calculated inequality portfolio benchmarking and regional office property investment in the uk the paper explores the reasons for the persistence in the uk of significant relative interregional variations in office property investment in the face of economic theory and empirical evidence that would support its more even spatial distribution the argument is made from a cultural economy perspective and involves the application to property of a concept drawn from the accountancy literature calculative practice uk investment decision making is distinguished by the primacy attributed to portfolio benchmarking as an influence on investment strategy the wider logic underpinning property benchmarking is subjected to critical appraisal then evidence is presented that suggests that benchmarking is a self referential practice which results in convergence and rigidity in fund structures and in the concentration of performance around a bounded range of sub optimal returns it is a barrier to the greater geographical diversification of office property investment

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

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

evaluation of investor behaviour in urban regeneration the financing of urban regeneration and levering of private sector investment remains a major policy issue this article utilising the results of a behavioural survey analyses the motivations of

interest rates and equity extraction during the housing boom credit record panel data from 1999 2010 indicates that the likelihood of home equity extraction borrowing on average about 40 000 against one s home peaked in 2003 when mortgage rates reached historic lows we estimate a 27 percent rise in extraction in response to a 100 basis point rate decline and that house price growth amplifies this relationship differential responses to interest rates and home price appreciation by borrower age and credit score provide new evidence of financial frictions finally equity extractions are associated with higher default risk consistent with the use of borrowed funds for consumption or illiquid investment

using private forecasts to estimate the effects of monetary policy i develop a methodology that uses the forecasts of market participants and of policy makers to estimate the effects of monetary policy on output and inflation my approach has advantages over the standard practice of fitting a vector autoregression to the data i apply my methodology to data on output interest rates and prices i find that even using the federal reserve board s greenbook forecasts to control for the policy maker s information set prices rise initially in response to a monetary contraction this finding undermines the standard justification for including an index of commodity prices in vars

on measuring the effects of fiscal policy in recessions we do not have a good measure of the effects of fiscal policy in a recession because the methods that we use to estimate the effects of fiscal policy both those using the observed outcomes following different policies in aggregate data and those studying counterfactuals in fitted model economies almost entirely ignore the state of the economy and estimate the government multiplier which is presumably a weighted average of the one we care about the multiplier in a recession and one we care less about the multiplier in an expansion notable exceptions to this general claim sug gest this difference is potentially large our lack of knowledge stems significantly from the focus on linear dynamics vector autoregressions and linearized or close to linear dynamic stochastic general equilibrium dsge models our lack of knowledge also reflects a lack of data deep recessions are few and nonlinearities hard to measure the lack of statistical power in the estimation of nonlinear models using aggregate data can be addressed by exploiting estimates of partial equilibrium responses in disaggregated data microeconomic estimates of the partial equilibrium causal effects of a policy can discipline the causal channels inherent in any dsge model of the general equilibrium effects of policy microeconomic studies can also provide measures of the dependence of the effects of a policy on the states of different agents which is a key component of the dependence of the general equilibrium effects of fiscal policy on the state of the

measuring the cost of liquidity in agricultural futures markets conventional and bayesian approaches estimating the cost of liquidity in agricultural futures markets is challenging because bid ask spreads are usually not observed based on an ability to reflect simulated data from roll s spread model we assess the effectiveness of conventional and bayesian bid ask spread estimators under different market conditions conventional serial covariance and absolute price change spread estimators appear to be biased hasbrouck s bayesian estimator generates small costs of liquidity whose values depend on the correlation and noise in the data the absolute value bayesian estimator is precise and works well under conditions of high levels of noise and correlation usually found in agricultural futures markets using data from live cattle lc and lean hog lh contracts we find similar patterns of performance that produce economically meaningful cost of liquidity differences

futures prices as risk adjusted forecasts of monetary policy many researchers have used federal funds futures rates as measures of financial markets expectations of future monetary policy however to the extent that federal funds futures reflect risk premia these measures require some adjustment in this paper we document that excess returns on federal funds futures have been positive on average and strongly countercyclical in particular excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business cycle indicators such as treasury yield spreads and corporate bond spreads excess returns on eurodollar futures display similar patterns we document that simply ignoring these risk premia significantly biases forecasts of the future path of monetary policy we also show that risk premia matter for some futures based measures of monetary policy shocks used in the literature

cultural explanation of regional property markets a critique in a recent paper in this journal simon guy and john henneberry 2000 proposed an institutional approach to property markets that emphasises exceptional behaviour on the part of particular market agents using this cultural approach they claimed to have evidence that london based property investors deliberately underinvest in british property outside southern england this paper criticises their dismissal of pre existing economic and institutional property market analysis and questions the validity of their empirical conclusions

