Multiple equilibria in two-sector monetary economies: an interplay between preferences and the timing for money

In this paper, we study the occurrence of local indeterminacy in two-sector monetary economies. In order to capture the credit market imperfections and the liquidity services of money, we consider a general MIUF model with two alternative timings in monetary payments: the Cash-In-Advance timing, in which the cash available to buy goods is money in the consumers' hands after they leave the bond market but before they enter the goods market, and the Cash-After-the-Market timing, in which agents hold money for transactions after leaving the goods market. We consider three standard specifications of preferences: the additively separable formulation, the Greenwood-Hercovitz-Huffman (GHH) [18] formulation and the King-Plosser-Rebelo (KPR) [21] formulation. First, we show that for all the three types of preferences, local indeterminacy easily arises under the CIA timing with a low enough interest rate elasticity of money demand. Second, we show that with the CAM timing, determinacy always holds under separable preferences, but local indeterminacy can arise in the case of GHH and KPR preferences. We thus prove that compared to aggregate models, two-sector models provide new rooms for local indeterminacy when non-separable standard preferences are considered.Money-in-the-utility-function, Indeterminacy, Sunspot equilibria

The Predictability of Real Estate Returns and Market Timing

Recent evidence suggests that all asset returns are predictable to some extent with excess returns on real estate relatively easier to forecast. This raises the issue of whether we can successfully exploit this level of predictability using various market timing strategies to realize superior performance over a buy-and-hold strategy. We find that the level of predictability associated with real estate leads to moderate success in market timing, although this is not necessarily the case for the other asset classes examined in general. Besides this, real estate stocks typically have higher trading profits and higher mean risk-adjusted excess returns when compared to small stocks as well as large stocks and bonds even though most real estate stocks are small stocks

Housing Affordability Options for First Home Owner-Occupiers in Australia: A Simulation Analysis

This paper presents a simulation analysis of several policies, or policy proposals, for improving housing affordability for first home owner-occupiers in Australia: the First Home Owner Grant, housing equity partnerships and deposit loans. The focus is on the impact of these measures for housing demand, the private saving rate and house prices. The simulations apply a housing tenure choice model in which a representative adult household makes a lifetime plan concerning when to buy and sell a house, and the amount of housing and non-housing consumption over its adult lifetime. An insight from the lifecycle framework is that policies to improve housing affordability can have two effects on housing demand and house prices: a life-cycle timing effect and a liquidity effect; and it is possible that these effects will work in opposite directions on housing demand and therefore house pricHousing economics, household saving

A Multiobjective Optimization Approach for Market Timing

The introduction of electronic exchanges was a crucial point in history as it heralded the arrival of algorithmic trading. Designers of such systems face a number of issues, one of which is deciding when to buy or sell a given security on a financial market. Although Genetic Algorithms (GA) have been the most widely used to tackle this issue, Particle Swarm Optimization (PSO) has seen much lower adoption within the domain. In two previous works, the authors adapted PSO algorithms to tackle market timing and address the shortcomings of the previous approaches both with GA and PSO. The majority of work done to date on market timing tackled it as a single objective optimization problem, which limits its suitability to live trading as designers of such strategies will realistically pursue multiple objectives such as maximizing profits, minimizing exposure to risk and using the shortest strategies to improve execution speed. In this paper, we adapt both a GA and PSO to tackle market timing as a multiobjective optimization problem and provide an in depth discussion of our results and avenues of future research

Tactical asset allocation in a real-life setting

Masteroppgave i økonomi og administrasjon – Universitetet i Agder 2014This thesis will test one of the most popular market-timing strategies, using the longest available data set ranging from 1857 to 2012. The market-timing strategy has already proven to deliver superior results in the period 1926-2012 in a back-test. Which is why, the performance of the period pre-1926 will be compared to the post-1926 performance in a back-test. The performance of the two periods is similar, but period 1857-1925 is found to have the greatest improvements when the strategy is tested, which I find to be due to the lack of long consecutive bull markets. In both time periods the market-timing strategy is providing a small increase in returns while decreasing the volatility significantly when compared to a passive buy-and-hold strategy. In order to minimize the potential data-mining bias that all in-sample technical analysis struggle with, an out-of-sample simulation method is tested on the entire data-set and it is found that the performance is poorer than what was found in a back-test. The reason for the out-of-sample deterioration is mainly found to be due to changes of the optimal moving-average length

