Saturday, January 7, 2012

From Job to Election

Wall Street Journal, 1/6/2012, "Job Growth Accelerates" By JEFFREY SPARSHOTT And TOM BARKLEY

景氣仍然在分水嶺上,如果發生什麼壞事情,局勢仍然可以急轉直下。不過以美國現在的情況來說,經濟的走向總算是往好的方向走。目前失業率下降一點到 8.5%,雖然離讓 Obama 連任還有一段長路要走,不過他也還有一些時間。假如歐洲的局勢能夠穩住 (a big IF),年底的選舉應該會很有看頭。不過義大利的十年期公債殖利率現在又破 7.00% 了,我們持續觀察。

我已經完全看不懂共和黨的選民在想什麼了。Mitt Romney 是個很簡單的選擇,但是不知道是他個性無趣還是摩門教徒的身分不討喜,搞到他總是在跟一個之前以為已經出局的候選人競爭第一名的位子。前幾天在 Iowa 他居然只贏 Santorum 八票,戲劇化可比電影劇本。如果一個寫選戰的劇本到最後說主角只贏八票,恐怕很多觀眾會砸戲院罵他胡扯吧。現在還有消息出來說票數計算可能有誤,有一個說法是 Romney 應該贏九票而不是八票。不過也有一說在某一投票所把 Romney 的票數記成 Ron Paul 的票數,讓 Romney 多了 20 票 (that precinct is really conservative)。不管 Iowa 結果會不會翻盤,我持續看好 Romney 跟 Obama 對決。

還有一個星期就是我們台灣自己的總統選舉了。由於現在已經進入最後十天的 blackout 階段,所有民調資料不得公佈,所以大家也就只有一個星期之後去投票,沒什麼好討論的。今年連未來事件交易所都被中選會要求關掉這一部份的功能了,實在很無趣。如果有充足的資訊,我倒很想拿最後這一階段的不同單位民調來跑跑統計,看看他們的誤差怎麼修正比較好。Nate Silver 除了做棒球統計外,他在上次美國總統大選從不同資訊來源推估最後結果做的很成功,讓他在 New York Times 的政治版面上都找到了一些空間發表。

我們都知道台灣的媒體有很強的偏誤,不過只要這些偏誤具有一致性,不是自己隨便亂編數據出來,蒐集到了足夠的資料之後,仍然有找到『真正』的民意支持度的可能。我把『真正』兩字加上引號的原因是民調所對應的民意並無法真正顯示,因為時間會改變不少東西。台灣最近幾次大型選舉在投票日將近時常有戲劇化的事件,這些事件是否影響結果眾說紛紜。由於真正投票只有一次,而民意可能會隨著事件而移動,拿最終投票結果作為前面民調預估的對象會有偏誤。這有些像是我們在檢驗 predictability 的時候往往拿最後實現的值跟模型所建立的預期來比較,以此判斷模型的優劣。不過有時問題並不這麼單純。以 VIX 為例,它是 CBOE 由以 S&P 500 為標的的 option 所計算出來市場上對於波動度的判斷 (implied volatility)[註1]。算是一個 conditional expectation。如果我們拿 S&P 500 報酬率歷史數據來計算,很容易發現預期跟實現值並不相同。這裡還不是建立模型做估計,是拿市場上面大家的想法,都可以有不小出入。像選舉和民調這些東西就更難了。民調代表的充其量是作民調當時人民對於投票行為的揭露,有些人是會在放下電話後改變心意的。就算一份民調做到跡近完美,可以忠實的顯示當時選民的想法,那也不代表幾天之後的選舉會是同樣的結果。由於 VIX 指數所代表的是當時投資人對於風險的預期,就算最後出來的真正的 volatility 跟預期值不同,我們也不能說 VIX 指數是『錯的』。不過在數據量夠大的情況下,如果對於選舉板塊的移動作出一些假設,我想應該還是可以從不同民調資料找出一些東西來。

對於台灣總統大選和立委選舉研究有興趣的人,我推薦 Frozen Garlic 這個網站,作者是 Nathan Batto,中研院的 assistant research fellow。文章是英文的,不過可讀性比我們一般在報章雜誌上的高多了,而且他更新文章的速度也比我頻繁多了。:p

我本來覺得國民黨到三月的時候可能會後悔讓總統大選提前到一月進行,因為到那時候國際股市、經濟可能都比較穩定。不過看到義大利目前的情況,又不太確定這個看法是對的了。剩下一個星期的時間,一定不夠讓義大利炸掉,不過三月我就不敢講了。

[註1] 舊版的 VIX 指數連結對象是 S&P 100,計算方式和現在也不同,此數據現在叫做 VXO,CBOE 仍然繼續公佈此一數據。

4 comments:

楊大寶 said...

It took me awhile to figure out what "Frozen Garlic" means. Hilarious.

Anonymous said...

I lived in Iowa for about a year when I was a teenager. Nice Midwestern people, but I still can't understand why they are always the first primary state. When was the last time that Iowa decided a presidential election? The upcoming presidential election will most likely be decided, again, by the usual suspects - Florida, Ohio, and maybe Pennsylvania or Michigan.

I have never voted for a Republican President in my life, but 2012 may be a first for me.

CCLu said...

To 楊大寶

One needs to speak Taiwanese and make the connection between Taiwanese and English to understand that name. I didn't realize it until I saw the explanation from the writer himself. I speak Taiwanese, but I didn't bother to make the connection.

To Ben,

Your question is very interesting. A Wiki item "Iowa caucuses" gives us the answer. It wasn't until 1972 that Iowa caucuses took place this early in the election year. Thanks to some New York Times articles and Democrats' initiative.

I'm a social liberal and economic conservative. If I were American, I would be what's called a swing voter. If the focus is on economic issues, I will vote for Republicans; if the social issues come on top (abortion, gay marriage, etc), I'll rally for Democrats. Romney seems votable to me, but I don't know how conservative he is on social issues yet.

Anonymous said...

Romney is Mormon, so it is safe to bet that he is quite socially conservative. Then again, he flip-flops so much, who knows where he stands on any issue:)))

60% of Americans are like you, and that's why all candidates move to the middle when they get their party's nominations. The Republican party is really in a bind now - they distrust Romney but they know that he is the one with the best chance of beating Obama come this November. Now only if Chris Christie could lose 50 pounds quickly and/or Michael Bloomberg could turn Republican...