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Robert Engl i Klajv Grejndžer

Nobelova nagrada za 2003.

NOVI ALATI ZA ANALIZU

EKONOMSKIH PODATAKA Amerikanac Robert F. Engl i Britanac

Klajv W. J. Grejndžer dobitnici su Nobelove nagrade za ekonomiju za

2003. godinu jer su, kako stoji u saopštenju Švedske akademije nauka, razvili nove statističke metode omogućivši ekonomistima nove alate za analizu podataka kao što su evolucija nacionalnog bruto dohotka, cene, kamate ili kurs na berzama. Odnosno, Robert Engl je ovu nagradu zaslužio zbog metoda analize ekonomskih vremenskih serija sa sezonskim oscilacijama (metod ARCH), a Klajv Grejndžer za metod analize vremenskih ekonomskih serija sa zajedničkom tendencijom (kointegracija).

Robertova svestranost

Robert Engl je rođen 1942. godine u Sirakjuzu, SAD. Otac - hemičar koji je imao dva hobija: pravljenje i popravku nameštaja i umetničko klizanje, bio mu je veliki uzor i lako ga je uputio u svet nauke. Kao dečak Robert je imao pristup očevoj labaratoriji i hemikalije su mu često služile za igru. Rastao je pored

nobelove zvezde

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Robert F. Engle III and Clive W. J. Granger

Nobel Prize for 2003

An American, Robert F. Engle, and an Englishman, Clive W. J. Granger, won the 2003 Nobel Prize in Economics

because, according to the announcement of the Swedish Academy of Sciences, they developed new statistical methods thereby providing the economists with new tools for data analysis, such as the evolution of national gross income, prices, interest rates or stock exchange rates. In particular, Robert Engle earned this prize for his methods of analyzing economic time series with time-varying volatility (ARCH method), and Clive Granger for his methods of analyzing economic time series with common trends (cointegration).

Robert’s versatility

Robert Engle was born in 1942 in Syracuse, NY, USA. His father - a chemist with two hobbies: building and fixing furniture and ice-dancing, was his role model who introduced him to the world of science. As a boy, Robert had access to his father’s lab and o�en used different chemicals for his games. He grew up

NEW TOOLS FOR ECONOMIC DATA ANALYSIS

nobel stars

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dve mlađe sestre bliznakinje. U mladosti je bio veoma svestran, voleo je nauku, bavio se sportom (bejzbol i umetničko klizanje) i svirao na mnogim instrumentima. Počeo je sa duvačkim instrumentima, potom prešao na kontrabas a kada su mu ga ukrali, izabrao je violončelo. Svirao je u orkestru univerziteta na kojem je studirao, a potom i u Filadelfija orkestru.

Diplomirao je fiziku na Vilijams koledžu 1964. godine, a magistrirao i doktorirao 1969. na Univerzitetu Kornel. Na s t u d i j a m a se opredelio za fiziku i matematiku da bi kao izborni p r e d m e t odabrao Uvod u ekonomiju. I z b o r n i predmet postaće njegovo životno opredeljenje što se pokazalo već kod doktorata koji je bio iz oblasti ekonomije. Nakon doktorskih studija predaje na Univerzitetu M. I. T. a 1974. godine prelazi na Univerzitet Kalifornije u San Dijegu gde je prvo vanredni, a od 1977. godine redovni profesor. Od 1990. do 1994. godine je na čelu odseka za ekonomiju ovog univerziteta. Od tada pa do penzije 2003. godine Engl je gostujući predavač za akademsku i širu javnost.

Oženio se u godini kada je i doktorirao. Supruga Marijan rođena je u Čehoslovačkoj 1949. godine a u SAD je došla sa dve godine. Diplomirala je na Kornel univerzitetu i postala dečiji klinički i sportski psiholog. Imaju dvoje dece: Džordana i Lindzi.

Dobijanje Nobelove nagrade

prokomentarisao je sledećim rečima: “To je neverovatno priznanje za rad mojih studenata, kolega i moj sopstveni rad tokom proteklih godina. Svi smo radili naporno, ali smo imali i sreće što je primena ovih metoda u finansijama tako važna. Mene i dalje zapanjuje koliko je ovako jednostavna ideja daleko stigla. Kad se osvrnem na svoju karijeru vidim da je ova nagrada njen vrhunac. Često uhvatim sebe kako razmišljam o ne tako dramatičnim situacijama

kojima započinju nova istraživanja. Još uvek je preda mnom mnogo novih avantura i ja im se veoma radujem.”

