欧元对我国金融市场的影响分析

欧元从最初构想到进入正式流通历经坎坷,终于成功统一了欧洲多国的货币。在过去半个世纪中,国内、外学者提出并发展了关于最优货币区、国际货币体系改革和金融市场一体化等方面的多项理论,欧元的出现为这些理论提供了一个绝佳的验证机会。文章旨在研究欧元诞生后对国际金融市场以及对我国金融市场的影响。     

Monetary policy implications of housing shift-contagion across regional markets

This paper extends the shift-contagion concept to housing price returns in order to examine co-movements between pairs of regional housing markets in the US. It associates nonlinearities of housing prices with the monetary policy criteria at disaggregate levels. The framework with Markov-switching volatility in Gravelle et al. (Journal of International Economics 68:409–423, 2006) is utilized to investigate housing contagion phenomena which are defined as the switches in the structural transmission of common shocks across regional housing markets. The empirical results suggest that interactions between regional and nationwide housing markets switch across low-volatility and high-volatility regimes of common shocks for the Northeast and the West whose housing price returns are nonlinear. In addition, there is the significantly time-varying interdependence between the West and each of the other three regional housing markets. The estimated indicator of the monetary policy effectiveness implies that monetary policies can be effective in the Northeast and the West because they are more closely linked with other regional housing markets in volatile phases which are subject to housing crises. Noticeably, the broken interrelationships between regional housing markets and real economies in the 2001 recession imply high vulnerability to housing bubbles for regional markets, while short-term monetary policies can be effective in stabilizing the housing market turmoil around 2007.     

Estimating household demand for housing attributes in rent-controlled markets

We estimate the household’s marginal willingness to pay for housing attributes in the rent-controlled sector, so where rents are not freely market determined. The application of hedonic price approaches to obtain estimates of the household’s value of housing characteristics is then invalid. We apply an alternative estimation approach based on residential mobility. In our application, we focus on the households’ willingness to pay for number of rooms as well as the willingness to pay to avoid a long commuting distance. Our estimates appear plausible. For example, for households in the rent-controlled sector are willing to pay about 7% of their household income for an additional room. The implied marginal costs of commuting are about €0.17–€0.23 per (one-way) kilometre.     

Booms and busts in housing markets: Determinants and implications

This study looks at the characteristics and determinants of booms and busts in housing prices for a sample of eighteen industrialised countries over the period 1980–2007. From an historical perspective, we find that recent housing booms have been amongst the longest in the past four decades. Estimates of a Multinomial Probit model suggest that domestic credit and interest rates have a significant influence on the probability of booms and busts occurring. Moreover, international liquidity plays a significant role for the occurrence of housing booms and—in conjunction with banking crises—for busts. We also find that the deregulation of financial markets has strongly magnified the impact of the domestic financial sector on the occurrence of booms.     

Shock-dependent conditional skewness in international aggregate stock markets

This article uses the S_U-normal distribution to model the dynamic behavior of skewness in ten international aggregate stock indices—five indices each from developed and emerging markets. The conditional skewness process is specified as both autoregressive and dependent on lagged return shocks. Our primary result is that a negative return shock skews the time-varying distribution to the right for mature markets but to the left for emerging markets. In addition, we find that the asymmetry in volatility is noticeably larger in developed markets than in emerging markets. Finally, including the skewness process in modeling has no effect on the asymmetry and persistence in volatility obtained. These results are different from those of previous studies, which demonstrate the existence of both effects.     

The coordinate-wise core for multiple-type housing markets is second-best incentive compatible

We consider the generalization of Shapley and Scarf’s (1974) [Shapley, L., Scarf’s, H., 1974. On cores and indivisibility. Journal of Mathematical Economics 1, 23–37.] model of trading indivisible objects (houses) to so-called multiple-type housing markets. We show that the prominent solution for these markets, the coordinate-wise core rule, is second-best incentive compatible.     

Introduction to international financial markets and banking systems crises

This note introduces to the literature streams explored in the special section on international financial markets and banking systems crises. All topics tackled are related to the Great Recession. A brief overview of the research questions and related literatures is provided.     

Strategic determinants of managerial labor markets: A career systems view

This paper proposes a four-cell typology of career systems, which describes the way different corporate strategies reflect the nature of executive labor markets. The two critical dimensions of the model, “supply flow” and “assignment flow,” reflect the external and internal movement of executives. We use recent examples from industry to demonstrate the way in which business and career system strategies align. We then examine individual background and personality variables, drawn from a ten-year study tracking 125 MBA graduates, to show how executives sort themselves into the career system best suited to their needs. The broader purpose of this research is to begin to tie together a general theory of career systems that focuses on the level of the firm in its changing strategic and industry context.     

On the use of grouping methods in the analysis of residential housing markets

In this article we employ four different statistical techniques (geographic, AID, cluster and discriminant analysis) to define homogeneous groupings of houses within an urban area. Analysis of a sample of data from Fayette Country, Kentucky indicates that each of these methods produces distinguishable homogeneous groupings of properties. Predictions of house values are compared using data from Lane County, Oregon, San Mateo County, California, and Fayette County. The major conclusions of the study are that there are no discernible differences among the four methods and that predictions made ignoring the grouping information are as accurate as those obtained by grouping.     

