我国商品房市场量价关系的实证分析

目前对房地产市场的研究主要集中于房价,而对量价关系的研究较少。鉴于此,文章利用1998～2008年的全国商品房季度数据,对我国商品房市场量价关系进行实证研究,并得出以下结论：从长期来看,我国商品房市场的交易量与价格之间存在协整关系;因果检验显示交易量是价格的格兰杰原因,反之则不成立;通过脉冲响应函数发现外界冲击导致了量价的一致波动且交易量对外界冲击的响应比房价更敏感。     

国际油价冲击与中国的经济增长——基于非对称关系视角的分析

本文基于季度数据，引入非对称协整模型，考察国际油价与中国经济增长的动态关系，并鉴于油价波动对不发达经济体可能的冲击，还测度了油价的不确定性并探析其对经济增长的影响，结果表明：（1）从短期来看，国际油价变化是国内经济增长的单向Granger原因，“中国因素”对全球油价变化的影响尚不明显；（2）从长期来看，国际油价和经济增长具有非对称协整关系，油价上涨对经济的影响明显大于油价下跌所产生的效应；（3）国际石油市场存在正反馈交易行为，导致油价波动在油价上涨时表现更加明显。油价不确定性在短期内对经济增长存在负面影响，长期中则不会显著影响经济增长。以上结果意味着必须高度重视石油安全问题，加强油价波动预警与风险管理系统。     

国家管网公司成立对中国天然气产业链的影响——“中国石油学会石油经济专业委员会战略学组油气论坛”综述

成立国家管网公司为我国深化油气体制改革、推进天然气行业市场化改革创造了条件。"十四五"期间,政策层面应重点关注推进上游市场化改革,提高资源勘探开发力度,夯实资源基础,推动增储上产,为气气竞争创造条件;在管道运行机制改革的基础上,建立运行通畅的天然气产运销储贸协调运行机制;推进省级管网的市场化体制改革,大力发展气电,完善天然气定价机制,创新管容分配机制;加强政府行业监管力度,加大信息公开和管输成本监管。国家管网公司成立后,天然气产业的上中下游格局和进口格局会出现重大变化,并对产业运行带来众多影响与挑战。预计短期内对上游勘探开发的影响不大,但对进口环节的影响将立竿见影,需要重视"双向进入"带来的市场重构及其对产业运行秩序产生的重大挑战,以及充分考虑开放过程中存在的各类公平问题和国家管网公司协调各方利益的困难。随着改革的深入,未来天然气交易中心的价格发现功能将进一步增强,天然气定价模式亦将发生改变;管容交易市场存在与交易中心合并或者分立两种可能模式。     

市场化减排政策对我国钢铁行业的影响——基于偏均衡建模的分析

论文运用偏均衡建模的方法,分析了市场化减排政策对于我国钢铁行业竞争力的影响。论文采用基于减排技术组合的减排成本曲线,分析了不同的障碍情景下,引入市场化减排政策对于钢铁价格、进出口价格、进出口量、净出口、利润和排放等关键参数的影响。文章发现市场化减排政策尽管可以大幅度地降低CO2排放量,但是对钢铁行业的竞争力存在一定程度的负面影响,主要体现在净出口和利润的降低。而降低减排技术的采用障碍会弱化减排政策实施对钢铁行业的负面效果。此外,通过对两种边境调节措施的分析（出口补贴和进口品征税）发现,出口补贴政策对于行业净出口和利润的积极作用非常微弱,相较而言进口品征税政 策对于行业净出口和利润的提高作用更为明显,但同时二者均会轻微的削弱减排效果。     

Speculators and Price Overreaction in the Housing Market

This paper investigates the role of speculators in the housing market, specifically their contribution to price overreaction through positive feedback trading (or momentum trading). We exploit a unique data set of condominium transactions in a residential real estate market where transaction traits associated with short‐term speculation can be identified. In the cross‐section of housing projects, a 10‐percentage‐point increase in trading activity following a strong short‐run market price rise predicts a negative subsequent monthly price change of 0.5% at the project level. Moreover, the price reversal effect associated with the momentum trading by short‐term speculators is two to three times stronger, and holding such trading constant, momentum trading in general has little additional impact. Our findings further suggest that momentum trading by short‐term speculators contributes to price overreaction largely in submarkets with lower information efficiency.     

Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices

Liquidity in private asset markets is notoriously variable over time. Therefore, indices of changes in market value that are based on asset transaction prices will systematically reflect intertemporal differences in the ease of selling a property. We define and develop a concept of "constant-liquidity value" in the context of a model that is characterized by pro-cyclical volume of trading. We then present an econometric model that allows for estimation of both a standard transaction-based price index and a constant-liquidity index. Our application to the NCREIF database reveals that, in the case of institutional commercial real estate investment, constant-liquidity values tend to lead transaction-based and appraisal-based indices in time, and also to display greater volatility and cycle amplitude. The differences can be significant for strategic investment policy viewed from a mean-variance portfolio optimization perspective.     

