unit roots and structural change an application to us house price indices this paper employs time series analysis to investigate the price dynamics of the house price indices included in the s p case shiller composite10 index and the validity of the ripple effect following the approach outlined by meen 1999 more specifically the paper first considers the time series properties of the capital gain from the sale of houses that is it examines whether shocks to the capital gain series produce permanent or transitory changes in general the findings lack uniformity and depend upon the assumptions imposed by the testing procedures secondly it considers the time series properties of the ratio of regional house price indices to the composite10 index that is it examines whether shocks to these house price ratios exhibit trend reversion the tests of this ripple effect also display conflicting evidence

inefficient credit booms this paper studies the welfare properties of competitive equilibria in an economy with financial frictions hit by aggregate shocks in particular it shows that competitive financial contracts can result in excessive borrowing ex ante and excessive volatility ex post even though from a first best perspective the equilibrium always displays under borrowing from a second best point of view excessive borrowing can arise the inefficiency is due to the combination of limited commitment in financial contracts and the fact that asset prices are determined in a spot market this generates a pecuniary externality that is not internalized in private contracts the model provides a framework to evaluate preventive policies which can be used during a credit boom to reduce the expected costs of a financial crisis copyright 2008 wiley blackwell

regional migration in britain an analysis of gross flows using nhs central register data the authors extend the use of a hiring function model whereby job seekers are matched with vacancies to the analysis of regional migration in britain annual data from the national health service central register for 1975 1989 are used to show that unemployment and vacancy rates distance and an index of similarities across regions in industry based employment composition help determine migration flows across regions the hiring function approach offers a consistent way of modelling gross and net flows and helps explain both the high level of gross relative to net flows and the tendency for migration to fall in a recession even when unemployment differentials widen excerpt

the spatial and temporal diffusion of house prices in the uk abstract this paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system we use changes in real house prices within the uk economy at the level of regions to illustrate its use adjustment to shocks involves both a region specific and a spatial effect shocks to a dominant region london are propagated contemporaneously and spatially to other regions they in turn impact on other regions with a delay we allow for lagged effects to echo back to the dominant region london in turn is influenced by international developments through its link to new york and other financial centers it is shown that new york house prices have a direct effect on london house prices we analyse the effect of shocks using generalised spatio temporal impulse responses these highlight the diffusion of shocks both over time as with the conventional impulse responses and over space

why voluntary export restraints are voluntary the paper presents an analysis of the effect upon an oligopolistic equilibrium of introducing a voluntary export restraint ver upon an importing firm a ver set at the free trade level of imports is shown to raise the profits of all firms within the industry the result follows as the imposition of a ver upon a free trade nash price competition forces the domestic firm to become an industry price leader the ver raises industry prices by facilitating collusion and lowers consumer welfare pourquoi les restrictions volontaires d 1 exportation sont volontaires ce memoire presente une analyse des effets de l introduction de restrictions volontaires a l exportation rve sur une entreprise qui importe dans un monde en equilibre oligopolistique on montre que l introduction de rve approximant le niveau des importations en regime de libre echange devrait augmenter les profits de toutes les entreprises dans l industrie cela decoule du fait que l imposition de rve sur un univers de concurrence par les prix a la nash en regime de libre echange force l entreprise domestique a devenir le leader en prix l introduction de rve augmente le niveau des prix de l industrie en facilitant la collusion et de ce fait reduit le niveau de bien etre des consomrnateurs

differing house price linkages across uk regions a multi dimensional recursive ripple model the aim of this study is to determine the nature of the relationship between house prices of different types of housing across the uk regions we use an autoregressive distributed lag bounds testing approach to determine the long run relationships between house prices as well as an error correction model to estimate the short run dynamics between house prices the data include house prices across the regions of great britain and for new old and modern houses the results suggest that house price shocks ripple across regions although the nature of the relationship varies across housing types we further simulate the impact of house price shocks and reveal a complex structure whereby a house price shock in region a impacts upon prices in other regions which in turn feedback into region a in a recursive ripple

