hedonic estimation applied to a water rights market rights is concerned with the efficiency of water allocations where there are legal and institutional constraints on water rights trades economists have argued that such constraints prohibit water from moving to its socially highest valued uses and hence that the allocation of water under these restrictions is inefficient on the other hand if water rights associated with a certain parcel of farm real estate could be sold separately from the land in a perfectly competitive market the allocation of water would be efficient hirshleifer et al 1969 42 43 anderson 1983 1 the past attempts to examine and compare the efficiency of water rights markets have been qualitative one notable example is the study by brown et al 1982 which hypothesized that water rights markets are more efficient in regions where water is relatively scarce six basins were examined and as

wealth distribution in life cycle economies abstract this paper compares the age wealth distribution produced in life cycle economies to the corresponding distribution in the us economy the idea is to calibrate the model economies to match features of the us earnings distribution and then examine the wealth distribution implications of the model economies the findings are that the calibrated model economies with earnings and lifetime uncertainty can replicate measures of both aggregate wealth and transfer wealth in the us furthermore the model economies produce the us wealth gini and a significant fraction of the wealth inequality within age groups however the model economies produce less than half the fraction of wealth held by the top 1 percent of us households

housing market heterogeneity in a monetary union this paper studies the implications of cross country housing market heterogeneity in a monetary union for both shock transmission and welfare i develop a two country new keynesian general equilibrium model with housing and collateral constraints to explore this issue the conventional wisdom is that welfare would be higher in a monetary union if mortgage markets were homogeneous this paper shows instead that welfare is higher only when homogenization does not result in higher aggregate volatility because of financial accelerator effects or does not redistribute too much wealth from borrowers to savers

new keynesian models durable goods and collateral constraints abstract econometric evidence suggests that in response to monetary policy shocks durable and non durable spending co move positively and durable spending exhibits a much larger sensitivity to the shocks a standard two sector new keynesian model with perfect financial markets is at odds with these facts the introduction of a borrowing constraint where durables play the role of collateral assets helps in reconciling the model with the empirical evidence

asset pricing with beliefs dependent risk aversion and learning abstract this paper studies equilibrium in a pure exchange economy with unobservable markov switching growth regimes and beliefs dependent risk aversion bdra risk aversion is stochastic and depends nonlinearly on consumption and beliefs equilibrium is obtained in closed form the market price of risk the interest rate and the stock return volatility acquire new components tied to fluctuations in beliefs a three regime specification is estimated using the generalized method of moments gmm model moments match their empirical counterparts for a variety of unconditional moments including the equity premium stock returns volatility and the correlations between stock returns and consumption and dividends dynamic features of the data such as the countercyclical behaviors of the equity premium and volatility are also captured model volatility provides a good fit for realized volatility a new factor the information risk premium is found to be a strong predictor of future excess returns these results are obtained with an estimated risk aversion fluctuating between 1 44 and 1 93

the value of agricultural water rights in agricultural properties in the path of development article i nfo article history this paper estimates the value of water rights in a rapidly urbanizing semi arid area phoenix arizona to do this we use hedonic pricing to explore the impact of water rights on property values in 151 agricultural land transactions that occurred between 2001 and 2005 we test two main hypotheses 1 that the marginal will ingness to pay for water rights is higher in more developed urbanizing areas than in less developed rural areas and 2 that the marginal willingness to pay for water rights in urban areas is increasing in the value of developed land we find that the marginal willingness to pay for water rights is highest among properties in urbanized or urbanizing areas where a significant proportion of the land has already been developed additionally we find that the marginal willingness to pay for agricultural water rights is greatest in cities where developed land is most valuable

optimal monetary policy with durable consumption goods abstract we document that the durable goods sector is much more interest sensitive than the nondurables sector and then investigate the implications of these sectoral differences for monetary policy we formulate a two sector general equilibrium model that is calibrated both to match the sectoral responses to a monetary shock derived from our empirical var and to imply an empirically realistic degree of sectoral output volatility and comovement while the social welfare function involves sector specific output gaps and inflation rates the performance of the optimal policy rule can be closely approximated by a simple rule that targets a weighted average of aggregate wage and price inflation in contrast a rule that stabilizes a more narrow measure of final goods price inflation performs poorly in terms of social welfare

