bluuebunny/crossref_metadata_2025 huggingface dataset:
Mortgage Prepayment and Default Decisions: A Poisson Regression Approach
Authors: Schwartz Eduardo S. , Torous Walter N.
Published: September 2003

This paper uses an extensive and geographically dispersed sample of single‐family fixed rate mortgages to assess the prepayment and default behavior of individual homeowners. We make use of Poisson regression to efficiently estimate the parameters of a proportional hazards model for prepayment and default decisions. Poisson regression for grouped survival data has several advantages over partial likelihood methods. First, when dealing with time‐dependent covar‐iates, it is considerably more efficient in terms of computations. Second, it is possible to estimate full‐hazard models which include, for example, functions of time as well as multiple time scales (i.e., age of the loan and calendar time), in a much more straightforward manner than partial likelihood methods for un‐grouped data. Third, Poisson regression can be used to estimate non‐proportional hazards models such as additive excess risk specifications. Taken together, our data and estimation methodology allow us to obtain a better understanding of the economic factors underlying prepayment and default decisions.
Mortgage Refinancing with Asymmetric Information
Authors: Yang T.L. Tyler , Maris Brian A.
Published: September 2003

Information asymmetry exists between the lender and the borrower regarding the holding period of the mortgaged real estate; the lender does not know how long the borrower plans to own the house. This information asymmetry allows the cost of obtaining a mortgage to deviate from its value to the borrower. As a result, the exercise price of the option to refinance becomes the cost to the borrower of obtaining a new mortgage instead of the outstanding balance of the existing mortgage as used in previous models. The option to refinance is a sequential option; after the borrower refinances, a new option is obtained to refinance again in the future. A mortgage refinancing model is developed taking information asymmetry and sequential refinancing into account. The model is used to solve for (1) the value to the borrower of a callable mortgage and (2) the minimum interest rate differential between the contract rate of the existing mortgage and the market interest rate needed to justify refinancing.
Bank Capital and the Credit Crunch: The Roles of Risk‐Weighted and Unweighted Capital Regulations
Authors: Hancock Diana , Wilcox James A.
Published: September 2003

We investigated whether in recent years banks have increased their holdings of securities at the expense of their holdings of business loans in response to shortfalls of their capital relative to risk‐weighted capital standards and relative to a capital standard that made no explicit allowance for credit risk. We estimated that bank credit fell by about $4.50 for each $1 that a bank's capital fell short of the unweighted capital standard. Banks that had less capital than required by the risk‐weighted standard appear to have shifted away from assets with low risk weights (securities and single‐family mortgages) and to have shifted toward assets with higher risk weights (commercial real estate and commercial and industrial loans). When we included both shortfall variables in a regression, shortfalls relative to the unweighted capital standard significantly affected bank credit, while shortfalls of capital relative to the risk‐weighted standard did not. We found no significant effects of capital shortfalls at other, local‐competitor banks on bank portfolios. Delinquencies in a given category of a bank's loans generally had significantly negative effects on that bank's holdings of loans in that category. In contrast, banks tended to increase holdings of loans in categories in which local‐competitor banks were experiencing higher delinquency rates.
Thrift Asset‐Class Returns and the Efficient Diversification of Thrift Institution Portfolios
Authors: Cole Rebel A. , McKenzie Joseph A.
Published: September 2003

We estimate quarterly return series from March 1984 through December 1989 for 10 classes of thrift assets using the statistical cost‐accounting methodology of Hester and Zoellner (1966). We then use these return series to estimate mean‐variance efficient frontiers for all thrifts, for thrifts that were well capitalized two years earlier and for thrifts that were insolvent two years earlier. Our results show that neither the asset restrictions existing before nor those in effect after passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989 would have prevented thrifts from reaching most of the portfolios along the efficient frontier. The actual portfolio chosen by well‐capitalized thrifts is close to the estimated efficient frontier, while the actual portfolio chosen by insolvent thrifts is located far from the frontier in the high‐risk end of investment space. These findings, coupled with the high proportion of nontraditional assets in the actual portfolio chosen by insolvent thrifts, support the hypothesis that moral hazard induced thrifts to take on investments that were excessively risky from the deposit insurer's point of view.
A Model of the Asset Disposition Decision of the RTC
Authors: Lea Michael , Thygerson Kenneth J.
Published: September 2003