保障性住房财政补贴模式效率评价——基于住房供给市场差异的研究

加大保障性安居工程财政补贴支持力度,确保财政补贴的高效运行成为推进安居工程建设的关键。依据住房供给弹性和住房过滤理论,从经济学角度分析了供方补贴和需方补贴的实施效率。基于不同城市的住房市场差异,考察我国11个典型城市的住房供给弹性和住房过滤,在识别本地区住房市场特性的基础上探讨适宜采取的补贴方式。研究表明,不同城市由于住房供给弹性和过滤情况的不同,保障性住房财政补贴的效率存在显著差异,采取合适的保障房补贴方式,能够优化资源配置,打破财政压力对推进保障房工作的限制。     

Understanding gentrification: an empirical analysis of the determinants of urban housing renovation

The “back-to-the-city” phenomenon presented an unpredicted countercurrent in the prevalent tide of suburbanization, and this process of upper-income resettlement in the inner city has been thoroughly analyzed in the urban economic literature. Housing renovation, a process that always accompanies gentrification and constitutes a significant portion of residential housing investment, has been studied much less. Contrary to the expectation that “location matters,” the existing empirical studies have concluded that most neighborhood amenities and structural attributes are insignificant as determinants of renovation. Using a detailed parcel-level data set that documents all residential renovation activity in Chicago between 1995 and 2000, this paper establishes that the characteristics of a building and its neighborhood do indeed influence the likelihood that it will be renovated.     

The role of the list price in housing markets: Theory and an econometric model

Houses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the Baltimore, MD, area. The estimated model predicts sale and reservation prices conditional on list prices. The predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression. The estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time.     

What moves housing markets: A variance decomposition of the rent–price ratio

We apply the dynamic Gordon growth model to the housing market in 23 US metropolitan areas, the four Census regions, and the nation from 1975 to 2007. The model allows the rent–price ratio at each date to be split into the expected present discounted values of rent growth, real interest rates, and a housing premium over real rates. We show that housing premia are variable and forecastable and account for a significant fraction of rent–price ratio volatility at the national and local levels, and that covariances among the three components damp fluctuations in rent–price ratios. Thus, explanations of house-price dynamics that focus only on interest rate movements and ignore these covariances can be misleading. These results are similar to those found for stocks and bonds.     

Do the GSEs matter to low-income housing markets? An assessment of the effects of the GSE loan purchase goals on California housing outcomes

This study evaluates the effects of the GSE mortgage purchase goals on homeownership and housing conditions among communities that are the focus of the 1992 GSE Act and the HUD affordable housing goals. To identify GSE effects, the test framework exploits differences in the definition of lower-income and underserved neighborhoods under the 1992 GSE Act, which specifies loan purchase goals for the GSEs, and the 1977 Community Reinvestment Act, which governs loan origination activity among the federally-insured depository institutions. Research finding suggest little efficacy of the GSE home loan purchase goals in elevating the homeownership and housing conditions of targeted and underserved neighborhoods, in turn suggesting the importance of ongoing federal policy focus in achievement of affordable housing objectives.     

The impacts of investor sentiment on returns and conditional volatility of international stock markets

One of the main arguments of behavioral finance is that some properties of asset prices are most probably regarded as deviations from fundamental value and they are generated by the participation of traders who are not fully rational, thus called noise traders. Noise trader theory postulates that sentiment traders have greater impact during high-sentiment periods than during low-sentiment periods, and sentiment traders miscalculate the variance of returns undermining the mean-variance relation. The main objective of this research is to construct a model to evaluate the returns and conditional volatility of various stock market indexes considering the changes in the investor sentiment by measuring the effects of noise trader demand shocks on returns and volatility. EGARCH model is used to determine whether earning shocks have more influence on the conditional volatility in high sentiment periods weakening the mean–variance relation. This paper takes an international approach using weekly market index returns of U.S., Japan, Hong Kong, U.K., France, Germany, and Turkey. Weekly trading volumes of these indexes are regressed against a group of macroeconomic variables and the residuals are used as proxies for investor sentiment and significant evidence is found that there is asymmetric volatility in these market indexes and earning shocks have more influence on conditional volatility when the sentiment is high.     

The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand

We study the economic linkage between homebuilder stock market performance and commodity futures market information on a major component of building materials—lumber. The price of lumber plays a dual role in determining homebuilder profits: it represents a production input cost and serves as a future housing demand indicator. Using all US publicly listed homebuilder stocks, we show that the housing demand effect dominates the builder–lumber relationship. This effect is robust even after we control for the Federal Housing Finance Association (FHFA) housing price index (HPI). Our results further indicate that the slope of the lumber futures curve serves as a cross-market signal of future housing demand and thus of homebuilder stock market performance.     

Franchisors do their homework before entering international markets: Experiences from the Australian franchising sector

Whilst the literature on international franchising practice is well established, an issue that remains unaddressed is the optimal timing for international expansion activities. In this study an Internet survey of the population of business format franchisors in Australia is conducted to obtain a profile of franchising, including international expansion data. In the second stage, a series of case studies with 16 Australian-based franchise systems is reported. The results indicate that franchisors do not wait until the domestic market is saturated before venturing overseas. Moreover, franchisors tend to develop their international expansion strategies after the business has demonstrated success in the local market.