Doprinos ekonomskoj nauci Nobelovca Engla ogleda se u razvoju metodologije za analizu podataka na finansijskim tržištima i predlaganju novih statističkih specifikacija, kao što su ARCH i GARCH modeli. Neophodno je pomenuti i značajne rezultate ostvarene u saradnji sa Grejndžerom na razvoju koncepta kointegracije i definisanju problema uzročnosti, koji predstavljaju osnovu savremenog makroekonometrijskog modeliranja.

Objavio je preko hiljadu naučnih radova i tri udžbenika. Pored teorijskog aspekta njegove radove karakteriše empirijska primena prezentovane s t a t i s t i č k e metodologije. To je u najvećoj meri doprinelo popularnosti njegovih ideja, tako da ekonometrijska analiza

finansijskih vremenskih serija danas nije moguća bez upotrebe Englove metodologije.

Grejndžerovi srećni trenuci

Klajv Grejndžer se rodio 1934. godine u Svonziju, Velika Britanija, dobivši ime po jednom tada popularnom muzičaru. Otac mu je radio kao trgovački putnik za kompaniju koja se bavila trgovinom džemova i marmelada. Godinu dana po izbijanju II svetskog rata

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with two younger twin sisters. In his youth, he was rather versatile, loved science, sports (baseball and ice-dancing), and played several musical instruments. He started with wind instruments, then switched to the string bass, and a�er his bass was stolen, he took up the cello. He played in the orchestra at the University of his studies, and in the Philadelphia Orchestra.

E n g l e g r a d u a t e d from Williams College in 1964, with a degree in Physics, and in 1969 obtained his master and doctoral degree at Cornell University. He studied physics and mathematics, and decided to try Introductory Economics as his elective. This elective proved to be his life-long devotion, which was already shown in his PhD dissertation which was in the field of economics. A�er his doctoral studies, Engle started teaching at MIT University, and in 1974 went to the University of California in San Diego, first to be an assistant professor, and since 1977 a full-time professor. From 1990 to 1994 he held the position of Head of Economics Department at this University. Since then till his retirement in 2003, Engle worked as a visiting lecturer for academic and general public.

He got married the same year he gained his doctoral degree. His wife Marianne was born in Czechoslovakia in 1949, and immigrated to the USA when she was two years old. She graduated from Cornell University and became a clinical child psychologist and a sports psychologist. They have two children: Jordan and Lindsey.

A�er he was awarded the Nobel Prize, Engle commented: “This is an incredible

recognition for the work that my students, colleagues and I have done over the years. We all worked hard but we were also lucky that the financial applications of these methods were so important. It continues to amaze me how far this simple idea had traveled. As I look back

over my career, this Prize is the high point. I o�en find myself reflecting on less dramatic moments - moments that started a new research topic. There are many exciting adventures still awaiting me in the future and I am looking forward to ever

so many special moments more.”

E n g l e ’ s contribution to the economic science is reflected in the development of m e t h o d o l o g y for analyzing f i n a n c i a l m a r k e t s data, and the proposition of new statistical

specifications, such as ARCH and GARCH models. It is essential to mention the significant results achieved in cooperation with Granger concerning the development of cointegration concept and definition of causality, which stand as the basis of modern macro-econometric modeling.

Engle published over a thousand academic papers and three course-books. In addition to the theoretical aspect, his papers are characterized by the empirical application of the presented statistical methodology. This is what mostly contributed to the popularity of his ideas, to the extent that econometric analysis of financial time series today is impossible without Engle’s methodology.

Granger’s lucky breaks

Clive Granger was born in 1934 in Swansea, United Kingdom, and was named a�er a

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otac mu je otišao u jednu od kraljevskih vazduhoplovnih jedinica. Do kraja rata živeo je kod svoje bake zajedno sa majkom. Seća se da mu u prvim godinama škole ništa nije išlo od ruke sem matematike. Učitelj je stekao utisak o njemu, što je preneo i Grejndžerovoj majci, da od njega neće biti ništa i da nema jasnih ambicija i dugoročnih planova. Ipak, kako je smatrao ovaj Nobelovac, karijeru, koja nije bila ni malo neuspešna, činio je niz srećnih događaja. Jedan od takvih događaja je kada mu se otac vratio iz rata i kada su se, pred kraj njegove prve godine srednje škole preselili u Notingem. Kada su ga pitali šta je predmet njegovog interesovanja želeo je da kaže meteorologija ali pošto je mucao, jednostavnije mu je bilo da kaže statistika. To je pokrenulo novu etapu u njegovom životu. Srećan događaj je bio i upis na Univerzitet u Notingemu. Diplomirao je matematiku 1955. godine a potom na istom fakultetu i doktorirao iz oblasti statistike, četiri godine kasnije. Još dok je radio na doktorskoj disertaciji jedan od profesora sa Prinston univerziteta često je slao svoju asistentkinju Patrišu zbog posla do Grejndžera. Kasnije je imao više mogućnosti da se sreće sa Patrišom jer je po doktoriranju radio

Izbor radova Roberta Engla

1. „Autoregresivna uslovna heteroskedastičnost sa procenama varijanse inflacije u Velikoj Britaniji“, Ekonometrika 50, 1982.