The purpose of this paper is to develop a model of the asset disposition decision for the Resolution Trust Corporation (RTC). In this paper, we focus on the primary goal of the RTC—to maximize the net present value of the cash flows generated through holding and selling the assets it acquires. A major decision it faces is whether to hold or sell assets. This decision ultimately depends on the RTC's discount rate versus that of the marginal buyer. A second question relates to the decision of which assets to sell first and which ones to delay sale. The model developed in this paper characterizes the asset disposition decision process of the RTC for different types of assets. We develop a set of optimal disposition rules based on the simple premise of a multi‐period cash flow maximization. In addition, we test some of these rules by analyzing RTC disposition performance. Through this exercise, we hope to provide some guidance to the RTC in implementing its enormous task as well as to policy makers in charting the progress of the RTC. The main results of this analysis indicate that liquid assets and retail deposit franchises should be sold as quickly as possible. Illiquid assets that are performing and do not have high servicing costs are good candidates to finance through senior/subordinated securities or sale with seller financing by the RTC. Illiquid non‐performing assets are good candidates for equity participation financing by the RTC. The sales proceeds obtained by the RTC will be increased if buyers have greater certainty with respect to expected cash flows and RTC sales policies.
A Comparison of Nonparametric Methods to Measure Efficiency in the Savings and Loan Industry
Authors: Garbaccio Richard F. , Hermalin Benjamin E. , Wallace Nancy E.
Published: September 2003

Using data on 1,360 savings and loan (S&L) institutions, we compare two non‐parametric methods for measuring efficiency: data envelopment analysis (DEA) and algebraic methods based on Varian (1984). We show that both methods are vulnerable to measurement error, although both theoretically and empirically we find the Varian‐style measures to be less vulnerable. Because we have data on the future insolvency of our S&Ls, we can directly compare the two methods by seeing which does a better job of predicting insolvency (working under the hypothesis that efficiency and insolvency should be negatively correlated). We find that various measures perform very similarly, except for the technical efficiency measure in DEA. Importantly, this last measure frequently yields the implausible result that efficiency and insolvency are positively correlated, possibly because it does not account for factor prices.
Potential Beneficiaries from Reverse Mortgage Products for Elderly Homeowners: An Analysis of American Housing Survey Data
Authors: Merrill Sally R. , Finkel Meryl , Kutty Nandinee K.
Published: September 2003

A variety of reverse mortgage loan programs have been available to elderly households for over a decade. The number of unrestricted reverse mortgage loans issued by the private sector has been quite small. About 12,000 loans have been issued through mid‐1992. Some researchers take this to mean that the size of the potential market for reverse mortgages is also quite small. Other researchers claim that current low levels of activity reflect supply and demand problems, but that the potential market is in fact quite large.

This paper uses American Housing Survey (AHS) data to estimate the potential size of the market for unrestricted reverse mortgages. The 1989 national AHS shows that there are over twelve million elderly homeowners (age 62 and over) who own their homes free and clear. Depending on their income, age and the level of home equity, the group of households most likely to benefit from reverse annuity mortgages is considerably smaller. As one approach to defining a lower bound of the estimate of potential beneficiaries from reverse mortgages, we count the number of homeowners in a prime group consisting of the older elderly, aged 70 or above, with an annual income of $30,000 or less, with home equity between $100,000 and $200,000, who have lived in their homes for over ten years. We estimate that there are about 800,000 elderly households in this prime group. For such households, reverse mortgage payments could represent a substantial percentage increase in income; other definitions of target groups can also be explored using the tables provided.

The paper uses the 1985 through 1988 AHS Standard Metropolitan Statistical Area (SMSA) surveys to identify areas that have a large number of elderly homeowners in the prime target group, and in which these homeowners represent a large fraction of the elderly homeowner population. These locations are likely targets for introduction of reverse mortgage products because any campaign can be targeted towards a high concentration of likely eligible beneficiaries.
Risk and the Home Equity Conversion Mortgage
Authors: Szymanoski Edward J.
Published: September 2003

This article analyzes the risks involved with reverse mortgage insurance and explains the pricing model developed for the Home Equity Conversion Mortgage (HECM) demonstration. The paper demonstrates how borrower longevity, interest rates and property value changes all affect pricing, and why the HECM model focuses on property value as the primary source of uncertainty. It goes on to explain why a random walk specification was chosen to forecast property values, and how the principal limit factors, which determine cash payments to borrowers in the HECM program, are calculated.
Reverse Mortgages: Contracting and Crossover Risk
Authors: Chinloy Peter , Megbolugbe Isaac F.
Published: September 2003

A pricing model is developed for a reverse mortgage contract where the borrower receives payments either as a lump sum or in an annuity while the loan balance accumulates as a claim against the house. No underwriting criteria on income are applied. One risk of default is that the borrower will remain in the house after the negatively amortizing loan balance exceeds the value of the house. An explicit pricing model of the reverse mortgage permits the evaluation of this default “crossover” option. Alternative methods involving life insurance contracts and securitization are compared as secondary market channels.
Alternative Mortgage Instruments, Qualification Constraints and the Demand for Housing: An Empirical Analysis
Authors: Phillips Richard A. , VanderHoff James H.
Published: September 2003

