10 research outputs found

    House Prices, Disposable Income, and Permanent and Temporary Shocks

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    This paper specifies a two-variable system of house prices and income for N.Z., U.K. and the U.S., covering periods from 1973:4 through 2008:2. The analysis allows the identification of differences in house priceincome relationships over sub-periods and, using an SVAR approach, compares the responses of house prices when faced with permanent and transitory shocks to income. It continues by decomposing each historical house prices series into their permanent, temporary and deterministic components. Our results suggest that while real house prices have a long-run relationship with real income in all three economies, the responsiveness of house prices to innovations in income will vary over both time and markets depending on whether the income disturbances are viewed as permanent or temporary. The evidence suggests that N.Z. and U.K. housing markets are sensitive to both permanent and transitory shocks to income while the U.S. market reacts to temporary shocks with the permanent component having a largely insignificant role to play in house price composition. In N.Z. the temporary component of house prices has tended to be positive over time, pushing prices higher than they would have been otherwise while in the U.K. both permanent and temporary components have tended to reinforce each other. Overall, there is no clear consistent global pattern regarding the importance of these shocks which implies that housing markets will react differently to the vagaries of global and domestic economic activity driving such shocks

    Examination of economies of scale in credit unions: a New Zealand study

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    Recent government pressure and aspirations within the industry itself to improve financial stability, have seen credit unions pursue economies of scale to achieve this objective. This presented an opportunity to test the validity of this strategy. However, this study is uncommon, as it utilized the credit union population as the unit of analysis, rather than a sample, prevalent in other research. As a consequence this overcomes difficulties associated with multiple testings, and other statistical problems present in some other previous studies. By drawing upon two measures of operational efficiency, viz. operating costs to income and operating costs to total assets, inconclusive evidence of scale economies was found. While clear efficiency improvement occurred in moving from small to medium sized organisations, less compelling was the evidence of economies of scale in larger credit unions. Although the article followed a conventional cross-sectional methodology by examining performance at a moment in time, the study also adopted a longitudinal case study approach, by examining over time the efficiency of a large credit union. Finally, the measure used, inclusion or exclusion of outliers, and the operational efficiency ratio chosen, all effect the outcome, and either showed evidence of economies or diseconomies, of scale.

    House prices and bubbles in New Zealand

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    Much of bubble literature centred on financial markets. Dominant theory – if prices deviate from fundamental value for some time then a bubble is said to exist. Bubbles usually characterised in three main ways: ● momentum: driven by price alone; ● explosive: driven by factors extraneous to asset value; ● intrinsic: driven by overreaction to fundamentals. This work: embedded in this stream of the financial economics literature but main focus is on the NZ housing market – although some stock market – housing market comparison conducted.UnpublishedNon Peer ReviewedQuarterly periods from 1970:1 through to 2005:4. House prices data: Quotable Value New Zealand’s Residential Sales Summary quarterly publications and the Reserve Bank. This index measures average prices of freehold house sales adjusted for the quality mix of sales in each period. Equity data: Ibbotson Associates Long-Term Government Bond: Ibbotson Associates database. Consumer Price Index: Reserve Bank - used to deflate asset data Real disposable income: Statistics New Zealand. Abraham and Hendershott, 1996, Ayuso and Restoy, 2003, Chan et al., 2001, Bourassa and Hendershott, 1995, Hort, 1998, Bourassa et al., 2001, Levin and Wright, 1997, Roehner, 1999, Roche, 2001, Reserve Bank NZ, Van den Noord 2006, Englund et al., 2002; Flavin and Yamashita, 200

    House prices and bubbles in New Zealand

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    Much of bubble literature centred on financial markets. Dominant theory – if prices deviate from fundamental value for some time then a bubble is said to exist. Bubbles usually characterised in three main ways: ● momentum: driven by price alone; ● explosive: driven by factors extraneous to asset value; ● intrinsic: driven by overreaction to fundamentals. This work: embedded in this stream of the financial economics literature but main focus is on the NZ housing market – although some stock market – housing market comparison conducted.UnpublishedNon Peer ReviewedQuarterly periods from 1970:1 through to 2005:4. House prices data: Quotable Value New Zealand’s Residential Sales Summary quarterly publications and the Reserve Bank. This index measures average prices of freehold house sales adjusted for the quality mix of sales in each period. Equity data: Ibbotson Associates Long-Term Government Bond: Ibbotson Associates database. Consumer Price Index: Reserve Bank - used to deflate asset data Real disposable income: Statistics New Zealand. Abraham and Hendershott, 1996, Ayuso and Restoy, 2003, Chan et al., 2001, Bourassa and Hendershott, 1995, Hort, 1998, Bourassa et al., 2001, Levin and Wright, 1997, Roehner, 1999, Roche, 2001, Reserve Bank NZ, Van den Noord 2006, Englund et al., 2002; Flavin and Yamashita, 200

    The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia?

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    Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the Australian market relative to those in other Pacific-Basin markets. This has implications for a stock market merger between these two countries as well as a possible monetary union.
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