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

β convergence and the cyclical dynamics of uk regional house prices the potential convergence of regional house prices in the uk is examined in contrast to the existing literature which focuses upon stochastic convergence the present paper considers alternative f

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

explaining metropolitan housing price differences abstract housing prices differ substantially among metropolitan areas the rent and house price indexes used here measure this variation among 54 metropolitan areas a model of metropolitan housing price determination is presented and used to identify the sources of intermetropolitan price variation reduced form equations explain close to 90 of the variation in rental prices and close to 60 of the variation in house prices

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

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

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

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

a model of mortgage default in this paper we solve a dynamic model of households mortgage decisions incorporating labor income house price inflation and interest rate risk using a zero profit condition for mortgage lenders we solve for equilibrium mortgage rates given borrower characteristics and optimal decisions the model quantifies the effects of adjustable versus fixed mortgage rates loan to value ratios and mortgage affordability measures on mortgage premia and default mortgage selection by heterogeneous borrowers helps explain the higher default rates on adjustable rate mortgages during the recent u s housing downturn and the variation in mortgage premia with the level of interest rates

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

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

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

chinese electronics export taiwanese contract manufacturing the win win outcome along the evolving global value chain the ascent of china as the world s top exporter is unusual in its rapidity andhigh tech content with a major portion in process trade by chinese classification forming part of the evolving global value chain with chronology andeconomic analysis applied to notions in frequent business usage but not economicsliterature this study shows the global value chain arose from the microelectronicrevolution known as moore s law evolved under the time tomarketimperative and caused widespread outsourcing in america and europe with final stage production mostly in china by taiwanese contract manufacturers the insight gained may help to assess future trends

dissecting the cycle a methodological investigation following burns and mitchell we define the cycle as a pattern in the level of aggregate economic activity an algorithm to locate turning points is developed as is a new measure of pro cyclicality a link between turning points and the moments of the series is established thereby providing the statistical foundation that burns and mitchell s work lacked using these tools we are able to dissect cycles in terms of the contributions made by trend growth volatility serial correlation and non linear effects we dissect several models and find little evidence that certain non linear effects are important to the nature of business cycles

compensating balance rationality and optimality the rationality of requiring compensating balances in commercial lending is a long standing controversy this paper demonstrates that compensating balance requirements can be either rational or irrational and derives the conditions under which each may occur the model presented is capable of explaining illustrating and resolving analytically and graphically the apparent inconsistency among conclusions of previous studies in addition the model entertains questions of optimality in borrowing arrangements

globalization of production insights from the hard disk drive industry abstract rapid change in the geographical location of production raises important questions regarding the welfare development potential and competitive position of different countries and regions this paper explores in detail the geography of economic activity in a specific industry the hard disk drive hdd component of the computer industry firms in the hdd industry are breaking the production system into ever smaller distinct steps and spreading the physical location of these steps around the world firms from the united states dominate the industry our findings suggest that globalization has enabled us firms to sustain their dominant position in the industry preserve employment in the united states and possibly expand it and increase employment worldwide most notably in southeast asia

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

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

day of the week effects in federal funds rates further empirical findings abstract we extend the spindt and hoffmeister 1988 model of the daily operation of an institution s federal reserve account to show strong inter and intra period incentives to borrow and lend in the federal funds market at predictable points in the 10 trading day settlement period using intraday high and low prices we demonstrate changes in the federal funds rate consistent with our model s predictions we provide evidence of predictable changes in the variance of fed funds returns on a daily and intraday basis our analysis confirms that federal reserve requirements result in daily and intraday variances which are not constant

the micromechanics of the federal funds market implications for day of the week effects in funds rate variability the federal funds rate arguably is the most important interest rate in the u s capital market because it plays a central role in monetary policy and the term structure this paper examines the micromechanics of the funds market we show that in a continuous market with asynchronous trading regulatory constraints and accounting conventions that focus agents attention on discrete time instants have important implications for the dynamics of trading activity and realized market prices we also exhibit a model of the market that explains observed regularities in the intertemporal behavior of the funds rate

intraday management of bank reserves the effects of caps and fees on daylight overdrafts the federal reserve system imposes caps and charges fees on the negative intraday balances in banks reserve accounts i e on daylight overdrafts our empirical results suggest that caps alone did little to reduce daylight overdrafts in the aggregate by contrast the 1994 imposition of fees reduced the average daily maximum overdraft on the fedwire system by about 93 billion and the average aggregate overdraft at any time during the day by about 43 billion we also found statistical evidence that higher beginning of day reserve balances lower aggregate dollar values of securities related transfers over fedwire and lower shares of banks assets funded with federal funds and repurchase agreements reduced daylight overdrafts copyright 1996 by ohio state university press

