virtual special issue editorial essay the shitty rent business what s the point of land rent theory in this introduction to a virtual special issue on land rent we sketch out the history of land rent theory encompassing classical political economy marx s political economy the marginalist turn and subsequent foundations for urban economics and the marxist consensus around rent theory during geography s spatial turn we then overview some of the contemporary strands of literature that have developed since the break down of this consensus namely political economy approaches centred on capital switching institutionalism of various stripes and the rent gap theory we offer a critical urban political economy perspective and a particular set of arguments run through the review first land is not the same as capital but has unique attributes as a factor of production which require a separate theorisation second since the 1970s consensus around land rent and the city dissipated the critical literature has tended to take the question of why how the payment exists at all for granted and so has ignored the particular dynamics of rent arising from the idiosyncrasies of land amongst the talk of an anthropocene and planetary urbanisation it is surprising that the economic fulcrum of the capitalist remaking of geography has fallen so completely off the agenda it is time to bring rent back into the analysis of land cities and capitalism

property market efficiency an institutional economics perspective this paper reassesses the debate around property market efficiency and introduces an institutional perspective it considers property market efficiency in terms of the specific characteristics of property itself and the processes through which property is used and traded it argues that the institutional dimension fundamentally alters the concept of efficiency and leads to a partial and contingent judgement on achieved efficiency instead of seeking a judgement on whether the property market as an entity is efficient the institutional approach allows the possibility that property market process may be efficient for some market participants but not for others it also introduces a time dimension suggesting the need to assess the adaptability of property market process as economic and social conditions change

nonstationary term premia and cointegration of the term structure this paper proposes a model of the term structure with nonstationary term premia which exhibit a factor structure this explains the common empirical finding of a cointegrating rank smaller than the one predicted by the rational expectations hypothesis of the term structure an application to german interest rate data yields easily interpretable results

asset pricing with observable stochastic discount factors the stochastic discount factor model provides a general framework for pricing assets by specifying the discount factor suitably it encompasses most of the theories currently in use including capm and consumption capm the sdf model has been based on the use of single and multiple factors and on latent and observed factors in most situations and especially for the term structure single factor models are inappropriate whilst latent variables require the somewhat arbitrary specification of generating processes and are difficult to interpret in this paper we survey the principal different implementations of the sdf model for bonds equity and forex and propose a new approach this is based on the use of multiple factors that are observable and modelling the joint distribution of excess returns and the factors using a multi variate garch in mean process we argue that in general single equation and var models although widely used in empirical finance are inappropriate as they do not satisfy the no arbitrage condition since risk premia arise from conditional covariation between the returns and the factors both a multi variate context and having conditional covariances in the conditional mean process is essential we explain how apparent exceptions such as the cir and vasicek models in fact meet this requirement but at a price we explain our new approach discuss how it might be implemented and present some empirical evidence mainly from our own researches partly to enable comparisons to be made the survey also includes evidence from recent empirical work using more traditional approaches

on the number of factors in the arbitrage pricing model recent theory has demonstrated that the arbitrage pricing model with k factors critically depends on whether k eigenvalues dominate the covariance matrix of returns as the number of securities grows large the purpose of this paper is to test whether sample covariance matrices can be characterized as having k large eigenvalues using all available data on the 1983 crsp tapes we compute sample covariance matrices of returns in sequentially larger portfolios of securities analyzing their eigenvalues we find evidence that one eigenvalue dominates the covariance matrix indicating that a one factor model may describe security pricing we also find that for values of k larger than one there is no obvious way to choose the number of factors nevertheless we find that while only the first eigenvalue dominates the matrix the first five eigenvalues are growing more distinct arbitrage pricing theory apt as originally developed by ross 22 23 is built on the twin assumptions of no arbitrage opportunities in the capital market and a linear relationship between actual returns and k common factors the principal hypothesis of the model is that expected returns should be linearly related to the weights of the common factors in the assumed linear process in every test of the model the focus has been to use factor analysis to extract k factors from sample covariance matrices and then to test the hypothesis by regressing returns or average returns against the factor loadings of the common factors most previous tests have either assumed that the number of factors is equal to some predetermined number or have estimated k simultaneously with estimation of the factor loadings thus existing tests of the apt are joint tests of the apt pricing result and an assumed or estimated number of factors the question of how many factors are important has not been addressed separately from the pricing tests because the apt pricing result is the significant prediction of a theory which has little to say about the value of k nevertheless crosssection linear models have been a central part of financial economics and it is clearly important to know at least the approximate number of factors which will be significant in such regressions particularly given the computational difficulties of large scale factor analysis furthermore dhrymes friend and gultekin 6 report that the number of factors needed for standard chi squared tests increases university at buffalo suny i am in debt to donald bosshardt gary chamberlain thomas ho richard roll lemma senbet mark zmijewski and the participants in finance workshops at the universities of michigan wisconsin and buffalo for their extensive comments nevertheless i am solely responsible for what remains this paper would not have been started without the unselfish cooperation of jay leavitt director of academic computing university at buffalo suny who designed the eigenvalue algorithm which i used i am also grateful for partial financial support and lavish computer funds from the school of management and for the expert programming assistance provided by ravi shukla

