House Price Dynamics with Household Debt: The Korean Case*

This paper revisits the long‐run determinants of house prices, and analyzes the house price dynamics using Korean data taking into account the close relationship between house prices and household debt. The results of cointegrating regression indicate that the major portion of the rise in house prices in Korea over the last 15 years can be explained by changes in macro variables such as household income, the demographic structure, the user cost of home ownership and the housing stock supply. The results also confirm that house prices are, indeed, closely linked to the steep increase in household debt seen over this period. Estimation of an error correction model shows that the extent of convergence of actual house prices to their long‐run equilibrium path has weakened somewhat since the global financial crisis while the speed of convergence has slowed, indicating structural changes in the Korean housing market. Finally, a forecast for house prices over the next several years suggests that they are unlikely to rise as sharply as they did in the 2000s, given the likely changes in the macro‐financial environment, and that their future path will be closely associated with that of the household debt‐to‐income ratio.     

住房贷款与房地产价格关系的实证研究——来自深圳的证据

本文围绕住房贷款与住房价格的关系展开研究,将住房贷款与住房价格视为内生变量,将购买住房成本、二手住房价格、住房供求缺口、收入住房价格比视为外生变量,采用深圳市2006年1月至2008年5月的月度数据估计了包括2个内生变量、4个外生变量的VECM模型。实证结果表明：深圳住房贷款与住房价格之间存在长期均衡关系,中央银行信贷数量调控效果要优于利率价格调控效果,银行业住房信贷政策整体上讲是稳健的,基于此并针对有关结论提出了政策建议。     

Libéralisation du commerce et intégration spatiale des marchés: Le cas du maïs au Togo

Abstract: The cereal market of Togo was liberalized in 1987. This policy aims to improve markets' spatial integration through the development of arbitrage. The paper assesses the extent of maize market spatial integration in order to understand how it has been affected by price liberalization. The monthly retail maize prices collected on 13 markets for the period from 1980 to 2001 are considered. The results show that the impact of price liberalization on markets integration is moderate. The liberalization has not significantly improved the extent of long‐run and short‐run integration of maize markets. The speed of price adjustment is relatively weak for most of the markets. In order to improve market efficiency, it is suggested that the government should create a market information service (SIM) which will be entrusted in collecting and disseminating weekly cereal prices all over the country.     

Dynamic simulations on overshooting of flexible commodity prices with a modified arbitrage condition

Applying a Neo‐Keynesian approach, this study investigates whether in the short run flexible commodity prices overshoot their long‐run equilibrium whenever there is a monetary change. Two differential equations are generated depicting the adjustment paths for commodity prices and prices of manufactures. With a modified arbitrage condition that incorporates convenience yield, flexible commodity prices are shown to overshoot their long‐run equilibrium when compared with less‐flexible prices of manufactured goods. Simulation results support the breakdown of money neutrality in the short run. Inflation rate and degree of rigidity of prices of manufactures are shown to have a significant effect on the adjustment paths. Convenience yield did not influence the adjustment mechanism.     

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

The article investigates the dynamic interactions between seven macroeconomic variables and the stock prices for an emerging market, Malaysia, using cointegration and Granger causality tests. The results strongly suggest informational inefficiency in the Malaysian market. The bivariate analysis suggests cointegration between the stock prices and three macroeconomic variables – consumer prices, credit aggregates and official reserves. From bivariate error-correction models, we note the reactions of the stock prices to deviations from the long run equilibrium. These results are further strengthened when we extend the analysis to multivariate settings. We also note some evidence that the stock prices are Granger-caused by changes in the official reserves and exchange rates in the short run.     

Housing Markets in China and Policy Implications： Comovement or Ripple Effect

The overheated housing market has recently become a top priority of the Chinese authorities and whether the ripple effect exists is key to understanding this housing issue. The present paper uses a cointegration estimation technique for six first-tier Chinese cities during the 2003-2013 period to show that the comovements among housing prices in China are fully reflected in a long-run equilibrium. Using the Toda- Yamamoto causality test, the ripple effect is found to be characterized by a lead -lag relationship. More importantly, it is found that Beo＇ing is the main source of housing price appreciation in China, and should be targeted as the regulatory object to efficiently resolve the troubles in this increasingly high housing-price era.     

房产信贷约束下中国房价波动与非住房消费的门槛效应分析

针对城镇居民非住房消费不足与高房价并存的典型现象,运用面板门槛模型对31个省区市2005—2019年的数据进行研究,探讨房价波动对非住房消费的影响并揭示空间差异。结果表明：房价波动对家庭非住房消费既有挤出效应也有财富效应,其中随着房产信贷约束的放松,挤出效应减弱,而财富效应增强;东部、中部、西部和东北部之间的门槛效应是异质的;各地区住房信贷约束水平存在明显差异,对房价与非住房消费之间的异质性关联起着至关重要的作用;房价波动和房产信贷约束并不是导致低消费的综合因素,无法负担的房价以及家庭抚养负担的增加是低消费的综合因素。因此,稳定房价仍是当务之急,房产信贷政策应与房地产市场的发展相适应,以促进消费。     

