Housing cycles and efficiency

This paper has four objectives. First, a small model of the UK housing market is constructed, including equations for house prices, housing starts, construction costs and interest rates. The model is used in an analysis of housing market cycles, employing techniques developed for the analysis of general business cycles. Second, the model is used to consider housing market efficiency. Third, the model is extended to examine the relationship between house prices and property transactions. Finally, the role of monetary policy in the generation of housing cycles and stability is discussed.     

Does the P* Model Provide Any Rationale for Monetary Targeting?

The so-called P * model is frequently used or referred to in discussions of monetary targeting. This gives the impression that the P * model might provide some rationale for monetary targeting or for the monetary reference value used by the Eurosystem. The P * model implies that inflation is determined by the level of and changes in the `real money gap' (the deviation of current real balances from their long-run equilibrium level), and hence that the real money gap is an important indicator for future inflation. Nevertheless, the P * model does not seem to provide any rationale for either a Bundesbank-style money-growth target or a Eurosystem-style money-growth indicator.     

我国基于总收益形式与超额收益形式估计的证券贝塔比较分析

经过简化的基于总收益形式的指数模型被经常用来估计证券贝塔,但这个模型没有理论依据。由于我国无风险利率的方差与市场收益的方差变动比较起来非常小,短期无风险利率的实际变动对贝塔估计值影响很小,因此,从“预测”的角度看,用总收益形式的单指数模型估计贝塔值可以完全替代具有理论基础的超额收益形式的单指数模型估计的贝塔。     

The UK demand for steel

The paper suggests a short-run model of the demand for steel that may be used for forecasting future trends. The paper commences with consideration of a long-run model which is estimated using cointegration analysis. An error correction model is then developed to depict the short-run movements to equilibrium. This can be used for the purpose of ex-post forecasting.     

An input-output approach to forecasting gross domestic output and employment intensities by sectors

The purpose of this paper is to integrate two commonly known input-output models of Leontief and Stone for employment analysis. Although assumptions of Leontief model are somewhat different from Stone's model, the empirical analysis can be conducted ignoring the difference between competitive and noncompetitive imports in the initial stage. The Leontief model is used to make predictions of gross domestic output on the basis of predicted imports and final demand by sectors. The predicted output is used to derive employment by sectors for a target year and this in turn is used in Stone's input-output framework for the analysis of total labour intensity by sectors. The approach on the estimates of labour intensity by sectors is illustrated using Japan's input-output data.     

Dynamic conditional score models: a review of their applications

ABSTRACT

In this paper, applications of dynamic conditional score (DCS) models are reviewed and those models are discussed in relation to classical time series models from the literature. DCS models are robust to outliers, which improves their statistical performance compared to classical models. Three applications are presented in order to compare the statistical performances of DCS and classical models in three very different contexts: (i) The QAR (quasi-autoregressive) plus Beta-t-EGARCH (exponential autoregressive conditional heteroscedasticity) model is presented, which is a score-driven expected return plus volatility model. This model is used for daily returns on the DAX (Deutscher Aktienindex) equity index for the period of January 1988 to December 2017. (ii) The score-driven local level and seasonality plus Beta-t-EGARCH model is presented, which is used for daily AFN/USD (Afghan Afghani/United States Dollar) currency exchange rates for the period of March 2007 to July 2017. (iii) The Seasonal-t-QVAR (quasi-vector autoregressive) model is presented, which is a score-driven multivariate dynamic model of location. For this model, monthly US inflation rate and US unemployment rate are used for the period of January 1948 to December 2017. For all applications, the statistical performance of each DCS model is superior to that of a corresponding classical alternative.     

Assessing the value of museums with a combined discrete choice/count data model

This article assesses the value of Dutch museums using information about destination choice as well as about the number of trips undertaken by an actor. Destination choice is analysed by means of a mixed logit model, and a count data model is used to explain trip generation. We use a utility-consistent framework in which the discrete choice model for destination choice is linked to an indirect utility function. The results are used to compute the compensating variation of particular museums and of the total group of museums in the sample.     

Recovering Hicksian Consumer Surplus within a Collective Model: Hausman's Method for the Household

The purpose of this paper is to describe the implications of the collective model of household behavior for the methods used to estimate the economic value of non-marketed environmental resources. After demonstrating how the separability restrictions inherent in the collective model allow individual preference and household income allocation choices to be distinguished, the paper demonstrates how the framework can be used to recover Hicksian consumer surplus. An algebraic example is used to illustrate how the framework can be used in valuing environmental resources.     

An Inter-temporal General Equilibrium Econometric Model for a Small Open Economy with Application to Australia

An inter-temporal general equilibrium econometric model is developed for the Australian economy and used to simulate a trade policy. The model treats the prices of non-traded goods as endogenous and takes account of the inter-temporal optimality conditions implicit in the determination of saving, capital formation and the price of new investment. Utilising quarterly Australian data, the model is estimated by the method of full information maximum likelihood. Estimates of supply and demand elasticities are presented and discussed. Finally, the model is used to simulate the effects upon the economy over time of anticipated and unanticipated changes in the tariff rate.     

Joint estimation of contingent valuation survey responses

Hanemann's utility difference model for the dichotomous choice contingent valuation method is modified to account for interrelationships between responses to a set of contingent valuation questions. A nonlinear seemingly unrelated regression model is presented to jointly estimate the probit models and to derive WTP from the CV responses. The model is used to test and impose restrictions derived from economic theory on the utility difference model. Mean WTP estimates for three different types of changes in the quality of California deer hunting were uniformly lower for the joint response probit model compared to a set of independent probit models.     