Timing and Quantity of Consumer Purchases and the Consumer Price Index

A common approach to measuring price changes is to look at the change of the expenditure needed to purchase a fixed basket of goods. It is well-known that this approach suffers from problems and creates several biases in the measurement of price changes faced by consumers. Substitution and outlet bias, two commonly studied concerns, are both driven by consumer choices of what and where to buy. However, consumers also make other choices, including how much and when to buy. We discuss the implications of consumers' timing and quantity decisions have on standard practices of computing of computing a price index. We use household-level data on quantities purchased and prices paid to construct a measure of the savings made by consumers' optimizing behaviour in the purchase of food. In particular, we compare the prices actually paid by the consumers to various alternatives that do not allow for substitution. Our analysis suggests that the average consumer makes significant, and comparable in magnitude, savings from the four dimensions of choice that we study. Furthermore, our data suggests significant heterogeneity in consumer behavior, and that this behavior is correlated with demographics. Our findings suggest that ignoring timing and quantity decisions, when computing a price index, can generate biases on the order of magnitude of substitution and outlet biases.

Using Population-based Metaheuristics and Trend Representative Testing to Compose Strategies for Market Timing

Market Timing is the capacity of deciding when to buy or sell a given asset on a financial market. Market Timing strategies are usually composed of components that process market context and return a recommendation whether to buy or sell. The main issues with composing market timing strategies are twofold: (i) selecting the signal generating components; and (ii) tuning their parameters. In previous work, researchers usually attempt to either tune the parameters of a set of components or select amongst a number of components with predetermined parameter values. In this paper, we approach market timing as one integrated problem and propose to solve it with two variants of Particle Swarm Optimization (PSO). We compare the performance of PSO against a Genetic Algorithm (GA), the most widely used metaheuristic in the domain of market timing. We also propose the use of trend representative testing to circumvent the issue of overfitting commonly associated with step-forward testing. Results show PSO to be competitive with GA, and that trend representative testing is an effective method of exposing strategies to various market conditions during training and testing

Peran Produk Pembiayaan Terhadap Kesejahteraan Masyarakat Pada BMT "Akbar" Polokarto, Sukoharjo

This study aims to determine the role of financing products for the welfare of society and to know what are the constraints faced and how the efforts to overcome the obstacles on the BMT “Akbar” branch polokarto. This research uses qualitative model with data collecting technique uses interview, observation and documentation. Qualitative data analysis techniques using triangulation sources, methods, timing and theory. Data obtained largely sourced from interviews with the BMT, customers and some of the data from BMT “Akbar” documentation. The results of the study are: 1) BMT contribute positively to the welfare of society in various sectors, namely: a) Trade sector, financing used for additional working capital, and used for the purchase of trade customers needs. b) Industrial sector, used to purchase raw materials for herbal medicine, soy in tofu industry, for industrial wood waste is used to make handycrafts and stalls, buy equipment and to buy machinery. c) Agriculture sector, used to buy seeds, agricultural tools, fertilizers, water, insecticides and to pay for labor. d) Services sector, used to buy sewing machines in sewing services, buying a washing machines in the laundry sevices and the purchase of iron and argon welding wire in the workshop services. e) Fisheries sector, used to buy fish feed maker and buyraw materials for fish feed. 2) constraints faced by bmt, namely: a) constraints in the areas of marketing, when the initial stand BMT image in the eyes of the public is less good and their competitive claims. b) Constraints in the operational field, their financing jammed and their lack of understanding of customers on Islamic economic. While efforts will be undertaken to overcome these obsstacles is to approach the public and instil the notion of Islamic economics, approach the bad debt in order to repay loans and improve system and performance BMT

After-Hours Block Trading, Short Sales, And Information Leakage: Evidence From Korea

We investigate the impact of insider trading in after-hours block market on stock price and short sales volume, before and after the trading becomes public information. During pre-announcement period, positive (negative) abnormal stock return is generated when insiders buy (sell) their shares but does not when quasi-insiders trade, implying that stock price reflects long-lived private information of corporate governance structure. The impact is most prominent when ownership shares are transferred to (from) corporate insiders. In contrast, short sales volume generally does not depend on the identity of block holders. Short sales volume has a negative correlation with abnormal stock return only during the transaction date, indicating that a short-sale decision of tippees is based on their sole expectation on instantaneous stock returns. We also find evidence that insiders select the timing of their trades with respect to maximizing their realized profits or minimizing their purchasing costs.