execution costs and their intraday variation in futures markets we consider trading costs in the transparent competitive open outcry markets of the chicago mercantile exchange cme in which market makers have no affirmative obligation to trade we document that while cme spreads are similar in magnitude to those in other markets realized spreads are often negative a plausible explanation is that cme market makers are able to employ more complex trading strategies than their equity market counterparts because they are not bound by affirmative obligation the evidence suggests that market transparency and market maker obligations are important determinants of intraday variation in trading costs copyright 2001 by university of chicago press

what can survey forecasts tell us about information rigidities a lot we derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of consumers firms central bankers and professional forecasters we document that mean forecasts fail to completely adjust on impact to shocks leading to statistically and economically significant deviations from the null of full information the dynamics of forecast errors after shocks are consistent with the predictions of models with information rigidities the conditional responses of forecast errors and disagreement among agents can also be used to differentiate between some of the most prominent models of information rigidities

the fed and interest rates a high frequency identification we measure monetary policy shocks as changes in the fed funds target rate that surprise bond markets in daily data these shock series avoid the omitted variable time varying parameter and orthogonalization problem of monthly vars and do not impose the expectations hypothesis we find surprisingly large and persistent responses of bond yields to these shocks 10 year rates rise as much as 8 10 of a percent to a one percent target shock the usual view that monetary policy only temporarily raises long term rates and influences inflation would lead one to predict a negative long rate response this abstract was borrowed from another version of this item

the return of the liquidity effect a study of the short run relation between money growth and interest rates in this article i use band pass filters to investigate the short run relationship between money growth and interest rates i find a negative correlation between short run movements in money growth and interest rates which i interpret as evidence that the liquidity effect dominates the anticipated inflation effect

economics and underdetermination a case study of urban land and housing economics underdetermination associated with the duhem quine thesis is a familiar if under researched theme in economics in the light of this we examine the development of urban land and housing economics through its cartesian dualistic delineation of theory and data the contemporary mainstream approach appears unable to circumvent the problem of underdetermination in effect it employs the strong version of duhem quine in its retention of the assumption of a single unitary competitive market and associated access space trade off conversely we highlight the affinity of ely s and the later columbia school s approach to pragmatists dewey and peirce which provides a more fruitful basis for explanation

identifying vars based on high frequency futures data abstract using the prices of federal funds futures contracts we measure the impact of the surprise component of federal reserve policy decisions on the expected future trajectory of interest rates we show how this information can be used to identify the effects of a monetary policy shock in a standard var this alternative approach to identification is quite different and we argue more plausible than the conventional identifying restrictions we find that a usual recursive identification of the model is rejected as is any identification that insists on a monetary policy shock having an exactly zero effect on prices contemporaneously we nevertheless agree with the conclusion of much of the var literature that only a small fraction of the variance of output can be attributed to monetary policy shocks

an empirical analysis of stock and bond market liquidity this article explores cross market liquidity dynamics by estimating a vector autoregressive model for liquidity bid ask spread and depth returns volatility and order flow in the stock and treasury bond markets innovations to stock and bond market liquidity and volatility are significantly correlated implying that common factors drive liquidity and volatility in these markets volatility shocks are informative in predicting shifts in liquidity during crisis periods monetary expansions are associated with increased liquidity moreover money flows to government bond funds forecast bond market liquidity the results establish a link between macro liquidity or money flows and micro or transactions liquidity a number of important theorems in finance rely on the ability of investors to trade any amount of a security without affecting the price however there exist several frictions 1 such as trading costs short sale restrictions and circuit breakers that impact price formation the influence of market imperfections on security pricing has long been recognized liquidity in particular has attracted a lot of attention from traders regulators

market based measures of monetary policy expectations a number of recent articles have used different financial market instruments to measure near term expectations of the federal funds rate and the high frequency changes in these instruments around federal open market committee announcements to measure monetary policy shocks this article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy all of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered among financial market instruments we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months for longer horizons the predictive power of many of the instruments we consider is very similar in addition we present evidence that monetary policy shocks computed using the current month federal funds futures contract are influenced by changes in the timing of policy actions tha

do measures of monetary policy in a var make sense no in many vector autoregressions vars monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the u s federal reserve s reaction function furthermore the residuals from these regressions show little correlation across various vars or with funds rate shocks that are derived from forward looking financial markets my results provide a sharp critique of current monetary vars

bid ask spreads volume and volatility evidence from livestock markets using literature based measures and a modified bayesian method specified here we estimate liquidity costs and their determinants for the live cattle and hog futures markets volume and volatility are simultaneously determined and significantly related to the bid ask spread daily volume is negatively related to the spread while volatility and average volume per transaction display positive relationships electronic trading has a significant competitive effect on liquidity costs particularly in the live cattle market results are sensitive to the bid ask spread measure with our modified bayesian method providing estimates most consistent with expectations and the competitive structure in these markets