Estimating quadratic variation when quoted prices change by a constant increment

For financial assets whose best quotes almost always change by jumping by the market’s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump back to their just-previous price. It defines a simple property called “uncorrelated alternation”, which under conditions implies that the estimator is consistent in an asymptotic limit theory, where jumps become very frequent and small. Feasible limit theory is developed, and in simulations works well.     

The impact of rising EU Allowance prices on core inflation in the Eurozone

This article examines the impact of EU Allowance (EUA) prices on core inflation in the Eurozone between 2005 and 2022. The empirical results suggest that a positive shock to the EUA price led to higher long-run inflation expectations and core inflation. This implies that the rise in EUA prices can be passed on to consumers and enterprises, leading to an increase in production costs and consumer prices. And, while a positive shock to EUA prices may promote investment in renewable energy in the short term, the impact is not statistically significant and does not last long. The results suggest considerable potential for European policymakers to re-examine policy mechanisms to accelerate renewable energy investment and maintain price stability in the medium term.     

The rate of convergence of the core for a purely competitive sequence of economies

The purpose of the paper is to show that for ‘most’ purely competitive sequences of economies on a compact set of agents' characteristics the core converges to the set of equilibria at least as fast as the inverse of the number of agents. It is assumed that agents have smooth, convex preferences with non-zero Gaussian curvature. This rate of convergence is obtained for a purely competitive sequence with regular limit distribution.     

Aging and house prices

The paper investigates how aging will affect house prices. It uses for the first time a house price dataset covering 22 advanced economies. The analysis finds that demography did and will affect real house prices significantly. The results suggest that a major shift is taking place. In the past 40 years, on average demography increased advanced economy real house prices by around 30 basis points per annum, while in the next 40 years aging will decrease them on average by around 80 basis points per annum compared to neutral demographics. The shift from demographic tailwinds to headwinds might also be relevant when thinking about financial asset prices.     

2007年第一季度 城市地价动态监测报告

根据中国城市地价动态监测系统对全国重点地区和主要城市监测结果的分析，2007年第一季度我国主要城市地价状况如下——     

Hedonic prices and composite commodities

In this paper we conjecture and, to an extent, prove that recently noted restrictions required for the logical coherence and empirical relevance of hedonic price models make these models no more general than traditional housing services models. In particular, intra-urban variation in hedonic prices may not be substantively related to market equilibration at all, and therefore is not evidence for the existence of housing sub-markets. Moreover, in the case of jointly produced housing characteristics, the hedonic price models are found to be less general than the traditional homogeneous housing services models.     

Resource prices and planning horizons

This paper shows that a seemingly simple assumption – that agents use a rolling planning horizon – can reconcile the puzzling long run price dynamics of exhaustible resources such as oil, gas and metals. A rolling horizon has the effect of removing the scarcity consideration of resource owners when stocks are large. Hence, extraction will be non-decreasing and resource prices non-increasing for a long period of time and there will be no connection between the price growth and the interest rate – in line with the trends of a majority of exhaustible resources in the last century. A calibration of the model to the oil market yields a price which closely fits the gradually falling real oil price after WWII and the sharply increasing price after 1998. This suggests that, while long run scarcity was not an important parameter on the oil market in the 20th century, it has been important in shaping the oil price from around 1998 and onwards.     

House prices and consumer welfare

We develop a new approach to measuring changes in consumer welfare due to changes in the price of owner-occupied housing. In our approach, an agent's welfare adjustment is defined as the transfer required to keep expected discounted utility constant given a change in current house prices. We demonstrate that, up to a first-order approximation, there is no aggregate change in welfare due to price increases in the existing housing stock. This follows from a simple market clearing condition where capital gains experienced by sellers are exactly offset by welfare losses to buyers. We show that this result holds (approximately) even in a model that accounts for changes in consumption and investment plans prompted by current house price changes. There can, however, be changes in welfare due to additions to the stock of housing, or to changes in the price of renovating and upgrading the existing stock of housing. For the United States, we estimate the welfare cost of house price appreciation to be an average of $127 per household per year over the 1984–1998 period.     

