Housing prices and the business cycle: An empirical application to Hong Kong

This paper develops a two-agent, two-sector, open-economy DSGE model with a housing-market sector and a borrowing constraint. Contrary to standard conventions, domestic households are allowed to invest in foreign housing and vice versa. Using Bayesian methods, the model is applied to data for Hong Kong. We identify strong and robust housing wealth effects, and show that property prices are mainly driven by intratemporal preference perturbations rather than by disturbances in financial frictions or price mark up shocks. These disturbances also explain a non-negligible part of the volatility of consumption, GDP and employment.     

Smart Homes as a Means to Sustainable Energy Consumption: A Study of Consumer Perceptions

European and national policies are aimed at reducing greenhouse gases and increasing energy efficiency—also in the household sector. For this purpose, new solutions for private homes based on information and communication technologies (ICT) are being developed and tested. However, up to now, hardly anyone has seen, experienced or lived in an environment that offers the full range of ICT-based energy management solutions. In this study, consumer reactions to a fully furnished and equipped smart home are analysed using focus groups (four groups with a total of 29 participants). The analysis looks at consumer perceptions of and reactions to an energy management system which optimizes electricity consumption based on different ICT solutions. The topics that were demonstrated in practice and then discussed with the participants included variable tariffs, smart metering, smart appliances, and home automation. In general, there were positive group reactions to the smart home environment. Consumers saw many advantages for themselves; especially the chance to save money. However, giving up high levels of flexibility and adapting everyday routines to fit in with electricity tariffs were regarded as difficult. Smart appliances and smart meters were therefore considered to be necessary elements by most participants. Concerns regarding data privacy played a major role in one of the groups.     

Konjunkturpakete versus Austeritätspolitik

We evaluate the impact of fiscal stimulus measures during the financial crisis and the subsequent turn to fiscal consolidation during the Euro Area crisis. Based on an exploitation of the information contained in systematic forecast errors, we identify a robust and substantial underestimation of the multiplier effects linked to these measures. Moreover the effects are highly persistent, pointing to hysteresis effects of fiscal measures during deep crises.     

Monetäre Anreize zur Steuerung der Ladelast von Elektrofahrzeugen – eine modellgestützte Optimierung

Electric mobility is supposed to contribute to climate policy targets by reducing CO₂-emissions in the transportation sector. Increasing penetration rates of electric vehicles (EV) can lead to new challenges in the electricity sector, especially with regard to local distribution networks. Thus the management of charging loads is discussed as a key issue in energy economics. Due to their long parking times, high electricity and power demand, EV seem to be predestined for load management. Monetary incentives as dynamic pricing can be suitable for that: They reflect the current supply situation, pass the information to the consumers and can thus lead to a corresponding charging behaviour. In this article we analyse this interaction between dynamic pricing and charging loads. For this reason we have developed the optimization model DS-Opt+. It models a total number of 4,000 households in two residential areas of a major city with regard to its electricity demand, its mobility behaviour and its equipment of photovoltaic systems. Four different pricing models are tested for their effects on charging behaviour and thus the total load of the residential area. The results illustrate that only fairly high penetration rates of EV lead to remarkably higher electricity demand and require some load management. The tested dynamic pricing models are suitable for influencing charging loads; load-based tariffs are best in achieving a balanced load curve. In our analysis uncontrolled charging strategies are superior regarding a balanced load curve than controlled strategies by time-varying tariffs. Our results lead to several implications relevant for the energy industry and further research.     

Wachstums- und Verschuldungseffekte einer kreditfinanzierten öffentlichen Investitionsoffensive

Wirtschaftsdienst - Öffentliche Investitionen stehen ganz oben auf der wirtschaftspolitischen Agenda in Deutschland. Simulationen mit dem makroökonomischen Mehrländermodell NiGEM...     

Long‐term Effects of Fiscal Stimulus and Austerity in Europe

We analyze whether there are ne gative (positive) long‐term effects of austerity measures (stimulus measures) on potential output growth. Based on the approach of Blanchard and Leigh ( 2013 ) and Fatás and Summers ( 2018 ) and using a novel data set of narratively identified fiscal policy shocks, we estimate the impact of these shocks on potential output. We robustly find a considerable underestimation of multiplier effects and their persistence for most European countries in the early years after the financial crisis and subsequent Euro Area crisis. We conclude that fiscal consolidation was badly timed and thus not only deepened the crisis but may have caused evitable hysteresis effects.     

Stock market wealth effects in an estimated DSGE model for Hong Kong

This paper develops and estimates an open-economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong economy. The model features short-run price rigidities generated by monopolistic competition and staggered reoptimization. We devote special attention to asset prices and wealth effects, which we believe to be important. For this reason we adopt a perpetual-youth approach. Model parameters and unobserved components are estimated with a Bayesian maximum likelihood procedure, conditional on prior information concerning the values of parameters. The estimations identify substantial wealth effects and indicate that the nominal interest rate responds to unexpected movements in stock prices.     

Dynamic Stochastic General EQUILIBRIUM ‐ BASED Assessment of Nonlinear Macroprudential Policies: Evidence from Hong Kong

In the wake of the 2008–2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. The use of loan‐to‐value (LTV) policies to curb booming property markets has long been used by Hong Kong's monetary authorities to actively manage the potential fallout from housing price bubbles. In 2013 the Hong Kong authorities supplemented the LTV policies with property transfer taxes. Here, we also analyse the merits of these tax‐based macroprudential policies in the dynamic stochastic general equilibrium framework. Furthermore, we calibrate the impact of both countercyclical macroprudential policies employed in conjunction with forward guidance. We conclude that both policy approaches can limit the pace of housing price increases. As regards the comparison of LTV and tax‐based measures, it turns out that property acquisition taxes are more effective.