ripple effects in south african house prices this paper analyses the ripple effect of house prices in large medium and small sized houses of five major metropolitan areas of south africa namely cape town durban unicity greater johannesburg port elizabeth uitenhage and pretoria based on available quarterly data covering the period of 1966 q1 to 2010 q1 following the extant literature the issue is contextualised as a unit root problem with one expecting the ratios of metropolitan house price to national house price to exhibit stationarity to an underlying trend value if there is diffusion in house prices using bayesian and non linear unit root tests besides the standard linear tests of stationarity with and without structural break overwhelming support is found for the existence of robust ripple effects also factor analysis conducted suggested that ripple effects originate in cape town for the large housing segment and in durban for the medium and small sized houses

regional house price interactions in the uk 1975 81 a cross spectral analysis 1986 regional house price interactions in the uk 1975 81 a cross spectral analysis applied economics vol 18 no 9 pp 1011 1023

convergence and spillover of house prices in chinese cities abstractthe issue of house price convergence in 34 chinese cities is investigated we augmented the convergence model with contemporaneous spatial dependence in house prices and found that price convergence and positive spatial spillover are both present we explicitly addressed the endogeneity problem by introducing a bayesian instrumental variable setup which was estimated with particle filtering techniques from a growth poles perspective the empirical evidence indicates that the spread effect in regional house prices outweighs the backwash effect the identified positive spatial spillover has two effects on the growth of house prices in chinese cities first the spillover elevates the trajectories of the steady state growth paths of house prices second the spillover narrows the gaps between the growth paths of house prices in neighbouring cities shocks to the socio economic variables of a city generate their own effects on domestic house prices that dominate the effects arising from cross city p

an application of two non parametric techniques to the prices of british dwellings an examination of cyclicality using a pesaran timmermann test of co movement cook and watson cook s and watson d 2015 a new perspective on the ripple effect in the uk housing market co movement cyclical subsamples and alt

the convergence of regional house prices in the uk the ripple effect hypothesis implies a long run convergence of regional uk house prices however despite many authors believing in the existence of such an underlying constancy statistical evidence has yet to be presented supporting this implication in this paper an alternative approach is proposed to analyse regional house price ratios in contrast to the findings of previous studies application of this new procedure results in the detection of widespread convergence of house prices in a number of regions of the uk the results suggest that the failure of previous analyses to uncover convergence is due to an underlying asymmetry in the adjustment process being ignored interestingly the form of asymmetry detected varies between regions while regions in the south east experience faster convergence following downswings in prices other regions exhibit more rapid convergence following increases in prices

regional uk house price co movement cyclical synchronization of home prices has important implications for monetary and other policies regional house price divergence even over a business cycle can inhibit labour mobility and pr

tariffs versus quotas with strategic investment the relative efficiency of tariffs versus quotas is analyzed in a cournot oligopoly with strategic investment introducing quota licence fees to neutralize the international distributional effect when such licence fees remove quota rents from foreign firms then for the case of constrained entry with a sufficiently large number of firms quotas frequently hold a welfare advantage since tariffs relatively aggravate the inefficiency from overinvestment in the case of free entry and exit however tariffs hold a welfare advantage since there is greater benefit of increasing returns to scale to the economy by avoidance of excessive entry of firms

the impact of quotas and tariffs on strategic r d behavior quotas and tariffs are compared in a two stage cournot duopoly game where r d is chosen initially and output is selected subsequently imposing a quota at or below the free trade import level results in either a pure strategy or a mixed strategy equilibrium compared to an equally restrictive tariff a quota leads to higher domestic profits but lower domestic output and r d in a pure strategy equilibrium furthermore a quota and a tariff may often produce opposite effects on domestic r d a quota set above the free trade import level may become binding and may lead to multiple equilibria copyright 1991 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

do changes in the fundamentals have symmetric or asymmetric effects on house prices evidence from 52 states of the united states of america abstracttime series studies that have tried to establish the long run relationship between house prices and economic fundamentals have been criticized due to low power of their cointegration tests on the other hand those who have used panel data and panel tests to increase the power have found mixed results both groups have assumed that changes in the fundamentals have symmetric effects on house prices in this article we use nonlinear ardl approach to cointegration and error correction modelling and quarterly data from each of the states in the us to show that changes in the fundamentals have asymmetric effects on house prices in the short run as well as in the long run cointegration between house prices and fundamentals is established in 30 states and in district of columbia