exploring the notional property developer as a policy construct this paper explores how far policy makers understand the structure of the development industry the perceived characteristics of developers and the extent to which such actors can be considered policy responsive if these matters are poorly understood the effectiveness of planning policy may be undermined especially where the private sector is responsible for undertaking most development the paper is based upon empirical research on the scottish executive s perceptions of and policy stances towards developers between 1999 and 2007 it finds that the executive appeared to have only limited understanding of what drives the development process or motivates individual developers and seemed unfamiliar with important differences within the industry sectorally and geographically instead the notional property developer was incorrectly conceived as a malleable and potentially compliant partner with shared objectives to the state the paper calls for a more thorough understanding of the development industr

the role and behaviour of commercial property investors and developers in french urban regeneration the experience of the paris region summary this paper provides an analysis of the factors underlying private investment decisions concerning property development with specific reference to urban regeneration in the french context it is based on the results of a behavioural survey and mca analysis of the behaviour patterns and motivations of active private investors and developers in the french commercial property markets and their involvement in french urban regeneration initiatives the pattern of investment and development activity over the 1997 2002 french property market recovery period has been studied and a typology of actors set up based on their investment policy for these property markets the findings indicate that property investors in urban regeneration essentially seek speculative developments and short term investments

time series model forecasts and structural breaks evidence from spanish pre emu interest rates analysis of the future behaviour of economic variables can be biased if structural breaks are not considered when these structural breaks are present the in sample fit of a model gives us a poor guide to ex ante forecast performance this problem is true for both univariate and multivariate analysis and can be extremely important when co integration relationships are analysed the main goal of this article is to analyse the impact of structural breaks on forecast accuracy evaluation we focus on forecasting several interest rates from the spanish interbank money market in order to carry out the analysis we perform two forecasting exercises a without structural breaks and b when structural breaks are explicitly considered we use new sequential methods in order to estimate change points in an endogenous way this method allows us to detect structural breaks in all four rates in may 1993 however the effects of these breaks are not very strong since we found scarce gains in forecasting accuracy w

testing the expectations hypothesis in the brazilian term structure of interest rates a cointegration analysis in this article the expectations hypothesis eh is tested using cointegration techniques for maturities ranging from 1 to 12 months for the brazilian market we found evidence suggesting that for the period 1995 2006 the cointegration implication generally seems to hold we also found strong evidence supporting causality from short to long rates and also in the opposite direction empirical evidence supports the expectations theory of the term structure of interest rates

does central bank transparency impact financial markets a cross country econometric analysis blinder et al 2001 argues that more open public disclosure of central bank policies may enhance the efficiency of markets we examine this claim by studying for a set of seven industrialized countries whether selected central banks moves toward more open disclosure during the 1990s improved or worsened the predictability of the corresponding national financial markets employing methodologies analogous to campbell and schiller 1991 we find that for all countries the forecasting error has decreased for interest rates on the respective government bonds across most maturity lengths and that the expectations hypothesis has generally performed better at the short end of the yield curve our results also tentatively show that the effects are stronger for central banks that made the move to greater disclosure compared to those banks that resisted increasing the public s information set these findings are consistent with tabellini s 1987 view that central bank secrecy will hinder the smooth functioning of financial markets

inflation and real short term interest rates a kalman filter analysis of the term structure this paper applies the kalman filter technique to look at the relationship among real interest rates inflation and the term structure of interest rate under the expectations hypothesis using quarterly data from 1960 1 to 1991 1 for inflation three month nominal short term interest rates and long term yields with maturities from one to five years this paper finds that the expectations hypothesis of the term structure holds up well for the data under the assumptions of a time varying premium and a random walk real interest rate in other words a reconciliation of the expectations hypothesis with the data is attained by assuming time varying term premium and non stationary real interest rate

a cointegration analysis of treasury bill yields this paper shows that yields to maturity of u s treasury bills are cointegrated and that during periods when the federal reserve specifically targeted short term interest rates the spreads between yields of different maturity define the cointegrating vectors this cointegrating relationship implies that a single nonstationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary an error correction model that uses spreads as the error correction terms is unstable over the federal reserve s policy regime changes but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields copyright 1992 by mit press

the efficiency of the london metal exchange in this paper the three approaches available to test the hypothesis that the futures price is an unbiased predictor of future spot prices are utilized to analyze the efficiency of the london metal exchange for the period january 1975 december 1983 the first technique uses non overlapping observation and derives a test of this hypothesis using ols the second uses overlapping data and models explicitly the moving average process in the error structure using arma procedures the third uses a fiml technique to estimate a bivariate stochastic stationary process of the spot and futures prices and tests the unbiased predictor hypothesis in the form of complex non linear cross equation restrictions the results conform to the predictions of the unbiased predictor hypothesis regardless of the methodology and or data employed