2. „Procena premija rizika sa vremenskim oscilacijama u terminskoj strukturi: ARCH-M model“, (sa Dejvidom Lilijenom i Raselom Robinsom), Ekonometrika 55, 1987.

3. „Kointegracija i korekcija greške: reprezentacija, procena i testiranje“, (sa K.V.J. Grejndžerom), Ekonometrika 55, 1987.

4. „Utvrđivanje cena aktive na osnovu strukture kovarijanse sa faktorom ARCH: empirijske procene blagajničkih zapisa“, (sa V. Ng i M. Rotšildom), Žurnal za ekonometriju 45, 1990.

5. „Osobina duge memorije prinosa na tržištu akcija i jedan nov model“, Žurnal za empirijske finansije 1, 1993.

6. „Dinamička uslovna korelacija - jednostavna klasa multivarijacionih GARCH modela“, Žurnal za poslovnu i ekonomsku statistiku, juli 2002.

Izbor radova Klajva Grejndžera

1. „Testiranje kauzalnosti i povratnih informacija“, Ekonometrika 37, 1969.

2. „Prividne regresije u ekonometriji“, (sa P. Njuboldom), Žurnal za ekonometriju, 2, 1974.

3. „Uvod u vremenske serije sa dugom memorijom“, (sa R. Žojeom), Žurnal za analizu vremenskih serija, 1, 1980.

4. „Uvod u parametrijsku kointegraciju sa vremenskim oscilacijama“, (sa H.S. Lijem), u: Ekonomska strukturna promena: analiza i predviđanje (urednici: P. Hekl i A.H. Vezlund), Springer-Verlag, 1991.

5. Modeliranje nelinearnih ekonomskih odnosa, (sa T. Terasvirtom), Oxford University Press, Oksford, 1993.

6. „Skrivena kointegracija“, (sa G. Junom), Univerzitet Kalifornije, San Dijego, 2002.

Robert Engl prima nagradu od švedskog kralja

Gustava

Robert F. Engle receiving his Prize from His

Majesty King Carl XVI Gustaf of Sweden

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musician popular at the time. His father was a commercial traveler for a firm that traded with jams and marmalades. A year a�er the outbreak of the Second World War, his father went off to serve at the Royal Air Force. Until the end of the war, he lived with his mother and grandmother. He recalls that in the primary school he did well in mathematics but not much else. A teacher communicated his impression to Granger’s mother that Granger would never become successful, and that he had no clear-cut ambitions or long-term plans. Still, according to Granger’s own opinion, his career, more than successful, was largely determined by a sequence of “lucky breaks”. One of these lucky breaks occurred when his father came back from the war and when, towards the end of Granger’s first year at high-school, they moved to No�ingham. When they asked him to state his planned career, he wanted to say “meteorology”, but since in those days he stu�ered somewhat, it was easier for him to say “statistics”. This marked a new stage in his life path. Another lucky break was his enrollment at the University of No�ingham. He gained a degree in Mathematics in 1955, and a doctoral degree in the field of statistics, four years

later, at the same

Klajv Grejndžer prima nagradu od švedskog kralja GustavaClive W. J. Granger receiving his Prize from His Majesty King Carl XVI Gustaf of Sweden

Selection of papers by Robert Engle

1. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation”, Econometrica 50, 1982

2. “Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model”, (with David Lilien and Russell Robins), Econometrica 55, 1987

3. “Co-integration and Error Correction: Representation, Estimation and Testing”, (with C.W.J. Granger), Econometrica 55, 1987

4. “Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills” (with V. Ng, and M. Rothschild), Journal of Econometric 45, 1990

5. “A Long Memory Property of Stock Market Returns and a New Model”, Journal of Empirical Finance 1, 1993

6. “Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models”, Journal of Business and Economic Statistics, July 2002

Selection of papers by Clive Granger

1. “Testing for Causality and Feedback”, Econometrica 37, 1969

2. “Spurious Regressions in Econometrics”, (with P. Newbold), Journal of Econometric, 2, 1974

3. “An Introduction to Long-Memory Time Series”, (with R. Joyeux), Journal of Time Series Analysis, 1, 1980

4. “An Introduction to Time-Varying Parameter Co-Integration”, (with H.S. Lee), in Economic Structural Change: Analysis and Forecasting (editors: P. Hackl and A.H. Weslund), Springer-Verlag, 1991

5. Modelling Nonlinear Economic Relationships, (with T. Terasvirta), Oxford University Press, Oxford, 1993

6. “Hidden Cointegration”, (with G. Yoon), University of California, San Diego, 2002

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na jednom projektu na Prinston univerzitetu. Venčali su se 1960. godine u kapeli Prinston univerziteta. Na Notingem fakultetu je predavao do 1974. godine, kada prelazi u SAD gde radi kao profesor na Univerzitetu Kalifornije u San Dijegu. Penzionisao se 2003. godine kada i Robert Engl izabravši, kao i njegov kolega, Njujork za grad u kome će živeti. Umro je 2009. godine u San Dijegu.