pairwise convergence of district level house prices in london this paper investigates the long run convergence of district level house prices in greater london using the recently developed pairwise approach this methodology allows for unit root tests to be conducted on all n n 1 2 possible pairs of house price differentials across the n boroughs of london thus avoiding the need to choose a base borough of reference or the regional average as the benchmark it also permits the estimation consistently of the proportion of the pairs that are stationary and convergent using hm land registry house price data for 33 inner and outer london boroughs over the period 1996q1 2009q2 no overall multidistrict long run convergence is found some evidence of district level segmentation of house prices in greater london is found with the sub group of the boroughs contiguous to the city of london district and the wider central sub market emerging as the clubs with the highest rate of convergence

the paradox of financial fire sales the role of arbitrage capital in determining liquidity how can fire sales for financial assets happen when the economy contains well capitalized but non specialist investors our explanation combines rational expectations equilibrium and lemons models when specialist informed market participants are liquidity constrained prices become less informative this creates an adverse selection problem decreasing the supply of high quality assets and lowering valuations by non specialist uninformed investors who become unwilling to supply capital to support the price in normal times arbitrage capital can multiply itself by making uninformed capital function as informed capital but in a crisis this stabilizing mechanism fails

trade policy with increasing returns and imperfect competition contradictory results from competing assumptions abstract a number of recent papers derive different results about the effects of trade and industrial policy on imperfectly competitive industries this paper sets out a single model within which policy under different market structures can be examined we consider the four types of market structure generated by oligopoly versus free entry and segmented markets versus integrated markets we conclude that the effects of policy are greater when markets are segmented than when they are integrated and that if transport costs are small policy is more potent when the number of firms is fixed than when there is free entry

trade and trade policy with imperfect competition the case of identical products and free entry abstract this paper analyses intra industry trade between economies containing an imperfectly competitive industry in which firms produce a homogeneous output production is subject to increasing returns to scale and there is free entry and exit of firms trade is shown to unambiguously increase welfare by reducing the degree of monopoly in each market and increasing firm size the effects of differences in technology and endowments on the pattern of trade and welfare are examined import tariffs are shown to raise welfare in the country employing the tariff and the welfare implications of various types of industry subsidy are examined

inefficient investment waves we show that firms individually optimal liquidity management results in socially inefficient boom and bust patterns financially constrained firms decide on the level of their liquid resources facing cash flow shocks and time varying investment opportunities firms liquidity management decisions generate simultaneous waves in aggregate cash holdings and investment even if technology remains constant these investment waves are not constrained efficient in general because the social and private value of liquidity differs the resulting pecuniary externality affects incentives differentially depending on the state of the economy and often overinvestment occurs during booms and underinvestment occurs during recessions in general policies intended to mitigate underinvestment raise prices during recessions making overinvestment during booms worse however a well designed price support policy will increase welfare in both booms and recessions

a disaggregated analysis of asymmetrical behaviour in the uk housing market potential asymmetrical adjustment in uk house prices is considered the present analysis extends previous research in a number of crucial ways first a seminal examination of asymmetry in regionally disaggregated uk house prices is undertaken secondly data are examined which are further disaggregated according to the age or vintage of the housing stock however the major development concerns the application of a non parametric testing approach to detect cyclical asymmetry in contrast to previously employed tests in the economics literature the triples test employed possesses high power and is not sensitive to outliers it is found that extensive asymmetry is present in uk house prices with cyclical peaks typically being greater in magnitude than corresponding troughs the implications of these findings for the comparison and construction of economic theories of the housing market the specification of econometric models and the construction and implementation of economic policy are noted

regional house price convergence in spain during the housing boom the aim of this paper is to identify convergence clubs in house prices among spanish regions over the period 1995 q1 to 2007 q4 and to investigate which factors are responsible for club formation employing a novel regression based convergence test proposed by phillips and sul 2007 we find that regional house prices do not converge to a common trend which confirms the existence of some degree of segmentation in the spanish housing market the research results support the existence of convergence clubs indicating that spanish regions form four separate groups that converge to different house price levels results of an ordered logit model suggest that differences in population growth size of the rental market initial house supply and geographical situation have played a crucial role in determining club membership

