Time series duo wins Nobel economics prize

Engle, born in 1942 in Syracuse in the state of New York, teaches at New York University and got the prize for improving methods of evaluating portfolio risk and asset pricing.

‘Investors and financial institutions need forward-looking evaluation — forecasts — of volatility during the next day, week or year. Robert Engle formulated a model which allows such evaluations,’ the Academy said.

Granger, born in 1934 in Wales, is an emeritus professor at the University of California. The Academy said his work was used in studying links between wealth and consumption, exchange rates and price levels, and short and long-term interest rates.

Professor John Sutton of the London School of Economics said Granger had been a pioneer in his field. “He did the key path-breaking work on how we can unravel the direction of causation when we ask questions like ‘Does an increase in money supply affect the level of inflation?’ or ‘Does the rise in the level of inflation lead to higher money supply?’” Sutton said.