Empirical evidence on the reaction speeds of housing prices and sales to demand shocks

This article studies the co-movement and dynamics between price movements and transactions in the housing market using data for the period 1988–2008 from Finland. While the previous related literature examines the reactions of sales and prices to an interest rate shock only, this study investigates the responses to income and debt shocks as well. The empirical estimations show that the response of prices to demand shocks is substantially slower than that of sales. The estimated reactions of sales substantially differ from those reported in the earlier literature. The reaction patterns can create the kind of strong positive co-movement between price movements and sales volume and the kind of negative correlation between price level and sales that have been found in several housing markets.     

通过供求机制影响房价的因素研究

经济学中,需求和供给的许多影响因素都是密切相关,互相作用的。房地产市场的供给和需求共同决定了房价,这表明了影响需求和供给的因素也都是间接的通过供需影响房价。本文研究了几种主要的通过供求机制影响房价的因素,分析了其影响机制和影响程度。     

Book Reviews

Grint, Keith (Ed.). Leadership: Classical, Contemporary and Critical Approaches Oxford: Oxford University Press, 1997 (Terry Austrin).
Thomas, Howard, O'Neal, Don and Ghertman, Michel (Eds). Strategy, Structure and Style . Chichester: John Wiley, 1997 (Paula Jarzabkowski).
Crawshaw, Robert (Ed.). The European Business Environment: France . UK: International Thomson Publishing, 1997 (Vivienne Shaw).
Júnsson, Sten (Ed.). Accounting for Improvement . UK: Pergamon, 1997 (Hilary Bates).
Archibugi, Daniele and Michie, Jonathan (Eds). Technology, Globalisation and Economic Performance . Cambridge: Cambridge University Press, 1997, pp. 303, hb, ISBN 0-521-55392-X, pb, ISBN 0-521-55642-2 (Ram Mudambi).
Reeves, Nigel and Kelly-Holmes, Helen (Eds). The European Business Environment: Germany . UK: International Thomson Publishing, 1997 (Vivienne Shaw).
Bogel, G., Edwards, V. and Wax, M. (Eds). Hungary Since Communism: The Transformation of Business . UK: Macmillan, 1997 (Rumy Husan).     

需求价格弹性和销售收入关系的数学探析

文章认为,许多经济学教材中关于需求价格弹性对销售收入影响的结论存在明显缺陷,通过严格的数学分析,无论如何都不能得出需求价格弹性大于1时,降价会使销售收入增加这样的结论。正确的结论应该是:对同一条需求曲线,对应不同的点有不同的弹性,中点的价格弹性为1,是销售收入最大点,销售收入的变化由销售点在需求曲线上的位置及移动方向共同决定。     

Game theoretical foundations of evolutionary stability by Bomze,I. M. and Pötscher,B. M., Springer-Verlag,New York, 1988

The theory of evolution and dynamical systems by Hofbauer, J. and Sigmund, K., Cambridge University Press, Cambridge, 1988.     

Books Reviews

Legge, Karen. Human Resource Management. Rhetorics and Realities . Macmillan Press, 1995, pp. xviii + 385 (Keith Sisson).
Joss, Richard and Kogan, Maurice. Advancing Quality: Total Quality Management in the National Health Service . Buckingham: Open University Press, 1995, pp. 215 (Alan Tuckman).
Von Krogh, G. and Roos, J. Organizational Epistemology . New York: St Martin's Press, 1995, pp. 214, ISBN 0-312-12498-8 (pb) (Robert Chai).
Caves, Richard E. Multinational Enterprise and Economic Analysis (2nd Edition). Cambridge: Cambridge Surveys of Economic Literature, 1996, pp. 322, £14.95 (pb), ISBN 0 521 47858 8 (Peter Buckley).
Prais, S. J. Productivity, Education and Training. An International Perspective . The National Institute of Economic and Social Research, Cambridge University Press, 1995, pp. xiv + 138 (Sonia C. Carey).
Scarbrough, Harry (Ed.). The Management of Expertise . London: Macmillan, 1996, £14.99 (pb), 0-333-56870-2 (Andrew Sturdy).
Undy, R., Fosh, P., Morris, H., Smith, P. and Martin, R. Managing the Unions: The Impact of Legislation on Trade Unions' Behaviour . Oxford: Oxford University Press, 1996, pp. xvii + 318, £35 (hb) (John Kelly).
Wahl, Anna. Men's Perceptions of Women in Management . Fritzes: Stockholm, 1995, ISBN 38-30722-7 (Sandra Fielden).     

