land consumption and income in italy a case of inverted ekc abstract the ekc hypothesis postulates that the relationship between economic growth and environmental deterioration is represented by an inverted u shaped function its validity has been questioned from several perspectives and a need for public policies has been expressed this paper uses a heuristic approach to analyze the relationship between per capita income and land consumption as proxied by the number of building permits issued by public authorities using data from the italian regions we run a panel data regression model to test whether the ekc hypothesis holds results confute it evidencing a u shaped relationship in the authors opinion the combined effect of market conditions lifestyle evolution and institutional and political factors have produced an adverse effect on environment on this basis the paper claims that when social and intergenerational aspects are involved a balanced mix of market policies and institutional architecture is needed

residential construction using the urban growth model to estimate housing supply abstract this article presents an empirical model of housing supply derived from urban growth theory this approach describes new housing construction as a function of changes in house prices and costs rather than as a function of the levels of those variables which previous studies have used empirical tests support this specification over the leading alternative models our estimates show that a 10 rise in real prices leads to an 0 8 increase in the housing stock which is accomplished by a temporary 60 increase in the annual number of starts spread over four quarters

var estimation and forecasting when data are subject to revision we show that howrey s method for producing economic forecasts when data are subject to revision is easily generalized to handle the case where data are produced by a sophisticated statistical agency the proposed approach assumes that government estimates are efficient with a finite lag it takes no stand on whether earlier revisions are the result of news or of reductions in noise we present asymptotic performance results in the scalar case and illustrate the technique using several simple models of economic activity in each case it outperforms both conventional var analysis and the original howrey method it produces gdp forecasts that are competitive with those of professional forecasters special cases and extensions of the analysis are discussed in a series of appendices that are available online

housing market bust and farmland values identifying the changing influence of proximity to urban centers this article estimates the impact of the 2007 2008 residential housing market bust on farmland values using parcel level farmland sales data from 2001 2010 for a 50 county region under urbanization pressure in western ohio hedonic model estimates reveal that farmland was not immune to the residential housing bust the portion of farmland value attributable to proximity to urban areas was almost cut in half shortly after the bust in 2009 2010 nonetheless total farmland prices remained relatively stable in the 2000s likely due to increased demand for agricultural commodities our results are robust to different assumptions about the structure of the unobserved spatial correlation

the information in the high yield bond spread for the business cycle evidence and some implications the market for high yield below investment grade corporate bonds developed in the middle 1980s we show that since this time the high yield spread has had significant explanatory power for the business cycle we interpret this finding as possibly symptomatic of financial factors at work in the business cycle along the lines suggested by the financial accelerator we also show that over this period the high yield spread outperforms other leading financial indicators including the term spread the paper bill spread and the federal funds rate we conjecture that changes in the conduct of monetary policy over time may account for the reduced informativeness of these alternative indicators all of which are tied closely to monetary policy copyright 1999 by oxford university press

housing bubbles and busts the role of supply elasticity existing studies of the relationship between housing price dynamics and housing supply which have relied upon questionable proxies for supply elasticity have yielded highly mixed results in this paper we provide new evidence on this relationship based on actual estimates of the price elasticity of supply for local markets in florida intermarket differences in housing supply elasticity are found to explain much of the variation in housing price movements and new construction during the most recent boom bust cycle additionally we find that variance in the elasticity of housing supply can be attributed to differences in land availability and the local fiscal and regulatory environment jel r14

why does the yield curve predict output and inflation the slope of the yield curve has been shown empirically to be a significant predictor of inflation and real economic activity but there is no standard theory as to why the relationship exists this article constructs an analytical rational expectations model to investigate the reasons for the empirical results the model suggests that the relationships are not structural but are instead influenced by the monetary policy regime however the yield curve should have predictive power for output and inflation in most circumstances various implications of the theoretical model are tested and confirmed empirically

credit indicators as predictors of economic activity a real time var analysis using readily available indicators of the profitability price and availability of credit the term spread junk bond spread and banks willingness to lend as reported by the federal reserve we show that it is possible to significantly improve on the real time output and employment predictions of forecasting professionals at the medium run horizons that are most relevant to policymakers and private decision makers key to this improvement is a flexible state space model of data revisions the willingness to lend variable is the best real time predictor of gdp growth for forecasting job growth all three credit indicators prove helpful

endogenous trading volume and momentum in stock return volatility this article examines the ability of volume data to shed light on the source of persistence in stock return volatility a mixture model in which a latent common factor restricts the joint density of volume and returns is used to relax the assumption of exogenous volume used in previous studies we use a point in time signal extraction procedure to identify this latent process and a calibrated simulation to conduct analysis of the viability of the model to explain important properties of the data using daily returns and volume on individual stocks our procedure cannot accommodate serial dependence in squared returns