Effect of COVID-19 lockdowns on city-center and suburban housing markets: Evidence from Hangzhou,China

In 2020, governments worldwide enforced lockdowns to contain the spread of COVID-19, severely impeding aspects of daily life such as work, school, and tourism. Consequently, numerous economic activities were affected. Before the COVID-19 outbreak, city-center housing markets in areas surrounding popular tourist attractions performed better than did suburban housing markets because of the output of the tourism industry. This study examines the changes in the performance of city-center and suburban housing markets in regions with popular tourist attractions after the lockdown. Specifically, the dynamics of city-center and suburban housing markets in Hangzhou, where West Lake is located, and the changes in the information transfer between these housing markets after the lockdown are explored. Transaction data from January 1, 2019 to September 30, 2020 are used to perform analysis, in which adjusted housing prices and asking prices are employed to measure market performance and sellers’ pricing strategies, and transaction volume and time on the market are used to measure market liquidity and transaction frequency. The results reveal that the effects of lockdowns differ between city-center and suburban housing markets. After the lockdown, a substantial structural change is observed in the suburban housing market; the volatility risk of housing prices decreases substantially, causing an increase in transaction premiums. Housing prices and transaction volume increase in the city-center housing market after the lockdown; this is possibly because of the influence from the overall housing market booms. In addition, because sellers raise their asking prices and the transaction time is extended, the sellers in the city-center housing market are particularly influenced by the disposition effect. This leads to a reversal in the lead–lag relationship between the city center and suburban housing markets in terms of informativeness. Specifically, before the lockdown, the city-center market transfers information to the suburban market, but after the lockdown, the suburban market transfers information to the city-center market. The COVID-19 pandemic has changed the world in many aspects; this paper finds that it will also change the development pattern of the real estate market in different locations.     

长期和短期性住宅价格泡沫存在性检验——以上海住宅市场为例

本文以上海住宅市场为例,采用单位根与协整检验及误差纠正模型方法,检验长期和短期性住宅价格泡沫的存在性。通过引入住宅抵押贷款信贷额度这一新的变量,本文将抵押贷款利率对住宅价格的影响非线性化,得到了与一般经济理论相符的协整方程。结论表明,上海市住宅市场在长期并不存在泡沫,但在短期内存在价格泡沫。另外,住宅市场的结构性变化对价格泡沫存在性的结论具有一定影响。     

Spatial Equilibrium of Wheat Markets in Ethiopia

Abstract: Knowledge about the extent to which spatial markets are integrated is useful to assess the impact of liberalization policies on the performance of agricultural markets in the developing countries. In turn, this would help to guide subsequent interventions aimed at improving the performance of markets. Cointegration techniques provide an analytical framework to know whether markets are integrated, by making it possible to investigate the existence and magnitude of price transmission between spatial markets. This study tries to analyze the spatial equilibrium of wheat markets in Ethiopia by employing an autoregressive distributed‐lag modeling approach to cointegration analysis on wheat prices observed during the post‐liberalization period for the central wholesale market (Addis Ababa) and for a local market (Ambo). The major finding of a stable equilibrium relationship between the price series considered provides evidence of market integration. Since intervention in local markets is generally costly and less effective, the result suggests the possibility of targeting intervention at the central wholesale market level with the objective of influencing price dynamics in the local markets.     

Interactions of stock markets within the greater China economic bloc

This paper investigates what types of mutual relationships exist among the stock markets of the Greater China economic bloc, which include stock markets in Hong Kong and Taiwan, as well as stock markets in Shanghai and Shenzhen. Using the unit root test, co‐integration analysis, and vector error correction model (VECM), this paper analyzes interrelationships among daily stock indices for the period from the beginning of 1992 to the end of 2001. Test results indicate the existence of one co‐integrating vector, implying that a long‐run equilibrium relationship holds among the four stock indices. Variance decomposition of forecast errors provides evidence that the Shenzhen stock market is the market most heavily influenced by the unexpected variations of other markets in the Greater China economic bloc.     

Housing price and household savings rates: evidence from China

This article investigates the effect of house prices on household savings rates in urban China employing the 2002 and 2007 data of the Chinese Households Income Project (CHIP). We find that the rapid appreciation of house prices cannot explain high Chinese households’ savings rates and the rising of Chinese savings rates. On the contrary, we find a negative relationship between house prices and household savings rates for home renters and homeowners. We do not find any evidence of ‘savings for housing purchase’ for young home renters when house prices increase. Their savings rates declined during housing market booms in recent 10?years. Savings rates of homeowners possessing multiple housing have decreased more because of ‘the pure housing wealth effects.’     

Asset Price Bubbles: Existence,Persistence and Migration

Econometric tests are performed for the detection and migration of asset‐price bubbles in the housing, currency and stock markets of seven countries. This set of countries includes both developed and emerging economies that have good historical data on housing prices. Our empirical results suggest that this type of exuberant behaviour in prices occurs more frequently in the housing market than in the currency and stock markets. Additionally, we find significant evidence of bubble migration across markets within some of the studied countries.     

