Using household surveys to implement field experiments: the willingness to donate to food banks

This paper demonstrates that it is possible to jointly produce household surveys and field experiments by incorporating field experiments into the structure of the financial incentives used to enhance response rates. We use the opportunity to donate the financial incentive to a food bank to illustrate how the strategy would work.     

The Performance of Commercial Mortgages

This study examines the return characteristics of a large, well-diversified commercial mortgage portfolio. Mortgage-specific cash-flow histories are constructed for 2,480 loans originated over the period 1974 through 1990, and a contingent-claims approach to pricing risky debt is used to estimate inter-temporal market values. Quarterly holding-period returns are compared across selected mortgage groups and to alternate asset classes. Our findings suggest that both mortgage returns and volatility of return are comparable to those of other forms of fixed-income assets over the study period. Implied property price volatility is found to average 17%, a result significantly higher than reported in earlier studies. While mortgage returns are found to vary by property type and region of origin, cross correlation of returns is found to be high, illustrating the systematic effect of interest rates on the performance of commercial mortgages over the period 1974 through 1990. However, an increase in credit risk in the latter years of the study suggests that diversification may be a worthwhile objective for holders of these assets. We do not find evidence to suggest that abnormal returns were earned on commercial mortgage portfolios over the study period.     

Estimation of Mortgage Defaults Using Disaggregate Loan History Data

This paper addresses, theoretically and empirically, the structure of influences affecting the default option in mortgage contracts. A formal theoretical model recognizes that a number of loan and non-loan related effects beyond equity in the unit could influence the default decision. These include 1) payment levels relative to income, which could displace other investment opportunities or cause a need for borrowing or sale to meet mortgage obligations; 2) current and expected neighborhood and housing market conditions, in particular the expected relative rate of appreciation of the unit and the relative cost of homeownership; 3) economic conditions; 4) wealth; 5) borrower characteristics proxying for variability in income or "crisis" events; as well as 6) transactions costs incurred upon default. Estimates of the model making use of a micro-level sample of individual loan histories over a twelve year period, supplemented by longitudinal census and economic information, find a number of these "other" effects important. Simulations find several of them to dominate the equity effect on default and to help explain why some households with zero or negative equity may not default, while others with positive equity may. The implications of these results for appropriate specification of the pricing model describing the default option and for appropriate underwriting of AMIs are noted.     

Hong Kong: Inevitably irrelevant to China?

The protests in Hong Kong that took place in 2019 and are still ongoing in 2020 have attracted worldwide attention. This article presents an analysis of the relationship between Hong Kong and Mainland China through a number of different lenses, including past economic relations in financing, trade, capital flow, and renminbi (the Chinese currency) internationalisation, future economic relations against the background of China's growth model transition and global investment environment, and future political relations against the background of the China model under the leadership of President Xi Jinping. This article finds that Hong Kong has in the past mattered to Mainland China, may in the present matter to Mainland China to some extent, but in future may matter less or become irrelevant.     

Chinese commercial paper: The bank lending channel of monetary transmission and beyond

China's commercial paper financing experienced dramatic growth in January 2019. This paper examines the bank lending channel of China's monetary transmission to commercial paper, and more broadly, the factors that affect the growth of commercial paper, which is the first of its kind in the academic literature. The main conclusions include: the bank lending channel to commercial paper exists; the performance of the real economy also has a significant effect on the growth of the commercial paper.     

Does the low-income housing tax credit increase the supply of housing?

The low-income housing tax credit (LIHTC) was originated in conjunction with the Tax Reform Act of 1986 (TRA 86) to provide incentives for private sector production of low-income housing. In this note we examine whether these units have added to the existing stock or merely substituted for unsubsidized units that otherwise would have been built. We explicitly control for effects of the number of other supply-side (e.g., public housing, Section 8 New Construction, Section 236 housing) and demand-side (vouchers and Section 8 Certificates) subsidies. From estimations of a simple cross-state model of the determinants of the stock of housing per 1000 population, we find no significant relationship between the number of LIHTC units (and other subsidized units) built in a given state and the size of the current housing stock, suggesting a high rate of substitution. However, our test is not sufficiently powerful to reject some alternative null hypotheses that suggest a lower rate of substitution, and we make some suggestions for future research.     

Analysing the Agricultural Costs and Non‐market Benefits of Implementing the Water Framework Directive

Implementation of the Water Framework Directive (WFD) represents a fundamental change in the management of water in Europe with a requirement that member states ensure ‘good ecological status’ for all water bodies by 2015. Agriculture is expected to bear a major share of WFD implementation costs as it is compelled to reduce the emission of diffuse water pollutants. The research outlined here comprises interdisciplinary modelling of agricultural land use, hydrology and consequent water quality effects to consider both agricultural costs and the non‐market recreational use (and potentially non‐use) values that implementation of the Directive may generate. A theme throughout the research is the spatial distribution of the costs and benefits of WFD implementation, which is addressed through the use of GIS techniques in the modelling of agricultural land use, the integration of land use and hydrological models, and the estimation, aggregation and transfer of the economic value of the benefits.     

Meta-analysis in model implementation: choice sets and the valuation of air quality improvements

This research illustrates how the methods developed for meta-analysis can serve to document and summarize voluminous information derived from repeated sensitivity analyses. Our application is to the sensitivity of welfare estimates derived from discrete choice models to assumptions about the choice set. These assumptions affect welfare estimates through both the estimated parameters of the model and, conditional on the parameters, the substitution among alternatives. In our specific application, the evaluation is in terms of estimated benefits of air quality improvements in Los Angeles based on discrete choices of neighborhood and housing. Copyright © 2007 John Wiley & Sons, Ltd.