entry size distribution scale and scope economies in the life insurance industry existing empirical studies in the life insurance industry in the united states and canada find evidence of economies of scale in at least some aspects of the production of life insurance with consequent implications for the efficiency of life insurance markets however these empirical results are inconsistent with the institutional facts in the industry first overall economies of scale houston and simon 1970 are at odds with the evidence that over a substantial period of time the life insurance market in canada and the united states has supported a large and growing number of independent firms of vastly different sizes 1 second if economies of scale account for the differences in firm size with small firms ex

predicting u s recessions financial variables as leading indicators this paper examines the out of sample performance of various financial variables as predictors of u s recessions series such as interest rates and spreads stock prices and monetary aggregates are evaluated individually and in comparison with other financial and nonfinancial indicators the analysis focuses on out of sample performance from one to eight quarters ahead results show that stock prices are useful with one to three quarter horizons as are some well known macroeconomic indicators beyond one quarter however the slope of the yield curve emerges as the clear individual choice and typically performs better by itself out of sample than in conjunction with other variables

housing booms and local spending abstract this paper examines how local governments adjust their spending in response to a temporary revenue windfall generated by a housing boom we focus on spanish local governments because of the intensity of the last housing boom bust experienced there and the large share of construction related revenues they obtain we find that windfall revenues were mostly used to increase expenditures above all current we seek to determine whether this behaviour was due to political myopia incumbents in contested elections increasing expenditures to convince uninformed voters about their competence or to extrapolation bias leading to the overstatement of the persistence of revenue shocks we find evidence for both mechanisms the propensity to spend is higher where local incumbents were elected by a narrow vote margin and lower in places with past volatility experience finally we also examine what happens during the bust and find that governments enjoying large windfalls during the boom had to cut their spending abruptly above all capital and raise taxes the adjustment during the bust was actually greater in those places that overspent more during the crisis

output and unemployment dynamics in the united states 1950 1985 for us data over 1950 1985 the stochastic components of gnp growth and the unemployment rate appear to be stationary and there is substantial feedback between these variables the unconditional mean rate of unemployment in a joint model thus provides a natural benchmark in discussions of the business cycle a bivariate var model is used to describe output unemployment dynamics to estimate the degree of persistence of output innovations and to decompose output into trend and cycle the bivariate results are interpreted using a restricted var and it is shown that a closely related cyclical measure can be obtained directly from the okun s law equation

information spillovers margins scale and scope with an application to canadian life insurance a model of the production of life insurance services is developed the focus is on price setting ability and the cost advantages from size and diversity the model characterizes insurers decisions on the face value and number of policies and the number of insurance lines the model is applied to canadian life insurance firms unit revenue cost margins average from 13 per cent to 40 per cent across lines of insurance these margins emanate from information spillovers generated by marketing activities cost advantages due to size are small but are substantial from diversity returns to scale average from 1 13 to 1 40 while returns to scope from offering multiple insurance lines average from 70 per cent to 100 per cent

housing investment in the united states a supply determined model of housing investment is estimated from quarterly data over the 1963 83 period the model is built on dynamic marginal cost pricing considerations and allows short and long run supply elasticities to differ these are estimated as 1 0 and 3 0 respectively but most of the long run response occurs within 1 year rapid adjustment speed and the sizable long run elasticity of supply are important factors in understanding the volatility of housing investment the data also suggest some anomalies in the expected present value theory of asset pricing for housing capital

residential buildings and the cost of construction new evidence on the efficiency of the housing market present value studies of asset market efficiency are controversial because they compare asset prices to unobserved discounted streams of future rents as an alternative if housing markets are efficient then the price of residential capital or buildings should satisfy the following two conditions i deviations between new building prices and construction costs should disappear faster than construction lags and have no effect on construction and ii temporary building price shocks should dissipate at a similar rate for different vintage buildings results from an error correction model support both hypotheses for single family housing in vancouver british columbia this implies that the implicit market for residential buildings is efficient and that any inefficiencies in the housing market must lie in the market for land itself

the measurement of efficiency in life insurance estimates of a mixed normal gamma error model abstract this paper make three contributions to the literature on efficiency in financial services first it presents estimates of a mixed error cost frontier in which the variances of both the normal and gamma distributions can vary with firm size second it extends the literature on life insurance scale and product mix economies by incorporating and measuring x inefficiency estimates of x inefficiency range from 35 to 50 ray scale economies exist up to 15 billion in assets third comparisons of normal gamma estimates with other methods 3 thick frontier weighted least squares half normal distributions 3 demonstrate some of their pitfalls

