Christopher A. Sims

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Christopher A. Sims
Nobel Prize 2011-Press Conference KVA-DSC 7720.jpg
Sims in 2011
Born
Christopher Albert Sims

(1942-10-21) October 21, 1942 (age 76)
Nationality United States
Institution Princeton University
Yale University
University of Minnesota
Harvard University
Field Macroeconomics
Econometrics
Time series
Alma mater Harvard University, (A.B, PhD)
Doctoral
advisor
Hendrik S. Houthakker
Doctoral
students
Lars Peter Hansen
Harald Uhlig [1]
ContributionsUse of vector autoregression
Awards Nobel Memorial Prize in Economic Sciences (2011)
Information at IDEAS / RePEc

Christopher Albert "Chris" Sims (born October 21, 1942) is an American econometrician and macroeconomist. He is currently the John J.F. Sherrerd ’52 University Professor of Economics at Princeton University. [2] Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011. [3] The award cited their "empirical research on cause and effect in the macroeconomy". [4]

Princeton University University in Princeton, New Jersey

Princeton University is a private Ivy League research university in Princeton, New Jersey. Founded in 1746 in Elizabeth as the College of New Jersey, Princeton is the fourth-oldest institution of higher education in the United States and one of the nine colonial colleges chartered before the American Revolution. The institution moved to Newark in 1747, then to the current site nine years later, and renamed itself Princeton University in 1896.

The Nobel Memorial Prize in Economic Sciences, commonly referred to as the Nobel Prize in Economics, is an award for outstanding contributions to the field of economics, and generally regarded as the most prestigious award for that field. The award's official name is The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel.

Contents

Biography

Sims was born in Washington, D.C., the son of Ruth Bodman (Leiserson), a Democratic politician and daughter of William Morris Leiserson, and Albert Sims, a state department worker. [5] His father was of English and Northern Irish descent, and his mother was of half Estonian Jewish and half English ancestry. [6] His uncle was Yale economist Mark Leiserson. [7] Sims earned his A.B. in mathematics from Harvard University magna cum laude in 1963 and his PhD in Economics from Harvard in 1968 under supervision of Hendrik S. Houthakker. [8] He was also a graduate student at the University of California, Berkeley from 1963–64. He has held teaching positions at Harvard, Yale University and, since 1999, Princeton. He spent the longest portion of his career at the University of Minnesota, teaching there from 1970 to 1990. [9] Sims is a Fellow of the Econometric Society (since 1974), [10] a member of the American Academy of Arts and Sciences (since 1988) and a member of the National Academy of Sciences (since 1989). In 1995 he was president of the Econometric Society; in 2012, he was president of the American Economic Association. Sims currently lives in New Jersey.

William Morris Leiserson (1883–1957) was a notable labor relations scholar and mediator.

Yale University private research university in New Haven, Connecticut, United States

Yale University is a private research university in New Haven, Connecticut. Founded in 1701, it is the third-oldest institution of higher education in the United States and one of the nine Colonial Colleges chartered before the American Revolution. It is a member of the Ivy League.

Harvard University private research university in Cambridge, Massachusetts, United States

Harvard University is a private Ivy League research university in Cambridge, Massachusetts, with about 6,700 undergraduate students and about 15,250 post graduate students. Established in 1636 and named for its first benefactor, clergyman John Harvard, Harvard is the United States' oldest institution of higher learning, and its history, influence, and wealth have made it one of the world's most prestigious universities.

Contributions

Sims has published numerous important papers in his areas of research: econometrics and macroeconomic theory and policy. Among other things, he was one of the main promoters of the use of vector autoregression in empirical macroeconomics. He has also advocated Bayesian statistics, arguing for its power in formulating and evaluating economic policies. [11]

Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". The first known use of the term "econometrics" was by Polish economist Paweł Ciompa in 1910. Jan Tinbergen is considered by many to be one of the founding fathers of econometrics. Ragnar Frisch is credited with coining the term in the sense in which it is used today.

Vector autoregression (VAR) is a stochastic process model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregressive model by allowing for more than one evolving variable. All variables in a VAR enter the model in the same way: each variable has an equation explaining its evolution based on its own lagged values, the lagged values of the other model variables, and an error term. VAR modeling does not require as much knowledge about the forces influencing a variable as do structural models with simultaneous equations: The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally.

Bayesian statistics is a theory in the field of statistics based on the Bayesian interpretation of probability where probability expresses a degree of belief in an event, which can change as new information is gathered, rather than a fixed value based upon frequency or propensity. The degree of belief may be based on prior knowledge about the event, such as the results of previous experiments, or on personal beliefs about the event. This differs from a number of other interpretations of probability, such as the frequentist interpretation that views probability as the limit of the relative frequency of an event after a large number of trials.

Sims has been an outspoken opponent of the rational expectations revolution in macroeconomics, arguing that it should be thought of as a "cautionary footnote" to econometric policy analysis, rather than "a deep objection to its foundations." [12] He has been similarly skeptical of the value of real business cycle models. [13]

In economics, "rational expectations" are model-consistent expectations, in that agents inside the model are assumed to "know the model" and on average take the model's predictions as valid. Rational expectations ensure internal consistency in models involving uncertainty. To obtain consistency within a model, the predictions of future values of economically relevant variables from the model are assumed to be the same as that of the decision-makers in the model, given their information set, the nature of the random processes involved, and model structure. The rational expectations assumption is used especially in many contemporary macroeconomic models.