The regulatory tax and house price appreciation in Florida

Much attention was given to the soaring price of housing that took place in different parts of the country in the 1990s and the first half of the current decade. Traditional explanations for the increase include rising land values and costs of construction, but a strand of literature, popularized by Glaeser et al. [Glaeser, Edward L., Gyourko, Joseph, Saks, Raven, 2005a. Why have housing prices gone up? National Bureau of Economic Research Working Paper #11129; Glaeser, Edward L., Gyourko, Joseph, Saks, Raven, 2005b. Why is manhattan so expensive? Regulation and the rise in housing prices. The Journal of Law and Economics 48(2)], has looked at the role of land use regulations and posits that complying with them imposes a regulatory tax on housing consumers. In this paper, we apply and extend Glaeser and Gyourko’s methodology in order to estimate the regulatory tax on an individual house level in a set of Florida metropolitan areas. Our novel data address some of the quality measurement concerns raised about the Glaeser and Gyourko methodology and allow us to look at the evolution of the regulatory tax over a 10-year period. We find that the tax is an important component of sales price and that as a percentage of sales price has increased in a majority of Florida’s MSAs. In addition, we decompose the overall house price increase into land, materials and regulatory components and find that increasing stringency in the regulatory environment within Florida represents a substantial portion of the run-up in house prices in most metropolitan areas.     

The Valuation of Real Capital: A Random Walk down Kungsgatan

This paper analyzes the temporal pattern of prices for single-family housing. We estimate models of house price dynamics using a repeat sales framework, and we use the results to test for a random walk in asset prices. For eight large samples of housing transactions, representing essentially all house sales in Sweden during a 12-year period, we reject the hypothesis that house prices follow a random walk in favor of a model of first-order serial correlation.     

Equilibria without the survival assumption

It is well known that an equilibrium in the Arrow–Debreu model may fail to exist if a very restrictive condition called the survival assumption is not satisfied. We study two approaches that allow for the relaxation of this condition. Danilov and Sotskov [Danilov, V.I., Sotskov, A.I., 1990. A generalized economic equilibrium. Journal of Mathematical Economics 19, 341–356], and Florig [Florig, M., 2001. Hierarchic competitive equilibria. Journal of Mathematical Economics 35, 515–546] developed a concept of a generalized equilibrium based on a notion of hierarchic prices. Marakulin [Marakulin, V., 1988. An equilibrium with nonstandard prices and its properties in mathematical models of economy. Discussion Paper No. 18. Institute of Mathematics, Siberian Branch of the USSR Academy of Sciences, Novosibirsk, 51 pp. (in Russian); Marakulin, V., 1990. Equilibrium with nonstandard prices in exchange economies. In: Quandt, R., Triska, D. (Eds.), Optimal Decisions in Market and Planned Economies. Westview Press, London, pp. 268–282] proposed a concept of an equilibrium with non-standard prices. In this paper, we establish the equivalence between non-standard and hierarchic equilibria. Furthermore, we show that for any specified system of dividends the set of such equilibria is generically finite. As a consequence, we have generic finiteness of Mas-Colell’s equilibria with slack, uniform dividend equilibria, and other special cases of our concept.     

List price and sales prices of residential properties during booms and busts

This paper investigates the relationship between the list and sale price of residential properties over the housing cycle. In down or normal markets the list price generally exceeds the sales price; however, when the housing market is strong, homes sell for more than their list price. This observation is not consistent with the assumptions made in the standard model of home sellers’ search behavior. We consider alternative models. In one, sellers set list prices based on their expectations of future changes in sales prices and the arrival rate of buyers; however, demand shocks occur. This model partially explains our data from the Belfast, U.K. housing market, but it fails to predict the list to sales price ratio during a sustained housing boom. We next describe a model where sellers’ endogenously select their search mechanism depending on the strength of the housing market. We find support for the conjecture that sellers switch to an auction-like model during housing booms. There also is evidence that during a downturn in the market, sellers’ list prices are sticky.     

A prediction comparison of housing sales prices by parametric versus semi-parametric regressions

This study estimates a hedonic price function using a semi-parametric regression and compares the price prediction performance with conventional parametric models. This study utilizes a large data set representing 2595 single-family residential home sales between July 2000 and June 2002 from Pitt County, North Carolina. Data from Geographic Information Systems (GIS) are incorporated to account for locational attributes of the houses. The results show that the semi-parametric regression outperforms the parametric counterparts in both in-sample and out-of-sample price predictions, indicating that the semi-parametric model can be useful for measurement and prediction of housing sales prices.     

Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents

This paper investigates the impact of leverage and short-selling constraints on financial market stability. Investors׳ demand is modelled in a well-known asset pricing model with heterogeneous beliefs. In particular, I generalise the heterogeneous agents model of Brock and Hommes (1998) and Anufriev and Tuinstra (2013) to allow for leverage constraints as well as a short-selling tax. I consider two examples of adaptive belief systems describing the coevolution of prices and investors׳ beliefs. First, if the market is inhabited by fundamentalist and chartist traders, demand constraints have potential adverse effects and may restrict the stabilising fundamentalist strategy such that mispricing and price volatility increase. Second, if the market is inhabited by fundamentalists, optimists and pessimists with fixed beliefs, demand constraints drive down price volatility, but mispricing remains. The results suggest the stabilising effects of demand constraints in financial markets are limited. Only if asset prices are too high compared to fundamentals, policy makers should consider constraining leverage ratios in order to deflate financial bubbles.     

Output-inflation cycles in an economy with staggered wage setting

The question whether increased price flexibility is stabilizing in macromodels of the business cycle has been recently questioned by De Long and Summers (1986). The present paper is an attempt to reconsider the question by applying some methods from the theory of nonlinear dynamics, especially bifurcation theory, to the analysis of a dynamic model with sluggish price adjustment. It is argued that, when inflation plays a destabilizing role through the Mundell effect, a stable closed orbit representing the perfect-foresight dynamics of the output-inflation pair may appear in the vicinity of a stationary state. Moreover, bifurcation theory is applied to find analytical results about the relation between the amplitude of the cycles and the ‘degree’ of flexibility of prices. This relation is shown to be positive in a variety of cases.     

一类价格调整问题的数学模型及其求解方法

虽然市场需求是价格的函数，但企业在价格调整实践中往往不能直接获取需求函数的具体表达式，而只能在某一给定价格水平下观察到市场需求量的值。因此，企业通常不能直接利用需求函数来调整价格以完成预期的市场需求调整的战略计划。本文将企业为达到市场需求战略调整目的而考虑的价格调整问题归结为一个隐式互补问题。在该模型中，企业可以依据自身经营战略目标的调整相应地调整各类产品的市场价格，使得价格调整后的产品销量迭到预定的目标。文章给出了求解这类隐式互补问题的直接迭代法，并给出了数值结果。     

On intermediate utility functions

Intermediate utility functions have been recently introduced by Persson and Tabellini (2000, Political Economics: Explaining Economics Policy, MIT Press, Cambridge) and ensure the existence of a majority voting equilibrium at multi-dimensional voting. Here, we show that monotone transforms of these utility functions also are sufficient for the existence of a Condorcet winner.     

Equilibrium theory with a measure space of possibly satiated consumers

Walras equilibria may not exist when consumers’ preferences are possibly satiated. To overcome this difficulty, several extended notions of equilibria have been proposed and all reduce to Walras equilibria under nonsatiation and free disposal. This includes the notions of equilibria with slack (also called dividend equilibria) as by Drèze and Müller [J. Economic Theory 23 (1980) 131], Makarov [J. Mathematical Economics 8 (1981) 87], Aumann and Drèze [Econometrica 54 (1986) 1271], Mas-Colell [Equilibrium theory with possibly satiated preferences, in: Majumdar, M. (Ed.), Proceedings of the Essays in Honour of David Gale on Equilibrium and Dynamics, Macmillan, London, pp. 201–213], monetary equilibria as by Kajii [J. Mathematical Economics 25 (1996) 75], or weak equilibria as by Polemarchakis and Siconolfi [J. Mathematical Economics 22 (1993) 85], which are all defined when there are finitely many consumers. This includes also the notion of free disposal equilibrium, when markets clear in a weak sense, allowing free disposal. Our paper considers an economy with a measure space of consumers and provides a general existence result of equilibria for the various existing notions. This result extends in particular the result by Hildenbrand [Econometrica 38 (1970) 608] on the existence of Walras equilibria.     

