MEASURING POVERTY USING BOTH INCOME AND WEALTH: A CROSS‐COUNTRY COMPARISON BETWEEN THE U.S. AND SPAIN

We study the correspondence between a household's income and its vulnerability to income shocks in two developed countries: the U.S. and Spain. Vulnerability is measured by the availability of wealth to smooth consumption in a multidimensional approach to poverty, which allows us to identify three groups of households: the twice‐poor group, which includes income‐poor households who lack an adequate stock of wealth; the group of protected‐poor households, which are all those income‐poor families with a buffer stock of wealth they can rely on; and the vulnerable‐non‐poor group, including households above the income‐poverty line that do not hold any stock of wealth. Interestingly, the risk of belonging to these groups changes over the life‐cycle in both countries while the size of the groups differs significantly between Spain and the U.S., although this result is quite sensitive to whether the housing wealth component is included in the wealth measure or not.     

Tax,credit constraints,and the big costs of small inflation

This paper develops a heterogeneous‐agent overlapping generations model that examines how the neutrality of the tax system with respect to inflation depends on the price elasticity of the housing supply. The model, which endogenises house prices and rents, and which incorporates detailed tax regulations and bank‐imposed credit constraints, shows (a) inflation has large effects on the tenure arrangements of young households irrespective of the housing supply elasticity; and (b) inflation can improve the welfare of some low income young households if the supply is sufficiently elastic. The welfare costs of inflation are reduced by taxing real rather than nominal interest.     

Boom in,bust out: Young households and the housing price cycle

The UK experienced a major residential real estate boom–bust cycle from the mid-1980s to the mid-1990s, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the likely causes of this episode, with little to say about the differential effects on various age groups. We show that, in a life-cycle model with income heterogeneity and credit constraints, the observed co-movements of housing prices and owner occupancy rates can be explained as an equilibrium response to income and credit market shocks. Our findings suggest that the financial liberalisation of the early 1980s was crucial for the unparalleled increase in the owner occupancy rate of young households during the boom.     

Consumption,Income, and Wealth: Evidence from Age,Cohort, and Period Elasticities

This paper examines the relationship between non‐durable consumption, income, and wealth (housing and financial) allowing explicitly for generational heterogeneity. A framework is proposed to disentangle cohort, age, and period effects and the empirical analysis is based on the U.S. Consumer Expenditure Survey data. We find that there are significant generational differences and the results highlight the range of elasticities implicit in results presented, thus far, by age groups. Moreover, we find supporting evidence of humped shaped age profiles for the elasticity of consumption with respect to income and the importance of financial wealth for those aged 60+. The framework also allows us to generate cohort profiles which draw attention to the negative role of housing wealth for generation X, and period profiles which reinforce the role of financial wealth for the baby‐boom generation.     

A DYNAMIC MODEL OF HOUSING DEMAND: ESTIMATION AND POLICY IMPLICATIONS*

Using data from the PSID, we estimate a dynamic model of housing demand with nonconvex adjustment costs, credit constraints, and uncertainty about income and home prices. We simulate how consumer behavior responds to house price and income declines as well as tightening credit. In response to a negative home price shock, households early in the life cycle climb the housing ladder more quickly and invest more in housing assets due to the lower price. With a concurrent negative income shock, however, housing demand falls among young and middle aged households who stay in smaller homes rather than to trade up.     

Modelling structural change in the UK housing market: A comparison of alternative house price models

This paper develops a new approach to the modelling of house prices in the UK, with housing demand being conditioned directly on consumers' expenditure rather than the determinants of expenditure. Conditioning on consumption ensures that the permanent income measure used in determining the level of consumption is consistently reflected in housing demand. The effects of financial liberalisation on the relative consumption of housing and non-housing goods and services are captured using the average loan-value ratio for first-time buyers. We also allow for financial effects via the real user cost of home ownership. House prices are assumed to adjust so as to clear the housing market. The proposed model is found to have structurally stable parameters across the housing market downturn since 1990. Statistical comparisons with the more conventional models in use at HM Treasury and the Bank of England during the early 1990s provide additional evidence in favour of our proposed approach.     

TAXES,REGULATIONS AND THE CORPORATE DEBT MARKET*

Outstanding credit market debt in the U.S. corporate sector increased dramatically over the second half of the 20th century. During this period, tax rates on dividend distributions and corporate income decreased. This article argues that the observed decline in dividend and corporate income tax rates generated an improvement in the collateral value of corporate assets and led to an increase in U.S. corporate debt. To analyze this conjecture, we build a general equilibrium model with enforcement constraints that induce endogenous limits on debt financing. We find that the model can account for the time‐series features of U.S. corporate debt data.     

