Wealth effects on the housing markets: Do market liquidity and market states matter?

This paper analyzes the effect of household wealth (including housing and financial wealth) on housing sales and probes their long-run and short-run dynamic relationships. We further examine the short-run effect of financial wealth on housing sales by employing quantile regressions, restricted upon different liquidity (quantile) levels and up-down housing markets, from which the differences between the early and late stages of an uptrend/downtrend can be respectively exhibited. We find that housing wealth, income, and mortgage rates have long-run influences on housing sales. Looking at the short run, we find that housing sales only respond to housing wealth and mortgage rates. When we distinguish the effects of financial wealth on housing sales in up-down housing markets, we note a positive influence of financial wealth on housing sales in down markets, but not in up markets. Particularly, our results show an impact of housing liquidity on the short-run relationships.     

Forecasting profitability and earnings: a study of the UK market (1982–2000)

An approach recently developed by Fama and French (2000 Fama, EF and French, KR. 2000. Forecasting profitability and earnings. The Journal of Business, 73: 161–75.  ) is applied to the study of whether UK company profitability is mean-reverting. A sample of roughly 987 firms per year for a period from 1982–2000 is used, drawn from Datastream. In a simple partial adjustment model convergence towards the mean at a rate of about 25% per year is found. The results are very similar in direction to those of Fama and French (2000 Fama, EF and French, KR. 2000. Forecasting profitability and earnings. The Journal of Business, 73: 161–75.  ) but the results do not display significant non-linearities. The change in profitability appears to be more strongly influenced by dividends in the UK.     

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai's stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a,b) recursive explosive‐root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway‐McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.     

An alternative approach to the construction of multi-regional input–output tables of the Czech Republic: application of the CHARM method

Empirica - The main scope of the paper is to review the construction method of (multi-)regional input–output tables (RIOTs) in the Czech Republic at the NUTS 3 regional level. We compare the...     

Investment–productivity dynamics and distribution dynamics in a multisector economy: some theory and an application to Italian regions

In this paper, we study the investment–productivity dynamics in the Framework Space, presented by Böhm and Punzo [Cycles, Growth and Structural Change, Routledge, London (2001) 47], as the distribution dynamics of the production sectors of an economy. We apply such theoretical framework to data from Italian regions to identify differences in sectoral behaviors both within and across regions. Our main findings are: sectors within a region generally follow different regime dynamics; Southern Italian regions are generally characterized by higher degrees of heterogeneity in sectoral growth behaviors and of regime instability. Also, we find support to the hypothesis of a positive relation between this type of instability and unemployment, as argued by the Neo-Austrian theory of structural dynamics.     

Firm adaptiveness and performance heterogeneity: the case of sales–advertising dynamics in an evolving product market

We combine evolutionary theory concepts and multivariate persistence methodology to develop and test expectations about the adaptiveness of firm decisions and its implications for performance heterogeneity. We focus on the relatively reversible advertising decisions in an evolving product market, domains typically ignored by evolutionary research. We find that an adaptive decision routine helps an incumbent firm maintain its advantages and overcome the challenge posed by a major competitive entry.

To market,to market: imperial capitalism’s destruction of social capital and the family

The market, far from being the sine qua non for modern society in general, and the family in particular, has eroded the social fiber that gives shape and resilience to the experiences of individuals, families, and ultimately, the market itself. Reviewing both historical and feminist analysis of the family in a capitalist market society, it is clear that the modern market is imperial. Not only does it transform every human interaction into a transient market exchange, it undermines the basis for social reproduction through the family. Using the concept of social capital as a primary analytical tool, this paper argues that the distinction between home and market labor has been unnecessarily polarized, limiting policy options. Thus, society’s ability to produce and maintain long-standing social networks is put at risk, paradoxically reducing the market’s ability to perform efficiently.JEL Categories: D10; J22; J16     

Interrelationships among the Taiwanese,Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model

The purpose of this study is to analyze the interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH model can be used to capture long memory behavior and allow us to conclude that mean and volatility spillover, and long memory effects are found in these three markets. Furthermore, we found that deviations in the long-run equilibrium for Japanese TFT-LCD panel industry adjust back very slowly in comparison to the other two countries; and that, in terms of conditional covariance, dynamic interrelationships exist among the TFT-LCD panel industry stock market indices of these three countries.     

