It seems that everyone (here, here, here, and here) is speculating about this year’s Nobel Prize in economics (to be announced Monday). It seems that Robert Barro, Thomas Sargent, Christopher Sims, Lars Hansen, Eugene Fama, and Martin Feldstein are the favorites to bring home the prize this year — Hansen, Sargent, and Sims could conceivable share the prize. Rather than predict who I think will win, I figured that I would offer my opinion as to who I would like to see win the award.
Given the current economic circumstances, I would like to see Benoit Mandelbrot and James Hamilton share the award. Mandelbrot’s work on recognizing the existence of fat tails in financial markets and his application of rescaled range analysis to test for long-term persistence and Hamilton’s development of regime-switching models to measure abrupt breaks in the behavior of time-series variables are important contributions and clearly relevant to the current environment.