Forecasting crude oil prices with DSGE models

In this study, we conducted an oil prices forecasting competition among a set of structural models, including vector autoregression and dynamic stochastic general equilibrium (DSGE) models. Our results highlight two principles. First, forecasts should exploit the fact that real oil prices are mean reverting over long horizons. Second, models should not replicate the high volatility of the oil prices observed in samples. By following these principles, we show that an oil sector DSGE model performs much better at real oil price forecasting than random walk or vector autoregression.     

Forecasting the volatility of asset returns: The informational gains from option prices

A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to approximate option prices, resulting in a set of cross-equation restrictions on the model’s parameters. The full model is characterized by a nonlinear system of three equations containing asset returns, the realized variance, and the VIX, with estimation of the parameters based on maximum likelihood methods. The forecasting properties of the new class of forecasting models, as well as a number of special cases, are investigated and applied to forecasting the daily S&P500 index realized variance using intra-day and daily data from September 2001 to November 2017. The forecasting results provide strong support for including the realized variance and the VIX to improve variance forecasts, with linear conditional variance models performing well for short-term one-day-ahead forecasts, whereas log-linear conditional variance models tend to perform better for intermediate five-day-ahead forecasts.     

Aging and house prices

The paper investigates how aging will affect house prices. It uses for the first time a house price dataset covering 22 advanced economies. The analysis finds that demography did and will affect real house prices significantly. The results suggest that a major shift is taking place. In the past 40 years, on average demography increased advanced economy real house prices by around 30 basis points per annum, while in the next 40 years aging will decrease them on average by around 80 basis points per annum compared to neutral demographics. The shift from demographic tailwinds to headwinds might also be relevant when thinking about financial asset prices.     

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——     

Hedonic prices and composite commodities

In this paper we conjecture and, to an extent, prove that recently noted restrictions required for the logical coherence and empirical relevance of hedonic price models make these models no more general than traditional housing services models. In particular, intra-urban variation in hedonic prices may not be substantively related to market equilibration at all, and therefore is not evidence for the existence of housing sub-markets. Moreover, in the case of jointly produced housing characteristics, the hedonic price models are found to be less general than the traditional homogeneous housing services models.     

松绑的价格

<正>编者按:近期,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务。非保障性住房物业服务价格放开这一政策的落地实施,将会为行业带来哪些变化?物业管理各方主体,特别是物业服务企业,如何用好这一政策,推动物业管理实现质价相符,成为业界普遍关注的问题。本期杂志继续组织专题,邀请业界专家和相关人士进     

松绑的价格

<正>编者按:近日,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务,拉动消费,促进相关行业健康发展。据了解,目前,湖北、陕西等多个地方的物价主管部门已经下发通知,将执行国家发改委的这一政策。非保障性住房物业服务价格放开这一政策的落地实施,将会为行业带来哪些变化?物业管理各方主体,特别是物业服务企业,如何用好这一     

Commodity house prices

This paper studies how commodity price movements have affected the local house prices in commodity-dependent economies, Australia and New Zealand. We build a geographically hierarchical empirical model and find that the commodity prices influence local house prices directly and also indirectly through macroeconomic variables. The impacts of commodity price changes are analogous to “income shocks” rather than “cost shocks”. Regional heterogeneity is also observed in terms of differential dynamic responses of local house prices to energy versus non-energy commodity price movements. The results are robust to alternative approaches. Directions for future research are also discussed.     

松绑的价格

<正>编者按:近日,国家发展改革委印发通知,要求地方放开非保障性住房物业服务、住宅小区停车服务等9项商品和服务价格,鼓励市场通过竞争提供质优价廉的多样化服务,拉动消费,促进相关行业健康发展。据了解,目前,湖北、陕西等多个地方的物价主管部门已经下发通知,将执行国家发改委的这一政策。     

Commercial property prices and bank performance

We seek to assess the relationship between commercial property price movements and the behavior and performance of individual banks in a range of industrialized economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively associated with bank lending and profitability, and negatively associated with banks’ net interest margin and bad loan ratios. Further extensions show that the degree to which such a relationship holds is related to the size of the bank. The results underline the relevance of commercial property prices as a macroprudential variable that warrants scrutiny by the authorities.     

Hedonic house prices and spatial quantile regression

Despite its long history, hedonic pricing for housing valuation remains an active research area, and applications of new estimation methods continually push research frontiers. However, housing studies regarding Chinese cities are limited because of the short history of China’s free housing market. Such studies may, nonetheless, provide new insights given the nation’s current transitional stage of economic development. Therefore, this research makes use of publicly accessible sources to construct a new micro-dataset for an emerging Chinese city, Changsha, and it incorporates quantile regression with spatial econometric modeling to examine how implicit prices of housing characteristics may vary across the conditional distribution of house prices. Substantial variations are found, and the intuitions and implications are discussed. Additionally, the spatial dependence exhibits a U-shape pattern. The dependence is strong in the upper and lower parts of the response distribution, but it is little in the medium range.     

Press freedom and jumps in stock prices

Press freedom varies substantially across countries. In a free environment, any news immediately becomes public knowledge through mediums including various electronic media and published materials. However, in an unfree environment, (economic) agents would have more discretionary powers to disclose good news immediately, while hiding bad news or releasing bad news slowly. We argue that this discretion affects stock prices and that stock markets in countries with a free press should be better processors of economic information. Using an equilibrium asset-pricing model in an economy under jump diffusion, we decompose the moments of the returns of international stock markets into a diffusive risk and a jump risk part. Using stock market data for a balanced panel of 50 countries, our results suggest that in countries with a free press, the better processing of bad news leads to more frequent negative jumps in stock prices. As a result, stock markets in those countries are characterized by higher volatility, driven by higher jump risk and more negative return asymmetry. The results are robust to the inclusion of various controls for governance and other country- or market-specific characteristics. We interpret these as good stock market characteristics because a free press improves welfare and increases economic growth.     

Self-reinforcing effects between housing prices and credit

The financial crisis has brought the interaction between housing prices and household borrowing into the limelight of the economic policy debate. This paper examines the nexus of housing prices and credit in Norway within a structural vector equilibrium correction model (SVECM) over the period 1986q2–2008q4. The results establish a two way interaction in the long-run, so that higher housing prices lead to a credit expansion, which in turn puts an upward pressure on prices. Interest rates influence housing prices indirectly through the credit channel. Furthermore, households’ expectations about the future development of their own income as well as in the Norwegian economy have a significant impact on housing price growth. Dynamic simulations show how shocks are propagated and amplified. When we augment the model to include the supply side of the housing market, these effects are dampened.     

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.     

Forecasting and loss functions

This paper considers two problems of interpreting forecasting competition error statistics. The first problem is concerned with the importance of linking the error measure (loss function) used in evaluating a forecasting model with the loss function used in estimating the model. It is argued that because the variety of uses of any single forecast, such matching is impractical. Secondly, there is little evidence that matching would have any impact on comparative forecast performance, however measured. As a consequence the results of forecasting competitions are not affected by this problem. The second problem is concerned with the interpreting performance, when evaluated through M(ean) S(quare) E(rror). The authors show that in the Makridakis Competition, good MSE performance is solely due to performance on a small number of the 1001 series, and arises because of the effects of scale. They conclude that comparisons of forecasting accuracy based on MSE are subject to major problems of interpretation.     

土地市场价格走势平稳——2008年全国城市地价状况分析报告

2008年是我国土地市场和房地产市场深度变化与调整的一年.地价在房价等多重因素的共同作用下,表现出平稳的态势.……