Government‐guaranteed mortgage loans (GFRMs) and adjustable‐rate mortgages (ARMs) were introduced to make payment to income (PTI) and loan‐to‐value (LTV) qualification conventions less restrictive. This paper analyzes the effect of GFRMs and ARMs on the demand for housing. Using a large national data set for the 1988 to 1989 period, we employ a two‐stage procedure to estimate housing demand. In the first stage, a multinomial logit model estimates the probability of choosing an FRM, ARM or GFRM. Predicted values from the logit are used to construct user costs and estimate housing demand. Using the model estimates, we simulate demand under four different mortgage availability regimes: FRM, FRM and GFRM, FRM and ARM and all three. These simulations indicate that GFRMs, by relaxing LTV constraints, increase housing demand by approximately 6.2% relative to the FRM regime; the addition of ARMs, by relaxing both PTI and LTV constraints, raises demand by an additional 6%, for a total of 12.2% with inclusion of all alternatives.
Stock Price and Management Changes: The Case of REITs
Authors: Mclntosh Willard , Rogers Ronald C. , Sirmans C. F. , Liang Youguo
Published: September 2003

This paper examines the relationship between a Real Estate Investment Trust's (REIT's) stock returns and top management changes. The results indicate an inverse relationship between the probability of a management change and a REIT's recent stock price performance. This is consistent with internal monitoring of management activities by the board of directors, other top managers, or large block shareholders.
Excess Returns, Inflation and the Efficiency of the Housing Market
Authors: Gatzlaff Dean H.
Published: September 2003

This paper examines the influence that unexpected inflation has on the reported time pattern in housing returns. Two alternative models of expected inflation are used to study its effect: a rational expectations model and an adaptive expectations model. Findings indicate that both estimates of unexpected inflation are positively correlated with excess returns to housing. If inflation expectations are assumed to have been adaptive during the 1970s and early 1980s, serial correlation in the excess returns is shown to be greatly diminished when adjusted to control for unexpected inflation. However, substantial inertia in the pattern of the adjusted return series remains.
Urban Land Development and its Prices: The Effects of Conversion Costs with Redevelopment
Authors: Park Tae H. , Yoon Suk Heun
Published: September 2003

This paper analyzes urban land development when landowners anticipate a future large‐scale redevelopment by a third party developer. Landowners' initial development activities can deter such redevelopment because they impose two conversion costs on the redeveloper: demolition costs and landowners' reservation prices. These costs are eventually borne by the landowners when the developers' market is competitive. For the landowners' initial development activities, we analyze both the efficient solution and the noncooperative solution under the Nash equilibrium. In both cases, the possibility of redevelopment results in a lower level of initial development due to the conversion costs, but increases land prices. However, the magnitude of their effects is smaller in the Nash solution due to an externality. The presence of such an externality provides a rationale for zoning and urban planning.
A Further Discussion of Optimal Comparable Selection and Weighting, and a Response to Green
Authors: Gau George W. , Lai Tsong‐Yue , Wang Ko
Published: September 2003

Using a revised model framework that views expected adjusted prices of corn‐parables as random variables, Green (1994) demonstrates that Vandell's (1992) minimum variance estimator is preferred under the classical ordinary least squares (OLS) assumptions. As a result, the minimum coefficient of variation estimator proposed by Gau, et al. (1993) is preferred only when the classical OLS assumptions are relaxed. We demonstrate that, even under Green's revised framework, there is not sufficient evidence in the paper to justify this claim.
Optimal Interest Rate‐Discount Points Combination: Strategy for Mortgage Contract Terms
Authors: Cannaday Roger E. , Yang T. L. Tyler
Published: September 2003

This paper is distinguished from previous papers by its focus on income‐producing properties, rather than owner‐occupied single‐family residential properties. The real estate investor's strategy, in terms of choosing an interest rate‐discount points combination, is analyzed by using a discounted cash flow approach. Under this framework, the investor with a lower marginal tax rate, lower required rate of return and longer investment horizon tends to negotiate for a mortgage contract with a higher number of discount points and lower interest rate. In addition, an intermediate rate‐points combination is preferred by an investor only when the lender's required interest rate is a decreasing convex function of the number of discount points.
A Varying Parameters Approach to Constructing House Price Indexes
Authors: Knight J. R. , Dombrow Jonathan , Sirmans C. F.
Published: September 2003

Conventional housing price index models assume interperiodparameter stability and typically employ either repeat sales or hedonic methodologies. This paper introduces a method of index construction that combines multiple sales observations with single sale transactions while permitting characteristics prices from hedonic regressions to vary over time. A test for interperiod parameter stability is provided. Each period's data are arranged by location and repeat sales are matched by rows. This construction allows greater use of sample information and acknowledges the unique contribution of repeat sales to the estimation process. It also produces intertemporal error correlations that can be beneficially exploited by the seemingly unrelated regressions (SUH) technique. The paper also demonstrates a significance test for error correlation and discusses the treatment of unequal numbers of observations among index periods.
Imperfect Information and Investor Inferences From Housing Price Dynamics
Authors: Clapp John M. , Dolde Walter , Tirtiroglu Dogan
Published: September 2003