Testing labour supply and hours constraints

This paper provides empirical evidence that, at a given wage, individuals cannot freely choose the number of hours they work. The novelty relative to the existing literature (e.g. [Altonji, J., Paxson, C., 1986. Job characteristics and hours of work. In: Ehrenberg, R. (Ed.), Research in Labor Economics, vol. 8. Westview Press, Greenwich, 1–55]) is twofold. We use the US data on prime age males from the National Longitudinal Survey of Youth and we account for endogenous switching between jobs. Our results are: (i) the variance of the change in hours worked is more than six times higher for movers than for stayers; (ii) the intertemporal labour supply elasticity is positive and significant for movers and zero for stayers. This is further evidence for the presence of hours constraints. One important implication is that estimates of the labour supply elasticity that ignore these constraints are biased.     

What is the role of the asking price for a house?

This paper considers the role of the asking price in housing transactions both theoretically and empirically. Significant fractions of housing transactions involve sales prices that are either below or above asking price, which might suggest that asking price has limited relevance. However, many housing transactions involve a sales price exactly equal to asking price (a fact that has previously drawn little notice), strongly suggesting that asking price does matter. The paper develops a model where asking price is neither a binding commitment nor a ceiling, yet still directs buyer search and impacts sales price. Using novel survey data, the paper provides empirical evidence consistent with asking price playing a directing role in buyer search. Consistent with theory, this effect is stronger for more atypical houses and in bust markets.     

Productivity measurement for a distribution firm

The paper derives a consistent accounting framework for the treatment of inventories when measuring the productivity of a distribution firm. The average purchase price of an inventory item during an accounting period must be distinguished from its average selling price and these two average prices should be distinguished from the corresponding balance sheet prices. The accounting framework is implemented for a distribution firm which sold 76,000 separate items. The firm achieved a 9.6 percent per quarter total factor productivity growth rate over 6 quarters.The first author is a Professor of Economics at the University of British Columbia and a research associate of the NBER. He thanks the SSHRC of Canada for research support. The second author is a recent graduate of the University of British Columbia.     

Identifying and Estimating the Distributions of Ex Post and Ex Ante Returns to Schooling

This paper surveys a recent body of research by Carneiro, Hansen, and Heckman [Carneiro, P., K. Hansen, and J.J. Heckman, 2001, Fall. Removing the veil of ignorance in assessing the distributional impacts of social policies. Swedish Economic Policy Review 8 (2), 273–301., Carneiro, P., K. Hansen, and J.J. Heckman, 2003, May. Estimating distributions of treatment effects with an application to the returns to schooling and measurement of the effects of uncertainty on college choice. International Economic Review 44 (2), 361–422. 2001 Lawrence R. Klein Lecture], Cunha and Heckman [Cunha, F. and J.J. Heckman, 2006. The evolution of earnings risk in the US economy. Presented at the 9th World Congress of the Econometric Society, London], Cunha, Heckman, and Navarro [Cunha, F., J.J. Heckman, and S. Navarro, 2004, March. Separating heterogeneity from uncertainty in an aiyagari–laitner economy. Presented at the Goldwater Conference on Labor Markets, Arizona., Cunha, F., J.J. Heckman, and S. Navarro, 2005, April. Separating uncertainty from heterogeneity in life cycle earnings, The 2004 Hicks Lecture. Oxford Economic Papers 57 (2), 191–261., Cunha, F., J.J. Heckman, and S. Navarro, 2006. Counterfactual analysis of inequality and social mobility. In S.L. Morgan, D.B. Grusky, and G.S. Fields (Eds.), Mobility and Inequality: Frontiers of Research in Sociology and Economics, Chapter 4, pp. 290–348. Stanford, CA: Stanford University Press], Heckman and Navarro [Heckman, J.J. and S. Navarro, 2007, February. Dynamic discrete choice and dynamic treatment effects. Journal of Econometrics 136 (2), 341–396] and Navarro [Navarro, S., 2005. Understanding Schooling: Using Observed Choices to Infer Agent's Information in a Dynamic Model of Schooling Choice When Consumption Allocation is Subject to Borrowing Constraints. Ph.D. Dissertation, University of Chicago, Chicago, IL] that identifies and estimates the ex post distribution of returns to schooling and determines ex ante distributions of returns on which agents base their schooling choices. We discuss methods and evidence, and state a fundamental identification problem concerning the separation of preferences, market structures and agent information sets. For a variety of market structures and preference specifications, we estimate that over 50% of the ex post variance in returns to college are forecastable at the time agents make their schooling choices.