Asymmetric Properties of Office Rent Adjustment

In this paper we use an error correction model for understanding the changes in real office rents for a panel of 15 U.S. MSA’s over the period 1990-2007. We find that office rents in all cities react positively to a rise in office employment and lagged rent changes, while lagged deviations from equilibrium rent levels exhibit a slow and partial adjustment over time. Given the non-negativity constraint of vacancy rates we extend the basic model by examining whether rents react to positive changes in employment conditional on the vacancy rate level. Our results show that office rents react significantly stronger to increases in employment when vacancy rates are below the long-term average. We also repeat the analysis for clusters of cities based on similarities in rent and employment dynamics using multi dimensional scaling. The cluster results confirm the overall conclusions and show that our results are not solely valid for the full panel of cities.     

我国存款准备金率调整对股市的非对称性影响分析

存款准备金率的调整历来都牵动着股票市场参与者的神经。然而,关于存款准备金率与股市之间相互关系的研究并没有得出一个十分明确的结论。一般观点认为存款准备金率与股市之间存在一种逆向关系。本文基于大样本事例研究的实证方法分析了存款准备金率与股市之间的关系。我们发现存款准备金率的调整与股市之间存在一种非对称性的关系:存款准备金率的降低对股票市场有很强的提振作用,而存款准备金率的升高并不能够抑制股市的上涨。     

Market quality changes in the London Stock Market

This paper examines the impact that the introduction of a closing call auction had on market quality at the London Stock Exchange. Using estimates from the partial adjustment with noise model of Amihud and Mendelson [Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533–553] we show that opening and closing market quality improved for participating stocks. When we stratify our sample securities into five groups based on trading activity we find that the least active securities experience the greatest improvements to market quality. A control sample of stocks are not characterized by discernable changes to market quality.     

Asymmetric Information in the Subprime Mortgage Market

Because of impersonal securitization in the secondary market, the ultimate investors in a mortgage have only a limited amount of information about the borrower??s characteristics. This creates an asymmetric information problem because of hidden knowledge on the part of the primary lenders, who naturally have much better access to this information. This is aggravated by the free rider problem when there are multiple investors. We discuss to what extent the secondary market then seeks to sort the loans to ameliorate this problem and what role reputations play. More importantly, however, the actions of the primary lender in terms of which kinds of loans they choose to approve are partly hidden, and this typical principal-agent situation importantly aggravates the incentive problem. To judge the nature and magnitude of this moral hazard dilemma, we use data to compare how well investors in the secondary mortgage market can predict default given the information they typically have access to as compared to the ability of primary lenders to similarly predict default given the larger set of information they typically will have access to. Finally, the implications of these results are indicated, particularly in light of the recent mortgage crisis.     

Term Structures in the Office Rental Market in Stockholm

This paper contains an empirical study of the rental term structure in a property market that included a dramatic boom and bust cycle. The study is applied to office leases in commercial properties located in Stockholm CBD, Sweden. The time period under study is 1977–1991. The number of observations (lease contracts) that we were able to make full use of in the regression analyses is n=861. For seven out of fifteen years studied, a significant term structure was observed. The estimated hedonic rent equation was also used to construct an office rental index.     

The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings

This paper investigates the asymmetric momentum effect over time periods following UP and DOWN market states in the Shanghai and Shenzhen Stock Exchanges of the Chinese Class A share market. We show that the post-UP-market momentum effect eclipses the post-DOWN-market momentum effect in unison in both market segments. Notably, the asymmetric pattern of the market-state-dependent momentum effect in the Shenzhen Stock Exchange is outpaced by that found in the Shanghai Stock Exchange. Furthermore, through decomposing momentum returns, we reveal that low liquidity, higher market return volatility, and weak under-reaction of share prices towards firm-specific news jointly contribute to the subdued asymmetry of market-state-dependent momentum returns in the Shenzhen Stock Exchange.     

Interbank Market Integration under Asymmetric Information

Cross-country bank lending appears to be subject to market imperfectionsleading to persistent interest rate differentials. In a modelwhere banks need to cope with liquidity shocks by borrowingor by liquidating assets, we study the scope for internationalinterbank market integration with unsecured lending when cross-countryinformation is noisy. We find that an equilibrium with integratedmarkets need not always exist, and that it may coexist withone characterized by segmentation. A repo market reduces interestrate spreads and improves upon the segmentation equilibrium.However, it may destroy the unsecured integrated equilibrium.     

Green Design and the Market for Commercial Office Space

This paper considers the relationship between energy-efficient design and the leasing/sales markets for commercial real estate. An economic model is provided that considers lease rates and occupancy in simultaneous equilibrium. The behavior of both is predicted to be influenced by efficient design attributes. Selling price is determined by both rents and occupancy; therefore the impact of efficient design on commercial sales activity should be distributed through the leasing market. The model is tested empirically using a national sample of sales and leasing data for class A office buildings. The evidence indicates that “green” buildings achieve superior rents and sustain significantly higher occupancy. The improved performance in the rental market is reflected in a significant premium for the selling price of Energy Star-labeled and LEED-certified properties.     

Developing Confidence Intervals for Office Market Forecasts

This study focuses on the precision of models that forecast office construction and absorption. The article is novel because for the first time it applies Feldsteins (1971) technique for developing forecast standard errors in the presence of stochastic exogenous variables. The purpose of the article is not to find behavioral relationships but rather to evaluate forecasts. We find that in the case of many office markets, standard errors of long-term forecasts for absorption and completions are quite large, and therefore the forecasts themselves should not be used as a reliable basis for underwriting.     