We examine characteristics of housing price dynamics that may be consistent with rational learning and not simply irrational feedback trading. We find significant patterns of temporal and spatial diffusion that are more amenable to explanations that allow for rational components. First, we execute our tests not simply on housing price changes, but on town‐by‐town differentials from regional average price changes. Second, we find significant relationships with own and neighboring town differentials, but not with control groups of non‐neighboring towns. Third, we find that population density, a proxy for scale economies in information production, accelerates the diffusion process. Test were performed on quarterly data for large samples from Connecticut and the San Francisco area, employing method of moments estimators.
Clustering Methods for Real Estate Portfolios
Authors: Goetzmann William N. , Wachter Susan M.
Published: September 2003

A clustering algorithm is applied to effective rents for twenty‐one metropolitan U.S. office markets, and to twenty‐two metropolitan markets using vacancy data. It provides support for the conjecture that there exists a few major “families” of cities: including an oil and gas group and an industrial Northeast group. Unlike other clustering studies, we find strong evidence of bicoastal city associations among cities such as Boston and Los Angeles. We present a bootstrapping methodology for investigating the robustness of the clustering algorithm, and develop a means for testing the significance of city associations. While the analysis is limited to aggregate rent and vacancy data, the results provide a guideline for the further application of cluster analysis to other types of real estate and economic information.
Introduction: Deregulation and Reform of Housing and Housing Finance Markets: Recent Lessons from Western and Central Europe
Authors: Dale‐Johnson David , Gabriel Stuart A.
Published: September 2003

Recent years have seen the emergence of substantial scholarly research devoted to cross‐national comparisons of real estate markets and financial institutions. In part, these analyses evaluate real estate market efficiency and the distributional outcomes associated with diverse institutions and economies. Further, these analyses draw from the experience of different markets and institutions in a normative sense, so as to help facilitate the development of appropriate real estate market mechanisms and policy in emerging market economies.
Finnish Homes—Through Passages or Traps?
Authors: Laakso Seppo , Loikkanen Heikki A.
Published: September 2003

This is a study of tenure choice, housing demand and mobility in the submarkets of the Helsinki metropolitan area. The empirical analysis is based on data on households, type of tenure, housing characteristics and mobility for a sample of Helsinki residents at the end of 1980s. According to our results the probability of owning is affected not only by user costs of alternative tenure forms but also by permanent income and demographic variables. Results from the tenure specific housing demand models indicate that there are non‐neutralities in the housing markets. Permanent income elasticities of housing demand are clearly positive in owner‐occupied sector and systematically higher than in the rented sector. The demand for owner‐occupied housing depends very strongly on the age of the household head. User cost per housing unit affects housing demand negatively in both tenure forms. Effective demand is greater in private housing sector. The results suggest that owner‐occupied living is preferred with heavily subsidized households the least likely to move. In the rental sector, where the probability of moving is higher, it is also true that the most heavily subsidized households are the least likely to move.
The Effect of Housing Market Disequilibrium on the Supply of Labor: Evidence from Poland, 1989–1990*
Authors: Pogodzinski J.M.
Published: September 2003

This paper examines the effect of housing market disequilibrium on the supply of labor. Earlier studies suggested that housing market disequilibria affected other markets through altered consumption patterns (Podkaminer 1982, 1988) or because housing shortages restricted labor mobility (Mayo and Stein 1988). This paper examines the disincentive to supply labor which arises from housing market disequilibrium. The disequilibrium is measured by four variables. One is a measure of density, while the others are based upon the number of persons in official housing queues. Each of the variables is negative and significant in the two‐stage least squares estimates of labor supply. Estimates disaggregated by skill‐class are also presented. Housing market disequilibrium has the greatest impact on the labor supply of the least skilled.
Matching of Buyers and Sellers by Brokers: A Comparison of Alternative Commission Structures
Authors: Yavas Abdullah
Published: September 2003

This note characterizes the set of Pareto optimal and stable matchings among buyers and sellers and examines the optimality of matching strategies employed by brokers under different commission structures. It is shown that the profit‐maximizing matching strategy for the broker under percentage commission and flat‐fee systems also maximizes the number of houses sold, but it minimizes the buyers' and sellers' surplus. On the other hand, net listing results in the sale of fewer houses, but it yields larger surplus for buyers and sellers.
Risk and Return to Housing, Tenure Choice and the Value of Housing in an Asset Pricing Context
Authors: Meyer Richard , Wieand Kenneth
Published: September 2003

Homeowners do not diversify their risky home equity because of fixed costs of issuing securities and information costs. An asset pricing model is developed for homeowners with the undiversifiable home equity asset. Homeowner value and house value to diversified landlords are compared, and a tenure choice equation is developed. We demonstrate the existence of a rational expectations equilibrium under appropriate conditions.
What Have African Housing Policies Wrought?
Authors: Malpezzi Stephen , Sa‐Aadu J.
Published: September 2003