A model of housing and credit cycles with imperfect market knowledge

The paper presents a model of housing and credit cycles featuring distorted beliefs and comovement and mutual reinforcement between house price expectations and price developments via credit expansion/contraction. Positive (negative) development in house prices fuels optimism (pessimism) and credit expansion (contraction), which in turn boost (dampen) housing demand and house prices and reinforce agents׳ optimism (pessimism). Bayesian learning about house prices can endogenously generate self-reinforcing booms and busts in house prices and significantly strengthen the role of collateral constraints in aggregate fluctuations. The model can quantitatively account for the 2001–2008 U.S. boom-bust cycle in house prices and associated household debt and consumption dynamics. It also demonstrates that allowing for imperfect knowledge of agents, a higher leveraged economy is more prone to self-reinforcing fluctuations.     

What are the effects of fiscal policy on asset markets?

We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.     

长三角房地产市场的价格差异及决定因素

城市的房地产价格能充分反映所在地区经济发展水平、人口集聚、资金流动和居民的消费偏好等有关信息.长三角城市群房地产市场显现较明显的体系分层结构,为研究房屋价格差异的决定因素提供了很好的素材.文章用长三角16个城市2000-2004年房地产市场的数据,揭示了需求差异是决定长三角地区城市间房屋价格差异的主要因素.其中,城市之间在居民人均收入和非农人口比例的差异又是决定各个城市对住房存在不同需求的主导因素.然而,我们同时发现,人均房屋竣工面积等供给因素对房屋价格并没有显著的影响.这说明当前长三角城市群的房地产市场价格差异主要由需求因素决定,供给因素起到的作用较弱.     

Econometric analysis of credit constraints of chinese rural households and welfare loss

Using recent survey data of Chinese rural households, we estimate the impact of credit constraints on Chinese rural households’ income and consumption. Results reveal that 71% of rural households are rationed in the credit markets. The credit constraints have significant negative effects on the income and consumption of rural households. The expenditures on education and medical treatments, the size of land holdings, household head education and the balance of financial capital all affect the demand of credit. Personal connections (relationship) are the most important determinate of the supply for credit.     

FINANCE,DISTRIBUTION AND THE ECONOMIC OBJECTIVE OF FINANCIAL COOPERATIVE INSTITUTIONS

This paper proposes a model where the structure rather than the size of the financial sector explains its influence on income distribution. Because of information asymmetries, a financial sector dominated solely by profit‐maximizing financial intermediaries will increase income and wealth inequality as it gives preferential access to credit for high‐income agents, whereas a diversified inclusive financial sector with alternative models of finance, like cooperatives, will reduce the inequality gap. No full convergence in income distribution can be realized through finance only and there is still a need for redistribution policies. Accordingly, an objective function for cooperative financial institutions should define a desired pricing behaviour that can increase the income of members at a rate higher than the average growth rate of the economy.     

The role of financial systems for cross-country differences in the link between income and consumption inequality

This article discusses why consumption inequality stays low despite high income inequality in the U.S; but income inequality is closely followed by consumption inequality in China. We show that different financial systems can play a critical role in shaping the cross-country different links between income and consumption inequality. This phenomenon is consistent with the cross-country different relationships between income inequality and saving rates. Consumer credit expansion in the U.S. makes inequality much less serious for consumption than for income, and this result holds to an even larger extent if more domestic credit can be financed by foreign savings. But this is not the case in China, whose financial system focuses only on investment and trade while neglecting liquidity constraints on consumption. Our assertions accord well with evidence found from the U.S., China, and other related economies.     

Comovements among U.S. state housing prices: Evidence from fractional cointegration

This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegrating relations between U.S. states housing prices and the overall U.S. housing prices as well as among state housing prices. The results raise doubts regarding the long-run convergence in U.S. state housing prices and the presence of the ripple effect.     