Bank-Specific Daily Interest Rate Adjustment in the Dutch Mortgage Market

This paper presents an empirical analysis of the interest rate setting behavior of the four largest banks in the Dutch mortgage market, using advertised interest rates at a daily frequency. The evidence for the long run pricing behaviour suggests that the banks operate in a competitive environment as they base their interest rates on funding cost. However, two banks appear to be less cost sensitive than the others. In the short run, most of the banks adjust their rates less strongly to funding cost increases than to decreases, which suggests competitive pressures. For one bank significant evidence is found for a quicker response to negative than to positive deviations of actual from desired interest rates.     

Asymmetric Information and the Market Structure of the Venture Capital Industry

In this paper we study a horizontally differentiated market for financial intermediation and develop a simple explanation for concentration in the financial intermediation industry. We show that under asymmetric information, if the demand for funds is not perfectly elastic, the heterogeneity of entrepreneurs in need of financing translates into a barrier to entry. That is, we do not need to resort to learning, weak property rights or exogenous costs of entry to generate this result.     

Property Asset Bubbles: Evidence from the Sydney Office Market

The cyclical variation in office construction, vacancies, rents, and values over the last decade has been enormous throughout the world. Reasons advanced for this enormity include prolifigate lenders, egotistical developers, and even rational behavior in the face of uncertainly and long construction periods. Our analysis of the Sydney office market suggests a fourth contributing factor: the failure of investors to understand the workings of property markets. Given the incentives of developers to build when value rises substantially above replacement cost and not to build when value is low relative to replacement cost, the property market has to be mean reverting. We provide direct evidence that Sydney investors did not incorporate mean reversion into their vacancy rate forecasts at the cyclical trough and as a result under valued properties. We provide indirect evidence that mean reversion of cash flows was not incorporated at the cyclical peak and that this triggered excessive construction and vacancies. That is, the Sydney office market in the late 1980s is another example of excess price volatility or an asset price bubble.     

我国国债市场的格局与调整对策思考

1997年以来我国的国债流通市场被分割为交易所市场和银行间债券市场,两大市场的基础与发挥的功能并不相同,没有必要将两者合并。根据我国证券人口和机构投资者培育的现状,进一步突出交易所国债市场的资本市场特征,塑造银行间国债市场为货币市场和场外市场的功能,优化国债市场结构应是基本方向。     

我国货币政策对股票市场影响的不对称性分析

本文运用动态计量经济分析方法,在对2007年以来我国各层次货币供应量月度同比增速与股票市场之间关系进行实证研究的基础上,考察了货币政策对股票市场影响的不对称性问题.研究结果表明,以货币供应量同比变动衡量的货币政策同股票市场存在着长期均衡关系,并且至少存在一个方程可以反映各变量间的这种稳定关系.其中,M0和M1的同比增速是上证综指的格兰杰原因.反周期的货币政策对股票市场的影响具有不对称性,货币政策在紧缩期对股市的负面作用大于其在扩张期的积极影响.     

我国货币政策调整对债券市场及其参与者的影响分析

本文在对2003年以来我国货币政策重大调整进行简要回顾的基础上，通过对中国债券总指数走势的解读，分析了我国债券市场波动与货币政策调整的互动关系，认为货币政策主要可以从资金供应和心理预期两方面对债券市场施加影响，每一次货币政策的变化都会直接导致债券市场行情的大幅上扬或下挫。在这一过程中，作为中国债券市场参与主体的商业银行，由于市场规模、市场机制、交易工具、参与者性质等方面的限制，很难主动地对自身的债券投资组合进行调整，以规避风险。为解决上述矛盾，作者认为，应该从商业银行（市场参与者的主要代表）、债券市场本身以及市场监管者和政策执行者等几方面着手来完善和改进中国债券市场的结构和功能，从而增强以商业银行为主体的债券市场参与者的抵御风险的能力。     

Asymmetric Labor Market Institutions in the EMU and the Volatility of Inflation and Unemployment Differentials

How does the asymmetry of labor market institutions affect the adjustment of a currency union to shocks? To answer this question, this paper sets up a dynamic currency union model with monopolistic competition and sticky prices, hiring frictions, and real wage rigidities. In our analysis, we focus on the differentials in inflation and unemployment between countries, as they directly reflect how the currency union responds to shocks. We highlight the following three results. First, we show that it is important to distinguish between different labor market rigidities as they have opposite effects on inflation and unemployment differentials. Second, we find that asymmetries in labor market structures tend to increase the volatility of both inflation and unemployment differentials. Finally, we show that it is important to take into account the interaction between different types of labor market rigidities. Overall, our results suggest that asymmetries in labor market structures worsen the adjustment of a currency union to shocks.     

利率调整的未预期成分对股市的影响效应研究

本文通过将利率调整分解为预期成分和未预期成分,建立扩展的指数广义自回归条件异方差模型,以分析中央银行利率调整的未预期成分对股市的影响.实证结果表明,利率调整的未预期成分与股市收益率负相关,一个百分点的未预期的利率变动将导致次日股市收益率反向变化0.34个百分点.同时,未预期的利率调整成分将导致次日的股市波动性降低,但利率调整后的第2个交易日股市的波动性又恢复到之前的水平.从利率调整后的第3个交易日开始,未预期成分对股市波动性的影响不再具有显著性,表明股市价格在2个交易日的时间里已经完全吸收了未预期利率调整的信息.