Monetary policy transmission in a model with animal spirits and house price booms and busts

Can monetary policy trigger pronounced boom-bust cycles in house prices and create persistent business cycles? We address this question by building heuristics into an otherwise standard DSGE model. As a result, monetary policy sets off waves of optimism and pessimism (“animal spirits”) that drive house prices, that, in turn, have strong repercussions on the business cycle. We compare our findings to a standard model with rational expectations by means of impulse responses. We suggest that a standard Taylor rule is not well-suited to maintain macroeconomic stability. Instead, an augmented rule that incorporates house prices is shown to be superior.     

Time on market and sales price of residential housing: A note

This note extends the study of Kalra and Chan (1994). A simultaneous TOBIT equations model is established to address the simultaneity nature of time on the market (TOM) and sales price (SP) in the presence of censored sample bias. We find that both TOM and SP are positively related to each other.     

Empirical evidence on the reaction speeds of housing prices and sales to demand shocks

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.     

A comparison of the appraisal process for auction and private treaty residential sales

This paper examines residential sale mechanisms from an appraisal perspective and empirically tests for differences in the valuation process for auctioned and private treaty sales. We test the hypothesis that agents use different criteria in preparing the guide prices for auctioned housing, with an element of under pricing in order to aid in the marketing of the property. The empirical tests are undertaken on a sample of auctioned and private treaty sales in Dublin, Ireland for the period of 1997–2004. We find that the evidence is consistent with the hypothesis that agents do adjust valuations for auctions to attract additional potential bidders.     

破解土地价格“剪刀差“难题——以重点城市的居住地价和工业地价为例

“剪刀差”概念源于20世纪20年代前苏联的超额税，是对不合理的工农业产品价格的概括，其实质是工农业产品的不等价交换。随着我国城市化和工业化的不断推进，地价“剪刀差”这一现象开始在我国土地市场领域中出现，而且这种差异呈现不断拉大的趋势。然而，学者们较多关注的是政府廉价征地和高价出让土地之间的地价“剪刀差”现象，对不同用途土地价格的‘剪刀差”现象研究得很少。因此，对近几年我国重点城市的居住地价和工业地价的“剪刀差”现象进行一些研究，分析不同用途土地价格‘剪刀差”存在的原因并提出解决方法，很有必要。     

需求价格弹性和销售收入关系的数学探析

文章认为,许多经济学教材中关于需求价格弹性对销售收入影响的结论存在明显缺陷,通过严格的数学分析,无论如何都不能得出需求价格弹性大于1时,降价会使销售收入增加这样的结论。正确的结论应该是:对同一条需求曲线,对应不同的点有不同的弹性,中点的价格弹性为1,是销售收入最大点,销售收入的变化由销售点在需求曲线上的位置及移动方向共同决定。     

A note on the output effect of price discrimination on a sales maximizer

This note analyses the behaviour of a profit-constrained sales-maximizing firm under price discrimination. It is shown that tightening the price discriminatory constraint will cause a decrease in output regardless of the shape of the relevant demand curves.     

Valuation and martingale properties of shadow prices: An exposition

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic models of optimal saving and portfolio choice are reviewed and compared with their antecedents in static or deterministic economic theory. Applications of shadow pricing to valuation are described, including a new derivation of the Black–Scholes formula and a generalised net present value formula for valuing an indivisible project yielding a random income. Some new results are presented concerning (i) the characterisation of an optimum in a model of saving with an exogenous random income and (ii) the use of random time transforms to replace local by true martingales in the martingale and transversality conditions for optimal saving and portfolio choice.     

Axiomatic properties of geo-logarithmic price indices

In the axiomatic approach to composite index numbers, a list of properties is given that both price and quantity indices should satisfy in order to ensure consistent comparisons. Usually, the price index is selected first and its cofactor is consequently adopted as the (implicit) quantity index. Unfortunately, even if the price index has good axiomatic properties, its cofactor need not, so the implicit quantity comparison may be axiomatically inconsistent. In this paper, we give a comprehensive study of a family of price indices sharing good axiomatic properties (proportionality, commensurability, and homogeneity) together with their cofactors. This family, called geo-logarithmic, is relevant also because of the empirical circumstance that all known price indices sharing such properties with their cofactors belong to it or can be obtained from geo-logarithmic index numbers through simple transformations. Thus, the geo-logarithmic family seems to play a central role when the joint consistency of price and quantity comparisons is concerned.     