arbitrage and the expectations hypothesis this paper shows that all traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage if markets are incomplete a key implication is that the validity of the expectations hypothesis is purely an empirical issue the expectations hypothesis cannot be ruled out on a priori theoretical grounds one of the oldest and best known models in finance is the expectations hypothesis of the term structure introduced by fisher 1896 more than a century ago the expectations hypothesis has become a standard framework for explaining how yields of different maturities are related and it provides an important empirical benchmark from a theoretical perspective however the expectations hypothesis is not generally viewed as a viable model of the term structure in particular cox ingersoll and ross 1981 show that the traditional expectations hypothesis is actually a set of mutually exclusive propositions and offer a proof that most forms of the expectations hypothesis admit arbitrage recently mcculloch 1993 and fisher and gilles 1998 present counterexamples to the cox et al proof showing that the traditional forms of the expectations hypothesis can be consistent with the absence of arbitrage they acknowledge however that their counterexamples are somewhat contrived and view them as economically implausible these results leave the impression that the expectations hypothesis is only consistent with the absence of arbitrage in pathological cases of little practical interest in this paper we argue that the expectations hypothesis is much more theoretically defensible than commonly believed an important point often overlooked is that the cox et al 1981 results are developed in an economic setting where bonds are redundant securities in the more realistic case where bond prices display security specific variation and there is mounting evidence of this traditional forms of the expectations hypothesis can hold quite generally without arbitrage only weak conditions guaranteeing the existence of an equivalent martingale measure need be satisfied for the various forms of the expectations hypothesis to hold without arbitrage a key

determination of long run and short run dynamics in ec varma models via canonical correlations this article studies a simple coherent approach for identifying and estimating error correcting vector autoregressive moving average ec varma models canonical correlation analysis is implemented for both determining the cointegrating rank using a strongly consistent method and identifying the short run varma dynamics using the scalar component methodology finite sample performance is evaluated via monte carlo simulations and the approach is applied to modelling and forecasting us interest rates the results reveal that ec varma models generate significantly more accurate out of sample forecasts than vector error correction models vecms especially for short horizons

the monotonicity of the term premium another look this paper reexamines existing evidence regarding the monotonicity of the term premium using a recently developed approach for testing inequality constraints we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t statistics on term premiums even under a bonferroni type adjustment our results generally support mcculloch s 1987 view that the liquidity preference hypothesis remains unrefuted

a note on exchange rate expectations and nominal interest differentials a test of the fisher hypothesis this note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period this proposition often called the fisher open hypothesis or the hypothesis of perfect asset substitutability has been a major component of recent theories of exchange rate determination and has important implications for monetary policy 1 the fisher hypothesis differs from the covered interest parity theorem enunciated by keynes 11 while covered interest parity equates the nominal interest differential between financial centers to a known premium or discount on forward foreign exchange and is thus in principle riskless fisher parity involves risk in an essential way the two conditions are equivalent only when forward exchange rates equal expected future spot rates recent theoretical work for example that of grauer litzenberger and stehle 8 kouri 12 and frankel 6 shows that this need not be the case when market participants are risk averse thus while covered interest parity must always hold exactly in an informationally efficient asset market with no transactions costs fisher parity need not nominal interest differentials may reflect risk premia in addition to expected exchange rate movements 2 it should be emphasized at the outset that the tests conducted in this paper are really joint tests of the fisher hypothesis and a weak form of foreign exchange market informational efficiency levich 14 has argued that tests of market efficiency are always joint tests involving some hypothesized structure of normal equilibrium returns below we assume informational efficiency and instead test fisher s hypothesized arbitrage condition that nominal interest differentials equal expected percentage changes in exchange rates

the information in swedish short maturity forward rates in this paper we empirically study the relationship between implicit forward rates and corresponding interest rates in the short end of the swedish term structure the interest rates and forward ra

common interest development and the changing roles of government and market in planning world wide common interest development cid and its governance homeowners associations hoas are developing rapidly however numerous conflicts have given rise to the need to redefine govern

the real estate markets players institutions and territories revealing the parties the processes and the institutions and consequently both the diversity and contingency of the real estate markets the existing increasing literature emphasises the contemporary numerous links and interdependencies between real estate land value planning and town planning policy and even the financial system this paper is an attempt to understand all the real estate markets from the most peripheral ones where the urban rent is the lowest to the most dense city centres to gain a better understanding of the real estate market a process of firstly deconstruction and then reconstruction is used the process of deconstruction involves identifying various market trends according to property type principally residential buildings players and institutions territorial situations and temporalities based on research conducted in switzerland we then developed a meta synthesis inspired by fernand braudel whose works put as much emphasis on day to day economic activity as on long term activity and on local as well as global issues

housebuilder networks and residential land markets the commercial prospects of speculative housebuilders depend crucially on successful land acquisitions this paper presents new evidence revealing the importance housebuilders attach to networks with other important actors in securing future land supplies since networks depend on trust reputation and voluntary collaboration they indicate the importance of social relations within the industry the paper argues that uk speculative housebuilders rely more on networks than markets to source land and that they structure those networks to enhance their own competitive positions reflecting granovetter s belief in the strength of weak ties the paper emphasises the breadth not depth of housebuilder networks and contends that social relations within the industry are primarily dependent on pragmatic considerations of mutual self interest

institutions in british property research a review this paper surveys approaches to the study of institutions as used in recent commercial property research in britain institutional analysis can be approached from mainstream economics power str

land use planning and the housing market a comparative review of the uk and the usa this paper provides a review of some of the key articles and research examining the relationship between planning regulation and its impact on the housing market in the uk and the us in both count

