Analysis of the impact of excess mortgages on housing prices using the cointegration test

This article attempts to explain and predict housing prices by constructing a model based on the variables that most influence demand: the theoretical purchase effort index without tax deductions as well as a new and innovative indicator that includes the excess of mortgages granted. The Johansen methodology for cointegration analysis reveals the existence of long-run equilibrium and the model’s subsequent ECM, to verify the statistical significance of the variables, confirms the validity of the model concerning this Spanish case study.     

The demand for housing in Spain: an endogenous switching regression analysis

Housing demand in Spain has been studied by using data disaggregated into primary and secondary housing demands. It is found that demand for both types of housing area, indeed, related and that they are both considered necessities; thus, suggesting that their consumption ought to be modelled as a joint decision. Moreover, it is found that traditional determinants of housing demand affect primary and secondary home demands differently. These differences are attributable to the following economic rationales: need for asset holdings diversifications, relative high cost of home ownership versus rental in choice locations, and differences in land demand intensity across regions. In sum, the findings suggest that policy makers in Spain, contrary to popular beliefs, must consider secondary homes an integral part of households' accommodation need.     

On the impact of financial development on income distribution: time-series evidence

Financial market development is said to have equalizing or unequalizing effects on income distribution. Previous research used cross-sectional and panel data and provided mixed results. Suspecting that they suffer from aggregation bias, we adhere to time-series data and error-correction modeling technique and address the issue one more time in each of the 17 countries for which we have time-series data. In 10 counties, short-run effects of financial market development on income distribution were found to be equalizing. In five countries, the effects were unequalizing. However, the equalizing effects lasted into the long run only in three countries of Denmark, Kenya and Turkey.     

美国金融危机成因分析及对中国的警示

美国金融危机引发全球金融市场动荡。这场金融危机从美国的房地产市场开始,以惊人的速度蔓延,波及至信贷市场、资本市场,封全球尤其是西方金融机构和金融市场造成重大冲击,短期内升级为全球金融风暴。中国目前正处于资产价格上涨、信贷投放过度的经济环境之中,美国的金融危机给中国敲响了警钟。本文通过描述此次危机的发展脉络,在分析美国金融危机背景的基础上,从强化房地产按揭贷款业务风险管理,审慎推进资产证券化等六个方面得出了对中国的警示。     

Financial functional analysis: a conceptual framework for understanding the changing financial system

The financial system is currently undergoing a revolution brought about by e-finance, digital convergence, new market entrants and government-encouraged competition. New market entrants such as Apple, Alibaba, Facebook and Google come from industries such as IT, retail, social media and telecoms, and, therefore, do not fit comfortably within traditional financial institutional structures. A functional perspective might provide more practical insights into this revolution; however, the functional perspective has had a limited impact. This paper will investigate the benefits and limitations of financial functional analysis; probe the underpinning principles of sociology’s structural functional analysis; revisit Merton and Bodie’s (1995) six core financial functions in relation to new entrants in the financial landscape; and, finally, argue that in the new financial environment, functional analysis provides a more coherent and explanatory framework of the financial system for students and practitioners alike.     

The impact of news,oil prices,and global market developments on Russian financial markets1

This paper analyses the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of US stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non‐bank financial institutions that matters more for the globalization of Russian bond markets.     

Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets

This study investigates the dynamic conditional correlations (DCCs) between eight emerging East Asian stock markets and the US stock market and analyses the dynamic equicorrelation among these nine stock markets. We find a significant increase in the conditional correlations and equicorrelation in the first phase of the global financial crisis. We refer to this finding as contagion from the US stock market to the emerging East Asian markets. We also find an additional significant process of increasing correlations and equicorrelation (herding) in the second phase of the global financial crisis. Further, we employ two new models, namely DCCX-MGARCH (a DCC Multivariate GARCH model with exogenous variables) and DECOX-MGARCH (a dynamic equicorrelation multivariate GARCH model with exogenous variables), to identify the channels of contagion. We find that an increase in the VIX Index increases the conditional correlations and equicorrelation, while increases in TED spreads decrease the conditional correlations of six emerging East Asian countries with the USA. We compare the accuracy of the conditional correlation estimates of the DCC and DCCX models (or DECO and DECOX models) by constructing a loss function. We find that the DCCX (DECOX) model provides more accurate conditional correlation estimates than the DCC (DECO) model by extracting additional information from exogenous variables.     