居住用地价格高涨的负面影响

近年来城镇居住用地价格持续高涨给地方政府带来可观收入,但其引发的弊端广泛而深远,包括助长房价高涨和贫富分化、地产投机与土地闲置、城镇化战略受阻与区域竞争力下降、虚拟经济膨胀和金融风险加大、政府行为扭曲和公共形象受损等五个方面。充分认识这些弊端的消极影响,是以科学发展观为指导,调整房地产调控思路的必要前提。     

Optimal density of radial major roads in a two-dimensional monocentric city with endogenous residential distribution and housing prices

This paper proposes an analytical urban system equilibrium model for optimizing the density of radial major roads in a two-dimensional monocentric city. The proposed model involves four types of agents: local authorities, property developers, households and household workers (i.e. commuters). The local authorities aim to maximize the total social welfare of the urban system by determining the optimal density of radial major roads in the city. The property developers seek to determine the intensity of their capital investment in the land market to maximize the net profit generated from the housing supply. The households choose residential locations that maximize their utility within a budget constraint, and the commuters choose the radial major roads that minimize their individual costs of travel between home and workplace. A heuristic solution procedure is developed to find the urban system equilibrium solution. A system optimum model is also proposed to optimize the density of radial major roads that maximizes the social welfare of the urban system. The proposed model can endogenously determine household residential distribution and land values across the city, along with the housing market structure in terms of housing prices and space. Numerical comparative static analyses of congestion pricing and road infrastructure investment (adding a new radial major road) are carried out together with evaluation of the effects of the service level of radial major roads, urban population size, and household income level on the urban economy.     

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——     

Information from successive changes in gold and silver prices during phases of the business cycles

This paper concerns the behavior of gold and silver prices on a daily, weekly and monthly time span during January 1970 to December 1989. The methodology consists of extracting the predictive power of time series of changes in past prices for obtaining optimal forecasts for next-period changes in prices. Optimizations are made in the context of information theory via minimizing the degree of diversity between the actual and predicted changes in prices. This methodology has merit in that it does not rest on, generally speaking, unacceptable assumptions regarding the shape of the distribution, stationarity of variance or its existence. The behavior of gold and silver prices are studied during peak to trough and trough to peak of the business cycles over 1970–1989. It is generally shown that information contained in past prices of gold and silver does not allow one to predict next-period changes in prices in the short run. However, longer-term predictions are possible. This study further reveals that as the length of the time interval expands, gold prices exhibit a higher degree of dependency on past prices than silver.     

Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data

In this paper we investigate housing price volatility within a spatial econometrics setting. We propose an extended spatial regression model of the real estate market that includes the effects of both conditional heteroskedasticity and spatial autocorrelation. Our suggested model has features similar to those of autoregressive conditional heteroskedasticity (ARCH) in the time-series context. We utilize the spatial ARCH (SARCH) model to analyze Boston housing price data used by Harrison and Rubinfeld (1978) and Gilley and Pace (1996). We show that measuring the variability of housing prices is an important issue and our SARCH model captures the conditional spatial variability of Boston housing prices. We argue that there is a different source of spatial variation, which is independent of traditional housing and neighborhood characteristics, and is captured by the SARCH model.     

Volatility of stock prices and market efficiency

Recently, historical price series along with the dividend series have been used to severely question the Efficient Markets Hypothesis. The literature suggests that the stock prices vary too much to be explained by subsequent changes in dividends. It is argued in this paper that these results require the assumption of stationarity of the price process and that this assumption is not compatible with the random walk model of Efficient Markets. A non-stationary dividend process, which is compatible with the random walk model of Efficient Markets, results in a reversal of earlier results. The new results are shown to be consistent with the empirical findings. Simulations are run to verify the results.     

住房价格指数以及区位对住房价格的影响——北京市住房价格实证分析

根据北京市的1308个新建住宅项目数据,建立了Hedonic模型,着重分析了时间、距离、环线以及行政区等变量对住房价格的影响,构建了北京市住房Hedonic价格指数和住房价格的梯度曲线.     

中国清单计价规范与英美清单计价差异分析

本文通过梳理国内的四种清单计价规范在国内外核电项目的适用情况,研究英国和美国的主要清单计价体系和规范进行以及核电厂的费用构成,对中外清单计价规范进行了对比,找出了国内外清单计价规范的主要差异,总结分析了国内清单计价规范在出口核电项目中的适应性,并提出了针对出口核电项目的清单计价规范的改进方向。     

Fast and accurate calculation of American option prices

We propose a very efficient numerical method to solve a nonlinear partial differential problem that is encountered in the pricing of American options. In particular, by using the front-fixing approach originally developed in Wu and Kwok (J Financ Eng 6:83–97, 1997) and Nielsen et al. (J Comput Finance 5:69–97, 2002) in conjunction with a suitable change of the time variable, a (nonlinear) partial differential problem is obtained which can be solved very efficiently by means of a finite difference scheme enhanced by repeated Richardson extrapolation. Numerical results are presented showing that the novel algorithm yields excellent results, and performs significantly better than a finite different method with Bermudan approximation.