preferred habitat for liquidity in international short term interest rates abstract risk shifting window dressing and a preferred habitat for liquidity have been offered as possible explanations as to why us money market rates are higher before the year end than afterwards the two hypotheses differ in the timing of the rate decline at the year end and the evidence on the timing of the decline supports the preferred habitat hypothesis in us money markets this paper extends this line of research to the behavior of international short term interest rates at year ends and quarter ends using london interbank offer rates libor for 11 different currencies the results suggest that the behavior of libor for five currencies the us dollar euro japanese yen swiss franc and german mark is consistent with year end or quarter end preferred habitats for liquidity other currencies do not demonstrate consistently distinct patterns in turn of the year and turn of the quarter yields none of the results provides any support for risk shifting window dressing

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

does land property structure affect local development patterns evidence from a greek tourist area this paper attempts to clarify the institutional context and local framework of landed property relations in the local development patterns of a rural space converted into an urban tourist resort on the island of rhodes greece through the diachronic analysis of cadastral data on land property ownership and non market land property transfers and acquisitions direct and indirect state policies land property structures inherited from the past formal and informal institutions enabled agents to establish enterprises of varying types and size socially dispersed landownership is a structural resource that through agency influences local development patterns and land property is repeatedly implicated in the local production and reproduction system

the term structure spread and future changes in long and short rates in the g7 countries abstract according to the expectations hypothesis when the spread between long and short rates widens next quarter s long rate should rise in the united states however long rates decline instead of rising this anomaly is also present in canada the uk germany and japan four of the additional six g7 countries nevertheless in contrast to the us where long rates appear to overreact to expected future developments the anomalous short run movement of long rates in these other g7 countries is caused by an additive white noise error on long rates that does not materially affect the information in their term structure

macroeconomic sources of risk in the term structure we develop a new way of modeling time variation in term premia based on the stochastic discount factor model of asset pricing the joint distribution of excess u s bond returns of different maturity and the observable fundamental macroeconomic factors is modeled using multivariate garch with conditional covariances in the mean to capture the term premia by testing the assumption of no arbitrage we derive a specification test of our model we estimate the contribution made to the term premia at different maturities through real and nominal sources of risk from the estimated term premia we recover the term structure of interest rates and examine how it varies through time finally we examine whether the reported failures of the rational expectations hypothesis can be attributed to an omitted time varying term premium

term structure of interest rates and the expectation hypothesis the euro area abstract this paper investigates the informational content of the yield curve in the european market using data on the italian term structures according to the expectation hypothesis theory eht the current forward rate equals the future short rate plus a constant risk premium that is time invariant but maturity dependent this theory has been widely tested in the empirical literature providing various findings according to the country where it has been applied and to the segment of the yield curve examined or the period under study the standard approach to test the eht uses the regression techniques assuming data on spot rates and their first differences to be stationary recently an increasing number of studies evidenced the non stationarity of interest rates time series and some tests of the eht are formulated using term spread and forward spot spread which are stationary a new strand of literature suggests to investigate the eht using a restricted var framework in this paper following jondeau e ricart r 1999 the expectations hypothesis of the term structure tests on us german french and uk euro rates journal of international money and finance 18 725 750 ghazali n a low s w 2002 the expectations hypothesis in emerging financial markets the case of malaysia applied economics 34 1147 1156 and seo b 2003 non linear mean reversion in the term structure of interest rates journal of economic dynamics and control 27 2243 2265 we test if the expectation hypothesis holds using cointegration and error correction analysis for the period under study results suggest that the long and short term interest rates are cointegrated and therefore subject to a long equilibrium path providing evidence that the eht holds for the italian and the european market

do stationary risk premia explain it all evidence from the term structure abstract predictable variations in excess returns have often been attributed to the presence of time varying risk premia in this paper we use an insight based upon new techniques from time series analysis to test whether stationary risk premia can alone explain the behavior of excess returns to long bonds relative to rolling over short rates surprisingly we reject this hypothesis using u s t bill returns we then show that either permanent shocks to the risk premia and or rationally anticipated shifts in the interest rate process could produce anomalous results

time varying volatility and the dynamic behavior of the term structure in this paper the authors consider a framework in which the cross sectional and time series behavior of the yield curve can be studied simultaneously they examine the relationship between the yield curve and the time varying conditional volatility of the treasury bill market the authors demonstrate that different shaped yield curves can result given different combinations of volatility and expectations about future spot rates moreover adjusting the forward rate for the volatility related forward premium can improve its performance as a predictor for the future spot rate copyright 1993 by ohio state university press

markov switching models rational expectations and the term structure of interest rates in order to evaluate the efficiency of the monetary transmission mechanism we develop the formulas for testing rational expectations theory in the term structure of interest rates with var models of stochastically switching regimes in which all the parameters are regime dependent these formulas are obtained for the strict version of rational expectations as well as for the case where measurement errors are assumed in the expectations relationship they are extensible to other contexts that involve variables linked by rational expectations behaviours the testing procedure is implemented on interest rates of the spanish inter bank money market measurement errors must be assumed to find signs favourable to the theory

