Macroeconomic determinants of international housing markets

This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency we apply a panel cointegration analysis consisting of 15 countries over a period of 30 years. Pooling the observations allows us to overcome the data restrictions which researchers face when testing long-term relationships among single real estate time series. This study does not only confirm results from previous studies, but also allows for a comparison of single country estimations in an integrated equilibrium framework. The empirical results indicate house prices to increase in the long-run by 0.6% in response to a 1% increase in economic activity while construction costs and the long-term interest rate show average long-term effects of approximately 0.6% and ?0.3%, respectively. Contrary to current literature our estimates suggest only about 16% adjustment per year. Thus the time to full recovery may be much slower than previously stated, so that deviations from the long-term equilibrium result in a dynamic adjustment process that may take up to 14 years.     

Transnational Terrorism 1968-2000: Thresholds,Persistence, and Forecasts

This article applies a threshold autoregression (TAR) model to a casualties time series to show that the autoregressive nature of such events depends on the level of terrorism at the time of a shock. Following a shock, persistence of heightened attacks characterizes low-terrorism regimes, but not high-terrorism regimes. Similar findings are associated with incidents with deaths, bombings with deaths, and hostage-taking. In contrast, the assassinations series indicates some persistence even in the high-terrorism state, whereas the threats/hoaxes series displays persistence in only the high-terrorism state. For all series studied, the TAR model outperforms a standard autoregressive representation. A forecasting method is engineered based on the TAR estimates and nicely tracks resource-using events.     

Random disturbances and the choice of exchange regimes in an intergenerational model

An overlapping generational model is used to derive the consumption demand for individuals of each generation under expected utility-maximizing behavior: these demand functions are used to derive macroeconomic equilibrium under fixed and flexible exchange rates. The standard aggregate results concerning the insulating role of flexible rates for real external disturbances and fixed rates for internal disturbances are shown. However, the variability of an individual's utility need not be the same as the variability of aggregate variables. It is shown that the form of the utility function and the sources of disturbances are crucial in determining which exchange regime is preferable.     

Endogenous fertility,Ricardian equivalence,and debt management policy

This paper develops a model in which dynastic families optimally determine fertility. Government debt represents a tax on future generations and on childbearing; the Ricardian Equivalence Hypothesis does not hold. Debt is welfare reducing in that it distorts the fertility decision. An increase in government debt induces a decline in fertility and an increase in the steady state capital/labor ratio. If a government inherits an existing stock of debt, the 1st-best policy is to eliminate the debt immediately. In other situations the optimal debt management policy will not, in general, entail a total elimination of the debt.     

Banking business models and risk: Findings from the ECB's comprehensive assessment

We use the results of the ECB's comprehensive assessment to evaluate the importance of the bank business model on risk assessment and the persuasive effectiveness of different supervisory styles on banks’ recapitalization. Our analysis reveals inconsistencies in the information content provided by the various regulatory measures used for assessing bank stability. Moreover, opposite to CET1 ratio, the leverage ratio provides assessments on business models more consistent with a market-based measure of bank risk exposure and Z-SCORE. Accounting for several control variables both at the bank and country level, we also find evidence that the effectiveness of the supervisory action depends on the specific type of supervisory model. In particular, countries adopting the hybrid model seem more effective in persuading banks to recapitalize preventively. Differently, countries adopting the integrated and the sectorial model seem less effective in their requests.     

European Universities as Complete Organizations? Understanding Identity,Hierarchy and Rationality in Public Organizations

Abstract

This article investigates the form of European universities to determine the extent to which they resemble the characteristics of complete organizations and whether the forms are associated with modernization policy pressure, national institutional frames and organizational characteristics. An original data set of twenty-six universities from eight countries was used. Specialist universities have a stronger identity, whereas the level of hierarchy and rationality is clearly associated with the intensity of modernization policies. At the same time, evidence suggests limitations for universities to become complete, as mechanisms allowing the development of some dimensions seemingly constrain the capability to develop others.     

Global banking and international business cycles

This paper incorporates a global bank into a two-country business cycle model. The bank collects deposits from households and makes loans to entrepreneurs, in both countries. It has to finance a fraction of loans using equity. We investigate how such a bank capital requirement affects the international transmission of productivity and loan default shocks. Three findings emerge. First, the bank's capital requirement has little effect on the international transmission of productivity shocks. Second, the contribution of loan default shocks to business cycle fluctuations is negligible under normal economic conditions. Third, an exceptionally large loan loss originating in one country induces a sizeable and simultaneous decline in economic activity in both countries. This is particularly noteworthy, as the 2007–09 global financial crisis was characterized by large credit losses in the US and a simultaneous sharp output reduction in the US and the Euro Area. Our results thus suggest that global banks may have played an important role in the international transmission of the crisis.     

How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive robust restrictions on the sign of several impulse responses from a two-country general equilibrium model. We find that both the real exchange rate and the terms of trade—whose responses are left unrestricted—depreciate in response to expansionary government spending shocks and appreciate in response to positive technology shocks.     

The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity

In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state‐dependent sensitivity value‐at‐risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.