asymmetries in housing and financial market institutions and emu despite convergence pressures differences in housing and financial market institutions across the 15 member states of the european union are still enormous this paper argues that they have profound effects on the responsiveness of output and inflation in the different countries to changes in short term interest rates as well as to asset market shocks of external origin the economic reasoning behind this claim is set out and the institutional differences are described the paper assesses the sometimes conflicting empirical evidence on this issue barriers to convergence and implications for labour market flexibility are discussed the uk ireland finland and sweden tend to cluster at one extreme of the relevant institutional characteristics the paper concludes with a set of proposals for institutional reforms which would significantly reduce the tensions within emu and the potential for instability in these economies entailed by emu membership

on the choice of funtional form for hedonic price functions this study examines how errors in measuring marginal attribute pric es vary with the form of the hedonic price function in simulations consumers with known utility functions bid for houses with given attributes various forms of the hedonic function are estimated using equilibrium housing prices errors in estimating marginal attribute prices are calculated by comparing each consumer s equilibrium marginal bid vector with the gradient of the hedonic function when all attributes are observed linear and quadratic box cox forms produce lowest mean percentage errors however when some attributes are unobserved or are replaced by proxies linear and linear box cox functions perform best copyright 1988 by mit press

which hedonic models can we trust to recover the marginal willingness to pay for environmental amenities abstract the hedonic property value model is among our foremost tools for evaluating the economic consequences of policies that target the supply of local public goods environmental services and urban amenities we design a theoretically consistent and empirically realistic monte carlo study of whether omitted variables seriously undermine the method s ability to accurately identify economic values our results suggest that large gains in accuracy can be realized by moving from the standard linear specifications for the price function to a more flexible framework that uses a combination of spatial fixed effects quasi experimental identification and temporal controls for housing market adjustment

should monetary policy respond strongly to output gaps much recent monetary policy analysis has featured stochastic simulations with small structural macroeconomic models that include a spending vs saving is sector a price adjustment sector and an interest rate policy rule the first two are frequently specified so as to reflect optimizing behavior policy may or may not be specified as optimizing depending on the study s objectives some leading issues concern modifications to simple quantitative optimizing models that are needed to generate realistic degrees of persistence in inflation and output gap variables a major policy issue is whether it is desirable for monetary policy to respond strongly to the output gap the paper argues that the latter is unobservable and considers the implications of using a trend type measure while the true concept is of a type more in keeping with basic theory in such circumstances highly undesirable consequences are likely to ensue if policy responds strongly to the measured gap this abstract was borrowed from another version of this item

house prices borrowing constraints and monetary policy in the business cycle i develop a general equilibrium model with sticky prices credit constraints nominal loans and asset prices changes in asset prices modify agents borrowing capacity through collateral value changes in nominal prices affect real repayments through debt deflation monetary policy shocks move asset and nominal prices in the same direction and are amplified and propagated over time the financial accelerator is not constant across shocks nominal debt stabilises supply shocks making the economy less volatile when the central bank controls the interest rate i discuss the role of equity debt indexation and household and firm leverage in the propagation mechanism finally i find that monetary policy should not target asset prices as a means of reducing output and inflation volatility

monetary valuation of aircraft noise a hedonic analysis around amsterdam airport in densely populated countries and in particular in large metropolitan areas the presence of so much human activity causes all sorts of negative externalities for example traffic noise disturbance these externalities call for corrective measures by the government economists have developed a number of procedures that provide reasonable estimates on the monetary value of some amenities and externalities in this paper we develop a spatially explicit hedonic pricing model for house prices in order to quantify the social cost of aircraft noise disturbance in monetary terms while focusing on aircraft noise around amsterdam airport in the urban fringe of the amsterdam region a key point in our analysis is that we account for background noise we do this by taking multiple sources of traffic noise i e road railway and aircraft noise into account simultaneously and by setting threshold values for all three sources of noise above which sound is generally experienced as nuisance based on our regression results we conclude that a higher noise level means ceteris paribus a lower house price air traffic has the largest price impact followed by railway traffic and road traffic these model outcomes can subsequently be used to estimate the marginal and total benefits of aircraft noise reduction in the studied area around amsterdam airport we find a marginal benefit of 1 db noise reduction of 1 459 euro per house leading to a total benefit of 1 db noise reduction of 574 million euros