Relating Product Prices to Long‐Run Marginal Cost: Evidence from Solar Photovoltaic Modules

A basic tenet of microeconomics is that for a competitive industry in equilibrium the market price of a product will be equal to its marginal cost. This paper develops a model framework and a corresponding empirical inference procedure for estimating long‐run marginal cost in industries where production costs decline over time. In the context of the solar photovoltaic (PV) module industry, we rely primarily on firm‐level financial accounting data to estimate the long‐run marginal cost of PV modules for the years 2008–2013. During those years, the industry experienced both unprecedented price declines and significant expansions of manufacturing capacity. We compare the trajectory of average sales prices with the estimated long‐run marginal costs in order to quantify the extent to which actual price declines were attributable to reductions in production costs. The trajectory of estimated product costs is then extrapolated to forecast an equilibrium trend line for future PV module prices.     

“大水漫灌”还是“精准滴灌”:基于时-频域动态视角下房价调控机制研究

基于时-频域动态视角采用小波分析模型,文章结合高频序列和低频数据在同一框架内研究总量货币政策、结构性信贷政策和房价波动三者之间不同时期的动态影响关系,并进一步甄别供需调控对房价的异质性影响。实证发现,作为房价调控的手段,结构性信贷要优于总量货币政策,而结构性信贷的影响机制是,中期时供给端调控存在非对称性,长期和超长期需求端优于供给端调控,这表明需求结构性信贷政策+总量货币政策工具的调控效果更佳。因此,应用价值体现在遏制房价的过程中,政府应该让"大水漫灌"式的总量货币政策用于"事前预防",而让"精准滴灌"式的结构性信贷政策用于"事后控制",在不同的时-频域中以前者为辅后者为主交替或协调使用,以此防止房地产市场泡沫累积而爆发风险。     

Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan

This paper empirically investigates the exchange rate effects of the New Taiwan dollar against the Japanese Yen (NTD/JPY) on stock prices in Japan and Taiwan from January 1991 to Mach 2008. Our study employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger [Enders, W., Granger, C.W.F., 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business Economics & Statistics 16, 304–311] and Enders and Siklos [Enders, W., Siklos, P.L., 2001. Cointegration and threshold adjustment. Journal of Business Economics & Statistics 19, 166–176], assuming the nature of the relationship between the variables is on the basis of non-linearity. The empirical evidence suggests that there is a long-run equilibrium relationship between NTD/JPY and the stock prices of Japan and Taiwan during the time period investigated. However, an asymmetric threshold cointegration relationship only exists in Taiwan’s financial market. Furthermore, we extend our research by taking into account the effect of the U.S. exchange rate specifically on Taiwan’s financial market. This research also finds a long-term equilibrium and asymmetric causal relationships between NTD/USD and the stock prices of Taiwan. In addition, the results of TECM Granger-Causality tests show that no short-run causal relationship exists between the two financial assets considered for both countries’ cases. However, in the long run a positive causal relationship running from either the Japan or U.S. exchange rate to the stock prices of Taiwan strongly argues for the traditional approach.     

On the macroeconomic determinants of the housing market in Greece: a VECM approach

This study examines the role of the housing market in the Greek economy. We review the literature and assess the interdependence between the housing price index and its macroeconomic determinants within a VECM framework. An equilibrium relationship exists and in the long run the retail sector and mortgage loans emerge as the most important variables for housing. The dynamic analysis shows that the mortgage loans followed by retail trade are the variables with the most explanatory power for the variation of the houses price index.     

An empirical analysis of the unit labor cost-product price relation in the U.S. economy

This article tests for cointegration between unit labor costs and the level of product prices in four sectors of the U.S. economy: the aggregate business sector, the nonfinancial corporate sector, durable manufacturing, and nondurable manufacturing. A finding of cointegration for most specifications supports the existence of long-run labor market equilibrium for producers and suggests estimation of error-correction models to examine the dynamic relationships. In every sector except nondurable manufacturing, error-correction model estimates indicate there is a mutual feedback relationship between unit labor costs and prices. Controlling for deviations from full employment, oil price shocks, and the Nixon wage and price controls, the results also provide evidence of significant nominal wage indexation in U.S. labor markets. Throughout the economy there appears to exist both effective neoclassical wage and price adjustment mechanisms to maintain labor market equilibrium and short-run rigidities which may contribute to deviations from full employment outcomes.     

房地产价格波动对居民消费的影响研究——基于30个省市自治区的面板数据

理论上,房价的上涨会通过财富效应增加居民消费,但由于我国房地产市场发展尚不成熟,房价与消费之间的关系具有不确定性。本文根据总体房地产调控政策的取向考察房价波动对消费的影响,实证结果表明房价上涨对消费的拉动作用有限,甚至产生抑制效应。结合房价波动影响消费的传导机制,本文提出要增加中低档商品房和保障性住房的供给、发展住房增值贷款以及保持房地产调控政策的连贯性等政策建议。     

Efficiency,Cointegration and Contagion in Equity Markets: Evidence from China,Japan and South Korea*

This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long‐term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short‐run portfolio diversification benefits from these two markets.