This paper is a review of contemporary African housing markets, particularly the consequences of current housing policies. Overall, we conclude that the resource allocation which results from the current housing policies are quite contrary to their intended objectives. Many of the policies are suspect, both in terms of underlying economic rational and realistic economic achievement. In many respects, these policies have discouraged housing investment, and have been both inequitable and distortional. In rethinking these policies, our prescription is that since the private sector has efficiently provided the majority of the housing in the past, African governments must disengage themselves from direct production of housing. They must deregulate the housing markets and provide the right incentives, so as to realign the risks and rewards of investment in housing and permit private production to flourish.
Evidence of Racial Discrimination in Different Dimensions of Owner‐Occupied Housing Search
Authors: Roychoudhury Canopy , Goodman Allen C.
Published: September 2003

This paper examines the incidence and extent of racial discrimination in various dimensions of owner‐occupied housing search. Audit data for sales units (1980‐90) from the Fair Housing Center of metropolitan Detroit is used in an ordered probit framework. Agents' own prejudices and the prejudices of their customers are shown to be significant in explaining discrimination. Results also indicate that white home seekers are steered toward more white and affluent neighborhoods.
The Bootstrap Efficient Frontier for Mixed‐Asset Portfolios
Authors: Liang Youguo , Myer F.C. Neil , Webb James R.
Published: September 2003

How much in real estate? To answer this question, uncertainty needs to be introduced into the efficient frontier, so that a confidence interval can be estimated for the real estate weight in a mixed‐asset portfolio. Instead of focusing on a single optimal portfolio, this study examines the entire efficient frontier using the traditional point estimate method and the bootstrap simulation. The bootstrap distributions of the estimated weight vectors indicate that their confidence intervals are large enough to render them effectively useless. Once uncertainty is introduced, the efficient frontier becomes fuzzy and the weight vectors become even fuzzier.
Determinants of Industrial Property Value
Authors: Lockwood Larry J. , Rutherford Ronald C.
Published: September 2003

This paper examines the determinants of industrial properly value. We use the factor‐analytic linear structural relations (LISREL) model to confront measurement problems associated with related work. A simultaneous test of the effects on property value of factors summarizing physical property, national market, local market, interest rate and location variables is performed. Findings indicate that the value of industrial buildings during 1987–1991 in the Dallas/Fort Worth area is primarily related to local market effects and to physical characteristics and location of the property.
Real Estate Brokers, Nonprice Competition and the Housing Market
Authors: Turnbull Geoffrey K.
Published: September 2003

Given a fixed commission rate and easy entry, economic profits must be competed away on some nonprice margin in the real estate brokerage market. This paper focuses on nonprice competition in the level or quality of services offered buyers and sellers in the market, examining the equilibrium adjustment process, comparative static predictions and efficiency implications. In contrast with earlier studies focusing on wasteful advertising, this paper demonstrates that higher commission rates can either increase or decrease deadweight loss, depending upon how broker services affect buyer and seller transaction costs.
How “Local” are Local Office Markets?
Authors: Hanink Dean M.
Published: September 2003

This paper describes empirical investigations of the geographical extent of office markets in the United States during the 1980s. A mixed temporal autoregressive model was estimated for pooled downtown office markets and pooled suburban markets. Results indicate that while the temporal autoregressive effect is stronger for office market vacancies than is the effect of the national trend, their linkages to national trends are significant. However, a mixed spatial autoregression analysis of the data pooled over time indicates that the regional office vacancy effect is stronger than the national office vacancy effect in both downtown and suburban office markets.
The Role of Real Estate in the Portfolio Allocation Process
Authors: Kallberg Jarl G. , Liu Crocker H. , Greig D. Wylie
Published: September 2003

This study explores the role of direct real estate investment in a portfolio context incorporating the real estate imperfections of indivisible assets and no short sales. Mean‐variance efficient portfolios are calculated using Treasury‐bills, bond and equity indices together with cash flows and appraised values from a set of twenty‐two properties having an aggregate appraised value of $336 million. Real estate diversification benefits are shown to be the greatest with smaller properties and are most advantageous at higher target levels of return. The study suggests that a 9% allocation to real estate is optimal, rather than the 20% figure suggested in other studies.
On the Design and Pareto‐Optimality of Participating Mortgages
Authors: Ebrahim M. Shahid
Published: September 2003

This paper develops a micro‐economic model and proceeds with numerical simulation to demonstrate that participating mortgages can improve social welfare when the real estate ownership is shared among the different taxable entities. The optimal distribution of real estate ownership and lending will tend to be concentrated in taxable and nontaxable hands, respectively, with lending conducted via participating mortgages. This paper also demonstrates the violation of the well‐known, risk‐neutral valuation argument of the Black and Scholes (1973) model because of the lack of a riskless hedge due to the uniqueness of real estate.
Comparing the Accuracy of the Minimum‐Variance Grid Method to Multiple Regression in Appraised Value Estimates
Authors: Lai Tsong‐Yue , Wang Ko
Published: September 2003