The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing

This article presents some evidence for the presence of a causal relationship between price and volume in the crude oil futures market. The results of linear causality testing reveal the presence of causality running from volume to price but not vice versa. While the results of testing for nonlinear causality are inconsistent, most of the evidence shows that causality runs in both directions. In general, there is evidence for the sequential information arrival hypothesis and the noise trading model, but not for market efficiency. There is also some evidence for the presence of a maturity or a liquidity effect. Finally, there is some variation in the results, depending on the sample period.     

Wage bargaining and induced technical change in a linear economy: Model and application to the US (1963–2003)

In a simple one-sector, two-class, fixed-proportions economy operating at full capacity, wages are set through generalized axiomatic bargaining à la Nash (1950). As for choice of technology, firms choose the direction of factor-augmenting innovations to maximize the rate of unit cost reduction (Kennedy, 1964, Funk, 2002). The aggregate environment resulting by self-interested decisions made by economic agents is described by a two-dimensional dynamical system in the employment rate and output/capital ratio. The economy converges cyclically to a long-run equilibrium involving a Harrod-neutral profile of technical change, a constant rate of employment of labor, and constant input shares. The type of oscillations predicted by the model matches qualitatively the available data on the United States (1963–2003). Institutional change, as captured by variations in workers’ bargaining power, has a positive effect on the rate of output growth but a negative effect on employment.     

Industrial invention: a supply and demand model for the UK, 1961–1989

A supply and demand model of industrial invention is presented paying particular attention to the impact of past advances on present advances in knowledge. The model is estimated using a recent span of UK data: a good fitting specification is found, which passes a battery of diagnostic tests, and possesses sensible long-run properties and an interpretable lag structure. The specific results found should be of potential interest to governments wishing to encourage the flow of inventions by fiscal means.     

Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship

We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.     

Economic class and the distribution of income: a time-series analysis of the UK economy, 1955–2010

This paper contributes to our understanding of the determinants and dynamics of surplus-value using quarterly UK data, 1955–2010, and the Johansen (1988 Johansen, S. 1988. Statistical analysis of cointegrated vectors. Journal of Economic Dynamic and Control, 12: 231–54. [Crossref], [Web of Science ®] , [Google Scholar], 1991 Johansen, S. 1991. Estimation and hypothesis of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59: 1551–80. [Crossref], [Web of Science ®] , [Google Scholar]) cointegration and vector error correction model (VECM). A model is introduced to define this Marxian concept, before we explain distribution, paying attention to three forces that are traditionally seen as drivers of power in this struggle: (i) working class militancy; (ii) the size of the ‘reserve army’ of the unemployed; and (iii) political party. Our results demonstrate the ongoing relevance of Marxian economics in providing an alternative, robust and significant explanation of distribution in the post-war UK economy.     

The 2007–2009 financial crisis: changing market dynamics and the impact of credit supply and aggregate demand sensitivity

This article singles out the determinants of changes in US firms’ systematic risk and idiosyncratic return induced by the 2007–2009 financial crisis. After establishing that systematic risk changes during the crisis, the results show that higher operational and financial leverage coincide with an increase in systematic risk, while high cash availability is associated with a decrease in systematic risk. The crisis-induced idiosyncratic return worsens with increasing financial leverage, higher sensitivity to aggregate demand shocks and banking sector problems, and lower operational leverage. Additional results show that the aforementioned variables have economically large effects on firm performance during the crisis.     

Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the last and biggest one being the one that ‘broke the camel’s back’ – the demise of the Mt Gox exchange.     

Welfare effects of quality change and new products in the Japanese mobile telecommunications market: 1995–2001

This paper presents a simple framework based on a discrete choice model to assess the welfare effects of quality change and new products. Such a framework is shown to be useful where the hedonic approach is impracticable. This framework is applied to the Japanese mobile telecommunications market during the period 1995–2001. The estimated qualities for mobile telecommunications services in Japan are shown to have improved rapidly during this period, indicating the importance of quality change in the welfare gains of consumers relative to price change, and the need to adjust quality change in the construction of price indexes. However, it is also proven, at least in the earliest stages, that the effect of new services on consumer welfare was limited.