tests of the expectations hypothesis resolving the campbell shiller paradox one of the more puzzling results in the expectations hypothesis eh testing literature is the campbell shiller paradox csp in an influential paper campbell and shiller 1991 found that the slope of the term structure almost always gives a forecast in the wrong direction for the short term change in the yield on the longer bond but gives a forecast in the right direction for long term changes in short rates this paper provides an econometric resolution to the csp specifically it shows that by their construction these tests can generate results consistent with the csp if the eh does not holdnwhatever the reason monte carlo experiments confirm that this explanation can account for campbell and shiller s paradoxical results for most pairings of short term and long term rates considered

demythologizing consumption practices how consumers protect their field dependent identity investments from devaluing marketplace myths marketplace myths are commonly conceptualized as cultural resources that attract consumers to a consumption activity or brand this theoretical orientation is prone to overstating the extent to which consumers identity investments in a field of consumption are motivated by an associated marketplace myth we provide a theoretical corrective to this tendency by investigating consumers who have become vested in a commercially mythologized consumption field through an incremental process of building social connections and cultural capital for these consumers the prevailing marketplace myth is experienced as a trivialization of their aesthetic interests rather than as a source of identity value in response they employ demythologizing practices to insulate their acquired field dependent social and cultural capital from devaluation our findings advance theorizations concerning marketplace myths and consumer identity work and explicate the sociocultural forces that deter consumers from abandoning a consump

institutions in theories of land markets illustrated by the dutch market for agricultural land theories of land markets should be intellectually sound and should be able to explain and predict market outcomes such as price and volume of transactions changes in these and locations of different land uses theories based on neo classical economics which largely ignore the role of institutions are not intellectually sound because it is known that markets cannot work without institutions nor do these theories predict outcomes satisfactorily moreover they assume market mechanisms and do not investigate them critically this paper explores how institutions may be taken into account in theories of land markets and whether that leads to better theories both of market outcomes and of market processes new institutional economics provides the tools to investigate how the interactions between market actors are influenced by institutions and the old institutional economics emphasises how institutions influence the motivations and preferences of those actors the conclusion is that there cannot be a general theory of land markets only theories with a limited applicability and scope such theories can be used to explain the effects of small changes and to predict the effects of marginal changes in institutions in that latter use these theories can be used for designing land policy how institutions can be incorporated into theory is illustrated by analysing the dutch market for agricultural land this shows how institutions affect the outcomes in that market and the consequences for the transformation of land from agriculture to urban use

arbitrage cointegration and testing the unbiasedness hypothesis in financial markets we use a no arbitrage cost of carry asset pricing model to show that the existence of coin tegration between spot and forward futures prices depends on the time series properties of the cost of carry we argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets explaining many of the empirical results in the literature we also use this model to demonstrate why the forward rate forecast error the basis and the forward premium are serially correlated and to develop econometric tests ofthe unbiasedness hypothesis sometimes called the simple efficiency hypothesis in various financial markets the unbiasedness hypothesis is so prevalent in the finance liter ature that many tests for it have been developed we examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness we find strong support for our hypothesis in the existing empirical literature

a transitional institution for the emerging land market in urban china chinese economic reforms since 1978 have been a continuous process of fundamental institutional change the new institution of ambiguous property rights over state owned urban land evolves from the

market efficiency and cointegration an application to the sterling and deutschemark exchange markets abstract the assumption that the foreign exchange market is efficient that is that agents are risk neutral and use all available information rationally so that the forward exchange rate is an unbiased predictor of the future spot rate is a property often imposed in theoretical international macroeconomic models although a vast empirical literature has evolved to test market efficiency we use recent developments in the theory of cointegration to provide new methods of testing several aspects of foreign exchange market efficiency we ffind evidence inconsistent with market efficiency for both germany and the united kingdom

performing housing markets this paper offers an interpretation of how housing markets work which complements more traditional economic approaches building on a wider movement within cultural economy and economic sociology it considers how housing markets are variously performed in the power filled negotiations of buyers sellers and market professionals this is part of a larger undertaking but here the focus is particularly on the role of legal financial and information intermediaries in shaping local cultures of property exchange this is a social rather than economic analysis of housing markets it is a qualitative rather than a quantitative study it is designed to shed light on how markets are made though it might in the end change the way they are modelled

allocating discretionary time complementarity among activities analysis of complementarity among 50 discretionary activities suggests 1 the greater meaning of partial versus simple correlational measures 2 the validity of seven a priori sets of complements 3 the usefulness of multidimensionally scaled correlations in identifying two key activity dimensions intellectual effort and physical exertion and 4 implications for both marketing and public policy

explaining interstate variation in income inequality this paper investigates interstate variation in income inequality by avoiding inequality indices and focusing directly on the lorenz curve the authors provide a more general explanation of the differences in inequality they find that mean family income the standard deviation of years of schooling per capita educational expenditure and property income are robust predictors of inequality of particular interest is their finding that ceteris paribus higher per capita education expenditures tend to be associated with states that have income inequality which is greater than the u s average copyright 1992 by mit press