aig in hindsight the near failure on september 16 2008 of american international group aig was an iconic moment in the financial crisis two large bets on real estate made with funding vulnerable to bank run like dynamics pushed aig to the brink of bankruptcy aig used securities lending to transform insurance company assets into residential mortgage backed securities and collateralized debt obligations ultimately losing at least 21 billion and threatening the solvency of the life insurance companies aig also sold insurance on multisector collateralized debt obligations backed by real estate assets ultimately losing more than 30 billion these activities were apparently motivated by a belief that aig s real estate bets would not suffer defaults and were money good we find that these securities have in fact suffered write downs and that the stark money good claim can be rejected ultimately both liquidity and solvency were issues for aig

the effects of moral hazard on asset prices when financial markets are complete abstract this paper discusses the implications for prices and quantities of an alternative trading arrangement in kahn s 1990 economic environment with moral hazard unlike kahn s model of asset trade my model does not impose any unmotivated restrictions on short sales instead it features complete markets and publicly observable asset transactions like kahn s model my model implies that allocations are constrained pareto optimal however the implications of my model for asset prices are considerably different in particular when all agents have log utility asset prices satisfy an aggregation theorem also unlike kahn s model the model in this paper does worse than the standard representative agent model in terms of explaining the equity premium

free entry and social inefficiency our goal is to provide a simple yet general exposition of the conditions under which the number of entrants in a free entry equilibrium is excessive insufficient or optimal our analysis compares the number of firms that enter a market when there is free entry with the number that would be desired by a social planner who is unable to control the behavior of firms once they are in the market that is we consider the second best problem of choosing the welfare maximizing number of firms while we take as given their noncompetitive behavior after entry we demonstrate that the crucial conditions for establishing the presence of an entry bias can be stated quite simply in terms of the outcome of the postentry game played by entrants in contrast to previous work we do not need to model this postentry game explicitly

limited investment capital and credit spreads using proprietary credit default swap cds data i investigate how capital shocks at protection sellers impact pricing in the cds market seller capital shocks measured as cds portfolio margin payments account for 12 of the time series variation in weekly spread changes a significant amount given that standard credit factors account for 18 during my sample in addition seller shocks possess information for spreads that is independent of institution wide measures of constraints these findings imply a high degree of market segmentation and suggest that frictions within specialized financial institutions prevent capital from flowing into the market at shorter horizons

tariffs quotas and market structure this paper examines the effects of tariffs and quotas on the pricing pattern of producers in the case of duopoly by a domestic monopolist and a foreign monopolist it is pointed out that tariffs and quotas may induce completely different pricing patterns in the two producers under a quota it is always profitable for the home producer to be a price leader and for the foreign producer to be a follower whereas under a tariff either producer may become a leader it is also proved that whatever leader follower relation is chosen under a tariff a quota always bring about a higher domestic price than the tariff as long as both permit the same amount of imports

equilibrium number of firms and economic welfare in a spatial price discrimination model abstract we examine welfare implications of the equilibrium number of entering firms in a spatial price discrimination model in contrast to salop salop s 1979 monopolistic competition with outside goods bell journal of economics 10 141 156 the equilibrium number of firms can be either excessive or insufficient from the normative viewpoint

spillover effect between the regional and the national housing markets in the uk tsai i c spillover effect between the regional and the national housing markets in the uk regional studies this study uses regional and national data from the uk housing market to analyse the spillovers between these markets and to test whether a ripple effect exists in uk housing prices cross market return spillovers are determined by performing spillover indices an analysis of the direction and magnitude of return spillovers can be used to discriminate the transmission mechanism of information between the regional and the national housing markets over different areas and different time spans empirical findings indicate that the difference in housing prices between the northern and southern regions of the uk will increase each time a new financial crisis occurs

