October
8, 2003
Two UCSD Professors Awarded Nobel Prize in Economics
For
their pioneering work in statistical modeling of economic data, known
as econometrics, Clive W. J. Granger, 69, and Robert F. Engle, 60,
long-time collaborators in the Department of Economics at the University
of California, San Diego, have been awarded the Nobel Prize in Economics.
Both scholars are internationally renowned for their groundbreaking
work in the field of econometrics, which focuses on “time-series
econometrics” which is the analysis of data that accrues over
a period of time. Both have also spent the bulk of their academic
careers at UCSD, where they helped build the economics department
into one of the top departments in the world for econometrics. Both
Granger and Engle retired from UCSD in June 2003 although they both
remain active in the field. This fall Granger is a visiting scholar
at Canterbury University in New Zealand and Engle is at New York University.
“The seminal contributions of these two renowned economists
reflect the
ground-breaking work being done at UCSD in the social sciences,"
said Marsha A. Chandler, Acting Chancellor of UCSD. "This prize
adds to the eminent international reputations of these extraordinary
faculty and that of our Department of Economics.”
Granger and Engle become the 14th and 15th UCSD scholars to be awarded
the Nobel Prize.
An enormously influential
thinker in modern economics, Granger joined the faculty of
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Reaction
From Nobel Prize-Winning Economists Reached In New Zealand
and France
Professors Emeriti Clive Granger and Robert Engle were reached
by University colleagues at distant locations for reaction
to their naming, by the Royal Swedish Academy of Sciences,
as recipients of the Nobel Prize in Economics.
From
Christchurch, New Zealand, Granger said, "I was awakened
here in the middle of the night so I didn't get a great
night's sleep. I was mildly surprised because we knew that
this was under consideration for the last several years.
Of course, one is always surprised when it actually happens,
and, in any event, I am delighted and honored."
Reached in France, Engle said, "I'm totally overwhelmed
by the honor and very pleased to share it with Professor
Clive Granger, my long-time UCSD colleague. There are many
students over the years who have contributed to this research."
Engle
told of his learning of the award: "I'd just gotten
back from lunch and I got a call from the secretary of the
Nobel Committee. She said, 'Your life will not be the same
because of what we are about to announce.' My wife and I
thought this was pretty amazing."
Regarding
his research work, Engle said, "The main thrust has always
been modeling volatility with quantitative tools to measure
and predict portfolio risk."
Asked
to provide an explanation of his research, Granger said, "Concerning
my work, I can say that economic data has special properties
and it requires special techniques. I have developed techniques
that can be used by central banks and federal reserves forecasting and policy development. I'm always hoping to make
my research practical and useful. It starts out as theory
but then one aims to move toward the practical end of things."
Granger
added, "I was very pleased that the Nobel Committee recognized
the work also of my long-time colleague Rob Engle. He came
to the University of California in San Diego to work with
me in 1975 and we have collaborated ever since. Along with
another econometrician, Hal White, we helped build up our
Department to among the very top on the globe."
Offering
some history on collaboration in the Department of Economics,
Granger explained, "Rob Engle was at MIT and came to join
me at UCSD. We both worked on each other's projects but
we also had our separate ideas. He published papers jointly
with me on my ideas and I published with him, but most of
the work was individual with our own students. Rob works
mostly in the finance area and I more in macroeconomics.
We were not competitors, but were helpful colleagues."
Granger
said he would be New Zealand for another two months, then
would attend the Nobel ceremonies in December and then return
to his office at UCSD.
Engle
maintains an office in the Department of Economics as well,
even though he is now retired and occupies a faculty position
at New York University's Stern School of Business. Both
professors continue to advise graduate students at UCSD
and to maintain homes in the area.
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UCSD in 1974. He has
published widely in the areas of statistics and econometrics,
forecasting finance and demographics. For more than three decades,
he has been developing methods that help the understanding of
the properties of time series data. In the 1960s, he pioneered
spectral analysis, a technique for decomposing series into their
component parts. In the 1970s, building upon work in physics,
he developed the “Granger Test” for causality, a method
for identifying ‘what causes what’ when two series
move together. The test is now routinely used by applied economists.
In the 1980s, Granger pioneered cointegration, a methodology that
can help us understand the long run relationship between pairs
of economic variables, such as change in the money supply and
inflation.
Over his long and productive career, Granger has received numerous
awards and honors for his work, including being named distinguished
fellow by the American Economic Association in 2002 and corresponding
fellow by the British Academy for his “high international
standing” in the social sciences. Granger has authored ten
books on economics and has had over 200 papers selected, published
or submitted. He has published interviews in the International
Journal of Forecasting and Econometric Theory, and has been a
featured speaker at academic conferences throughout the world.
Granger studied at the University of Nottingham, graduating in
1955, and received his Ph.D. in 1959.
Engle, who joined the UCSD faculty in 1977, was chair of the Department
of Economics from 1990 to 1994 and actively engaged at UCSD for
more than 28 years. An expert in time series analysis with a long
interest in the analysis of financial markets, his research has
produced such innovative statistical methods as ARCH, cointegration,
band spectrum regression and most recently, common features. He
has published over 100 academic papers, and three books, on areas
including financial econometrics covers equities, interest rates,
exchange rates and options.
Engle
lectures widely to both academic and practitioner audiences. He
is a fellow of both the American Academy of Arts and Sciences
and the Econometric Society. Engle graduated from Williams College
in 1964 and received a Ph.D. in economics from Cornell University
in 1969 after completing a Masters degree in low temperature physics.
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Since its founding in 1959, UCSD has rapidly risen to its
status as one of the nation’s premier institutions for higher
education and attracts scholars seeking a fresh, next-generation
approach to education, research and service. The campus supports
close to 23,000 students and 21,000 employees, receives the sixth
highest amount of federal R&D funding in the nation -- $627
million last year. UCSD faculty and graduate programs are ranked
by the National Research Council as tenth best in the nation;
the campus also has one of the nation's highest percentages of
faculty elected to the prestigious national academies.
Media
contacts:
Barry Jagoda, (858) 534-8567
Dolores Davies, (858) 534-4594
Patti Quill, (858) 822-0661
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Clive
W.J. Granger
Granger on motorcycle
Robert Engle