a daily view of yield spreads and short term interest rate movements daily data on short term interest rates are used to show how changes in federal reserve operating procedures have affected the term structure yield spreads were helpful in predicting short term interest rate movements during the nonborrowed reserves targeting period 1979 82 but not during the earlier federal funds targeting period since the adoption of contemporaneous reserves accounting in 1984 yield spreads have been informative about short term interest rate movements principally because of the interplay between the market determination of the overnight funds rate on reserve settlement wednesdays and the fed s apparent commitment to stabilizing the funds rate on other days copyright 1996 by ohio state university press

flexible exchange rates prices and the role of news lessons from the 1970s recent experience with flexible exchange rate systems has led to renewed interest in the operation of foreign exchange markets as reflected in many recent studies of the principal determinants of exchange rates the 1970s witnessed the dramatic alteration of the international monetary system from a regime of pegged exchange rates which prevailed for about a quarter of a century since the bretton woods conference into a regime of flexible though managed rates as a consequence of the emergence of the new legal and economic system traders national governments and international organisations were confronted with new economic problems choices and instruments during the 1970s ex change rates fluctuated widely and inflation rates accelerated the international monetary system had to accommodate extraordinarily large oil related shocks which affected trade flows in goods and assets huge oil payments had to be recycled uncertainties concerning future developments in international politics reached new heights and the prospects for the world economy got gloomier these developments placed unprecedented pressures on the markets for foreign exchange as well as on other asset markets they were associated with a large slide in the value of the us dollar and resulted in speeding up the creation of new institutions like the european monetary system which provided the formal framework for the management of exchange rates among members

rational expectations econometric analysis of changes in regime an investigation of the term structure of interest rates abstract this paper is of interest both for its methodological contribution of new tools for analyzing rational expectations models and for its substantive conclusions concerning the term structure of interest rates during the monetary experiment of october 1979 the paper studies systems subject to changes in regime interpreted here as occasional discrete shifts in the parameters governing the time series behavior of exogenous economic variables the specification is shown to be quite tractable both theoretically and empirically the technique is used to analyze yields on three month treasury bills and ten year treasury bonds during 1962 to 1987 a constant parameter linear model for short term rates is shown to be inconsistent both with the univariate time series properties of short rates and with the observed bivariate relation between long and short rates under the expectations hypothesis of the term structure an alternative nonlinear model that admits the possibility of changes in regime affords a much better description of the univariate process for short rates moreover the cross equation restrictions implied by the expectations hypothesis of the term structure are consistent with the nonlinear specification indeed the residuals of the restricted relation have a standard error of only 0 8 basis points this is a third less than that of a completely unrestricted linear regression of long rates on short rates and compares with an unconditional standard deviation of long rates of 142 basis points i conclude that once the recognition by bond traders of changes in regime is taken into account the expectations hypothesis of the term structure of interest rates holds up fairly well for these data

benchmarking the expectations hypothesis of the interest rate term structure an analysis of cointegration vectors i test cointegration restrictions that are consistent with the expectations hypothesis of the term structure by employing the full information maximum likelihood methods developed by johansen yield curves appear to be the result of cointegration among interest rates the cointegration vectors that best describe the long term impact of interest rate levels on interest rate changes can often be written as linear combinations of interest rate spreads there is however difficulty in keeping short term yields in such a restricted cointegrated system with other interest rates short term speculative returns from long term bonds do not conform to the expectations hypothesis

a defense of traditional hypotheses about the term structure of interest rates expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time under the former interpretation different versions of the expectations theory of the term structure are inconsistent with one another but i show that this does not necessarily carry over to the constant risk premium interpretation of the theory i present a general equilibrium example in which different types of risk premium are constant through time and dependent only on maturity furthermore i argue that differences among expectations theories are secondorder effects of bond yield variability i develop an approximate linearized framework for analysis of the term structure in which these differences disappear and i test its accuracy in practice using data from the crsp government bond tapes in a well known article in this journal cox ingersoll and ross cir 4 reexamine and find wanting certain hypotheses about the term structure of interest rates a striking feature of cir s re examination is that it is entirely theoretical cir show that different versions of the pure expectations theory of the term structure which traditionally were regarded as equivalent are in fact inconsistent with one another when interest rates are random furthermore in a fairly general continuous time arbitrage pricing framework when interest rates are random all versions of the theory except one are incompatible with equilibrium at first sight cir s results appear to be devastating to traditional empirical work on the term structure they suggest that researchers must specify arbitrage pricing models with a small number of state variables before proceeding to empirical work such models must restrict not only the deterministic components

explaining the failures of the term spread models of the rational expectations hypothesis of the term structure contrary to the predictions of the rational expectations hypothesis of the term structure of interest rates empirical evidence suggests that the term spread between long and short rates fails to forecast future movements of long term rates although its forecasts of future short term rates are in the correct direction in this paper the authors show that this puzzling behavior of the term spread alone can be explained by a time varying term premium that is correlated with the term spread once this is accounted for neither expression of the expectations hypothesis is against the predictions of the theory copyright 1997 by ohio state university press

revisiting the expectations hypothesis of the term structure of interest rates the expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades in this paper using a newly constructed dataset of synthetic zero coupon bond yields we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure these results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized

the expectations hypothesis of the term structure tests on us german french and uk euro rates abstract this paper tests the expectations hypothesis of the term structure on us german french and uk euro rates three tests are examined the first is based on forward rates and the other two are based on the interest rates spread first we show that the sign puzzle highlighted by campbell and shiller campbell j y shiller r j 1991 yield spreads and interest rate movements a bird s eye view review of economic studies 58 495 514 for us data does not arise in the cases of french and uk short term rates second we propose tests for the expectations hypothesis based on error correction models with these tests the sign puzzle disappears but the country puzzle remains

the predictive power of the business and bank sentiment of firms a high dimensional granger causality approach we study the predictive power of industry specific economic sentiment indicators for future macro economic developments in addition to the sentiment of firms towards their own business situation we study their sentiment with respect to the banking sector their main credit providers the use of industry specific sentiment indicators results in a high dimensional forecasting problem to identify the most predictive industries we present a bootstrap granger causality test based on the adaptive lasso this test is more powerful than the standard wald test in such high dimensional settings forecast accuracy is improved by using only the most predictive industries rather than all industries

the information content of eonia swap rates before and during the financial crisis abstract before august 2007 implied forward rates in the overnight interest swap rates closely reflected market expectations about the future path of the eonia and therefore about the future course of the ecb s monetary policy stance nevertheless this link was weakened considerably during the most acute episode of the financial crisis using the expectations hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates we find that after may 2010 the monetary transmission mechanism was partially restored when the ecb implemented various unconventional measures in response to the financial crisis on the contrary liquidity and credit risks are still present in unsecured deposit markets distorting the pricing and transmission of the ecb monetary policy stance along the euribor rates these results should be of interest for regulators financial institutions and researchers in european money markets

consumption driven market emergence new market development is well theorized from a firm centered perspective but research has paid scant attention to the emergence of markets from consumption activity the exceptions conceptualize market emergence as a product of consumer struggle against prevailing market logics this study develops a model of consumption driven market emergence in harmony with existing market offerings using ethnographic methods and actor network theory the authors chronicle the emergence of a new market within the motorcycle industry that develops with neither active participation nor interference from mainstream industry players findings reveal a process of multiple translations wherein consumers mobilize human and nonhuman actors to co constitute products practices and infrastructures these drive the growth of interlinked communities of practice which ultimately are translated into a fully functioning market the study highlights the roles of distributed innovation and diffusion embedded entrepreneurship and market catalysts in processes of market change and development

the expectations hypothesis term premia and the canadian term structure of interest rates in this paper monthly data are used over the period 1960 7 to 1995 12 to examine the determinants of term premia implicit in the canadian t bill term structure of interest rates in sharp contrast to u s evidence the conditional variances of canadian macroeconomic variables are found to be insignificant predictors of term premia in the canadian t bill term structure the conditional variances of u s macroeconomic variables however are found to be important determinants of canadian term premia jel classification e43 g1 l hypothese des anticipations les primes de temps et la structure temporelle des taux d interet canadiens ce memoire utilise des donnees mensuelles de juillet 1960 a decembre 1995 pour examiner les determinants des primes de temps implicites dans la structure des taux d interet pour les bons du tresor canadiens contrairement a ce que l on trouve aux etats unis il semble que les variances conditionnelles des variables macroeconomiques canadiennes ne sont pas des predicteurs utiles de ces primes cependant il appert que les variances conditonnelles des variables macroeconomiques des etats unis sont des determinants importants de ces primes

the monotonicity of the term premium abstract fama s evidence that the term premium on treasury securities is not monotonically increasing is found to depend entirely on the behavior of bid asked mean returns on 9 and 10 month bills and only during the subperiod 8 64 12 72 when transactions costs as reflected in the bid asked spread are taken into account there is found to be no way to exploit this non monotonicity the anomalous behavior of the quotations is attributed to the treasury s auctions of 9 month bills during the period 9 66 10 72 the hypothesis that the term premium is a monotonically increasing function of maturity remains unrefuted

play at any cost how cosplayers produce and sustain their ludic communal consumption experiences communal consumption is often described as inherently playful with previous research mainly focusing on successful ludic communal experiences and largely disregarding its potential pitfalls moreover the marketer is usually seen as the primary facilitator of ludic experiences which has marginalized the role of the consumer this article explores how consumers produce and sustain ludic consumption community experiences in the face of growing instrumental costs it assumes a practice theory lens and is based on an ethnographic inquiry into cosplay which is a time and resource intensive form of pop culture masquerade and craft consumption prolonged engagement in the cosplay community leads to growing emotional material temporal and competence related costs which hinder playful experiences consumers practice modularization reinforcement and collaboration to overcome these costs and maintain the important ludic sensations that motivate communal engagements

foreign exchange market efficiency tests implications of recent empirical findings abstract the recent empirical literature on the efficiency of the foreign exchange market has been characterized by strikingly contradictory conclusions drawn from similar empirical evidence these contradictions result because 1 different maintained hypotheses are held and 2 different criteria e g micro versus macroeconomic are used to judge the evidence in this survey we organize the empirical literature under several headings the presence of risk premiums empirical regularities in regression tests profitable trading rules and advanced econometric techniques in integrating this material we consider the implications of the current evidence for investors forecasters policy makers and theorists