The adjustment‐grid method and the multiple‐regression method are the two most frequently used techniques in the sales comparison approach. This paper demonstrates that although both techniques provide unbiased estimators, the minimum‐variance grid estimator should result in a smaller standard deviation than the multiple‐regression estimator. A technique is also derived to estimate the confidence interval or to perform hypothesis tests for the minimum‐variance grid estimator.
A Human Development Index for U.S. Cities: Methodological Issues and Preliminary Findings
Authors: Agostini Stephen J. , Richardson Sandra J.
Published: September 2003

This paper builds upon the work of the United Nations Development Program in expanding the use of the Human Development Index (HDI). This index, originally created to compare human development among countries, has been modified to allow comparisons among cities in the United States. This paper discusses the methodology used to develop the cross‐city HDI, as well as the results for the twenty‐five cities chosen for this study. The results offer an intriguing “snapshot” of human development in each city, as well as an encouraging, although limited, benchmark for policy making in cities.
Can Urban Indicators Predict Home Price Appreciation? Implications for Redlining Research
Authors: Li Ying , Rosenblatt Eric
Published: September 2003

Economists commonly control for neighborhood indicators, such as median income, in underwriting models that test for redlining. Many such indicators are highly correlated with neighborhood racial composition and therefore have the capacity to “explain away” the role of race in lending decisions. This paper argues that indicators should be included in models of underwriting only if they affect future home prices, and hence the value of the default option, in a consistent fashion. Testing the effect of nine census variables, taken from two recent redlining papers, on California tract appreciation from 1986 to 1994, a consistent relationship between indicators and home price is not found.
Measuring External Shocks to the City Economy: An Index of Export Prices and Terms of Trade
Authors: Pennington‐Cross Anthony
Published: September 2003

This paper details the construction of an index of export goods prices (the Export Price Index or EPI) for a panel of 196 metropolitan areas from 1977 to 1992. The EPI is an indicator of external demand shocks to the city economy which does not suffer from the causal ambiguity of the endogenous indicators such as income, employment or output. The creation of an index of aggregate export prices, the EPI, for the panel of areas provides both academicians and policy analysts with a new exogenous indicator that identifies demand price innovations and the terms of trade shocks to cities.
Currency Swaps and International Real Estate Investment
Authors: Ziobrowski Alan J. , Ziobrowski Brigitte J. , Rosenberg Sidney
Published: September 2003

This paper examines the efficacy of currency swaps as a hedging mechanism for the exchange rate risk associated with foreign investment in real estate. Earlier studies have concentrated on short‐term hedging instruments such as options and forward contracts. Currency swaps are better suited for use on investments with long‐term holding periods such as real estate. The findings indicate that, although hedging United States real estate investments with currency swaps suppresses most of the risk induced by currency instability, the improvements are insufficient to produce diversification gains for foreign investors in the context of mean‐variance portfolio performance.
Hierarchical Zoning, Incompatible Uses and Price Discounts
Authors: Asabere Paul K. , Huffman Forrest E.
Published: September 2003

This study examines an aspect of hierarchical zoning. Hierarchical zoning, unlike mutually exclusive zoning, is uni‐directional in that it protects upper‐level residential uses from nonconforming, non‐residential uses but not vice versa. The result is that the lower‐level zones can be a mixture of several nonconforming, incompatible uses. This unique attribute of hierarchical zoning offers a window of opportunity for choices for affordable housing at affordable locations. Using hedonic analysis, empirical evidence shows that huge price discounts (over 15%) are associated with apartments that are situated in nonconforming zones. Arguments here support more flexible zoning.
Tender Mercies: Efficient and Equitable Land use Change
Authors: Colwell Peter F.
Published: September 2003

A two‐tiered, front‐end‐loaded tender offer system is shown to catalyze a market for partial property rights. This market would obviate any legitimate need for governmental zoning, and thus would put an end to zoning's inefficiency and inequity. The proposed system would facilitate development and redevelopment, cause nuisance producing zones to become more compact, stop the subversion of zoning for fiscal and exclusionary purposes, reduce the opportunities for corruption and end rent seeking as well as “not in my backyard” activities. The proposed tender offer system would fully compensate those who are injured by negative externalities, thereby eliminating adverse distributional effects.
The Impact on Housing Values of Restrictions on Rights of Ownership: The Case of an Occupant's Age
Authors: Do A. Quang , Grudnitski G.
Published: September 2003

