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1、CHAPTER17THESECONDMOMENT∗DonEzraThisbriefarticlediscussesthestatisticalsecondmomentthatmeasuresthevariabilityinadistribution.Overtheyears,societysfocushasexpandedfromlookingonlyatfirstmomentstoconsideringsecondmoments.Aconsiderationofsecondmomentsofthedistributionsofanarrayofeconomic
2、variablescanaidinunderstandingsocietalconcernsaboutoutcomesandrisktolerancefollowingtherecentglobalfinancialcrisis.Suchanunderstandingprovidesabasisforinterpretingtheuseofvariousmechanisms,includingprudentassetallocation,options,regulationofthefreedomtomakecontracts,stateparticipatio
3、ninmarkets,andtaxation.Thisarticleisnotaboutamomentintime.Itisaboutthestatisticalsecondmoment,theonethatmeasuresthevariabilityinadistribution.Anditisaconceptual,notmathematical,treatment.Formanyyears,Ihavenoticedthatsocietysfocushasexpandedfromlookingonlyatfirstmomentstoconsideringse
4、condmoments.In1952,HarryMarkowitzdrewourattentiontotheimportanceofthesecondmomentofinvestmentreturndistributionsand,inparticular,tothetensionbetweenincreasingthefirstmomentandreducingthesecondmoment.HisdiscoverywasarevelationandearnedhimaNobelPrize.Ibelievethatsecondmomentsofthedistr
5、ibutionsofothereconomicvariablesareequallyworthyofattention.So,welook,forexample,notonlyattheaveragewagebutalsoatthedistributionofwages;welooknotonlyattheexpansioninGDPbutalsoatthedifferencesinthewayitaffectsindividuals.Lookingatthesecondmomentisabigadvanceinthewaysocietyevaluatesou
6、tcomes.Ihavefoundthatconsideringsecondmomentshelpsmemakesenseoftodaysdiscus-sionsabouteconomicgoals.Forexample,withthesuddenandsteepdeclineinglobalstockmarkets,wehaveseenacondemnationofcapitalismanditsextremeeffects,anincreaseinstateintervention,andtalkofthedesirabilityofeitherincre
7、asingordecreasingtaxrates.Inmyview,theattacksoncapitalismaremisdirected.Simplyput,capitalismisthefree-domofindividualstodeploytheirassetsastheyseefittobuyandsellgoodsandservicesatpricesthatbothpartiestothetransactionbelieverepresentreasonablevalue.Idontseehow∗ReprintedfromtheFinancia
8、lAnalystsJournal(Ja