an embarrassment of riches confronting omitted variable bias and multiscale capitalization in hedonic price models abstract many researchers have addressed concerns of omitted variable bias in hedonic price models through the use of spatial fixed effects we argue that this approach does not consider the biases introduced by effects that overlap the zone of capitalization for nonmarket goods we show this bias can dominate the usual omitted variable bias using data on developer provided open space we control for multiscale capitalization and omitted variables simultaneously by extending the hausman taylor estimator where the panel component of the estimator is defined over repeated transactions within neighborhoods rather than the traditional definition following a unique cross sectional unit through time

comment on welfare implications of the transition to high household debt by campbell and hercowitz the purpose of campbell and hercowitz 2009 is to evaluate quantitatively the macroeconomic effects of deregulation of the mortgage market in the early 1980s this deregulation made it easier for consumers to use houses as collateral for loans the paper focusses on two questions first can this deregulation help to explain the increase in real interest rates in the early 1980s second and more importantly what effect did this deregulation have on household welfare campbell and hercowitz do a good job of motivating their quantitative analysis citing facts about changes in household debt and mortgage refinancing in the u s during the past quarter century the percentage of mortgagees who had ever refinanced their homes for example increased from 10 in 1983 to 44 in 2001 and housing equity as a fraction of house value for newly purchased homes with a loan to value ratio of at least 50 decreased from 23 of 1983 to 16 in 2001 moreover household debt increased from 43 of u s gdp in 1982 to 62 in 2000 finally throughout this period homes and cars collateralized roughly 90 of household debt these are big numbers that underscore the need for a coherent quantitative analysis of the macroeconomic effects of deregulation in the mortgage market campbell and hercowitz do an excellent job of providing precisely such an analysis the main findings of the paper are twofold first the sudden loosening of collateral or more generally borrowing constraints increases interest rates and lowers wages during the transition to a new steady state second in a reasonably calibrated quantitative model deregulation hurts borrowers although they benefit directly from looser borrowing constraints the indirect general equilibrium effect of deregulation on prices more than offsets these benefits leading to a net welfare loss lenders on the other hand gain i will use the bulk of the rest of my discussion to illustrate these effects in a drastically simplified version of campbell and hercowitz s model by stripping away extraneous details this simplified version of their model suggests that the forces at work in campbell and hercowitz s model are robust to changes in the exact details of how housing housing debt and mortgage financing are modelled moreover even in this simple model there are opposing effects on household welfare emphasizing again the need for a quantitative analysis such as campbell and hercowitz s in order to measure their net effect

2006 presidential address water markets in the west prices trading and contractual forms rising urban and environmental demand for water has created growing pressure to reallocatewaterfromtraditionalagriculturaluses theevolutionofwatermarketshas beenmorecomplicatedthanthoseforotherresources inthispaper wefirstexplainthese differences by examining water rights and regulatory issues second we place our research in the context of the economics literature on water marketing third we present new comprehensive data on prices and the extent nature and timing of water transfers across 12 western states from 1987 to 2005 we find that prices are higher for agriculture to urban trades versus within agriculture trades in part reflecting the differences in marginal values between the two uses prices for urban use are also growing relative to agricultural use markets are responding in that the number of agriculture to urban transactions is rising whereas the number of agriculture to agriculture transfers is not further there is a shift from using shortterm leases to using multiyear leases of water and permanent sales of water rights this pattern underscores the need to consider the amounts of water obligated over time rather than examining only annual flows in assessing the quantities of water traded as is the common practice in the literature considering water obligated over time termed committed water we find significantly more is transferred and the direction of trading is different than if the focus is on annual flows finally the data reveal considerable variation in water trading across the states jel q2 n5 l5 k3