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

who profits from innovation in global value chains a study of the ipod and notebook pcs in an era when new ideas are brought to the market by global value networks of specialists rather than by one company a key question is who captures the most value from innovation in such a structure and why this paper addresses the question of who benefits from innovation in global value chains by looking at specific computer and electronics products we apply a novel industry studies methodology for measuring the distribution of financial value across the supply chains for two models from apple s ipod family and notebook pc models from lenovo and hewlett packard hp these are all examples of globally innovated products combining technologies from the u s japan and other countries and assembled in china our analysis shows that the gross margins of apple for its high end ipod products are generally higher than those earned by hp and lenovo for notebook pcs although not so high as to be considered supernormal a key reason for the difference is that apple s control of the core software proprietary standards and complementary infrastructure of the ipod enables it to retain greater profits whereas a large share of the pc industry profits are siphoned off to microsoft and intel who control key technical standards consistent with teece 1986 our results confirm the importance of stages of technical evolution appropriability regimes and complementary assets as determinants of profiting from innovation on the other hand we find that manufacturing has become commoditized and is no longer a key to profiting from innovation in final electronic products also contrary to recent suggestions in the literature we find no evidence of a causal link between product and industry architectures instead there is a vast electronics industry architecture that can easily support product level value chain configurations ranging from modular to integrated

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

the interruption of income convergence and income growth in large cities in the 1980s recent studies have documented the divergence of per capita personal income among regions of the us in the 1980s following many decades of income convergence this paper establishes the same patter

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 process of commercialisation of urban housing in china the role of the state in housing has been the subject of controversial debate recently in china more and more decision makers consider that the supply of housing should be left to market forces of demand and supply various new policies have been introduced from as early as 1979 designed to commercialise and reform the public sector dominated housing system this paper provides a review of housing reforms and a systematic account of the key features of the commercialisation process it focuses principally on the attempts to privatise public sector housing in urban areas in the context of the major characteristics and problems of the urban housing system the development of reform policies and legislation and current reform practice

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

simple optimal policy for cash management the average balance requirement case this paper treats a problem of stochastic cash management under an average compensating balance requirement it develops a dynamic programming formulation of the problem in which the relevant state is a unidimensional quantity equivalent to the forecasted average balance at the end of the averaging period under usably broad conditions it establishes the optimality of a transient policy of simple type similar to the two sided inventory type policy familiar from certain earlier studies of stationary cash balance problems having absolute balance requirements the results apply to cases in which the transactions costs contain both fixed and proportional components the paper discusses also a numerical example drawn from the literature of the cash balance problem and shows by simulation of the optimal and simply modified forms of the optimal policy that good protection is afforded against negative balances even though the model does not explicitly constrain the negative balance probabilities

consumption down payments and liquidity constraints one frequently cited explanation for the empirical failure of the orthodox life cycle permanent income hypothesis lc pih is the presence of binding liquidity constraints households inability to borrow and lend at the same interest rate or to borrow the desired quantity can distort household consumption profiles depressing consumption during periods when constraints bind whether or not liquidity constraints bind has important implications for the sensitivity of consumption to fluctuations in income the neutrality of government debt and the structure of taxation despite the potential importance of liquidity constraints in understanding macroeconomic behavior there has been comparatively little research into the effect of specific constraints on consumption one area of consumer behavior where liquidity constraints arguably may be important is in housing decisions and mortgage markets households wishing to own a first home must accumulate a down payment in order to qualify for a mortgage loan currently for conventional mortgages in the united states most lending institutions require between s percent and 20 percent of the purchase price of the home put down in advance of the purchase 2 without access to private gifts or loans many

myopic and stationary solutions for stochastic cash balance problems this paper presents constructive solutions to stochastic cash balance problems the model studied is in a periodic review framework with convex holding and shortage costs levied both in the beginning and at the end of each period transaction costs are linear with the possibility of unequal fixed and proportional parts for orders and disposals optimal myopic solutions are presented for convex and linear costs the application of an integral of the cumulative demand distribution yields simple formulae for solving the exact values of the policy parameters the logistic distribution is used to obtain results readily applicable in day to day decision making approximations of the wilson formula type are developed and compared with earlier contributions conditions for the optimality of myopic policies are also presented stationary solutions are developed and compared with myopic results in order to evaluate the amount of suboptimality the stationary distribution and the optimal policy are given for the bilateral exponential demand distribution case all results have been programmed and tested against the local finance market data

smooth adjustment econometrics and inventory theoretic money management abstract a growing number of empirical papers use miller orr s s money management as economic motivation for application of non linear smooth adjustment models this paper shows such models are not implied by the miller orr economy instead the miller orr economy implies non standard smooth adjustment as derived in the neglected and misinterpreted work of milbourne et al 1983 remarkably this function includes a varying weight on the lagged dependent variable capturing static not dynamic effects interpretations of these apparent dynamics are presented some of which may be useful in non monetary s s contexts results imply a new agenda for applied smooth adjustment modeling of money

synchronisation and commonalities in metropolitan housing market cycles this paper examines the degree of commonalities present in the cyclical behaviour of the eight largest metropolitan housing markets in australia using two techniques originally proposed in the business cycle literature we firstly consider the degree of synchronisation present and secondly decompose the series into their permanent and cyclical components both empirical approaches reveal similar results sydney and melbourne are closely related to each other and are relatively segmented from the smaller metropolitan areas in contrast there is substantial evidence of commonalities in the cyclical behaviour of the remaining cities especially those on the eastern and southern coasts of australia

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

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