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1.
Dynamic interactions between policy uncertainty and economic activity, including oil prices, have attracted increasing amounts of scholarly interest, but few studies have considered the inherent feature that the entire market is composed of different stakeholders operating in different time horizons. To fill this gap and address this issue, this paper proposes a multi-scale correlation framework. Specifically, we use the wavelet coherence method and scale-by-scale linear Granger causality tests to explore the co-movement and causality of pairs of economic policy uncertainty indices of G7 countries, China, Brazil, and Russia and West Texas Intermediate (WTI) oil prices. Our results show that the interaction between economic policy uncertainty and oil prices in the short-term is weak but gradually strengthens towards the long-term, especially when significant historical political or financial events occurred. Moreover, a consistent conclusion is that the interaction is negative in the medium-term, while it is positive in the long-term. Further, Granger causality tests at different time-scales show that no Granger causality from economic policy uncertainty to oil prices exists in the short-term for all sample countries, except the US, while there is a strong unidirectional or bidirectional Granger causality for all researched countries in the medium- and the long-term.  相似文献   

2.
This study applied linear and nonlinear causality tests and estimation models to investigate the efficiency of housing prices and volumes in the United States and its four major regions. The results of this study confirm that housing volumes can function as a price-discovery indicator. According to the nonlinear volatility of housing prices, this study verified numerous hypotheses. Housing returns can also influence housing volume. The results of this study imply that housing price efficiency can vary based on market conditions. Consequently, estimating the behavior of housing prices through a linear model can result in underestimating the information reflected by housing returns.  相似文献   

3.
解决中低收入人群的基本住房问题是实现社会公平的基本国策之一。为了有效地实施保障性安居工程,通过构建数学模型研究在财政补贴率相同的条件下,住房消费补贴与住房供给补贴的成交价格、成交量与社会福利情况,可以发现这两者之间存在较大的差别,前者的成交价格、成交量和社会福利都高于后者,但前者比后者的财政补贴额更多。如果提高财政补贴率,那么前者成交价格会不断提高,而后者成交价格会不断降低,成交量都会呈现扩大趋势。成交价格、成交量和社会福利不但与财政补贴率及其补贴方式有关,也与住房的需求弹性和供给弹性有关。研究结论的政策意义在于,如果在政府财力有限、住房价格上涨压力较大的条件下,应当采用住房供给补贴;如果在政府财力相对宽松、住房价格上涨压力相对较小、依靠住房拉动经济增长的压力较大的条件下,则应当采用住房消费补贴,同时它还能实现公平与效率兼顾的目的。无论是采用住房消费补贴还是住房供给补贴,都应当增大供给弹性,减小需求弹性。  相似文献   

4.
This paper focuses on the drivers for transactions of residential properties using England and Wales as a case study. We present a non-technical discussion of a theoretical framework that rationalizes the positive correlation of income, housing prices and housing transactions over the business cycle. We then extend the theoretical framework to explain how the credit market liberalization of the early 1980s, demographic changes and construction activity have affected the trend in housing transactions and contributed to making the 1980s a period of exceptionally high transaction levels in England and Wales. We present evidence in support of the view that housing demand fluctuations have been the key driver of housing transactions, in particular, changes in housing demand from first-time buyers.  相似文献   

5.
为从定量上了解城镇住房保障规模对商品房价格影响的变化规律,本文应用Granger因果分析理论确定了影响住房保障规模和商品房价格的主要因素及其关系,构建了住房保障规模的系统动力学模型,并进行了模拟仿真。结果显示,住房保障规模增加10%可抑制商品房价格4.67%的上涨幅度,表明了保障性住房的投入对商品房价格的抑制效应,并就如何加快保障性住房建设提出了建议。  相似文献   

6.
This study examines the relationship between the stock market and unemployment in 30 advanced and 11 developing and emerging countries. The results show that the unemployment rate and stock prices are cointegrated in all country groups; further, the causality between stock prices and unemployment appears in all country groups. Specifically, I found a particularly strong and one-way causal direction from stock prices to the unemployment rate in G7 countries. There is a strong bilateral causal relationship between stock prices and unemployment for other advanced countries. However, in the 11 developing and emerging countries, the causality test results indicate a strong Granger causality from unemployment to stock prices. The results for developing and emerging countries suggest that the unemployment rate can help forecast stock prices, but not vice versa. These findings complement existing studies and deliver useful implications for investors and policymakers, and suggest some new lines for future research.  相似文献   

7.
This article studies the co-movement and dynamics between price movements and transactions in the housing market using data for the period 1988–2008 from Finland. While the previous related literature examines the reactions of sales and prices to an interest rate shock only, this study investigates the responses to income and debt shocks as well. The empirical estimations show that the response of prices to demand shocks is substantially slower than that of sales. The estimated reactions of sales substantially differ from those reported in the earlier literature. The reaction patterns can create the kind of strong positive co-movement between price movements and sales volume and the kind of negative correlation between price level and sales that have been found in several housing markets.  相似文献   