Time on the Market and Selling Price

This study is primarily an analysis of tradeoff between selling time and price, both on a nominal and real basis. Sellers are seen as desiring to maximize their discounted real selling price and trading off the nominal selling price with expected selling time. The time a property remains on the market is important, not only because of its reflection on price, but also because of its possible reflection on the issue of submarket equilibrium—an assumption in most urban price studies. The empirical results of this study shed light on how similar studies can easily misinterpret the implications of time on the market on price and how further work may be improved.     

交易者结构与市场行情：来自深圳股票市场的经验证据

证券市场微观结构理论的核心问题是证券价格的形成与决定。众多学者从不同角度探讨证券市场价格的影响因素,其中投资者结构是影响证券价格的一大重要因素。为了探讨影响中国证券市场价格的微观因素,本文使用各种类型投资者数量作为衡量投资者结构的指标,运用协整检验和Granger因果关系检验方法研究深圳股票市场中交易者结构与市场行情间的内在关系。实证结果表明,在深圳股票市场中,市场价格与个人交易者总数之间存在长期稳定的协整关系。个人交易者总数的变化与市场价格变化间存在着显著的单向因果关系,即交易者总数的变化可以通过市场价格的变化来解释。而市场价格与机构交易者总数之间既不存在长期稳定的协整关系,也不存在单向或双向的因果引致关系。     

Intertemporal Price Discrimination in Frictionless Durable Goods Monopolies

I show that small differences in quality and production costs between durables and non-durables in a product line allow a durable goods monopolist to intertemporally price discriminate even with continuous trading. In particular, a monopolist would want to both sell and rent out a durable to achieve price discrimination. This incentive to price discriminate simultaneously creates inefficient delay in the sale of the durable good, a finite trading period and long run efficiency of the market. The Coase conjecture fails because the non-durable good acts as an outside option that guarantees a minimum profit in the market for durables.     

Do House Price Levels Anticipate Subsequent Price Changes within Metropolitan Areas?

This research examines the relationship between hedonically controlled housing price levels and subsequent changes in those prices across locations within MSAs. Are areas with a high price relative to an “imputed rent” paying for higher appreciation? In an efficient market (e.g., Gordon Growth Model), as fundamentals (impute rent) differ across locations and change over time, anticipation of these should generate a positive correlation between (residual) price levels and subsequent price changes. We undertake these tests in four different MSAs using a panel of repeat‐sale house price indices that have been scaled to price levels with the hedonic attributes of the house and ZIP code. In three markets we find that identical houses in higher priced ZIP codes subsequently appreciate faster. In one market we find that there is little statistical difference.     

INEFFICIENCIES AND MARKET POWER IN FINANCIAL ARBITRAGE: A STUDY OF CALIFORNIA'S ELECTRICITY MARKETS*

For two years prior to the collapse of California's restructured electricity market, power traded in both a forward and a spot market for delivery at the same times and locations. Nonetheless, prices in the two markets often differed in significant and predictable ways. This apparent inefficiency persisted, we argue, because most firms believed that trading on inter‐market price differences would yield regulatory penalties. For the few firms that did make such trades, it was not profit‐maximizing to eliminate the price differences entirely. Skyrocketing prices in 2000 changed the major buyers' (utilities') incentives and exacerbated the price differentials between the markets.     

CPF stocks: Prices,returns and volatility

We identify a unique phenomenon in the Central Provident Fund (CPF) stocks where stock prices increase in the absence of fundamental changes in firm value. CPF stocks are stocks endorsed by the Central Provident Fund Board in Singapore as approved investment for its members. CPF stocks offer significant price appreciation and value preservation as well as abnormal returns in the bull market before the October 1987 market crash. We find evidence of noise trading in bull markets and price pressure effects that persist through bearish market conditions.The authors are from the Department of Finance and Banking, National University of Singapore.     

基于百度指数的碳交易市场波动率的实证研究

碳交易市场波动率研究主要基于成交量数据对收益率GARCH效应的解释作用。在互联网时代可以有更新更为有效的方法来衡量碳交易市场的波动性。基于“碳交易”词条的百度指数,以湖北碳交易市场中的收益率为样本,本文通过对比使用引入成交量和搜索量的IGARCH（1,1）模型,实证研究发现传统的量价方程的确没有解释力,而百度指数可以对收益率的GARCH效应做出部分合理的解释,这可以在某种程度上反映湖北碳交易市场的交易信息流。     

Option Trading and REIT Returns

This article examines the relation between option trading volume and real estate investment trust (REIT) market performance. Specifically, we find that option volume increases are followed by decreases in returns. Furthermore, the portion of option volume that is orthogonal to REIT characteristics drives the observed return predictability relation, thereby suggesting that the return predictability of option trading is (at least partially) attributable to information‐based explanations. Finally, consistent with informed traders favoring option market activities due to short‐sale costs and/or constraints, we find option based return predictability is more evident within REITs than non‐REITs, even though firms within this industry are generally viewed as informationally transparent.     

