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《Journal of Property Research》2012,29(2):171-191
This study supplies empirical evidence on the dynamic interactions between the property markets in Germany and the United Kingdom and their country‐specific macroeconomic environment. Using a VECM framework, the findings contribute to improving the evaluation of the properties’ behaviour by considering a wide range of macroeconomic risk factors. On a long‐term basis, we find remarkable similarities between both examined real estate markets with respect to significance, signs and magnitude of coefficients, despite essential differences in terms of market structure, conditions and performance. This suggests that the fundamental role of property markets in an economy dominates the country‐specific characteristics in the long run. However, the distinctive features of the national property markets, including differences with respect to the financial systems, are primarily relevant during the short‐term adjustment process back to the long‐term equilibrium. 相似文献
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《Journal of Property Research》2012,29(4):343-366
ABSTRACTThe primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in-house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead–lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa. 相似文献
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《Journal of Property Research》2012,29(2):127-155
This paper investigates empirically the changes in long‐run relationship and short‐term linkage among the US, UK and eight Asian real estate securities markets before, during, and after the 1997–1998 Asian financial crisis as well as in the most recent period. Using a combination of Johansen linear cointegration, Bierens nonlinear cointegration, Granger causality tests, variance decomposition analysis and volatility spillover methodology, our results indicate that the degree of market interdependence in Asian real estate securities markets appears to have become stronger in the long run and short term since the Asian financial crisis. Further, this market interdependence seems to be on a rising trend ten years after the Asian financial crisis. This stronger market relationship between the Asian and US markets implies a portfolio combination of these markets is less likely to provide diversification benefit in the form of minimum risk. One important lesson to learn from our study is that portfolio managers should constantly review their international diversification models and strategies with respect to the constituent markets because of possible changes in market interdependence triggered by a major crisis. 相似文献
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《Journal of Property Research》2012,29(2):95-122
The aim of this paper is to examine long‐run relationships and short‐run causal linkages among the public property markets of the Asia‐Pacific region (Australia, Hong Kong, Japan and Singapore) and the US over a period beginning January 2000 and ending March 2006. Long‐term results indicate that, from the perspective of the US investor, the markets of Hong Kong and Japan provide the greater diversification benefits. Short‐run causality tests show no significant lead‐lag relationships between the property market of the US and those of the Asia‐Pacific markets, indicating a wide range of possible diversification opportunities. Thus, US investors in international real estate markets can derive diversification benefits from investing in these public property markets both in the long and short run. 相似文献
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《Journal of Property Research》2012,29(4):315-332
We examine the long memory of real estate investment trust (REIT) volatility in the mature REIT markets of Australia, Japan, the UK and the US, and propose a modified fractionally integrated (FIGARCH) model for forecasting at daily and weekly frequencies. Long memory of volatility occurs when the effects of volatility shocks persist over extended periods of time. Our results suggest that the appearance of long memory in REIT return series is due to a lack of adjustment for temporal changes in the unconditional mean of volatility. Based on our long memory results, we empirically test a modified FIGARCH model and show that it performs better at weekly and daily forecast horizons. Forecasting REIT series volatility has important implications for risk evaluation, portfolio optimisation and derivatives pricing. 相似文献
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This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over 5,300 observations per series. The volatility series exhibit strong long-term dependence, which is an indicator of fractional integration. A fractional integration model, FIGARCH(1, d , 1), performs significantly better than a traditional volatility model, GARCH(1,1), in modeling agricultural futures price volatility. 相似文献
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《Journal of Property Research》2012,29(3):213-232
This paper revisits the Real Estate Investment Trust (REIT) long-memory literature and addresses two important research questions: one, whether the observed long memory in REIT volatility is genuine or spurious (that is, caused by structural changes); and, two, a related one – whether the long memory is self-similar. Regarding the first question, we find strong evidence for the coexistence of pure long memory and structural breaks in all developed countries under study when daily data are used. But for the emerging markets under study some show coexistence while others show only pure long memory. Such a finding is also shared by both developed and emerging markets when it comes to using lower frequency data (weekly and monthly). As for the second question, we find support for self-similarity when we compare the daily and weekly long-memory estimates for the developed markets, implying that long memory is an intrinsic feature of the data. However, the support is not strong enough to completely rule out the possibility of structural breaks. Moreover, the support is found reduced when we consider the emerging markets and the monthly estimates from the developed markets. This is possibly due to the small sample size in both cases. Overall our findings have important implications for volatility modeling and forecasting. 相似文献
