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1.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
2.
Sophocles N. Brissimis Thomas Vlassopoulos 《The Journal of Real Estate Finance and Economics》2009,39(2):146-164
Although the close empirical relationship between the evolution of mortgage lending and housing prices is well established
in the literature, the direction of causation is less clear from a theoretical standpoint. We apply multivariate cointegration
techniques in order to address this issue empirically for the Greek economy. Our results, based on a cointegration relationship
that we identify as a mortgage loan demand equation, indicate that housing prices do not adjust to disequilibria in the market
for housing loans. This suggests that in the long run the causation does not run from mortgage lending to housing prices.
In the short run we find evidence of a contemporaneous bi-directional dependence.
相似文献
Thomas VlassopoulosEmail: |
3.
Existing literature on housing prices is predominantly in a linear framework, and an important question that has not been
addressed is whether housing prices exhibit nonlinearity. We examine Smooth Transition Autoregressive (STAR) model based nonlinear
properties of housing prices over the 1969–2004 period for the entire US and the four regions. Our main findings are (1) housing
price for the entire US and all regions except for the Midwest show non-linearity, (2) the dynamic properties implied by the
nonlinear estimation explain the typical patterns that have characterized each housing market, and (3) results of Granger
causality tests look more plausible in the nonlinear framework where we find stronger evidence of Granger causality from housing
price to employment and also from mortgage rates to housing price.
相似文献
Radha Bhattacharya (Corresponding author)Email: |
4.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
5.
Asset Price Spillover,Collateral and Crises: with an Application to Property Market Policy 总被引:1,自引:0,他引:1
Nan-Kuang Chen Charles Ka Yui Leung 《The Journal of Real Estate Finance and Economics》2008,37(4):351-385
This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained
entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis
occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation
tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock
on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation.
相似文献
Charles Ka Yui LeungEmail: |
6.
There is a seeming paradox regarding the “affordable housing goals”: GSE activities in targeted communities have increased
under the goals but there has been little measurable improvement in housing market conditions in these communities. This paper
seeks to reconcile this paradox by focusing on linkage between GSE purchases and FHA activities. We present a simple theoretical
framework suggesting that GSE activities can have a feedback effect on FHA. More aggressive GSE pursuit of targeted borrowers
under the affordable housing goals induces potential FHA borrowers with best credit quality to use the conventional market.
Changes to the housing market will depend on the FHA response to the loss of its best credits, with many different possible
outcomes for credit supply and homeownership, including scenarios in which they remain effectively unchanged. While market-level
benefits might not be forthcoming, the shift from FHA to less costly conventional loans is clearly beneficial for affected
borrowers. Two-stage least squares estimates of the relationship between GSE and FHA lending after the affordable housing
goals were made more binding are found to be consistent with the theoretical predictions.
相似文献
Raphael W. BosticEmail: |
7.
Martin Hoesli Colin Lizieri Bryan MacGregor 《The Journal of Real Estate Finance and Economics》2008,36(2):183-206
Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing
to offer a perverse hedge. This has been attributed to the impact of real and monetary shocks to the economy, which influence
both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results
have been mixed. This paper explores the relationship between commercial real estate returns and economic, fiscal and monetary
factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalization stock returns
is carried out with inflation divided into expected and unexpected components. The analyses are undertaken using an error
correction approach. In the long run, once real and monetary variables are included, asset returns are positively linked to
anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real
estate returns, particularly private market returns, exhibit characteristics that differ from those of stocks.
相似文献
Bryan MacGregorEmail: |
8.
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 总被引:1,自引:1,他引:0
Allan A. Zebedee Eric Bentzen Peter R. Hansen Asger Lunde 《Financial Markets and Portfolio Management》2008,22(1):3-20
We examine the impact of monetary policy on the S&P 500 using intraday data. The analysis shows an economically and statistically
significant relationship between S&P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude
of the response is dependent on whether the change was expected or unexpected. An expected change in the Fed funds target
rate has no impact on prices in the broad equity market; however, an unexpected change of 25 basis points in the Fed funds
target rate results in an approximate 48 basis points decline in the broad equity market’s return. The speed of these market
reactions is rapid with the equity market reaching a new equilibrium within 15 minutes.
相似文献
Allan A. ZebedeeEmail: |
9.
Home Equity,Household Savings and Consumption 总被引:1,自引:0,他引:1
The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities
and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases
even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always
positive and can be positively correlated with housing debt.
相似文献
P. ChinloyEmail: |
10.
Jianzhou Zhu Manfen W. Chen Wanli Li 《Review of Quantitative Finance and Accounting》2009,33(2):177-192
This study presents evidence that, since the early 1990s, the prime rate has become more responsive to changes in money market
conditions. More important, the evidence indicates that the responsiveness of the prime rate is independent of the direction
in the movement of market interest rates, but is related to uncertainty regarding the direction in the movement of market
interest rates. These findings are inconsistent with the literature suggesting that adjustment of the prime rate is asymmetric
in the sense that it follows market interest rates more closely in upward movement than in downward movement.
相似文献
Wanli LiEmail: |
11.
In a survey of banks founded from 1994–2002, we find over 85% of respondents think their small-business market was underserved,
72% felt the market needed more competition, almost half indicated they were likely to start a bank because takeover activity
displaced them, and 75% entered due to a market merger. Markets of banks started by displaced managers or following a merger
have performance and lending characteristics similar to comparable banks, but larger changes in asset growth rates. Managers
who responded that small-businesses were underserved have higher numbers and amounts of small-business loans 3 years after
entry. Managers responding that entry was due to mergers eliminating community banks have lower ROA, but larger changes in
market ROA. Markets had smaller changes in ROA when entry was to provide competition or when managers thought the small business
market was underserved.