a new perspective on the ripple effect in the uk housing market comovement cyclical subsamples and alternative indices an alternative perspective is provided on the existence of a ripple effect in the uk housing market in contrast to previous studies the analysis involves consideration of information on the changes in house prices to which the hypothesis of house price diffusion posited by the ripple effect relates rather than their levels in an examination of changes in house prices in london relative to other regions of the uk directional forecasting methods are employed to establish the extent of the relationship between geographical proximity and comovement across the three month window provided by quarterly data consequently the analysis provides a direct examination of the ripple effect which refers to changes in prices rather than the convergence of levels which has become a feature of the empirical literature the literature is extended further by both the application of dating techniques to perform the analysis across cycles and phases of cycles recovery and recessionary periods in the uk housing market

trade restrictions as facilitating practices abstract the effect of quantitative restrictions in oligopolistic markets is shown to depend on whether imports are substitutes or complements for domestic products in the former case they have profound effects even when set at free trade levels because they impede the ability of the foreign firm to compete in the domestic market thereby acting to facilitate collusion and raise prices and profits for this reason tariffs and quotas are fundamentally non equivalent with substitute goods when goods are complements a voluntary export restriction ver at the free trade level has no effect and tariffs and quotas are equivalent

spatial dynamics of the housing market an interurban perspective a major unproven hypothesis in housing economics is that regional ripple effects are caused by household migration between regions this paper examines household migration and price ripples at the level of local housing markets driven partly by the fact that such migration linkages are likely to be more pronounced between local rather than regional housing markets following a review of regional housing market studies several hypotheses linking the existence of lead lag relationships and cointegration with the scale of migratory linkages between local housing market areas lhmas are proposed using private housing transactions data for strathclyde a sub region of scotland the paper identifies two clusters of lhmas that differ in terms of their migratory linkages with glasgow the hypothesised leading housing market of the sub region tests for lead lag relationships and cointegration confirm the link between migration and house price changes

convergence and divergence in british housing space abstractthe degree of convergence that exists among british house prices is an open question inferences vary with the method applied and periods considered using the rank of the cointegrating matrix among four decades of regional data two contiguous groups of regions are revealed these super regions have some common members through which price changes are transmitted from south to north with london found to be deviating from the south east neither it nor the uk are likely to be indicative of the regional series of the south of england

up the average cost curve inefficient entry and the new protectionism abstract a two country model is developed in which each country produces one good with increasing returns the goods being perfect or imperfect substitutes with cournot nash behavior and free entry certain restrictive trade policies have effects opposite to their favorable effect under noentry assumptions import tariffs and export subsidies lead to inefficient entry that raises rather than decreases the average production cost of and price charge by the domestic industry with negative welfare consequences we argue that these predictions of our model are closely consistent with extensive canadian data on entry exit and firms responses to trade liberalization

dynamic relationship between house prices in malaysia s major economic regions and singapore house prices fereidouni h g al mulali u lee j y m and mohammed a h dynamic relationship between house prices in malaysia s major economic regions and singapore house prices regional studies the purpose of this study is to examine house price diffusion among malaysia s major economic regions kuala lumpur selangor pulau pinang and johor and between each of these regions and neighbouring singapore by using the quarterly data from 2000 q1 to 2011 q1 by applying multivariate co integration approach the results show the existence of ripple effects among malaysia s major economic regions moreover it is found that house price diffusion observed within a country can be extended across the border implications are offered along with the findings of this research

long memory and fractional integration in the housing price series of london and paris this article deals with the analysis of house price indexes from a long range dependence viewpoint in particular it estimates the fractional differencing parameter in the london and paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data moreover it analyses the stability of the parameters across the sample period examined it is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others policy implications are derived

pecuniary externalities in economies with financial frictions this article characterizes the efficiency properties of competitive economies with financial constraints in which phenomena such as fire sales and financial amplification may arise we show that financial constraints lead to two distinct types of pecuniary externalities distributive externalities that arise from incomplete insurance markets and collateral externalities that arise from price dependent financial constraints for both types of externalities we identify three sufficient statistics that determine optimal taxes on financing and investment decisions to implement constrained efficient allocations we also show that fire sales and financial amplification are neither necessary nor sufficient to generate inefficient pecuniary externalities we demonstrate how to employ our framework in a number of applications whereas collateral externalities generally lead to over borrowing the distortions from distributive externalities may easily flip sign leading to either under or over borrowing both types of externalities may lead to under or over investment