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The central market hypothesis is important in the analysis of market integration because it implies a specific market structure while avoiding a simultaneity problem. However, despite its importance, the central market hypothesis is difficult to test and is therefore often assumed. This article shows that the hypothesis can be tested in a Johansen cointegration test provided that prices are nonstationary. This approach is applied to reveal the existence of central markets for sorghum in Tanzania. The results indicate that the Tanzanian sorghum market can be grouped into two market regions, with prices being determined in a central market in each region. 相似文献
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Seyed H. Hosseini Richard Gray Mohammad Torshizi 《Revue canadienne d'agroeconomie》2019,67(1):115-130
This study investigates the relationship between technologies that firms expect to achieve after cross-licensing (CL) and their incentives for signing CL agreements in a multiproduct-firm setting. Results indicate that if markets are bounded substantial technological improvements that result in removal of firms’ current products from the market may in fact reduce firms’ incentives to negotiate a CL deal. This may also give firms an incentive to agree upon a tacit collusion by which they limit the utilization of CL technologies. However, when markets are unbounded, the prospect of capturing new markets and charging royalty fees can significantly increase firms’ incentives for CL. The rationale behind our modeling assumptions is discussed using example from agriculture biotechnology industry. 相似文献
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We use a simple theoretical model of seasonal market participation in the presence of liquidity constraints and transaction costs to explain the ‘sell low, buy high’ puzzle in which some households do not take advantage of inter‐temporal price arbitrage through storage and sell output postharvest at prices lower than observed prices for purchases in the subsequent lean season. We test our model with data from western Kenya using maximum likelihood estimation of a multivariate sample selection model of market participation. Access to off‐farm income and credit indeed seem to influence crop sales and purchase behaviours in a manner consistent with the hypothesised patterns. 相似文献
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从大农业视角剖析中国水产业与循环经济 总被引：3，自引：1，他引：3
作者试图从我国粮食安全保障角度出发,在分析了我国水产业的现状与问题的基础上,为"紧缺资源替代"战略的一个重要组成部分的必要性与可行性.同时文中讨论了"循环经济"基本理念,并提出了我国水产业实施"循环经济"的"社会大循环"、"企业间循环"、"企业内循环"三个可供选择的基本模式,体现了"资源节约"精神与产业可持续发展的原则. 相似文献
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In resource accounting, simple theoretical models built upon efficiency prices have been developed to capture changes in social welfare generated by natural resources. We examine whether changes in market stumpage prices, as proxies for efficiency prices, have actually reflected changes in the physical timber inventories in Finland and Sweden during the past seventy years. Cointegration and unit root tests show that no long-term equilibrium relationships exist between the timber prices and stocks. After identifying a potential reason for the result, the basic theoretical growth model is slightly elaborated to provide a more appropriate framework for measuring net domestic product for the forest sector. 相似文献
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We examine the effect of wheat stocks on the relationship between port and inland wheat prices in western Canada after the dissolution of the Canadian Wheat Board in 2012. Standard statistical tests find no evidence that the port price is cointegrated with inland prices. We argue that large harvests in 2013–2014 and 2014–2015 are responsible for this lack of cointegration. A simple theoretical model demonstrates how wheat stocks drive a wedge between inland and port prices. After including wheat stocks in the cointegrating vector, we find the expected cointegrating relationships between the port and inland prices. Using an error correction model, we show that a 10% increase in the wheat stocks reduces producer prices in Alberta and Manitoba by 6% and 4%, respectively. We conclude by discussing policy options for reducing the size of wheat stocks on the prairies. 相似文献
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Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices 总被引：3，自引：0，他引：3
Kelvin Balcombe Alastair Bailey Jonathan Brooks 《American journal of agricultural economics》2007,89(2):308-323
Recent studies into price transmission have recognized the important role played by transport and transaction costs. Threshold models are one approach to accommodate such costs. We develop a generalized Threshold Error Correction Model to test for the presence and form of threshold behavior in price transmission that is symmetric around equilibrium. We use monthly wheat, maize, and soya prices from the United States, Argentina, and Brazil to demonstrate this model. Classical estimation of these generalized models can present challenges but Bayesian techniques avoid many of these problems. Evidence for thresholds is found in three of the five commodity price pairs investigated. 相似文献
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研究玉米产量的主要影响因素,利用协整分析,检验了各影响因素与玉米产量之间的长期均衡以及短期动态均衡关系.研究表明,玉米产量与玉米种植面积以及玉米出口量之间存在着长期均衡关系,在其他条件保持不变的情况下,玉米种植面积每增加1％,玉米产量增加1.606635％.最后,根据协整分析结果,提出增加玉米产量的政策建议. 相似文献
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Error correction models and agricultural supply response 总被引：1，自引：0，他引：1
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研究目的:实证检验中国土地交易价格的季节性并分析季节性的根源。研究方法:统计分析法和计量检验。研究结果:(1)中国住宅用地和商业旅游娱乐用地以及工业用地交易价格具有显著的季节性,但季节变动模式并不一致;(2)"8.31大限"带来的市场化土地出让方式并没有改变土地交易价格的季节性。研究结论:工业用地价格与住宅和商业用地价格表现出不同的季节变动模式,货币供应量和住宅价格指数的季节因子显著的领先于土地交易价格的季节因子。 相似文献
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Using data from the Alaska pollock fishery, this study investigates the link between the implementation of rights-based management and processors' price-responsiveness in a multiproduct fishery. The analysis is based on cointegration with structural breaks to provide empirical evidence of a change in the long-run relationship between processors' production, product prices, and whole fish deliveries. The results indicate that the endogenously determined structural breaks happened near the time when this fishery implemented individual fishing quotas. Furthermore, the estimation of the cointegrating vector indicates that the processors of this fishery are significantly more price-responsive after the change in management. 相似文献