Strommarktdesign: Zur Ausgestaltung der Auktionsregeln an der EEX

This paper studies the design of power exchanges in liberalized electricty markets. We analyze several pricing rules for day ahead trading and show that a uniform price mechanism has quite desirable properties as compared to its alternatives. We then discuss how the particular cost structure of electricity generation can be accounted for by appropriate bid formats. We moreover analyze the effects of bid caps and price floors in electricity auctions on market performance, as well as several other aspects of electricity market design. In particular, we discuss linkage of independently operating markets for electricity, reserve energy and transmission capacities, coupling of national power exchanges, and the effects of transparency on the outcome of electricity markets.     

贸易媒介、定价格局与国际石油市场演变——对石油史的新阐释

通过引入贸易媒介的三分法贸易商品定价分析框架,阐述生产者、贸易媒介和消费者等推动市场结构和定价格局变动的机理,并从生产者-贸易媒介以及贸易媒介-消费者两个环节的定价博弈出发,尝试性地对国际石油市场及定价格局的演变进行分析.阐释了现代石油工业150年历史中重大政治经济事件的经济涵义和各阶段国际石油市场格局演变的主要特征,并分析了在期货市场体系中,产油国、石油公司及投机者等对国际油价变动的影响及其作用机理.     

State of the German Short-Term Power Market

The paper at hand provides a comprehensive overview of the current state of the German short-term power market with focus on trading and efficiency. The pivotal question is whether current market designs are appropriate to maximise social welfare. If this can’t be confirmed, trade-offs between technical restrictions, transparency requirements, the structure of the supply side and regulators focusing mainly on consumer surplus are analysed, which prevent markets from being fully efficient. The emphasis is on Germany due to it’s central location in Europe, it’s sheer size and the rapid increase of renewable generation in recent years. This development forced the German power market into a state of transition. As a result, developments in Germany might serve as a blueprint for other European countries. The introduction of negative day-ahead prices, the implementation of a very liquid intraday trading, a quarter hourly auction and market-based systems for the procurement of Ancillary Services are just some examples of Germany’s pioneering role. On the other hand, negative effects of the rapid changes such as the excessive use of non-market based redispatch measures and system endangering imbalance price regimes shall also be explored. As a matter of course, cross-references to other European countries and harmonisation projects are included as the German market is well interconnected with neighbouring markets.     

Untersuchung verschiedener Handelsstrategien für Wind- und Solarenergie unter Berücksichtigung der EEG 2012 Novellierung

The new EEG 2012 law opens up for more parties to participate in the trading of wind and solar power, because of the bonus system that now compensates everybody for all market relevant costs, not only the Transmission System Operators. Therefore it can be expected, that the trading of renewable energies by private parties will increase. One of the central questions to be answered is how efficient does a balance responsible party have to be to stay competitive also with a small pool. The quantification of balance costs for different trading strategies is however complex and non-trivial. We propose a methodology in this study that accounts for this fact. Additionally, we analyse and show the requirements and the monetary value of Intra-Day trading for the handling of wind and solar power. The trading strategies proposed in this article make use of an uncertainty band around the forecasts used in the Intra-Day, in order to avoid double trading and thereby reducing the total balancing volume and the associated costs.     

Market Power and Technology

It is well known that market power depends on the price elasticity of demand and the intensity of competition. It is also well known that technology can influence market power through its effect on market structure. However, there is limited research on the direct link between market power and technology. In this paper, we investigate this relationship. We find that the monopoly price can be constrained to be identical to marginal cost under certain technological conditions. We also show how market power depends directly upon technology, holding constant demand conditions, market structure, and the degree of competition.     

Liberalization and agricultural marketing : Recent causes and effects in third world economies

From merely being the dream of some economists a few years ago, the liberalization of national marketing systems has suddenly taken a tangible form on a worldwide scale. Why have governments, hitherto clinging to state participation and controls, especially in their agricultural and currency trading systems, changed their policies so swiftly? Are market structures, entrepreneurial and private-sector financing potentials capable of filling the gaps? Will the liberalization move lead of the envisaged competitive market and price mechanism with its resource- mobilizing effects, or will this move, lacking efficient implementation, get stuck somewhere in-between, inviting resurrection of interventionist policies? This article provides both evidence and analysis on these questions, in an introductory assessment of the dynamic process of radical policy changes faced by the food and agricultural marketing systems in most developing countries today.