externalities in economies with imperfect information and incomplete markets this paper presents a simple general framework for analyzing externalities in economies with incomplete markets and imperfect infonnation by identifying the pecuniary effects of these externalities that net out the paper simplifies the problem of determining when tax interventions are pareto improving the approach indicates that such tax interventions almost always exist and that equilibria in situations of imperfect information are rarely constrained pareto optima it can also lead to simple tests based on readily observable indicators of the efficacy of particular tax policies in situations involving adverse selection signaling moral hazard incomplete contingent claims markets and queue rationing equilibria traditional discussions of externalities have emphasized the distinction between technological externalities in which the action of one individual or firm directly affects the utility or profit ofanother and pecuniary externalities in which one individual s or firm s actions affect another only through effects on prices while the presence of technological externalities imply in general that a competitive equilibrium may not be pareto efficient pecuniary externalities hy themselves are not a source of inefficiency the fact that prices change has of course important consequences there are both distributional and allocational effects but the distribution effects net out gains for example hy firms whose prices increase are precisely offset by losses e g to individuals who must pay higher prices and there are no welfare losses from the allocation effects as long as the price changes involved are small if firms are maximizing profits and individuals are maximizing utility both facing prices that correctly refiect opportunity costs then standard envelope theorem arguments imply that changes in profits or utility induced by changes in allocations resulting from any small change in prices are negligible

is there long run convergence among regional house prices in the uk this paper investigates the long run convergence of regional house prices in the uk existing studies have failed to reach a consensus on whether or not regional house prices exhibit long run convergence with each other the application is proposed of a new test involving unit root testing of the first principal component based on regional national house price differentials using mix adjusted quarterly data for 1973 2006 it is found that the first principal component is stationary this suggests that all uk regional house prices are driven by a single common stochastic trend further analysis suggests that those regions that are more distant from london exhibit the highest degrees of persistence with respect to deviations in house price differentials

monetary policy as financial stability regulation this paper develops a model that speaks to the goals and methods of financialstability policies there are three main points first from a normative perspective the model defines the fundamental market failure to be addressed namely that unregulated private money creation can lead to an externality in which intermediaries issue too much short term debt and leave the system excessively vulnerable to costly financial crises second it shows how in a simple economy where commercial banks are the only lenders conventional monetary policy tools such as open market operations can be used to regulate this externality while in more advanced economies it may be helpful to supplement monetary policy with other measures third from a positive perspective the model provides an account of how monetary policy can influence bank lending and real activity even in a world where prices adjust frictionlessly and there are other transactions media besides bank created money that are outside the control of the central bank

pareto optima and competitive equilibria with adverse selection and moral hazard this paper explores the extent to which standard general equilibrium analysis of pareto optima and of competitive equilibria can be applied to environments with moral hazard and adverse selection problems allowing for lotteries contracts with random components we first establish that an adverse selection insurance economy a moral hazard insurance economy a signaling economy and a private information labor market economy are all special cases of a simple general structure we then show that techniques for characterizing pareto optimal contracts as solutions to concave programming problems are useful and nice and appear to be broadly applicable allowing for lotteries we show how to characterize the optimal allocations for the adverse selection insurance and labor market economies we then show that standard existence and optimality theorems for competitive equilibria apply in the linear space containing lotteries if agents with characteristics which are distinct and privately observed at the time of initial trading enter the economy wide resource constraints in a homogeneous way other kinds of diversity are not critical for economies with moral hazard which satisfy the homogeneity condition competitive contract markets single out a subset of the optima and thus can be consistent with apparent unemployment and with a random allocation of labor supplied though all households are averse to risk the adverse selection insurance and signaling economies however do not satisfy the homogeneity condition and are difficult to decentralize efficiently with a price system

