国债收益率曲线的宏观预测能力检验——基于Probit模型

本文对我国国债收益率曲线的宏观经济变量预测能力进行实证检验。首先,通过Nelson-Siegel模型测算我国国债收益率曲线的水平因子、斜率因子及曲率因子;其次,利用Probit模型检验收益率曲线的三个因子对我国宏观经济周期波动及通货膨胀率的预测能力。研究结果表明,国债收益率曲线的三个因子对未来宏观经济周期有较好的预测作用,但对未来通货膨胀率无法进行有效预测。     

信贷政策与房地产价格周期波动的实证研究

运用MSIA-VAR模型实证分析1998—2013年间我国信贷政策与房地产价格周期的动态关系。研究表明:信贷政策与房地产价格存在双向影响,房价的周期波动显著呈现低速、中速及高速增长的3区制状态,进一步分析表明我国房地产增长存在非对称性,房地产业更易从低速增长区向高速增长区转换,且在中高速增长状态更趋稳定,持续时间也更长。分区制脉冲响应显示,在房价加速增长期银行信贷对房价影响显著,但这种影响存在一定滞后性。     

房地产周期与宏观经济关系研究综述

房地产行业中有效的投资在很大程度上取决于对于房地产周期的理解,因此,理解房地产周期对于未来的机构投资者来说具有越来越重大的意义。文章分析了1930年代以来欧美等国关于各种类型的房地产周期的研究,对于房地产周期的本质及其与宏观经济之间的交互关系进行了综述。     

我国房地产市场的周期划分：方法与特征分析

我国房地产市场自形成以来受中国经济长期高成长的顺周期影响,从古典周期理论的角度还未表现出应有的周期性,妨碍了决策部门和居民对我国房地产市场真实发展阶段的认识。本文从增长型周期波动的角度,利用HP滤波方法,分离出房地产销售价格指数和商品房销售均价的长期趋势成分和短期周期波动成分,找出两种滤波的一致性规律,发现我国房地产市场的周期波动可分为四个阶段。每一周期波动阶段都有各自的特征。     

福建房地产周期波动与风险防范实证研究

作为宏观经济的一个子系统,房地产市场也有其发展周期。本文通过实证分析,划分了福建房地产市场的运行周期;并对福建房地产市场与金融运行的主要指标进行相关性研究,指出福建房地产市场正处于一个新的增长周期,并受住房需求推动;与金融运行密切相关,受宏观经济、金融政策影响颇深;对金融信贷较为依赖,并直接影响银行信贷结构。     

房地产景气周期的国际比较

房地产景气与宏观经济一样,呈现出"复苏-扩张-收缩-衰退"的周期性运行特征,并表现出一定的规律性。不同国家的房地产市场会呈现出不同的运行规律,也就会表现出不同的周期性特征。研究这些国家与地区的房地产市场过去发展的经验与特征,总结分析影响因素及运行规律,对分析我国房地产市场景气周期的运行规律以及研判未来几年的发展趋势具有重要的现实意义。     

去库存视角下的安徽省房地产周期研究

作为上下游辐射效应强大的产业,房地产业已成为安徽省经济增长的重要支柱.本文综合运用定性与定量相结合的方法,通过主成分方法分析安徽省房地产市场与库存的周期性变化.实证研究表明,安徽省房地产市场发展存在明显的周期性特征,并主要受宏观经济、行业状况和市场需求等因素的影响,库存波动具有逆周期特征.立足内、外部政策选择,提出有效平抑周期波动和去库存的对策建议,为促进房地产市场的健康、可持续发展提供思路借鉴.     

上海房地产市场发展周期与金融运行关系研究

房地产市场是宏观经济的一夺子系统,具有周期运行的特点。本文通过实证分析,认为上海房地产市场周期发展态势基本形成,其受宏观经济周期、金融政策影响颇深,对实际利率较为敏感,直接影响商业银行信贷结构,虽然投资品属性日益明显,但与股票市场此消彼长的局势尚未形成。     

房地产周期波动对房地产信贷业务的影响

利用房地产周期波动理论对我国房地产市场进行了分析，预测了今后房地产市场的发展趋势，并提出了商业银行开展房地产信贷业务应采取的相应对策。     

The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns

A number of financial variables have been shown to be effective in explaining the time-series of aggregate equity returns in both the UK and the US. These include, inter alia , the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield – the gilt-equity yield ratio – has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt-equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in-sample and out-of-sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in-sample explanatory power, this is not matched by out-of sample forecast accuracy. The gilt-equity yield ratio, in contrast, performs well both in-sample and out-of-sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt-equity yield ratio dominating the other variables in terms of both in-sample explanatory power and out-of-sample forecast performance. The gilt-equity yield ratio is also shown to have substantial predictive ability for long horizon returns.     

The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns

A number of financial variables have been shown to be effective in explaining the time-series of aggregate equity returns in both the UK and the US. These include, inter alia , the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield – the gilt-equity yield ratio – has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt-equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in-sample and out-of-sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in-sample explanatory power, this is not matched by out-of sample forecast accuracy. The gilt-equity yield ratio, in contrast, performs well both in-sample and out-of-sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt-equity yield ratio dominating the other variables in terms of both in-sample explanatory power and out-of-sample forecast performance. The gilt-equity yield ratio is also shown to have substantial predictive ability for long horizon returns.     

