Williams James W, Cook Nikolai M
Department of Social Science, York University, Toronto, ON, Canada.
Department of Economics, University of Ottawa, Ottawa, ON, Canada.
Soc Stud Sci. 2016 Oct;46(5):701-724. doi: 10.1177/0306312716658980. Epub 2016 Aug 20.
One of the lasting legacies of the financial crisis of 2008, and the legislative energies that followed from it, is the growing reliance on econometrics as part of the rulemaking process. Financial regulators are increasingly expected to rationalize proposed rules using available econometric techniques, and the courts have vacated several key rules emanating from Dodd-Frank on the grounds of alleged deficiencies in this evidentiary effort. The turn toward such econometric tools is seen as a significant constraint on and challenge to regulators as they endeavor to engage with such essential policy questions as the impact of financial speculation on food security. Yet, outside of the specialized practitioner community, very little is known about these techniques. This article examines one such econometric test, Granger causality, and its role in a pivotal Dodd-Frank rulemaking. Through an examination of the test for Granger causality and its attempts to distill the causal connections between financial speculation and commodities prices, the article argues that econometrics is a blunt but useful tool, limited in its ability to provide decisive insights into commodities markets and yet yielding useful returns for those who are able to wield it.
2008年金融危机及其引发的立法行动所留下的一个长久遗产，就是在规则制定过程中对计量经济学的依赖日益增加。人们越来越期望金融监管机构运用现有的计量经济学技术，使提议的规则合理化，而且法院已撤销了多德-弗兰克法案中的几项关键规则，理由是在这一证据工作方面存在所谓缺陷。在监管机构努力应对诸如金融投机对粮食安全的影响等重要政策问题时转向此类计量经济学工具，被视为对监管机构的重大限制和挑战。然而，在专业从业者群体之外，对这些技术了解甚少。本文考察了一种这样的计量经济学检验方法——格兰杰因果检验，及其在多德-弗兰克法案一项关键规则制定中的作用。通过对格兰杰因果检验及其提炼金融投机与大宗商品价格之间因果关系的尝试进行考察，本文认为计量经济学是一种生硬但有用的工具，它在为大宗商品市场提供决定性见解方面能力有限，但对于能够运用它的人来说仍能产生有益的回报。