entry barriers and economic welfare the relationship between economic welfare and the number of firms in a quasi cournot market is examined in the first place we presuppose the existence of a strong first best government that can enforce the marginal cost principle to the firms along with regulating the number of firms it is shown that there exist excessive number of firms at the free entry quasicournot equilibrium vis a vis the first best welfare maximizing number of firms the thrust of this result essentially survives even if we replace a utopian first best government by a secondbest government that leaves the firms to pursue their respective profit maximization freely and engages solely in regulating the number of firms it can be shown that the excess entry prevails again in this second best world recent studies in the theoretical industrial organization literature have uncovered several instances which cast serious doubt on the reasonableness of a widespread belief that increasing competition will increase welfare stiglitz 1981 p 184 it has been shown that there are cases which are not altogether unreasonable where social welfare will be increased by strengthening rather than weakening the protection of incumbent firms from the threat of potential entry this is in sharp contrast with the traditional belief 2 what is not known however is how robust these pathologies in fact are we intend to settle this problem by proving two excess entry theorems in the quasi cournot parametric conjectural variations homogeneous oligopoly model seade 1980a b in the first place we presuppose the existence of a strong first best government that could costlessly enforce the marginal cost pricing principle by firms in an oligopolistic market and regulate entry in pursuit of first best social welfare optimization it is shown that the number of firms at the free entry equilibrium exceeds the first best welfare optimizing number of firms the result has already been noted by von weizsacker 1980a b and others in terms of numerical examples our theorem 1 asserts that this phenomenon always holds true for the family of quasi cournot models at hand an implication of this result is that the existence of entry barriers which protect incumbent firms from potential competitors is not necessarily welfare decreasing in sharp contrast with the traditional belief a problem remains with theorem 1 however in that an omnipotent first best government does not exist in reality and the first best ideal is unrealizable in the actual economy therefore even if the intervention by a first best government with a view to restricting the number of firms within an industry may be welfare improving it does

testing for long run convergence across regional house prices in the uk a pairwise approach this article tests for stochastic convergence in uk regional house prices using the recently developed pairwise approach this approach allows for unit root tests to be conducted on all n n 1 2 possible pairs of house price differentials across n regions in the uk thus avoiding the need to choose a base region or alternative national figure as the benchmark using mix adjusted house price data from 1973 q4 to 2008 q4 the main finding is that there is no evidence of long run convergence among regional house prices or of an equilibrium relationship towards which uk regional house prices have a tendency to gravitate

leverage and default in binomial economies a complete characterization our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral our binomial no default theorem states that any equilibrium is equivalent in real allocations and prices to another equilibrium in which there is no default thus actual default is irrelevant though the potential for default drives the equilibrium and limits borrowing this result is valid with arbitrary preferences and endowments contingent or noncontingent promises many assets and consumption goods production and multiple periods we also show that only no default equilibria would be selected if there were the slightest cost of using collateral or handling default our binomial leverage theorem shows that equilibrium loan to value ltv for noncontingent debt contracts is the ratio of the worst case return of the asset to the riskless gross rate of interest in binomial economies leverage is determined by down risk and not by volatility

regional spillover and rising connectedness in china s urban housing prices regional housing prices may be dynamically linked and converge to a long run equilibrium the level of connectedness can be used to describe systemic risk in the housing market this paper uses a r

the dynamic connectedness of uk regional property returns in this study we examine the network topology of uk regional property returns over the period 1973q4 2014q4 using a dynamic measure of connectedness developed by diebold and yilmaz 2014 overall

land price diffusion across borders the case of germany land market regulations are often justified by the assumption that activities of foreign and non agricultural investors drive up prices in domestic land markets however empirical knowledge about

tariffs and quotas under dynamic duopolistic competition abstract this paper analyzes tariffs and quotas in a differential game model of duopolistic competition for a homogeneous good equal import tariffs and quotas are compared with respect to resulting domestic prices the open loop and closed loop subgame perfect equilibria are derived the open loop game leads to domestic price equivalence however the closed loop game does not unless firms are myopic or the number of domestic firms becomes large thus we prove that the equivalence for static cournot competition does not carry over to the dynamic case

optimal leverage and aggregate investment we analyze the optimal financing of investment projects when managers must exert unobservable effort and can also switch to less profitable riskier ventures optimal financial contracts can be implemented by a combination of debt and equity when the risk shifting problem is the most severe while stock options are also needed when the effort problem is the most severe worsening of the moral hazard problems leads to decreases in investment and output at the macroeconomic level moreover aggregate leverage decreases with the risk shifting problem and increases with the effort problem