Non‐linear Predictability of Value and Growth Stocks and Economic Activity

Recent empirical evidence suggests that stock market index returns are predictable from a variety of financial and macroeconomic variables. We extend this research by examining value and growth portfolios constructed by book-to-market ratio, and consider whether such predictability is evident here. Further, we assess whether such predictability is better characterised by a non-linear form and whether such non-linear predictability can be exploited to provide superior forecasts to those obtained from a linear model. General non-linearities are examined using non-parametric techniques, which suggest possible threshold behaviour. This leads to estimation of a smooth-transition threshold model, with the results indicating an improved in-sample performance and marginally superior out-of-sample forecast results.     

Endogenous Life‐Cycle Housing Investment and Portfolio Allocation

This paper develops a life‐cycle portfolio allocation model to address the effects of housing investment on the portfolio allocation of households. The model employs a comprehensive housing investment structure, Epstein–Zin recursive preferences, and a stock market entry cost. Furthermore, rather than resorting to calibration we estimate the value of the relative risk aversion and elasticity of intertemporal substitution. The model shows that housing investment has a strong crowding out effect on investment in risky assets throughout the life‐cycle. We further find that the effect of the presence of housing investment on households portfolio allocation is larger than the effect of having EZ recursive preferences.     

Assessing the Economic Significance of Return Predictability: A Research Note

The predictability of stock returns is often assessed using classical statistical significance from predictive regressions. Statistical inference, however, can belie the economic importance with which investors regard various predictors. This paper examines the influence that predictors have on an investor's optimal portfolio allocations. The results show that return predictability is sufficient to induce horizon effects in optimal allocations. After incorporating estimation risk, however, little evidence of predictability remains. We also assess the relative importance of three predictor variables. While dividend yield is the most important predictor, optimal allocations are also sensitive to the term spread and the relative bill rate.     

Asymmetric Information and the Predictability of Real Estate Returns

This article examines the relation between systematic price changes and the heterogeneity of investors information sets in real estate asset markets. The empirical implications rely on a theoretical economy in which information asymmetry alters the dynamic relation between returns and trading volume. We employ a filter-rule methodology to determine predictability in returns and augment the return-based conditioning set with trading volume. The additional conditioning information is necessary since the model is underspecified when predictability is based on returns alone. Our results provide new insight into the coexistence of informational and noninformational exchange in the speculative markets for real estate assets. Specifically, we find that the predictability of real estate returns is generally more indicative of portfolio rebalancing effects than an adverse-selection problem. These results are unique in addressing the time-variation in information asymmetry.     

美国房价下跌的宏观经济效应与其经济衰退的若干问题

2007年美国房价下跌引发的次贷危机和由次贷危机引发的经济衰退已成为美国经济的一个热点问题。房产市场的衰退通过多种渠道影响经济,引发了金融领域的问题,导致消费和投资下降,从而导致经济增长下降。美国政府为避免经济衰退采取了一系列的财政政策和货币政策。根据经济周期的规律看,当前美国经济衰退是短期的。美国对外出口的快速增长和劳动生产率的增长是美国经济中的亮点,因而也成为扭转经济衰退的重要因素。     

Time-Varying Variance Risk Premium and the Predictability of Chinese Stock Market Return

A number of studies have shown that the variance risk premium (VRP), defined as the difference between risk-neutral and physical expected variances, has strong predictive power for the excess stock market return, and this predictability peaks at 3- to 6-month prediction horizons. However, little research presents empirical evidences for Chinese stock market due to the absence of option market. Under general equilibrium asset pricing framework, this article estimates time-varying VRP using the Chinese stock market data. We find that the estimated VRP predicts the excess Chinese stock market return, and this forecasting power is stronger at 4- and 5-month horizons, which is consistent with the findings of existing literature.     

The Nature and Persistence of Initial Public Offering Aftermarket Returns Predictability

This paper examines the predictability of monthly aftermarket returns of initial public offerings during the first six years of trading. Predictability is tested under the null hypothesis of random walk using a Markov chain analysis. The evidence shows that excess returns of IPOs (adjusted for the return on the equally weighted NASDAQ index) demonstrate non-random walk behavior through the first five years of trading and random walk behavior in the sixth year. This is accompanied by predictability of monthly excess returns conditioned on the two previous months' excess returns. A trading strategy is offered to capitalize on the predictability patterns. Implementing the trading strategy is not possible due to institutional barriers, providing additional explanation for why IPOs do not reach their intrinsic values for extended periods of time.     

房地产税收的一般经济分析

房地产税作为地方政府理想的收入来源,对于实质性财政分权制度的建立具有非常重要的作用。关于房地产税的税负归宿问题,理论界存在三种不同的观点。但这三种观点并不是相互排斥的,在不同的情况下,每种观点可能都是有效的。按照现代资产定价理论,房地产税收通过改变住宅投资的预期增值,从而影响住宅资产价格的走势。