Superstition and real estate prices: transaction-level evidence from the US housing market

We investigate the impact of superstition on prices paid by Chinese-American home buyers. Chinese consider 8 lucky and 4 unlucky. Lacking explicit buyer ethnicity identifiers, we develop a binomial name classifier, a machine learning approach applicable to any data set containing names, that allows for falsification tests using other ethnic groups, and mitigates ambiguity from the transliteration of Chinese characters into the Latin alphabet. Chinese buyers pay 1–2% premiums for addresses including an 8 and 1% discounts for addresses including a 4. These results are unrelated to unobserved property quality; no premium exists when Chinese sell to non-Chinese. The persistence of superstitions reflects the extent of cultural assimilation.     

Is debt conservatism the solution to financial constraints? An empirical analysis of Japanese firms

ABSTRACT

This paper investigates why firms choose the conservative financing strategy known as non-positive net debt policy, which is a more recent prevalent trend among Japanese firms. The analysis reveals that Japanese firms are more likely to be financially conservative if they are smaller, older and more profitable and have fewer growth opportunities and tangibility. The survival analysis further investigates the duration of conservative debt policy and ordinary debt policy. The evidence shows that firms adopt/abandon the conservative policy with different motivations and preferences over debt conservatism. In particular, we argue that the more financially constrained firms abandon the conservative debt policy sooner than their counterparts, while less financially constrained firms abandon the ordinary (less conservative) debt policy sooner than their counterparts. The results suggest that a firm uses a conservative debt policy in terms of net leverage as a temporary buffer to mitigate financial constraints.     

浅议我国离岸金融市场的建立与发展

离岸金融市场是一个完全国际化的市场，建立和发展我国离岸金融市场有利于我国金融经济的国际化，本文主要分析了在我国建立和发展离岸金融市场的可行性及发展离岸金融业务需要注意的若干问题。     

Assessing the role of futures position substitutability in a monthly slaughtered pork factor demand by US processors: a cointegrated VAR model approach

This article combines cointegrated VAR modelling with basic neoclassical production microeconomics in a new way that tests for, and illuminates the empirical nature of, the monthly US pork processing sector’s factor demand for slaughtered pork. Statistical evidence strongly suggests that the US pork processing sector has a Hicksian Cobb–Douglas slaughtered pork demand that arises from applying Shephard’s lemma to the sector’s cost function and that US pork processors treat slaughtered pork and related futures positions as close factor substitutes. In the wake of major and ongoing futures market events and trends, this study establishes and statistically tests a theoretical link between futures price movements and impacts on the underlying slaughtered pork market through monthly formation of US pork processors’ factor demand for slaughtered pork. Evidence suggests that demand agents shift between demands for the two substitutes based on movements in the slaughter/futures price ratio that results in a market-stabilizing cushion against sharp pork price movements such as those observed in the late-1990s. Statistical and diagnostic evidence suggests that our modelled non-experimental data and estimated Hicksian demand that arose from the cointegrated VAR model’s cointegration space met Haavelmo’s setting of passive variables and associated ceteris paribus conditions.     

The financial fragility and the crisis of the Greek government sector

The purpose of this paper is to develop Minskyan financial fragility indices for the government sector and to examine the financial structure of the Greek government before and after the onset of the sovereign debt crisis in 2009. We provide empirical evidence that clearly shows the growing financial fragility of the Greek public sector in the 2000s. We also assess the effectiveness of the implemented bailout adjustment programmes in Greece and claim that the conducted austerity measures and fiscal consolidation have not significantly improved the financial posture of the Greek government sector. We argue that the implementation of fiscal and wage austerity in an economy that lacks structural competitiveness produces prolonged recession and unemployment with adverse feedback effects on the financial fragility of the government.     