are statistical reporting agencies getting it right data rationality and business cycle asymmetry this article provides new evidence on the rationality of early releases of industrial production ip and producer price index ppi data rather than following the usual practice of examining only first available and fully revised data we examine the entire revision history for each variable thus we are able to assess for example whether earlier releases of data are in any sense less rational than later releases and when data become rational our findings suggest that seasonally unadjusted ip and ppi become rational after approximately 3 4 months whereas seasonally adjusted versions of these series remain irrational for at least 6 12 months after initial release for all variables examined we find evidence that the remaining revision is predictable from its own past or from publicly available information in other economic and financial variables in addition we find a clear increase in the volatility of revisions during recessions suggesting that early data releases are less reliable in toughe

residential land use regulation and the us housing price cycle between 2000 and 2009 abstract in a sample covering more than 300 cities in the us from january 2000 to july 2009 we find that more restrictive residential land use regulations and geographic land constraints are linked to larger booms and busts in housing prices the natural and man made constraints also amplify price responses to the subprime mortgage credit expansion during the decade leading to greater price increases in the boom and subsequently bigger losses contrary to prior literature our findings indicate a significant link between supply inelasticity and price declines during the bust whereas glaeser et al 2008 found little evidence of such a relationship from an earlier downturn from 1989 to 1996

local taxation and urban development testing for the side effects of the italian property tax land is an essential yet limited natural resource its current unsustainable use asks for a better understanding of the main determinants of urban expansion a heuristic approach is used to analyze urban development in italy in particular the paper estimates an econometric model to test the impact of the italian property tax ici on the local authorities behavior and in particular on urban planning and development it tests whether its introduction has fostered rather than dampened construction activity the hypothesis put forward is that because of the concurrent market conditions the introduction of the tax has facilitated urban development the structure of the tax and the devolution process that began in the 90s induced local municipalities to adopt less tight accommodative urban policies to offset budgetary needs a more elastic urban policy reduces price volatility however its overall welfare effect is not clearly determined indeed ceteris paribus geographical areas with more elastic housing supply witness larger land consumption the land use changes we witnessed in the last decades could be the combined effect of financial and fiscal aspects if this is so careful attention should be given to the issue of whether leaving urban planning and the power to levy property taxes under the same jurisdiction

consumption and credit constraints international evidence abstract if some consumers are liquidity constrained aggregate consumption should be excessively sensitive to credit conditions as well as to income moreover the excess sensitivity may vary over time using data for the united states canada the united kingdom japan and france we find a substantial impact of credit aggregates on consumption in all countries considered moreover the borrowing lending wedge is a significant determinant of consumption in the united states canada and japan using extended kalman filtering techniques we show that the excess sensitivity varies over time with a clear tendency to decline in the united states

consumer attitudes and their forecasting power for consumer spending the university of michigan s surveys of consumers is summarized with principal components of consumer attitudes with respect to income and wealth prices and interest rates and credit availability these summary measures contain information beyond that captured by the index of consumer sentiment the summary measures have forecasting power for aggregate consumption behavior even when controlling for economic fundamentals these measures also help to improve significantly upon survey of professional forecasters blue chip consensus and federal reserve board s forecasts of consumption and other real activity measures consistent with their predictive ability conditioned upon a broader set of fundamentals and forecasters judgment

data revisions and the identification of monetary policy shocks abstract monetary policy research using time series methods has been criticized for using more information than the federal reserve had available to quantify the role of this criticism we estimate vars with real time data while accounting for the latent nature of many economic variables such as output our estimated monetary policy shocks are closely correlated with typically estimated measures the impulse response functions are broadly similar across estimation methods our evidence suggests that the use of revised data in var analyses of monetary policy shocks may not be a serious limitation for recursively identified systems but presents more challenges for simultaneous systems

how stable is the predictive power of the yield curve evidence from germany and the united states empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation some of these relationships are highly significant but their theoretical motivations suggest that they may not be stable over time we use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable we consider continuous models which predict either economic growth or inflation and binary models which predict either recessions or inflationary pressure in each case we draw on evidence from germany and the united states models that predict real activity are somewhat more stable than those that predict inflation and binary models are more stable than continuous models the model that predicts recessions is stable over our full sample period in both germany and the united states

the effect of growth and corruption on soil sealing in italy a regional environmental kuznets curve analysis this paper analyses and looks more closely at the empirical debate regarding the income elasticity hypothesis postulated in relation to the environmental kuznets curve and the impact of corruption on the relationship between growth and environmental impact measured in terms of soil sealing as proxied by the number of building permits issued by public authorities it postulates that when current private rent is high compared to perceived social costs and a large enough minority benefits from the rules the ekc does not emerge and public intervention fails to perceive social optimality to validate this hypothesis we run a panel data regression model based on data from all italian regions results confirmed the hypothesis evidencing a u shaped relationship i e a detrimental relationship between income and environmental impact quality it also demonstrated that this is contingent on the level of corruption the latter affects the position and the shape of the inverted ekc speeding up the exploitation process it shows that the higher the income the higher the effect of corruption on the environment therefore it advocates caution against any simplistic inference from ekc