Forecasting the S&P 500 index volatility

This study introduces a new pre-differencing transformation for the AR1MA model for forecasting S&P 500 index volatility. The out of sample forecasting performance of the ARIMA model using the new pre-differencing transformation is compared with the out of sample forecasting performance of the mean reversion model and the GARCH model. The ARIMA model using the new pre-differencing transformation introduced in this study is found to be superior to both the mean reversion model and the GARCH model in forecasting monthly S&P 500 index volatility for the forecast comparison periods used in this study.     

Identification of a basket peg: the model specification controversy

A controversy has been triggered by the Chinese exchange rate regime shift from a single currency peg to an alleged basket peg. The controversy is about the specification of the model used to represent the basket as three models have been used: levels, log levels and first log differences. It is suggested that one way to confirm the validity or otherwise of a model is to use data on the special drawing rights exchange rate since the currency weights are known. The results show that the estimated weights are almost identical no matter which model and which numeraire is used. However, nonnested model selection criteria show that the best model is that written in levels, simply because this is what is used in practice by central banks adopting basket pegs.     

Taste Variation in Discrete Choice Models

This paper develops an extension of the classical multinomial logit model which approximates a class of models obtained when there is uncontrolled taste variation across agents and choices in addition to the stochastic noise inherent in the logit model. Unlike semiparametric and parametric alternatives, the extended logit model is easy to estimate even when there are many potential choices. Unlike parametric alternatives, it does not require the specification of a distribution of varying tastes. The extended logit model can give a quick indication of the impact of taste variation on estimates and it generates estimates of the covariances of the taste shifters. It can be used as an exploratory device en route to the construction of a model incorporating a particular form of random taste variation and it can be used to determine whether such effort is required at all. When the amount of taste variation is not excessive the approximate model can be adequate itself. The model nests the conventional logit model which leads to a misspecification diagnostic. A method for estimating the model using conventional logit model software is proposed, asymptotic properties of estimators are derived and an application is presented.     

Computing optimal tax equilibria

This paper proposes a technique for computing optimal taxes in a full general equilibrium model. It is based upon a fixed point algorithm of the type that is widely used to solve Walrasian general equilibrium models. Computing an optimal tax equilibrium is more difficult than solving a general equilibrium model only to the extent that the derivatives of the social welfare function and of the consumer demand functions must be calculated in the former case. Solutions to several sample problems are provided to demonstrate the technique. They suggest that optimal tax rates are exceedingly sensitive to the specification of the model used to derive them.     

A model of income,unemployment and inflation for the USA

A simple three equation macroeconomic model is developed to explain the dynamics of output, umemployment and inflation for the USA. The model is estimated, with the annual data, for 1946–1989. Insights gained through some recent developments are used to specify and estimate the model.     

Developing a model to evaluate the impacts of science,technology and innovation foresight on policy-making

Technology foresight as a policy intelligence tool can offer vital inputs for policy-making in various domains. The relationship between foresight and policy-making has been presented in the literature by the policy-related functions of foresight, but the literature reflects a theoretical gap with the systematic evaluation model for the impact of foresight on policy-making. This research seeks to bridge the existing gap and uses the mixed method for this purpose. The mixed method approach used in this paper is the sequential exploratory design. First, the conceptual model is developed in the qualitative part of this research by using meta-synthesis and constant comparative method (CCM) of analysis. Second, in the quantitative part, quantitative tests are used to evaluate the dimensions and components of the developed theoretical model. The data collection tool is a questionnaire. The results confirm the proposed dimensions of the evaluation model.     

THE POST-KEYNESIAN ‘DEMAND FOR CREDIT’ MODEL*

The post-Keynesian ‘demand for credit’ model is a well-cited piece of empirical evidence to support the contention that the money supply is endogenously rather than exogenously determined. In this paper, the model is critically examined and found to be problematic in several ways. Cointegration techniques are used to estimate a similar model using Australian data.     

A stochastic learning model of migration

It is observed in this paper that although the Harris-Todaro theory is intended to provide insight into rural-urban migration, their formal model describes a theory of equilibrium population densities, and although this can be used for comparative static analyses, it is not immediately applicable to the disequilibrium dynamic process whereby these densities change over time. A very simple stochastic (Markov) choice model found in the psychological adaptive learning literature is applied to the migration problem, and it is found that a dynamic equation similar to that used by Todaro can be obtained explicitly from this model. The possibility that migration rates might accelerate even in the presence of constant urban-rural wage differentials is derived.     

Plans,disequilibria and macroeconomic policy simulations

In the paper some specific problems of applying a disequilibrium model of a centrally planned economy for policy simulation experiments are analysed. It is shown that a model in which demand, supply and plan output variables are simultaneously introduced can be used for policy simulation in a more effective way than a model which describes either demand or supply side of an economy. In the empirical part of the paper a disequilibrium-type model of the Polish economy is used for simulating alternative internal and external economic policies for 1971–80. It has been found that internal deflationary policies would have been relatively efficient in minimizing consumption excess demand at a given level of consumption output in the period investigated.     

外债风险预警模型及中国金融安全状况评估

本文提出了一个用于预警一国外债风险的动态模型 ,即多元累计和模型。模型的用户 (债权人和债务国 )能很早地预测到可能导致债务国重订债务期限的金融危机。实证分析结果表明 ,模型具有提前 3年探测到债务国潜在的还债困难的能力。对中国经济金融安全状况的评估结果表明 ,模型可提前 1年发出预警信号。