sticky price models and durable goods the inclusion of a durable goods sector in sticky price models has strong and unexpected implications even if most prices are flexible a small durable goods sector with sticky prices may be sufficient to make aggregate output react to monetary policy as though most prices were sticky in contrast flexibly priced durables with sufficiently long service lives can undo the implications of standard sticky price models in a limiting case flexibly priced durables cause monetary policy to have no effect on aggregate output our analysis suggests that durable goods prices are the most relevant data for calibrating price rigidity jel e21 e23 e31 e52

survival and long run dynamics with heterogeneous beliefs under recursive preferences i analytically characterize the long run behavior of an economy with two types of agents who differ in their beliefs and are endowed with homothetic recursive preferences agents with more incorrec

is all space created equal uncovering the relationship between competing land uses in subdivisions abstract evaluating the importance of different forms of open space to households requires an evaluation of the service flows provided by each type of open space for many non market goods these flows occur over multiple spatial scales and require analysis that simultaneously accounts for capitalization at each scale to meet this often overlooked need we apply a newly developed extension to the hausman taylor model that treats multiple housing transactions occurring in a spatial location as a panel this methodology allows us to account for omitted variables within a subdivision while instrumenting for variables identified through differences between subdivisions we measure capitalization of open space at three distinct spatial extents adjacency walkability and subdivision wide we find that the interactions between subdivision open space and private open space in the form of lot size change from complementarity at small scales to substitutability at large scales these results confirm much of the intuition developed by ecologists and public planners on the likely service flows associated with open space and show how our approach to accounting for multiple spatial scales of capitalization in the evaluation of non market goods could be beneficial to other areas of applied research

conditioning and aggregation of preferences this paper develops a general framework for modeling choice under uncertainty that extends subjective expected utility to include nonseparabilities state dependence and the effect of subjective or ill defined consequences this is accomplished by not including consequences among the formal primitives instead the effect of consequences is modeled indirectly through conditional preferences over acts the main results concern the aggregation of conditional utilities to form an unconditional utility including the case of additive aggregation applications obtained by further specifying the structure of acts and conditional preferences include disappointment regret and the subjective value of information

the market value of water in the ogallala aquifer the ogallala aquifer also known as the ogallala formation or the high plains aquifer is a 174 000 square mile body of water that underlies parts of colorado kansas nebraska new mexico oklahoma south dakota texas and wyoming the ogallala contains about 3 5 billion acre feet of water symposium ii 1984 but in many areas the aquifer has been declining from continued deep well pumping sloggett and dickason 1986 the aquifer receives little recharge especially in the southern portion and as such represents a finite nonrenewable resource stock as a result of the concerns of residents of the high plains states over declines in the ogallala aquifer congress authorized the secretary of commerce to conduct a six state regional resources study of the ogallala in 1976 high plains associates 1982 the study indicated even under the most effective water conservation program more than a million acres of farmland then

different notions of disappointment aversion abstract we discuss three notions of disappointment aversion due to gul 1991 econometrica 59 667 686 grant and kajii 1998 journal of economic behavior and organization 37 277 290 and skiadas 1997 journal of economic theory 76 242 271 1997 econometrica 65 347 367 explaining how they differ in the case of gul and skiadas we illustrate this difference by means of an example

estimating irrigation water value using hedonic price analysis a case study in malheur county oregon hedonic price analysis is applied to agricultural land sales to reveal the implicit market price of water in irrigation this provides price information where otherwise absent which can facilitate reallocation of water supplies to meet growing demands the failure to include available information on soil quality an impor tant determinant of agricultural land value re sults in erroneous conclusions joint testing of heteroskedasticity and functional form is demon strated the value of irrigation water in this loca tion is estimated at 9 for an acre foot on the least productive land irrigated and up to 44 per acre foot on the most productive land jel q15