Klajv je dao i svoj recept za uspeh: “Ne treba kretati sa mnogo visoke pozicije, odnosno potrebno je izabrati dobar ali ne vrhunski univerzitet, raditi vredno i imati nekoliko dobrih ideja, birati dobre saradnike (ja sam ih imao preko 80 tokom karijere), neophodno je privući odlične studente, sačekati 20-tak godina i onda se penzionisati. Meni i Robertu je taj recept upalio!”

Tokom šezdesetih godina i specijalizacije na Univerzitetu Prinston Grejndžer je izučavao spektralnu analizu ekonomskih vremenskih serija zajedno sa Hatanakom. Tada je započeo Grejndžerov uticaj na razvoj ekonometrijske analize vremenskih serija, koji se danas, posle skoro 50

godina njegovog aktivnog naučnog rada, može smatrati ključnim. On je 1969. godine definisao koncept uzročnosti, čija je primena neophodna u makroekonomskoj analizi da bi se odredilo na koje veličine možemo neposredno uticati, a koje možemo kontrolisati samo posredno.

Grejndžer se bavio i modeliranjem vremenskih serija sa dugom memorijom (u pitanju su veličine na čije kretanje sopstvena inercija ima presudnu ulogu). Od osamdesetih godina prošlog veka Grejndžer je u najvećoj meri posvećen razvoju koncepta kointegracije.

Grejndžer je napisao mnogo radova i knjiga iz ovih oblasti, a njihov zajednički imenilac je jednostavnost u izlaganju i f o k u s i r a n o s t na empirijsku r e l e v a n t n o s t s t a t i s t i č k e m e t o d o l o g i j e . To je u velikoj meri doprinelo p o p u l a r n o s t i

njegovih ideja. Gotovo da nije moguće ostvariti ozbiljnu empirijsku analizu ekonomskih vremenskih serija bez upotrebe metoda koje je ovaj Nobelovac sam definisao ili im dao početnu ideju.

Robert Engl (levo) i Klajv Grejndžer na ceremoniji

dodele Nobelovih nagrada

Robert F. Engle III (le�) and Clive W. J. Granger at the

Prize Award Ceremony

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University. While he was still working at his doctoral dissertation, one of the professors from Princeton University o�en sent his research assistant, Patricia, over to ask Granger questions. He later had more opportunities to meet Patricia because, a�er he gained a PhD degree, he started working on a project at Princeton. They got married in 1960 in the Princeton University Chapel. He worked as a professor at the No�ingham University until 1974, when he le� for the USA where he started teaching at the University of California in San Diego. He retired in 2003, the same day as Robert Engle, choosing, just like his colleague, to move permanently to New York. He died in 2009 in San Diego.

Clive’s story ends with a recipe for success: “Do not start too high on the ladder, move to a good but not top university, work hard, have a few good ideas, chose good collaborators (I had over eighty in my career), a�ract some excellent students, wait twenty years or so, and then retire. It worked for Rob and I!”

In the 1960s, during his specialization at the Princeton University, Granger was working with Hatanaka on spectral analysis

of economic time series. It was then that Granger’s influence on the development of econometric analysis of time series started, which today, almost 50 years a�er his active scientific work, may be considered crucial. In 1969 he defined the causality concept, whose application is necessary in macroeconomic analysis in order to determine which values may be directly influenced, and which ones may only be indirectly controlled. Granger also dealt with modeling of time series with “long-memory property” (these are the values whose movement is predominantly determined by their own inertia). Starting from the 1980s, Granger was mostly devoted to developing the cointegration concept.

Granger wrote numerous papers and books in these fields, all of which are marked by simplicity of expression and focus on empirical relevance of statistical methodology. This is what highly contributed to the popularity of his ideas. It is almost impossible to accomplish a serious empirical analysis of economic time series without referring to a method defined or initiated by this Nobel Prize winner.

Literatura / References

1. www.nobelprize.org2. Ekonomisti Nobelovci 1990-2003. Centar za

izdavačku delatnost Ekonomskog fakulteta u Beogradu, redaktor dr Branislav Pelević