Pszichológia és a pénzügyi válság

Courserán hallgatok most egy kurzust, igen ambíciózusan mindössze az a címe, hogy Financial Markets. Gyakorlatilag mindenről szól, amit pénzpiacok alatt érteni lehet, értékpapírok, bankok, szabályozás, ingatlanok, bármi, amit venni/eladni lehet. Néhány hét után esett csak le, hogy a professzor bácsi (Robert J. Schiller), aki tartja az egészet, nem egy túl nagy koponya, tavaly például megkapta a közgazdasági Nobel-díjat.

Egy szó mint száz, a kurzus maga igen jó, a tanár pedig igen hiteles. Már kicsit bánom, hogy nem fogadtam meg Regi tanácsát, hogy kapjak róla hivatalos certificate-et.

De nem is ez a lényeg.

Pár hete volt egy érdekes házi feladat. Egy rövid, tizenegynéhány oldalas paper (pépör, papper) alapján kellett írni egy max. 500 szavas esszét, amit aztán az osztálytársak értékeltek. Mivel 10/10-et kaptam rá, úgy gondoltam, hogy ide rakom, mert ilyen nagy sikerben nem volt részem a diplomavédés óta (az Óbudai Egyetem nyilván nem számít).

A cikk: Nicholas Barberis: Psychology and the Financial Crisis of 2007-2008

Az esszém:

Mr. Barberis’ paper is focusing on three aspects of the crisis: the surge in house prices, bank’s large positions in subprime linked securities; and the decline in value of many risk asset classes. To study those, he is using psychology-based mechanisms, especially over-extrapolation of past price changes; and belief manipulation.

The surge in housing prices, as Mr. Barberis explains, was probably caused by the above mentioned over-extrapolation: forecast is using experience from the past, but the sample is too small, and the forecast is reaching too far into the future. In case of housing prices, this happened in many different cases. Buyers paid too much for the house, because they thought it will worth much more in the future. Lenders, who are providing the money for the purchase, were also over-extrapolating the prices, so they lent more than they should. They could do that, because these subprime loans were very attractive to investors, who bought the securitized products because they over-extrapolated the housing prices. And the attractiveness of these securities was provided by rating organizations, who were over-extrapolating the increase of prices again. As a result, more people were able to spend more money on over-valued houses then desirable.

The large positions in subprime-linked securities that many banks had accumulated, as it is written in the paper, could be caused by belief manipulation. First of all, the mortgage traders might manipulated their beliefs to remove their dissonance, which was caused by their thoughts about subprime-linked securities being very risky. The same belief manipulation could probably happen at credit risk agencies. Everyone wanted these assets to have low risk, and when analysts were evaluating the risk of these products, calculating a high risk might caused dissonance in them. To solve that, belief manipulation helped them to think that these securities were not so risky.

The dramatic decline in value of many risky asset classes is explained with two psychological amplification mechanisms, loss aversion and ambiguity aversion. Loss aversion, when we are talking about the subprime mortgage crisis, means that when investors started to lose money because of decrease of housing prices, they wanted to get a rid of other risky assets. This caused price reduction not just for mortgage backed securities, but also other risky products. Ambiguity aversion means that when the housing prices were falling, investors thought that they are less competent as they were not foreseeing this happening. Because of that, they were selling these products, as they wanted to reduce their risk in assets they didn’t understand so well anymore. Also, losing competency could also cause losing self-confidence, which could cause the same happening for other assets.

Beside many other reasons, it is possible that psychological factors were also playing a big role in the financial crisis. To prevent a crisis in the future, it is important to work on both institutional and psychological changes.

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