GMM方法在金融领域的发展与应用——2013年度诺贝尔经济学奖获得者拉尔斯·彼得·汉森学术贡献评述

The Development of Generalized Method of Moments and Applications in the Financial Territory

基于诺贝尔经济学奖评审委员会的公报,2013年度诺贝尔经济学奖得主拉尔斯·彼得·汉森的学术贡献在于揭示了广义矩估计在经济学界方法论的开创性,以及其在金融资产定价领域的应用及延伸研究,开创性地检验了消费资本资产定价模型,推动了金融资产定价理论的发展。广义矩估计方法因其一般性及普适性,在金融计量和市场微观经济等领域应用尤其广泛,并拓展至宏观经济学领域。目前,该方法在我国金融领域的应用研究远不及国外文献成熟,存在方法论难度较大、模型适用性有待考察、方法能否正确使用等因素。

Based on the advanced information of Nobel Prize Jury, the academic contribution of 2013 Nobel Prize in Economic Sciences Laureate Lars Peter Hamsen is to reveal the pioneering of generalized method of moments in economic methodology, as well as its application and extension of research in asset pricing, pioneering test the consumption-based asset pricing model, and promote the development of the asset pricing theory. Because of its generality and universality, generalized method of moments estimation is especially widely used in financial econometrics and microeconomic, and expanded to macroeconomics. At present, the financial application research using this method in China is far less mature than foreign literature, with problems of huge difficulty of understanding the methodology, uncertainty about the applicability of model and using the method correctly or not.