With the exception of anecdotal information, little is known about the specific effects on the value of a house because its ownership is restricted to people older than a certain age. This article provides an empirically‐derived assessment of the impact on the selling price of single‐family residences when their ownership is age restricted. To determine the effect on the sales price of age‐restricted houses, a standard hedonic pricing model is applied to a sample of 371 sales transactions drawn from a suburban area of a large city. The results indicate that an age restriction placed on houses decreases their value by 6%. This finding may be of interest to local land‐use regulators, developers who are considering developing age‐restricted houses and appraisers who wish to make value adjustments to these homes.
Evaporation Heat Transfer and Pressure Drop of Refrigerant R-410A Flow in a Vertical Plate Heat Exchanger
Authors: Hsieh Y. Y. , Lin T. F.
Published: September 2003

Experiments are carried out here to measure the evaporation heat transfer coefficient hr and associated frictional pressure drop ΔPf in a vertical plate heat exchanger for refrigerant R-410A. The heat exchanger consists of two vertical counterflow channels which are formed by three plates whose surface corrugations have a sine shape and a chevron angle of 60 deg. Upflow boiling of refrigerant R-410A receives heat from the hot downflow of water. In the experiments, the mean vapor quality in the refrigerant channel is varied from 0.10 to 0.80, the mass flux from 50 to 100 kg/m2s, and the imposed heat flux from 10 to 20 kW/m2 for the system pressure fixed at 1.08 and 1.25 MPa. The measured data indicate that both hr and ΔPr increase with the refrigerant mass flux except at low vapor quality. In addition, raising the imposed heat flux is found to significantly improve hr for the entire range of the mean vapor quality. However, the corresponding friction factor ftp is insensitive to the imposed heat flux and refrigerant pressure. Based on the present data, empirical correlations are provided for hr and ftp, for R-410A in the plate heat exchanger.
Thermally Induced Seizure in Journal Bearings During Startup and Transient Flow Disturbance
Authors: Krithivasan Rajesh , Khonsari M. M.
Published: September 2003

This paper presents a finite element model that describes the thermomechanical interactions of a journal bearing undergoing thermally induced seizure (TIS). Two Categories of TIS are studied; the first part deals with occurrence of seizure during the start-up period followed by an investigation of TIS due to a transient flow-disturbance. The paper outlines the finite element modeling and analysis procedure involved in simulating TIS. An extensive set of parametric simulations covering load, speed, shaft radius, operating clearance, bearing length, friction coefficient and thermal expansion coefficient are performed to gain insight into the phenomenon of TIS. A statistical procedure is applied to the simulated results and an empirical relationship is derived. Good agreement between the empirical and published results attests to the capability of the model and its potential for predicting thermally induced seizure during system start up and during flow disturbance.
Determination and Analysis of Cross-Couplings of Axial and Angular Vibrations of a Flexibly Mounted Ring in a Non-Contacting Face Seal
Authors: Kundera Czeslaw
Published: September 2003

The paper deals with a dynamic analysis of a non-contacting seal with two flexibly mounted rotating rings. The kinematics of motion is described and the equations of dynamics derived. Hydromechanical forces and moments containing coupling elements of the equation of motion are also determined. Selected results of digital calculations show the influence of the coupling elements on the axial and angular vibrations of a flexibly mounted ring.
Effects of Thermal Conductivity of Contacting Surfaces on Point EHL Contacts
Authors: Kaneta M. , Yang P.
Published: September 2003

With actual and virtual materials, the effects of the thermal conductivity of contacting surfaces on EHL are investigated through experimental analyses using the optical interferometry technique and the Newtonian thermal EHL analyses in consideration of the variation of oil properties in all directions within the film. A mineral bright stock is used as a lubricant. It is found that the distributions of pressure and film thickness, including the minimum film thickness, are influenced very much by the entrainment velocity and the slide-roll ratio. One of the causes is the temperature-viscosity wedge action produced by the temperature variation across the oil film, and the other is an increase in oil temperature at the entrance of the contact due to the heat produced by the compression work and the shearing of the oil. The degree of both influences depends on the thermal properties of contacting materials.
Characteristics and Pattern of Plasma Generated at Sliding Contact
Authors: Nakayama Keiji , Nevshupa Roman A.
Published: September 2003

To verify the tribo-microplasma concept proposed by Nakayama, who suggested that a microplasma is generated in the gap of a sliding contact due to electrical discharge of the ambient gas in the electric field caused by tribo-charging, we challenged to observe directly the tribo-microplasma and to measure spectral characteristics of the emitted photons. In experiments to observe plasma image (with a diamond hemispherical pin sliding on a sapphire disk) it was found that the plasma was generated in the several micrometer gap of the sliding contact. The plasma had a shape of an ellipse with a tail, surrounding the contact and spread to the rear of the sliding contact. The plasma image observed through the UV transmittable filter (UV image) had a horseshoe pattern, while the IR image had a shape of a ring on the ellipse. The strongest UV emission was observed in the center of the horseshoe pattern outside the sliding contact, while the IR photon image showed that the most intense emission occurred at the sliding contact. The electrical discharge origin of the photon triboemission was proved by comparing spectra of tribophotons with spectra of photons emitted from plasma by electrical discharge in parallel electrodes in various gases. The results showed that the spectra of photons emitted from the sliding contact and those of gas-discharge completely coincided for all gases tested, i.e., dry air, N2,O2,H2, He, CH4,C2H4 and C3H8, except peaks originated from the excited atoms of the sliding surfaces. It was concluded that microplasma is produced by electrical breakdown of ambient gas at sliding contact. These results corroborate the tribomicroplasma concept.
Dissipation in Small Scale Gaseous Flows
Authors: Hadjiconstantinou Nicolas G.
Published: September 2003