Housing prices and transaction volume

We use annual, quarterly and monthly data from the US to show that the correlation between housing prices and transaction volume (number of existing houses sold) differs across different frequencies. While the correlation is high at the low frequencies it declines to the levels close to zero at high frequencies. Granger causality tests for different frequencies show that the way of causality in housing market changes from region to region. Our findings provide a litmus test for the existing theories that are proposed to explain the positive correlation between transaction volume and housing prices.     

松绑的价格

<正>编者按:近期,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务。非保障性住房物业服务价格放开这一政策的落地实施,将会为行业带来哪些变化?物业管理各方主体,特别是物业服务企业,如何用好这一政策,推动物业管理实现质价相符,成为业界普遍关注的问题。本期杂志继续组织专题,邀请业界专家和相关人士进     

Magazine prices revisited

This paper examines price adjustment behaviour in the magazine industry. In a frequently cited study, Cecchetti ( 1986 ) constructs a reduced‐form (S, s) model for firms. Cecchetti assumes that a firm's pricing rules are fixed for non‐overlapping three‐year intervals and estimates the model using a conditional logit specification from Chamberlain ( 1980 ). The estimates are inconsistent, however, due to the duration‐dependent specification of the model. Two alternative specifications are used to obtain consistent estimation. The consistent estimates continue to provide strong evidence in favour of state‐dependent pricing models, but only weak evidence on the behaviour of price adjustment costs. Copyright © 2006 John Wiley & Sons, Ltd.     

Forecasting market prices

Previous research into forecasts of market prices has shown that sophisticated forecasts are futile for many markets. This paper reviews recent research and identifies those markets for which non-trivial forecasts can lead to profitable decisions. Particular attention is given to futures and options markets and to the application of non-linear time series models.     

松绑的价格

<正>编者按:近日,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务,拉动消费,促进相关行业健康发展。据了解,目前,湖北、陕西等多个地方的物价主管部门已经下发通知,将执行国家发改委的这一政策。     

Commodity house prices

This paper studies how commodity price movements have affected the local house prices in commodity-dependent economies, Australia and New Zealand. We build a geographically hierarchical empirical model and find that the commodity prices influence local house prices directly and also indirectly through macroeconomic variables. The impacts of commodity price changes are analogous to “income shocks” rather than “cost shocks”. Regional heterogeneity is also observed in terms of differential dynamic responses of local house prices to energy versus non-energy commodity price movements. The results are robust to alternative approaches. Directions for future research are also discussed.     

松绑的价格

<正>编者按:近日,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务,拉动消费,促进相关行业健康发展。据了解,目前,湖北、陕西等多个地方的物价主管部门已经下发通知,将执行国家发改委的这一政策。非保障性住房物业服务价格放开这一政策的落地实施,将会为行业带来哪些变化?物业管理各方主体,特别是物业服务企业,如何用好这一     

Public policies and convergence

This paper employs a dynamic framework to compare the effects of alternative government policies on convergence of industrialized economies to the technology frontier. The government's instruments include facilitating private investment and education policy. The latter enhances skills of heterogenous specialists and implies the decision on their respective shares. The analysis distinguishes between an isolated policy of a single economy and coordinated policies of various countries. Which policy maximizes the speed of convergence is crucially affected by the economy's state of development. A policy switch between the mentioned instruments while catching-up may be preferable.     

Commercial property prices and bank performance

We seek to assess the relationship between commercial property price movements and the behavior and performance of individual banks in a range of industrialized economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively associated with bank lending and profitability, and negatively associated with banks’ net interest margin and bad loan ratios. Further extensions show that the degree to which such a relationship holds is related to the size of the bank. The results underline the relevance of commercial property prices as a macroprudential variable that warrants scrutiny by the authorities.