Excessive Financial Support,Real Estate Development and Macroeconomic Growth: Evidence from China

ABSTRACT

Using monthly panel data for China’s 30 provinces from 2007 to 2017, this article analyzes how level of financial support affects the interplay between real estate development and macroeconomic growth. Based on a threshold model, the results suggest that housing price increases substantially impede economic growth, but there is no significant threshold effect for the sample as a whole. On investigating regional cross-sectional variations, we found that local economic situation clearly impacts on this effect, with significant threshold effects detected in subsamples. While housing price may have positive influences on economic growth in the mid-west subgroup with appropriate financial support, more developed regions returned contrary results.     

价格涨跌幅机制对市场波动及换手率的影响

文章调查了价格限制机制对股票价格波动以及市场流动性的影响。首先刻画了实行价格涨跌幅限制后股票价格的变化特征,研究价格限制机制对股票价格波动的影响;随后在考虑延续冲击效应因素的基础上,通过对引入价格限制机制后投资者总成本的考察,研究了该机制对市场流动性的影响。文章结论认为,股票价格涨跌幅限制机制的引入,将增加股票市场的波动性,并且会导致投资者心理所能承受的潜在收益、损失量减小,使投资者更加频繁地买卖股票．从而增加市场换手率,进而提高整个市场的流动性。     

闭环供应链均衡管理的经济学分析

立足于闭环供应链,以循环视点,从定量化的角度对基于两层的正向供应链和闭环供应链均衡模型进行了比较分析,分别通过对比分散企业与闭环供应链模式下的价格激励、信息共享程度对企业效益的影响,揭示了闭环供应链在基于两种激励机制下的优势,大大提高了整个供应链的竞争力。     

The institution efficiency of stock price limits： An experimental analysis on the two stocks market with continuous bid

Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.     

跨国公司小家电品牌和价格策略研究

文章认为品牌和价格策略直接关系到跨国公司在中国激烈市场竞争中的成败。由于对品牌和价格的关系认识不清、对中国市场缺乏了解和对自身品牌的过于自信,跨国公司往往偏向于高端产品的销售并采取过高的价格定位,但事实上,高价格并不一定等同于高品牌价值,跨国公司只有按照价值决定价格的规律,合理界定品牌与价格的关系,通过品牌价值的提升来作为价格策略制定的依据,通过价格来反映自身的品牌价值,才能真正赢得市场竞争。     

Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima increases exponentially with the number of states, implying computational complexity. The optimal constrained portfolio allocation may therefore not be monotonic in the state–price density. We propose a type of financial innovation, which splits states of nature, that is shown to weakly enhance welfare, restore monotonicity of the optimal portfolio allocation in the state-price density, and reduce computational complexity. We are grateful to Ken Kavajecz and seminar participants at Harvard Business School, London School of Economics, Maastrict University, ZEI Bonn, and Danske Bank Symposium on Asset allocation and Value-at-Risk: Where Theory Meets Practice for comments on an earlier version of this paper. We also benefitted from the suggestions of two anonymous referees. Our papers can be downloaded from www.RiskResearch.org.     

Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales

This paper describes the development of a house price index that has been introduced in May 2005 in The Netherlands. This monthly index, called Woningwaarde Index Kadaster (House Price Index Kadaster), is designed to detect changes in the price of the overall stock of owner-occupied homes. Fifty-five indices are calculated: one overall index, four regional indices, 12 provincial indices and 38 indices based on combinations of region/province and dwelling type. We used Case and Shiller’s geometric Weighted Repeat Sales Model to calculate monthly house price indices. We used recorded data on the sales of over 500,000 owner-occupied homes in The Netherlands, all representing repeat sales between January 1993 and December 2006. The accuracy of the index was determined using the 95% confidence interval. We observed that accuracy might become a problem in smaller sub samples. Revision volatility was explored by comparing the index values computed from all available data until December 2005 with the index values computed from the data available until December 2006. Our analysis showed that revision volatility does not seem to be a major problem to the index. We also explored heteroskedasticity in the Repeat Sales method but did not find conclusive evidence for the proposed heteroskedasticity. Given our target (a geometric mean index value) and the characteristics of the dataset (very large but without property characteristics) the Repeat Sales Method seems to be adequate for calculating a house price index for The Netherlands.

Value creation with Dye’s disclosure option: optimal risk-shielding with an upper tailed disclosure strategy

Dye [J Account Res 23 (1985) 123] showed that the optimal disclosure policy, when a manager is randomly endowed with perfect private information, is upper tailed, i.e., the manager only discloses firm value above an appropriate cutoff level. We interpret this strategically as an optimal exercise by management of the embedded formal option to report value. Given any disclosure cutoff level, we value the corresponding option using contingent claims analysis. It is shown that the Dye disclosure cutoff value maximizes the formal option value. We find it to be the minimum possible conditional valuation (conditioned by non-disclosure) which is thus consistent with the intuition that investors should value conservatively. We show how the Dye cutoff can be interpreted as a strike price in a ‘protective put’ which offers a shield against risk of disclosure of low value. The strategic analysis is further extended by allowing the probability level that the manager is informed to be a choice variable. We show that the manager will never choose to be perfectly endowed with information, and is likely to be more endowed than unendowed. We also present a simple worked example which shows how the total value of the firm changes once the Dye option is formally incorporated.

Index Revision,House Price Risk,and the Market for House Price Derivatives

It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.

Home Equity,Household Savings and Consumption

The home-owning family’s equity is a piggybank that can be broken open by borrowing. Each borrowing increases liabilities and cash equally, initially leaving net wealth unchanged. When those funds are spent and cash balances fall, consumption increases even as net wealth can decline. In a dynamic optimization, the marginal propensity to consume from net wealth is not always positive and can be positively correlated with housing debt.