He also helped develop the fiscal theory of the price level and the theory of rational inattention.

The fiscal theory of the price level is the idea that government fiscal policy affects the price level: for the price level to be stable, government finances must be sustainable: they must run a balanced budget over the course of the business cycle, meaning they must not run a structural deficit.

In economics, the theory of rational inattention deals with the effects of the cost of information acquisition on decision making. For example, when the information required for a decision is costly to acquire, the decision makers may rationally take decisions based on incomplete information, rather than incurring the cost to get the complete information.

Nobel Memorial Prize and lecture

On October 10, 2011, Christopher A. Sims together with Thomas J. Sargent was awarded the Nobel Memorial Prize in Economic Sciences. The award cited their "empirical research on cause and effect in the macroeconomy". [14] His Nobel lecture, titled "Statistical Modeling of Monetary Policy and its Effects" was delivered on December 8, 2011. [15]

Thomas J. Sargent American economist

Thomas John "Tom" Sargent is an American economist, who is currently the W.R. Berkley Professor of Economics and Business at New York University. He specializes in the fields of macroeconomics, monetary economics and time series econometrics. As of 2014, he ranks fourteenth among the most cited economists in the world. He was awarded the Nobel Memorial Prize in Economics in 2011 together with Christopher A. Sims for their "empirical research on cause and effect in the macroeconomy".

Translating his work into everyday language, Sims said it provided a technique to assess the direction of causality in central bank monetary policy. It confirmed the theories of monetarists like Milton Friedman that shifts in the money supply affect inflation. However, it also showed that causality went both ways. Variables like interest rates and inflation also led to changes in the money supply. [16]

Publications

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Following the development of Keynesian economics, applied economics began developing forecasting models based on economic data including national income and product accounting data. In contrast with typical textbook models, these large-scale macroeconometric models used large amounts of data and based forecasts on past correlations instead of theoretical relations. These models estimated the relations between different macroeconomic variables using regression analysis on time series data. These models grew to include hundreds or thousands of equations describing the evolution of hundreds or thousands of prices and quantities over time, making computers essential for their solution. While the choice of which variables to include in each equation was partly guided by economic theory, variable inclusion was mostly determined on purely empirical grounds. Large-scale macroeconometric model consists of systems of dynamic equations of the economy with the estimation of parameters using time-series data on a quarterly to yearly basis.

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References

  1. "Advantage Financial Harald Uhlig" . Retrieved 2016-09-28.
  2. "Christopher A Sims". Thomson Reuters website. Retrieved October 10, 2011.
  3. "Nobel prize for economics awarded to two Americans". BBC News website. October 10, 2011. Retrieved October 10, 2011.
  4. "The Prize in Economic Sciences 2011". Nobelprize.org. December 10, 2008. Retrieved October 10, 2011.
  5. Slotnik, Daniel E. (2012-06-13). "Ruth Sims, First Woman Elected to Lead Greenwich, Conn., Dies at 92". The New York Times.
  6. "Christopher A. Sims - Biographical". Nobel Foundation. Retrieved 31 May 2017.
  7. Mark Leiserson: Noted international economist
  8. http://www.dictionaryofeconomics.com/article?id=pde2012_S000550
  9. "CV (Christopher A. Sims)" (PDF). Princeton University. Retrieved 31 May 2017.
  10. Fellows of the Econometric Society as of February 2011 Archived December 10, 2008, at the Wayback Machine , Econometric Society, Retrieved October 12, 2011.
  11. Sims, Christopher A. "The Role of Models and Probabilities in the Monetary Policy Process". Brookings Papers on Economic Activity, 2002, 1-62
  12. Sims, Christopher A.; Goldfeld, Stephen M.; Sachs, Jeffrey D. (1982). "Policy Analysis with Econometric Models". Brookings Papers on Economic Activity. 1982 (1): 107–164. doi:10.2307/2534318. JSTOR   2534318.
  13. Sims, Christopher A. (1996). "Macroeconomics and Methodology". Journal of Economic Perspectives . 10 (1): 105–120. CiteSeerX   10.1.1.202.8675 . doi:10.1257/jep.10.1.105. JSTOR   2138286.
  14. "The Prize in Economic Sciences 2011". Nobelprize.org. 2008-12-10. Retrieved 2011-10-10.
  15. http://www.nobelprize.org/nobel_prizes/economics/laureates/2011/sims-lecture.html
       • Sims, Christopher A. (2011). " Statistical Modeling of Monetary Policy and its Effects," Nobel lecture.
  16. Sommer, Jeff (December 3, 2011). "Good Morning. You're Nobel Laureates". New York Times.
Awards
Preceded by
Peter A. Diamond
Dale T. Mortensen
Christopher A. Pissarides
Laureate of the Nobel Memorial Prize in Economics
2011
Served alongside: Thomas J. Sargent
Succeeded by
Alvin E. Roth
Lloyd S. Shapley
Academic offices
Preceded by
Orley Ashenfelter
President of the American Economic Association
2012– 2013
Succeeded by
Claudia Goldin