相似文献
James W. WansleyEmail: |
12.
Kim Hiang Liow Kim Hin David Ho Muhammad Faishal Ibrahim Ziwei Chen 《The Journal of Real Estate Finance and Economics》2009,39(2):202-223
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns
from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate
dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations
between all real estate securities market returns than those between the stock market returns themselves. Some significant
variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive
connection between real estate securities market correlations and their conditional volatilities. We also find the international
correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic
motivations regarding the potential integration of international real estate securities markets and the possibility of including
information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
相似文献
Kim Hiang LiowEmail: |
13.
Louis T. W. Cheng Hung-Gay Fung Tak Yan Leung 《Review of Quantitative Finance and Accounting》2007,28(1):23-54
The literature has suggested that earnings and earnings forecasts provide stronger signals than dividends about future performance
of a firm. We test the information effects of simultaneous announcement of earnings and dividends in the Hong Kong market,
distinguished by three interesting features (concentrated family-shareholdings, low corporate transparency, and no tax on
dividends). Our results show significant share price reactions to unexpected earnings and dividend changes, but dividends
appear to play a dominant role over earnings in pricing, a result contrary to findings in the literature. The signaling hypothesis
works primarily for firms with earning increases, while the maturity hypothesis works mainly for firms with earnings declines.
相似文献
Tak Yan LeungEmail: |
14.
Elizabeth Webb 《Journal of Financial Services Research》2008,33(1):5-20
This study analyzes the effects of monitoring intensity on compensation and turnover for CEOs of publicly-traded banks. Using
a sample of banks from 1992 to 2004, I find that monitoring intensity plays a significant role in compensation levels, pay-for-performance
sensitivity, and CEO turnover. The results show that CEOs from highly-rated institutions receive smaller pay than CEOs from
competing institutions, and that monitoring intensity, as proxied by CEO age, influences the relationship between market performance
and executive incentives. These findings suggest that regulatory ratings and CEO age impact optimal bank governance structure
by varying incentive sensitivity to market performance.
相似文献
Elizabeth WebbEmail: |
15.
Patricia Fraser Martin Hoesli Lynn McAlevey 《The Journal of Real Estate Finance and Economics》2008,37(1):71-91
This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970–2005.
Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s
and 1980s and from 2000 to date. We model the bubble component that is related to fundamentals (the intrinsic component),
making it possible to highlight whether a bubble still exists after that component is accounted for. We then analyze any remaining
bubble to detect any momentum behavior. Much of the overvaluation of the housing market is found to be due to price dynamics
rather than an overreaction to fundamentals.
相似文献
Lynn McAleveyEmail: |
16.
Terrence F. Martell Gwendolyn P. Webb 《Review of Quantitative Finance and Accounting》2008,30(3):253-279
An unusually high number of Nasdaq National Market stocks were reverse split following the decline in Nasdaq prices in the
year 2000. We test whether these splits were driven by the overall market decline. We find that the performance of stocks
with reverse splits in poor overall stock market conditions is better (less negative) than that in good market conditions,
and that the differences in performance appear three to five months after the split. This suggests that the longer-term outcomes
of reverse stock splits are associated with the market environment at the time of the split. In view of this, changes that
Nasdaq made to relax some of its listing standards are well justified.
相似文献
Gwendolyn P. WebbEmail: |
17.
Durables like cars or houses are a substantial component in the balance sheets of households. These durables are exposed to
risk and can be insured in the market. We build a dynamic model in which agents have three possibilities to cope with the
risk exposure of the durable stock: (i) purchase of market insurance, (ii) buffer-stock saving of the riskless asset or (iii)
adjustment of the durable stock. We calibrate our model to the US economy and find a small role for market insurance.
相似文献
Winfried Koeniger (Corresponding author)Email: |
18.
Velma Zahirovic-Herbert Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(2):113-130
This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization
estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment
for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity,
are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market
conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with
search-market theory in that liquidity absorbs part of the capitalization of school quality.
相似文献
Velma Zahirovic-HerbertEmail: |
19.
Zhenguo Lin Eric Rosenblatt Vincent W. Yao 《The Journal of Real Estate Finance and Economics》2009,38(4):387-407
Previous studies have shown that foreclosure often results in vandalism, disinvestment and other negative spillover effects
in the neighborhood. This paper extends these views into a formal theoretical model through pricing based on comparables.
We project that the spillover effect of a foreclosure on neighborhood property values depends on two factors: the discount
of foreclosure sale and the weight placed on the foreclosed property as a comparable in the valuation. The former is related
to housing cycle and the latter varies by time of foreclosure and its distance from the subject property. Empirical results
based on a 2006 sample show that this effect is significant within a radius of 0.9 km (roughly 10 blocks) and within 5 years
from its liquidation. The most severe impact is an 8.7% discount on neighborhood property values, which gradually drops to
anywhere between −1.2 to −1.7% for foreclosures liquidated within the past 5 years. These spillover effects vary slightly
when the sample selection bias is taken into account. Based on an alternative sample of purchase transactions in 2003, the
estimated spillover effects in booming years are reduced by half, confirming on the important role played by housing cycles.
相似文献
Vincent W. YaoEmail: |
20.
It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’
large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable
benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced
by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for
over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision
quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of
the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options
markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.
相似文献
John M. QuigleyEmail: |