We discuss the effect of shear work at solid boundaries in small scale gaseous flows where slip effects are present. The effect of shear work at the boundary on convective heat transfer is illustrated through solution of the constant-wall-heat-flux problem in the slip-flow regime. We also present predictions for the dissipation in terms of the mean flow velocity in pressure-driven and gravity-driven Poiseuille flows for arbitrary Knudsen numbers. All results are verified using direct Monte Carlo solutions of the Boltzmann equation.
Natural Convection in a Large, Inclined Channel With Asymmetric Heating and Surface Radiation
Authors: Cadafalch J. , Oliva A. , van der Graaf G. , Albets X.
Published: September 2003

Finite volume numerical computations are carried out in order to obtain a correlation for free convective heat transfer in large air channels bounded by one isothermal plate and one adiabatic plate. Surface radiation between plates and different inclination angles are considered. The numerical results are verified by means of a post-processing tool to estimate their uncertainty due to discretization. A final validation process is performed by comparing the numerical data to experimental fluid flow and heat transfer data obtained from an ad-hoc experimental setup.
Extension of the Friction Mastercurve to Limiting Shear Stress Models
Authors: Jacod B. , Venner C. H. , Lugt P. M.
Published: September 2003

A previous study of the behavior of friction in EHL contacts for the case of Eyring lubricant behavior resulted in a friction mastercurve. In this paper the same approach is applied to the case of limiting shear stress behavior. By means of numerical simulations the friction coefficient has been computed for a wide range of operating conditions and contact geometries. It is shown that the same two parameters that were found in the Eyring study, a characteristic shear stress, and a reduced coefficient of friction, also govern the behavior of the friction for the case of limiting shear stress models. When the calculated traction data is plotted as a function of these two parameters all results for different cases lie close to a single curve. Experimentally measured traction data is used to validate the observed behavior. Finally, the equations of the mastercurves for both types of rheological model are compared resulting in a relation between the Eyring stress τ0 and the limiting shear stress τL.
Indentation Analysis of Elastic-Plastic Homogeneous and Layered Media: Criteria for Determining the Real Material Hardness
Authors: Ye N. , Komvopoulos K.
Published: September 2003

A hardness analysis based on finite element simulation results and contact constitutive models is presented for both homogeneous and layered elastic-plastic media. The analysis provides criteria for obtaining the real material hardness from indentation experiments performed with spherical indenters. Emphasis is given on the estimation of the hardness of thin surface layers. The critical (maximum) interference distance that yields an insignificant effect of the substrate deformation on the estimation of the layer hardness is determined from the variation of the equivalent hardness of the layered medium with the interference distance (indentation depth). A relation between hardness, yield strength, and elastic modulus, derived from finite element simulations of a homogeneous half-space indented by a rigid sphere, is used in conjunction with a previously developed contact constitutive model for layered media to determine the minimum interference distance needed to produce sufficient plasticity in order to ensure accurate measurement of the material hardness. An analytical approach for estimating the layer hardness from indentations performed on layered media is presented and its applicability is demonstrated in light of finite element indentation results for an elastic-perfectly plastic layered medium with a hard surface layer.
Effect of Residual Stress in Surface Layer on Contact Deformation of Elastic-Plastic Layered Media
Authors: Ye N. , Komvopoulos K.
Published: September 2003

The effect of residual stress in the surface layer on the deformation of elastic-plastic layered media due to indentation and sliding contact loading and unloading was analyzed with the finite element method. A three-dimensional finite element model of a rigid sphere interacting with a deformable layered medium was developed, and its accuracy was evaluated by contrasting finite element results with analytical solutions for the surface stresses of an elastic homogeneous half-space subjected to normal and friction surface traction. Deformation of the layered medium is interpreted in terms of the dependence of the von Mises equivalent stress, first principal stress, and equivalent plastic strain on the magnitudes of residual stress and coefficient of friction. The effect of residual stress on the propensity for yielding and cracking in the layered medium is discussed in the context of results for the maximum Mises and tensile stresses and the evolution of plasticity in the subsurface. It is shown that the optimum residual stress in the surface layer depends on the type of contact loading (indentation or sliding), coefficient of friction, and dominant deformation mode in the layer (i.e., plastic deformation or cracking).