房地产属性、收入差距与房价变动趋势

以往关于收入差距与房价之间关系的研究,较少兼顾房地产的消费与投资双重属性。文章基于双重属性的角度,首先从理论上阐述了收入差距与房价之间的动态关系。在经济发展水平较低的情况下,房地产的消费属性凸显,收入差距扩大会抑制房价上涨;随着经济的进一步发展,房地产单一属性不明显,收入差距变化对房价不存在显著影响;当经济发展水平较高时,房地产投资属性占优,收入差距扩大会促进房价上涨。进一步对理论结果进行实证研究发现,整体上我国收入差距与房价之间无显著相关关系,单一属性不明显;但就省际差异而言,在经济发展水平较高的省份,收入差距促进了房价上涨,而在经济发展水平较低的省份,收入差距则抑制了房价上涨。随着时间的变化,收入差距由抑制房价上涨转变为促进房价上涨。     

The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries

We study the changing international transmission of U.S. monetary policy shocks to 14 OECD countries over the period 1981Q1–2010Q4. The U.S. monetary policy shock is defined as unexpected change in Effective Federal Funds Rate (FFR). We use a time varying parameter factor augmented VAR approach (TVP-FAVAR) to study the EFFR shocks together with a large data set of 265, major financial, macroeconomic and trade variables for U.S., Canada, France, Germany, Italy, UK, Japan, Australia, Spain, Norway, Sweden, Switzerland, Finland and New Zealand. Our main findings are as follows. First, negative U.S. monetary policy shocks have considerable negative impact on GDP growth in the U.S., Canada, Japan and Sweden while most of the other member countries benefits. Second, the transmission to GDP growth has increased in OECD countries since the early 1980s. We also detect a more depressed GDP over medium term in the U.S., Canada, Japan, Australia, Norway and Sweden over the recent global financial crisis. Third, the size of U.S. monetary policy shocks during financial turmoil periods were unusual than normal periods and varies overtime. The financial crisis (2008–2009) is evidenced by decline in residential investment in the U.S. and propagation of this shock to Canada, Germany, Japan, Switzerland and New Zealand over the recent period. U.S. monetary policy shocks reduce share prices in most of the OECD countries; this impact is more pronounced over the turmoil period. Asset prices, interest rates and trade channel seem to play major role in propagation of monetary policy shocks.     

THE MEASUREMENT OF U.S. REAL CAPITAL INPUT, 1929–1967

The purpose of this paper is to develop methods for the measurement of real capital input. These methods are based on perpetual inventory estimates of capital stock and corresponding estimates of capital service prices. Stocks and service prices are adjusted for relative utilization of capital. The resulting estimates represent a separation of income from capital into price and quantity components. Estimates of capital input in current and constant prices are constructed for corporate business, non-corporate business, and households and non-profit institutions in the United States for the period 1929–1967. These estimates are prepared in a form suitable for integration into the U.S. National Income and Product Accounts.     

FISCAL POLICY AND ASSET PRICES

We analyse the impact of fiscal policy on asset prices using a panel vector auto‐regressive (PVAR) approach and quarterly data for ten industrialized countries. We find that positive fiscal shocks lead to a temporary fall in stock prices and a gradual and persistent decrease in housing prices. The empirical findings also point to: (i) a contractionary effect of fiscal policy on output in line with the existence of crowding‐out effects and the deterioration of credit conditions; (ii) a weakening of the effectiveness of fiscal policy in recent times; (iii) a more persistent response of asset prices for countries with a lower degree of openness; (iv) a larger impact of fiscal policy on asset prices for small countries; (v) a close link between the responsiveness of asset prices to fiscal policy and the government’s size; (vi) an increase of the sensitivity of asset prices to fiscal policy shocks following the process of financial deregulation and mortgage liberalization; and (vii) significant fiscal multiplier effects in the context of severe housing busts. Finally, the evidence suggests that changes in equity prices may help governments towards consolidation of public finances.     

THE IMPACT OF FINANCIAL HELP AND GIFTS ON HOUSING DEMAND AND COST BURDENS

Financial transfers are an important source of income for many households and recipients may use these funds to pay for housing services. This paper examines the separate impact of financial help and substantial gifts on both housing demand and housing cost burden. The results indicate receiving gifts has a positive and statistically significant impact on housing demand. Households receiving help or gifts have substantially higher housing cost burdens, all else being held constant. These findings have implications for the financial well-being of recipient households and ultimately, the mortgage industry . ( JEL R20, R21)     

由美国次贷危机引发的中国商业银行住房信贷风险研究

美国次贷危机所引发的国际金融危机愈演愈烈,加大了中国经济运行的不确定性。这进一步加大了中国商业银行住房信贷业务的风险。对此,中国商业银行应充分借鉴美国次贷危机的启示,加强中国商业银行个人信贷风险管理。