Modelling market fundamentals: A model of the aluminium market

The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption ‘surprises’ (i.e. the innovations on the equations). Using the world aluminium market, we show how this approach can be modified so that both the price and stock can be written in terms of one or more market ‘fundamentals’ which reflect the supply—demand balance on the market. This approach allows joint estimation of production, consumption, stock demand and price equations subject to cross-equation restrictions. It may be seen as a formalization of the approach adopted by metals industry analysts.     

How tight is the UK labour market?

With the unemployment rate touching 25-year lows and some signs of a pick-up in earnings growth, concern has again focussed on how much scope the labour market has to meet the requirements of the above-trend growth forecast for the UK. This article by David Tinsley reviews some of the evidence for how 'tight' the UK labour market is. It suggests that, although the labour market has probably tightened over the last year or so, the headline figures give a somewhat misleading picture. It goes on to argue that there are a number of other margins for adjustment by which the demands of the robust growth forecast for the UK over the next few years can be met without igniting significant inflationary pressure.     

UK housing market: the impact of Home Information Packs

The government plan to make Home Information Packs (HIPs) a legal requirement when marketing a property from June 2007 has provoked much debate both in the House of Commons and the press in recent weeks. The scheme was subject to an eight month pilot in Bristol in 1999-2000 and an impact assessment has been conducted. These, however, assess the scheme almost wholly within its own terms. This article, by Sam Moore, discusses the wider implications of HIPs on the UK economy. The higher cost of moving house is likely to have implications for the volume of house sales. Two scenarios have been modelled. The first considers the implications of a 25 percent fall in housing transactions and the second considers a 10 percent fall. The research considers the direct effect on consumer spending and the medium term unemployment rate and the subsequent knock on implications for the rest of the UK economy. In the "25 percent" scenario at its peak unemployment is over 90,000 higher than the base and GDP is down by half a percentage point. The most affected regions are those in the south of the country.     

次贷危机阴影下的英国房地产市场

美联储前主席艾伦·格林斯潘在接受英国《金融时报》采访时曾把美国当前的次贷危机评价为二战结束以来最严重的危机。而次贷危机同样也正在向英国房地产市场蔓延。这场危机加上全球经济增长减速,使英国政府措手不及。由于没有历史经验,对于这场危机的深度和广度很难估计,目前英国房价出现持续下跌的趋势。     

Product strategy and size of firm in the UK fertilizer market

The paper analyses three aspects of product strategy: the size of product range offered, the extent and type of product differentiation and product matching, and the role of new product innovation in firms' competitive strategies. In essence the paper is concerned with competitive behaviour where the product is treated as a variable. Three conclusions emerged. First, there was no significant correlation between the size of product range offered and the size of firm. Second, while the three main oligopolists almost always tried to differentiate their products the competitive fringe showed a strong tendency to match the major firms' products. Third, new product competition was a persistent feature of oligopolistic rivalry, though the competitive fringe was required to stimulate some developments.     

Testing a discrete switching disequilibrium model of the UK labour market

This paper develops a test procedure for serial correlation for discrete switching disequilibrium models which include both an endogenous price adjustment equation and lagged dependent variables. The tests are applied to a model of the UK labour market and the model is respecified in the light of the test results.     

The value of statistical forecasts in the UK association football betting market

In this paper, we evaluate the economic significance of statistical forecasts of UK Association Football match outcomes in relation to betting market prices. We present a detailed comparison of odds set by different bookmakers in relation to forecast model predictions, and analyse the potential for arbitrage across firms. We also examine extreme odds biases. A detailed re-examination of match result odds and a new examination of correct score odds for the period 1993 to 1996 suggest that the market is inefficient.     

The UK housing market and the monetary policy transmission mechanism: An SVAR approach

I estimate an eight variable structural vector autoregression (SVAR) model of the UK economy based upon that of Kim and Roubini [Kim, S., Roubini, N., 2000. Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach. J. Monet. Econ. 45(3), 561–586] for the purpose of investigating the role of the housing market in the transmission of monetary policy. Retail sales fall by just under 0.4% following a temporary positive 100 basis points shock to short-term domestic interest rates; inflation is also lowered. House prices fall by 0.75%. House price shocks increase consumption, the price level and interest rates. Combining the central estimates for interest rate and house price shocks suggests that house price movements can explain about one-seventh of the fall in consumption following an interest rate shock. A counterfactual simulation comes to a similar figure.     

The housing market and the monetary transmission mechanism in the UK, in and out of EMU

This paper, prepared for the No Campaign, uses the OEF Global Macroeconometric Model to assess the impact of the housing market on the UK's convergence with the Eurozone. The OEF Model provides the ideal framework for such analysis, as it incorporates a detailed system for forecasting UK house prices, transactions, mortgage borrowing and their interaction with consumer spending and the wider economy, within the context of a model of the Eurozone economy. Our analysis suggests that, if the government were to wish to take the UK into EMU, action to reduce the impact of changes in interest rates on the housing market would be beneficial in improving the UK's economic stability.     

Managerial quality,financial structure and signalling: A test of pricing efficiency in the UK equity securities market

This paper seeks to ascertain if stock market pricing procedures are operationally efficient in setting prices so as to discriminate against poor-quality management. Signalling theory suggests management's leverage decision as the means by which managerial quality can be identified. Departures from average leverage, given firm characteristics, are interpreted as indicating managerial quality. Ordinary least-squares regression analysis is used to identify these departures, and to test if shareholders' yields are responsive to them. The results are not always statistically significant, but do provide some support for the signalling hypothesis and for the efficiency of UK security pricing.     

Regulating the UK

How are privatised utilities regulate? Sir Gorden Borrie, the Director General of the Office of Fair Trading and doyen of regulactors, review the recent dramatic changes in regulating utilities and the fostering of competition in Britain.     

Comprehensive analysis of market conditions in the foreign exchange market

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths ?? t.     

从奥克斯退市看汽车市场机制

进入汽车市场的著名空调企业奥克斯集团,不到两年时间,突然宣布退出汽车市场.随之而来的是经销商投诉,用户维权.事情已经过去了四个多月,奥克斯遗留的种种争端依然没有平息,北京多位奥克斯车主,准备通过法律手段追究奥克斯欺诈消费者的问题.那么奥克斯集团为什么退市,他的退市给汽车市场带来哪些启示?     

震动楼市

汶川大地震对房地产市场产生了哪些方面的影响?影响究竟会有多大?它给市场带来了什么样的变数?未来的走势和格局又将如何?通过深度观察可知,地震给楼市带来的影响即使不是直接的破坏,也必将是深层次的调整     

Does conditional market skewness resolve the puzzling market risk-return relationship?

In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market excess return and conditional market variance. In contrast with recent findings, we show that this negative relationship is not due to the omission of the hedge term associated with the ICAPM. However, conditional market skewness seems to partly account for this negative risk-return relationship.