Perceived vs actual financial crisis and bank credit standards: Is there any indication of self-fulfilling prophecy?

We link senior banks loan officers’ responses regarding their decisions for bank credit standards, from successive surveys from the European Bank Lending Survey to investigate two important issues. First, we examine the relationship between bank credit standards (CS) and perceived and actual financial crisis. Second, we investigate whether the notion of the self-fulfilling prophecy is applicable in the case of the 2008 financial crisis. In particular, the second main research question that we try to answer is whether the perceived crisis (as implied by the Google search query “financial crisis”) contributed to the acceleration of the outburst of the actual crisis. We find that both perceived and actual financial crisis affect senior bank loan officers’ credit standards, with the actual crisis having the greatest impact. These results are consistent both in the short and in the long run. Finally, by putting forward a binary choice model we find sufficient evidence to support the Self-Fulfilling Prophecy notion.     

Placing Arts Districts within Markets: A Case Study of 798 Arts District in Beijing

This article examines the dual role of arts districts as places situated simultaneously in the urban land and art markets. It highlights the need for research into arts districts to take this dual role into account, as well as the impact that the two markets can have on these places. While the impact of the art market on land values in arts districts has been studied in some cases of art‐led gentrification, there has been limited consideration of how the changing organization and structure of the art world and art market have affected these places, especially during the last decade. Through a case study of 798 Arts District in Beijing, China, this article demonstrates that both land value and the art market situation need to be taken into account when explaining changes to and/or the spatial stickiness of an art scene, and that an artist community's investment in the value of an arts district as a generator of symbolic capital in the art market could be one driver of land value. The article concludes by advocating for greater attention to the dual market role of arts districts, as well as a stronger engagement with the knowledge produced by art scholars in geographical and urban studies of arts districts.     

Speculation and corn prices

It is commonly asserted that speculative trading activities are largely behind the high and volatile food commodity price behaviour since 2006. In this article, we revisit this hypothesis by investigating how different speculative measures affect our conclusion on the role of speculation. Four speculative measures are considered, including index trading activities, non-commercial net long positions, Working’s speculative index, and an excessive speculative volume index. These four measures imply different underlying hypotheses about the role of speculation on commodity price movements and encompass most of the measures used in the recent literature on the role of speculation in commodity markets. Using a structural vector autoregressive (SVAR) model, we show a mixed impact of speculative trading on corn prices depending on the measure used. While shocks to index trading activities and excess speculation as measured by Working’s T have either zero or negative impact on corn prices, a positive shock to non-commercial net positions or the Tadesse index significantly increases the price of corn. However, the magnitude of the impact is not large, at most about $0.30 per bushel in real terms. Our findings are robust to structural breaks, alternative ordering of variables, and an alternative specification of the model.     

Macroeconomic stabilization,monetary-fiscal interactions,and Europe's monetary union

The euro area recently experienced a prolonged period of weak economic activity and very low inflation. This paper reviews models of business cycle stabilization with an eye to formulating lessons for policy in the euro area. According to standard models, after a large recessionary shock accommodative monetary and fiscal policy together may be necessary to stabilize economic activity and inflation. The paper describes practical ways for the euro area to be able to implement an effective monetary-fiscal policy mix.     

Path dependence,self-fulfilling expectations,and carbon lock-in

Growing under the incumbent dirty regime might generate inertia against switching to a clean alternative and lead to the carbon lock-in. I analyze the economics of carbon lock-in through the lens of path dependence and self-fulfilling expectation. The incumbent dirty regime, as the first mover, accumulates an installed base of household users during early lead periods. The installed base generates an effect of path dependence that incentives upcoming households to keep on joining the incumbent dirty regime rather than switch to the clean alternative. Switching could be an expectation-driven selection outcome if expectations are formed about an expanding clean regime which outweighs the path dependence effect. Switching is a welfare-improving outcome if welfare gains by upcoming households switching to the clean regime offset welfare losses by installed-base households locked in the dirty one.     

ORDINARY LEAST SQUARES LEARNING AND NONLINEARITIES IN MACROECONOMICS

Abstract.  The paper reviews the literature on adaptive learning in macroeconomic settings where the formation of expectations is particularly relevant. Special attention will be given to simple two-period overlapping generations models with a unique fixed point perfect foresight equilibrium; in this kind of scenario, eventual long-term periodic and a-periodic cycles are exclusively the result of the process of learning. The outcome that high rates of money growth have a potentially destabilizing effect generating periodic fluctuations and chaos is emphasized. The persistence of systematic forecast errors in a scenario where agents are supposed to act rationally is relevant in this context and it will be thoroughly discussed resorting to the notions of self-fulfilling mistakes, consistent expectations equilibria and beliefs equilibria.     

Expectations and systemic risk in EMU government bond spreads

This paper explores the determinants of 10-year sovereign bond spreads over the German Bund benchmark in the Euro Zone from 2000 to 2013, relying on cross-country quarterly data panel analysis. The paper focal point is the role of contagion and euro break-up risks in widening the sovereign bond yield differentials among EU member countries. Using a novel synthetic index capable of monitoring the sustainability of currency unions, the paper finds that market expectations of a euro’s break up and contagion from Greece were fundamental drivers of sovereign risk premia in peripheral countries.     

凯恩斯论投资与投机的区别——兼评我国投资学教材中相关问题

本文从凯恩斯思想中提取关于投资与投机区别的内容,并通过比较指出我国投资学教材中存在的一些严重的理论错误与混乱,以期产生一定的思想纠偏作用。凯恩斯准确、精炼地定义了投资与投机,指出投资具有建设性社会功能,以及证券市场因便于投机而给投资造成障碍的深刻现实问题,论述了投资与投机的策略与特征区别。凯恩斯区分投资与投机的思想有非常重要的价值,对我国的投资学理论与证券市场建设具有重要指导意义。     

Conditional price volatility,speculation, and excessive speculation in commodity markets: sheep or shepherd behaviour?

The present study aims to investigate the dynamics of primary commodity spot prices and the role of speculation for the period 1995–2012. Using a linear and nonlinear Granger causality analysis, the relationship between speculation and GARCH conditional price volatility on the one side, and the linkage between excessive speculation and GARCH conditional price volatility on the other side, is carefully examined with the scope to establish whether volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables. The results show that excessive speculation leads conditional price volatility, and that bilateral relationships often exist between price volatility and speculation. In addition, the lead-lag relationships are not found for the entire sample period, but rather when small sub-periods are taken into account. It turns out, in fact, that excessive speculation has driven price volatility for maize, rice, soybeans, and wheat in particular time frames, but the relationships are not always overlapping for all considered commodities. Generally, the results under linear causality tests are in agreement with those obtained under nonlinear counterparts.     

房地产价格地区差异影响因素的计量分析

伴随房地产市场调控政策的陆续出台,各地房地产市场的走势成为政府、产业界和消费者共同关注的焦点。国家要求各地要根据自身房地产市场的状况制定有针对性的限购政策和廉租房、经适房建设政策。这其中值得注意的一个重要问题就是各地政府如何根据房地产市场价格形成的内在规律,制定差异化的符合各地房地产市场发展实际的政策,从而对保证各地房地产市场的发展和民生的改善具有很好的协调性。因此,揭示房地产市场价格地区差异形成的内在机理,并以此作为制定各地差异化调控政策的依据,就成为其中的关键所在。