects available information is called efficient (p. 309). This focus continues in more recent concepts of efficiency involving rational ex-pectations and sufficient statistics based on available information. Shiller's concept of efficiency reflected by his charts differs; it is based on perfect foresight, i.e., unavailable information, because it compares price to fu-ture dividends unavailable at the time of price formation. The usefulness of his concept is questionable because the shocks responsible for volatility are often unanticipated even stochastically. The importance of whether pol-icy shocks are anticipated has been demon-strated by the new classical school in mac-roeconomics which has shown that monetary policy effectiveness depends totally on whether changes are anticipated and that re-gime changes have important impacts on the stochastic processes of economic variables.