8.
文章首先运用HP滤波的方式分析了沪渝两地房产税对新房和二手房在价格和成交量上的影响,发现上海房地产市场对房产税的的征收反应更为理性,影响效果更好,但两地区新房和二手房市场的反映都存在差异;此外,利用房价对数模型,发现房产税都能有效的影响两地的房价,但由于影响两地房价的因素有很大的差异,效率并不一样,上海地区房产税每增加1%,房价将下降0.553%,重庆地区房产税每增加1%,房价将下降0.041%。因此国家需区别对待新房和二手房市场,并且因地制宜,推广不同的房产税模式。  相似文献   

9.
This paper evaluates the effects of property tax on housing. While land tax and capital gains tax are widely used for curbing hoarding of land and speculation, its effectiveness is inconclusive. The imposition of a capital gains tax will impair the liquidity of property transaction, lower the rate of return on property investment, and reduce revenue from land sales which represents an important tax resource for the communities. This paper shows that a capital gains tax is capitalized into housing prices. Individuals tend to postpone the purchase of houses because of transaction taxes. Using an impulse response function, we show that a transaction tax has a dynamic negative impact on housing returns. While this paper focuses on Hong kong, for the purpose of comparison Singapore and Taiwan are also discussed.  相似文献   

10.
Determinants of house prices in Istanbul: a quantile regression approach   总被引:2,自引:0,他引:2  
This paper uses quantile regression methods where a hedonic equation is estimated for each quantile of the conditional distribution of housing prices. The survey data are used to investigate the relationship between house prices and housing characteristics in Istanbul. This data set includes some housing characteristics of the dwellings like numbers of room, bathroom, heating system, location of house etc. In the results of this paper show some similarities and differences from earlier studies on housing prices. We find that age, cable tv, security, heating system, garage, kitchen area, increasing numbers of room and bathroom increase the house prices. Our findings also show that side variable which is a special factor for Istanbul real estate market has negative effect on the prices. It is clear that the factors of housing prices can change because of the properties of country, region or city. The results of this study may give some important interpretations for developing real estate market.  相似文献   

11.
Using the Granger definition in a bivariate context, this paper investigates the relation between speculation and real estate prices in Hong Kong. Based on monthly data, the paper shows that in the mass residential property market, speculation and property prices are each integrated of order one, and hence cointegrated. A vector error correction model is then estimated for speculation. The error correction term is found to be statistically significant, implying Granger causality running from property prices to speculation in the mass residential property market. The empirical findings provide evidence that fluctuations in residential property prices cause fluctuations in housing speculation. A long-term solution to curb speculative activities and stabilize property prices is to increase the supply of housing land, and in turn the supply of private residential property. Steady property supply of will reduce acceleration of property prices and thus restrict speculation.  相似文献   

12.
城市房价存在明显的时空关联性。本文通过构建一个简单的消费者均衡模型,并利用全局和局部Moran指数,论证了35个大中城市的房价在空间上的相关性,进一步利用交叉谱技术分析了18个大中城市房价变动周期的关联性和领先滞后关系。结果发现:1.我国35个大中城市的房价存在显著的空间自相关。2.采用Fisher’s Kapper统计量和Kolmogorov-Smirnov统计量检验发现20个城市中除重庆和厦门外,房价波动都具有显著的周期性。3.在18个大中城市中,并不存在完全同步的房价周期。同一区域不同城市之间房价周期的关联性强度存在显著差异。即使在具有较强相关性的城市之间,房价变动也并不同步而是存在多种领先滞后关系。  相似文献   

13.
This paper reports a first application of Fair-Jaffee type short-side models of disequilibrium to the intraurban single family housing market in which the housing stock is divided into distinct geographic community areas. Data on single family dwelling transactions and prices in the city of Chicago between 1972–1976 is used to estimate four versions of the Fair-Jaffee type model. The approach allows the simultaneous estimation of the price elasticity of the demand for and offer of existing single family dwellings. The demand elasticity estimate of about −0.5 agrees with other estimates in the literature obtained from equilibrium models. The price elasticity of offer has not been previously estimated for single family dwellings. It is found to be around 2.1. Elasticities are also computed with respect to the mortgage interest rate and the intensity of transactions in the dwelling's community area. The disequilibrium models appear substantially superior to equilibrium specifications. Simulations with the estimated models predict that, in the absence of external shocks, transaction prices and quantities stabilize within 2 years.  相似文献   

