Commodity Prices, Inflationary Pressures, and Monetary Policy: Evidence from BRICS Economies

We assess the transmission of monetary policy and the impact of fluctuations in commodity prices on the real economy for the five biggest and fastest growing emerging market economies: Brazil, Russia, India, China and South Africa (BRICS). Using modern econometric techniques, we show that a monetary policy contraction has a negative effect on output, suggesting that it can lean against unexpected macroeconomic shocks even when the financial markets are not well-developed in this group of countries. We also uncover the importance of commodity price shocks, which lead to a rise in inflation and demand an aggressive behaviour from central banks towards inflation stabilisation.     

也说消费价格指数与房价

有分析人士认为，目前居民消费价格指数CPI的上涨幅度被低估，其原因是未将商品住宅价格指数纳入统计范围。本文认为，根据国际惯例编制的CPI已考虑了居民的居住消费，不将商品住宅价格指数纳入，是因其具有投资性质和金融资产性质；也可避免CPI因商品住宅价格的波动而出现的大幅波动，有利于客观分析和判断宏观经济的主要指标。     

Housing wealth changes and entrepreneurship: Evidence from urban China

This paper studies the impact of household-level housing wealth changes on entrepreneurship in urban China. Exploiting the 2011–2015 China Household Finance Survey, we control for lagged proxies for wealth, city-by-year fixed effects, and other household attributes and directly estimate the magnitude of homeowner's response to housing capital gains net of home maintenance and upgrading expenditures. We also instrument for housing wealth changes with structural breaks in city housing price trend. We find that a 10,000 RMB increase in housing wealth increases the propensity of a household becoming a business owner by about 0.7 percentage points in IV estimation. In addition, we provide new evidence for underlying channels that housing capital gains alleviate household credit constraints, reduce risk aversion and increase awareness of financial information.     

Socioeconomic Determinants of Child Health: Empirical Evidence from Indonesia

This paper characterizes the socioeconomic determinants of child health using height‐for‐age z‐score (HAZ), a long‐run measure of chronic nutritional deficiency. We construct a panel data that follows children between ages 3 and 59 months in 1993 through the 1997 and 2000 waves of the Indonesian Family Life Survey. We use this data to identify the various child‐level, household‐level and community‐level factors that affect children's health. Our findings indicate that household income has a large and statistically significant role in explaining improvements in HAZ. We also find a strong positive association between parental height and HAZ. At the community level, we find that provision of electricity and the availability of paved roads are positively associated with improvements in HAZ. Finally, in comparison to community‐level factors, household‐level characteristics play a large role in explaining the variation in HAZ. These findings suggest that policies that address the demand‐side constraints have greater potential to improve children's health outcomes in the future.     

Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks

This paper outlines a simple macro model with overlapping wage contracts to investigate how the temporary and permanent components of stock price movements may be related to aggregate macro-economic supply and demand disturbances. In the content of the model, we show that aggregate demand shocks have only temporary effects on real stock prices, while supply shocks may affect the level of real stock prices permanently. Moreover, the temporary component in U.S. stock prices, identified by placing appropriate structural restrictions on a vector autoregressive system estimated for the postwar period, is statistically significant. This evidence supports the mean-reversion hypothesis that stock prices are not pure random walks. The finding is robust to the choice of variables used in the vector autoregressive system and periodicity.     

Bank Runs in Emerging-Market Economies: Evidence from Turkey's Special Finance Houses

Recent banking crises in emerging-market countries have renewed debates about deposit insurance. Because insurance erodes banks' incentives to manage risks prudently, some argue that its elimination would improve bank stability. Yet eliminating insurance could be destabilizing if it recreates risks of self-fulfilling runs. This paper examines dynamics of depositor behavior during a set of runs on Turkey's Special Finance Houses, an uninsured sub-sector of Islamic banks. Detailed data on withdrawals are analyzed in a vector autoregressive framework that enables us to distinguish between informational and self-fulfilling elements of runs. We found that both types of dynamics were at work during the runs, suggesting a role for deposit insurance, judiciously used, in ruling out expectational problems that fuel tendencies to run.     

Valuation Implications of Unconditional Accounting Conservatism: Evidence from Analysts' Target Prices

We examine whether financial analysts understand the valuation implications of unconditional accounting conservatism when forecasting target prices. While accounting conservatism affects reported earnings, conservatism per se does not have an effect on the present value of future cash flows. We examine whether analysts adjust for the effect of conservatism included in their earnings forecasts when using these forecasts to estimate target prices. We find that signed target price errors (actual minus forecast) have a significant positive association with the degree of conservatism in forward earnings, suggesting that target prices are biased due to accounting conservatism. Cross‐sectional analysis suggests that more sophisticated analysts and superior long‐term forecasters adjust for conservatism to a greater extent than other analysts. In additional analyses, we explore the mechanism through which conservatism leads to bias in target prices. We first show that analysts' earnings forecasts are negatively associated with the degree of conservatism; that is, analysts include the effect of unconditional conservatism in their earnings forecasts. Based on alternative earnings‐based valuation models that analysts may use, our evidence suggests that analysts fail to appropriately adjust their valuation multiple for the effect of conservatism included in their earnings forecasts when using these forecasts to derive target prices. As a consequence, we find that, for extreme changes in conservatism, the bias in analysts' target prices due to conservatism leads to a distortion of market prices. The evidence highlights the concern that analysts may not appreciate the valuation implications of conservative accounting which could inhibit price discovery.     

Asymmetric Fluctuating Behavior of China's Housing Prices

The present study explains the reasons for the imbalanced development of the Chinese housing market. Using the quantile autoregression unit‐root test, we examine housing prices in China's five major cities. The results show that the rising and falling of housing prices in these cities exhibits asymmetric reversion. When housing prices fall, market capital is highly sensitive to housing prices, and housing prices resist the pressure to fall further. However, when housing prices rise, the housing market becomes imbalanced, with housing prices tending to overreact in an upturn. The results of this study indicate that when housing prices rise irrationally, the government should intervene in the housing market promptly to prevent housing bubbles.     

Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies

Abstract

This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrénot et al. (Applied Economics, 38, pp. 203–229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country.     

旅游企业成长性的影响因素分析：来自上市公司的经验证据

文章以1999---2007年间的210家旅游业上市公司为研究对象,分析旅游企业成长性的影响因素。研究发现,公司规模和资产结构对公司成长性有显著负影响,杠杆程度对公司成长性表现出显著的积极作用,而第一大股东持股比例和终极控制人性质对公司成长性没有显著影响。此外,行业和地区因素也对公司成长性有一定影响。     

Semiparametric Model of Hedonic Housing Prices in Japan

We propose a semiparametric hedonic model of housing prices with nonlinearity in age and cohort effects. The model avoids the simultaneity problem among age, cohort and year effects, which is a common problem in linear hedonic models. Applying the model to housing prices in Tokyo between 1990 and 2008 revealed significant nonlinearities in both the age and cohort effects, and significant interactions between these effects, with the shape of the age effect differing across housing cohorts. Estimates of the year effect indicated a declining trend in prices that was more pronounced compared with those of conventional linear hedonic models.