the inefficiency of the stock market equilibrium this paper establishes that when there is not a complete set of markets but more than one commodity the stock market equilibrium will not in general be a constrained pareto optimum the economy will lack both the property of exchange and production efficiency necessary conditions which must be satisfied if the economy is to be a constrained pareto optimum for all technologies are derived if all individuals have identical homothetic indifference maps then either there must be unitary price elasticities so there is no effective risk or all individuals must have the same degree of risk aversion so there is no trade on the stock market

on the equivalence of tariffs and quotas under duopoly abstract the purpose of this paper is to use a conjectural variation approach to examine the equivalence of tariffs and quotas set so as to result in the same equilibrium quantity of imports we have demonstrated that whether tariffs and quotas are equivalent depends crucially upon the particular value of the conjectural variations specifically in the case of equal import tariffs and quotas the equivalence holds only in the cournot case otherwise the domestic price is lower or higher under quotas depending upon whether competition is less or more competitive than cournot

testing for convergence between uk regional house prices drake l 1995 testing for convergence between uk regional house prices reg studies 29 357 366 this paper uses the kalman filter time varying parameter estimation technique to test for convergence between uk regional house prices this issue is significant given the historical disparities in regional house price inflation rates and the unprecedented downturn in both uk and most regional house prices in the late 1980s and early 1990s the evidence suggests that there are clear regional differences in the pattern of uk house price movements in particular house prices in the north and scotland show evidence of greater divergence from prices in the rest of the south east region than do the southern and midlands regions drake l 1995 une analyse pour determiner la convergence des prix du marche immobilier regionaux au royaume uni reg studies 29 357 366 cet article se sert de la technique dite kalman filter afin de determiner la convergence des prix du marche immobilier regionaux au royaume uni c

sterling s relationship with the dollar and the deutschemark 1976 89 this paper evaluates the linkages between bilateral exchange rates using a time varying parameter model which can be estimated using the kalman filter the technique solves many of the statistical problems which arise when ordinary least squares is used to estimate currency correlation applying the technique to the dollar sterling dm sterling and dm dollar bilateral exchange rates the results suggest a market weakening strengthening of sterling s relationship with the dollar dm since the mid 1970s additionally these currency linkages are shown to have undergone a number of regime shifts suggesting that the timing of the weakening of the dollar sterling relationship is different to that proposed by previous studies copyright 1991 by royal economic society

excessive dollar debt financial development and underinsurance we propose that the limited financial development of emerging markets is a significant factor behind the large share of dollar denominated external debt present in these markets we show that when financial constraints affect borrowing and lending between domestic agents agents undervalue insuring against an exchange rate depreciation since more of this insurance is present when external debt is denominated in domestic currency rather than in dollars this result implies that domestic agents choose excessive dollar debt we also show that limited financial development reduces the incentives for foreign lenders to enter emerging markets the retarded entry reinforces the underinsurance problem

seasonality and cointegration of regional house prices in the uk the data generation process underlying regional house prices in the uk is investigated using new statistical tests it is found that causal flows tend to be northwards the south east rather than greater london acts as an exogenous price determinator of the other regions in the south the midland regions have a great influence on prices in the north and flows through the east midlands are characterised by bi directional causality these results are largely independent of assumptions made about the data generation process and tests of these assumptions have low power in any case there are also similarities between this causality and migration patterns particularly in the south of england

debt constrained asset markets we develop a theory of general equilibrium with endogenous debt limits in the form of individual rationality constraints similar to those in the dynamic consistency literature if an agent defaults on a contract he can be excluded from future contingent claims markets trading and can have his assets seized he cannot be excluded from spot markets trading however and he has some private endowments that cannot be seized all information is publicly held and common knowledge and there is a complete set of contingent claims markets since there is complete information an agent cannot enter into a contract in which he would have an incentive to default in some state in general there is only partial insurance variations in consumption may be imperfectly correlated across agents interest rates may be lower than they would be without constraints and equilibria may be pareto ranked