The housing market,macroeconomic activity and fiancial innovation: an empirical analysis of US data

Recently, several studies have emphasized the role of R&D expenditure in determining Total Factor Productivity (TFP). In this paper it is shown that the relationship between R&D variables and TFP is far from being established. In particular, by using data for the Italian economy, it is found that the estimated effects of R&D variables on TFP crucially depends on: (i) the way in which the production function, used to derive Solow residuals, is defined; (ii) the numbers of maintained hypotheses used to estimate Solow residuals; (iii) the level of aggregation of the data employed in the empirical analysis.     

The impact of financial regulation on current account balances

Both global imbalances and financial market deregulation feature prominently among the potential causes of the global financial crisis, but they have been largely discussed separately. In this paper, we take a different angle and investigate the relationship between financial market regulation and current account balances, an area for which limited empirical evidence exists. We use a panel of countries over the period 1980–2010 and employ a novel empirical approach which allows us to simultaneously account for model uncertainty, current account persistence and unobserved heterogeneity. We find robust evidence that financial market regulations affect current account balances and that different aspects of these regulations can have opposing effects on the current account. In particular we find that easing bank entry barriers is negatively associated with the current account balance. In contrast, bank privatization and securities market deregulation tend to raise current account balances. Our results also highlight the importance to control for persistence and unobserved heterogeneity. Once we control for these factors, we find robust evidence for a wide range of current account theories in contrast to previous studies accounting for model uncertainty.     

The impact of the 2008 financial crisis on housing prices in China and Taiwan: A quantile regression analysis

This paper adopts quantile regression to investigate the impact of the 2008 financial crisis on housing prices at difference price levels in China and Taiwan, and employs data from the period July 2005–December 2010. According to the empirical results, the ordinary least squares estimates are similar to those achieved from quantile regression. However, the conditional mean-focused regressions do not capture the results that are obtained by using quantile regressions. The empirical results indicate that in Taiwan the housing prices were more affected by the financial crisis when the prices of real estate were high, but in China the housing prices were less affected by the crisis when the prices were high.     

Government as a discriminating monopolist in the financial market: the case of China

We show that the many unusual features of China’s financial markets are consistent with a government choosing regulations to maximize a standard type of social welfare function. Under certain conditions, these regulations are equivalent to imposing explicit taxes on business and interest income, yet should be much easier to enforce. The observed implicit tax rates are broadly in line with those observed in other countries. The theory also forecasts, however, that China will face increasing incentives over time to shift to explicit taxes.     

Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis

This paper examines the effect of financial deregulation on consumption expenditure in France during the period 1970–1993. A nonlinear model for consumption which allows for liquidity constraints through a time-varying parameter dependent on a proxy for financial deregulation is estimated using nonlinear instrumental variables. It is concluded that in France financial deregulation has significantly reduced liquidity constraints faced by consumers, allowing a higher percentage of the population to smooth consumption over time. Evidence is also provided that the intertemporal elasticity of substitution is not significantly different from zero at conventional nominal levels of significance. First version received: January 1997/final version received: May 1999     

基层财政解困:一个财政体制变迁的分析框架

基层财政困难已影响到部分地方经济发展与社会稳定,是迫切需要解决的问题.基层财政陷入困境的最直接根源是财政体制不规范,事权与财权高度不对称.解困的根本出路在于规范政府间财政关系,进行财政体制创新.但财政体制变迁不能局限于边际微调,须考虑政府财政级次问题.本文提出推行"省管县"体制与撤消乡镇级政府两项改革,将政府层级由五级简化为三级,对应形成三级财政.并以这三级财政为架构,重新设计财政体制,合理配置政府间事权财权,以推动基层财政彻底解困.     

The polarization impact of the crisis on the Eurozone labour markets: a hierarchical cluster analysis

This study assesses the impact of the Great Recession (2008–2014) on the process of integration of the Eurozone labour markets. Through an agglomerative hierarchical cluster analysis using several European labour market harmonized indicators, we find that the crisis led to a greater integration, and to a polarization within the area. In the aftermath of crisis, two groups of countries clearly emerged, consisting Austria, Belgium, Finland, France, Germany, Italy, Luxembourg and Netherlands in the core while Greece, Ireland, Portugal and Spain in the periphery.