a theoretical framework for the functioning of the dutch property market in this article a theoretical framework will be presented to aid understanding of the functioning of property markets more particularly the dutch property market it will be argued that traditional urban economic theories are not able to explain the structure and processes of the built environment in the dutch case we are confronted with two problems first to find a way in which urban economic theories designed for a context of cities in great britain and the us can be used to explain urban development that takes place in the different context of dutch cities and secondly to formulate a set of hypotheses appropriate for the dutch property market the hypotheses concern the strategies of individual actors on the property market and the underlying factors it is concluded that in general the relation between institutional structure and property development has been neglected both because of insufficient attention from economic scientists and because empirical research is very complicated

trade connections and interest rate linkages among asean japan and the usa an empirical analysis in the existing literature there have been only a limited number of efforts at empirically evaluating the degree of economic connections among asean countries the present study intends to fill this gap the study is conducted through an investigation of regional trade connections and interest rate linkages the results indicate that both the degree of trade interdependence and the interest rate linkages among asean nations are comparable to those among eec and nafta countries singapore plays a key role in asean economic relations different from eec and nafta asean appears to be heavily dependent on japan and the usa the two super economic powers outside the association

the expectation hypothesis in emerging financial markets the case of malaysia this article deals with the expectation hypothesis of the term structure of interest rates it is argued that the rapid progress and financial market liberalization that is occurring in emerging financial markets could provide additional evidence for testing the expectation hypothesis this article employs data from the malaysian government securities market which represents one of the examples of an emerging financial market cointegration and error correction analyses show significant empirical validity for the expectation hypothesis the long and short term interest rates are shown to be cointegrated and subject to a long run equilibrium path in addition to shedding some light on the experience of emerging financial market this article explicitly identifies the process of adjustment towards the long run equilibrium for the long run the results are in favour of the long to short version of expectation hypothesis with longer term interest rates playing a greater role as equilibrium attractor howeve

selling sharing and everything in between the hybrid economies of collaborative networks recent consumer research has examined contexts where market based exchange gift giving sharing and other modes of exchange occur simultaneously and obey several intersecting logics but consumer research has not conceptualized these so called hybrid economic forms nor explained how these hybrids are shaped and sustained using ethnographic and netnographic data from the collaborative network of geocaching this study explains the emergence of hybrid economies performativity theory is mobilized to demonstrate that the hybrid status of these economies is constantly under threat of destabilization by the struggle between competing performativities of market and nonmarket modes of exchange despite latent tension between competing performativities the hybrid economy is sustained through consumer producer engagements in collaborative consumption and production the creation of zones of indeterminacy and the enactment of tournaments of value that dissipate controversies around hybrid transactions implications are drawn for consumer research on the interplay between market and nonmarket economies

cointegration and stock prices the random walk on wall street revisited abstract one of the more famous and empirically regular instances of unit roots occurs in stock price series where they are consistent with rational expectations and efficient markets under certain assumptions in this paper we investigate the dynamic behavior of five stock prices over the volatile period from january 1972 through december 1979 finding that the series are cointegrated with one dominant common trend a component with an estimated root of 0 95 in addition we find a lesser trend and two complex roots in the cycle model these findings are validated by out of sample forecasts beginning in january 1980 in addition to mean squared error criteria the forecasts are evaluated nonparametrically in two separate applications of a test due to henriksson and merton

expectations and risk in the treasury bill market an instrumental variables approach this paper examines rational expectations in the treasury bill market from 1961 to 1988 with a risk premium specified to be proportional to the volatility of excess returns using instrumental variables from 1961 to 1972 and from 1972 to 1979 rational expectations cannot be rejected and both the predictive power of the yield curve and the risk premium are highly significant by contrast with just a constant risk premium and with a risk pre mium proxied by moving averages of absolute interest rate changes rational expectations are rejected for each subperiod and the yield curve has significant predictive information only from 1972 to 1979

the term structure of euro rates some evidence in support of the expectations hypothesis abstract this paper studies 1 3 6 and 12 month euro rates for 17 countries using between 10 and 30 years of data term spreads contain information about future short term rates in all 51 regressions that we estimate moreover in 35 cases we are unable to reject the expectations hypothesis using cross sectional regressions we estimate the variance of the term premium and the correlation of the term premium and the expected change in short rates we conclude that despite evidence of a time varying term premium for many countries the expectations hypothesis is broadly compatible with the data

tests of three parity conditions distinguishing risk premia and systematic forecast errors abstract this study provides evidence that uncovered interest differentials between currencies cannot be attributed to either risk premia or systematic forecast errors alone the evidence is based on developing joint tests of three parity conditions uncovered interest parity purchasing power parity and real interest parity the study tests parameter restrictions based on knowing that risk premiums only affect nominal and real interest differentials but not inflation differentials while systematic errors in forecasting exchange rates only affect nominal interest differentials and inflation differentials but not real interest differentials the study finds a variety of cases where deviations from some or all of the parity conditions can be systematically related to variables currently known to investors and borrowers the most intriguing evidence is that for some currencies these deviations from parity are perfectly correlated as if they were driven by a common factor