14.
科学监测城市房价走势,在当前环境下尤为重要。为拓展国际通行方法编制国内单一城市房价指数的适用性,引入样本匹配重复交易法构建房价指数,以提高样本容量与可比性。基于上海数据的实证结果表明,相较于传统重复交易法和特征价格法,样本匹配重复交易法能更准确地反映住房价格变动,结果异常波动性更小,噪声影响程度更低,在克服样本代表性误差和变量缺失误差方面效果更显著,对编制国内城市房价指数具有较好应用价值。  相似文献   

15.
目前中国城市住房市场不稳定程度较高,这不仅体现为房价的迅速变化,而且反映在交易量的大幅波动上,后者就是住房流动性的变化。有学者研究指出,以实际交易价格为基础的房价指数可能会低估住房市场的波动程度。为了更准确地把握住房市场的运行状态,本文借鉴美国MIT的相关技术,分析了住房流动性(交易活跃程度)对房价指数的影响,并尝试将流动性信息引入房价指数当中。我们发现,住房流动性对于房价指数有较大影响,且符合人们对于市场走势的直观判断,能够较好地反映市场转折点。  相似文献   

16.
This study tests the hypothesis that urban housing markets are segmented in the sense of significantly different prices per unit of housing services existing contemporaneously in spatially or structurally defined submarkets. Using an unusually rich data set for single-family, suburban Boston homes, significant differences in the prices of individual housing attributes are found; but these differences result in negligible differences in the overall price per unit of services. A main conclusion is that the market is working fairly efficiently to eliminate price premiums and discounts, at least in the portion of the market analyzed.  相似文献   

17.
The spatial impact of employment centres on housing markets. Spatial Economic Analysis. Local economic growth tends to affect neighbourhood house prices unevenly. It has been observed that prime locations experience price hikes far in excess of the surrounding local area. Yet, this phenomenon is not well captured by existing economic models. This research provides a model of spatial and temporal interactions between housing and employment markets. The results show that rapid growth of employment centres increases house prices in neighbouring locations even after adjusting for fundamentals. It is concluded that spatial clustering of companies creates an option value for existing and potential employees that goes beyond ease of access for commuting purposes.  相似文献   

18.
Housing and the Korean economy   总被引:6,自引:0,他引:6  
This paper explores the nexus between housing and the Korean economy. It starts with an overview of the size, growth, and volatility of residential investment in conjunction with long-term resource allocation and short-term macroeconomic fluctuations. Then, the evolution of housing finance and its implications for recent house price run-up are discussed. The relationships among housing price, consumer spending, and inflation are also investigated. Particular attention is paid to the debate over house price bubbles, housing wealth effects on consumption, and the causality between house price and inflation. The paper concludes with a brief assessment of government intervention to stabilize house prices.  相似文献   

19.
Are the forecast errors of election-eve polls themselves forecastable? We present evidence from the 2008 Democratic Party nomination race between Barack Obama and Hillary Clinton showing that the answer is yes. Both cross-sectional and time series evidence suggests that market prices contain information about election outcomes that polls taken shortly before the contests do not. Conversely, election surprises relative to polls too Granger cause subsequent price movements. We then investigate whether the additional information in prices could come from the media coverage of these campaigns, and uncover a set of complex relationships between pollster’s surprise, price movements, and various aspects of media coverage. Prices anticipate the balance and content of media coverage, but not the volume. On the other hand, it is the volume of media coverage, not the balance or content, that anticipates the surprise element in election outcomes. Moreover, Granger causality between prices and election surprises barely changes after controlling for media coverage, and causality from media volume to surprises persists too after controlling for price movements. Taken together, the results suggest that both prices and the volume of media coverage contain independent election-relevant information that is not captured in polls.  相似文献   

20.
We estimate quarterly dynamic housing demand and investment supply models for Sweden and the UK for the sample period 1970–1998, using an Error Correction Method (ECM). To facilitate comparisons of results between Sweden and the UK we model both countries identically with approximately almost the similar type of exogenous variables. The long–run income elasticities for Sweden and the UK are constrained to be 1.0, respectively. The long–run semi–elasticity for interest rates are 2.1 and 0.9 for Sweden and the UK. The speed of adjustment on the demand side is 0.12 and 0.23, while on the supply side it is 0.06 and 0.48 for Sweden and the UK, respectively. Granger causality tests indicate that income Granger causes house prices for Sweden, while for the UK there is also feedback from house prices to income. House prices Granger cause financial wealth for Sweden, while for the UK it is vice–versa. House prices cause household debt for Sweden, while for the UK there is a feedback from debt. Interest rates Granger cause house prices for the UK and Sweden. In both countries Tobin's q Granger cause housing investment. Generally, the diagnostic tests indicate that the model specifications were satisfactory to the unknown data generating process.  相似文献   

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