House prices and job losses

What explains the strong comovement between house prices and job losses over the UK business cycle? To study this question, I build a general equilibrium model with collateral constraints, endogenous job separation and housing shocks, and confront it with macroeconomic data via Bayesian methods. The results suggest that shocks to house prices (i) explain about 10-20% of output fluctuations and about 20-30% of fluctuations in unemployment and job separation rates via the collateral channel, and (ii) were a major cause in triggering the 1990 and 2008 recessions in the UK

Macroeconomic shocks and risk premia

What are the macroeconomic forces behind the cross-sectional and time-series variation in expected excess returns? To answer this question, this paper integrates models of empirical asset pricing with structural vector autoregressions (VAR). First, I use an unconditional asset pricing framework to construct an orthogonal shock in a macroeconomic VAR that best explains the cross-sectional variation in expected returns. The obtained “λ-shock” closely resembles identified monetary policy surprises and does not explain the recent US recessions. Second, I integrate return-forecasting methods to construct a second shock in the VAR, which best explains time-variation in expected returns. The obtained “γ-shock” turns out to be virtually orthogonal to the λ-shock, closely resembles demand-type financial shocks identified by macroeconomists, and explains most US recessions. I find that the λ-shock and the γ-shock jointly explain up to 80% of aggregate consumption fluctuations in the US

Road Accident Reconstruction Using On-board Data, Especially Focusing on the Applicability in Case of Autonomous Vehicles

The application of Event Data Recorder (EDR) in passenger cars and vans has been compulsory in the USA since 2014. In the European Union, every passenger car and vehicle manufactured and released must have e-call systems since April 2018. However, neither the data recorded in Event Data Recorders regulated by the current standards nor the data recovered from e-call systems are enough to reconstruct the movements of the vehicle before and after the accident to a degree that the accident could be analyzed in the perspective of liability. The continuous expansion of autonomous vehicle functions – which will inevitably lead to completely autonomous vehicles – makes it particularly justifiable that all vehicles should possess EDR functions and that these data recorders shall store the satisfactory number of parameters for the vehicle's full movement reconstruction.In the article, we will present a process of defining a data package – which will include a definition process for both the data points and the frequency of measuring and recording – that enables the post-event reconstruction of the full motion process, the vehicle movements and the evaluation of liability issues in both regular and irregular operation of autonomous and partially autonomous vehicles

Home values and firm behaviour

The homes of those in charge of firms are an important source of finance for ongoing businesses. We use firm level accounting data, transaction level house price data and loan level residential mortgage data from the UK to show that a £1 increase in the value of the residential real estate of a firm’s directors increases the firm’s investment and wage bill by £0.03 each. These effects run through smaller firms and are similar in booms and busts. In aggregate, the homes of firm directors are worth 80% of GDP. Using this, a back of the envelope calculation suggests that a 1% increase in real estate prices leads, through this channel, to up to a 0.28% rise in business investment and a 0.08% rise in total wages paid. We complement this with evidence on how a firm responds to changes in the value of its own corporate real estate; we find that, in aggregate, the residential real estate of directors is at least as important for activity. We use an estimated general equilibrium model to quantify the importance of both types of real estate for the propagation of shocks to the macroeconomy

The residential collateral channel

We present evidence on a new macroeconomic channel which we call the residential collateral channel. Through this channel, an increase in real estate prices expands firm activity by enabling company directors to utilise their residential property as a source of funds for their business. This channel is a key determinant of investment and job creation, with a £1 increase in the combined residential collateral of a firm’s directors estimated to increase the firm’s investment by £0.02 and total wage costs by £0.02. To show this, we use a unique combination of UK datasets including firm-level accounting data matched with transaction-level house price data and loan-level residential mortgage data. The aggregate value of residential collateral held by company directors (around 70% of GDP) suggests that this channel has important macroeconomic effects. We complement this with further evidence on the corporate collateral channel whereby an increase in real estate prices directly expands firm activity by enabling businesses to borrow more against their corporate real estate. An estimated general equilibrium model with collateral constrained firms is used to quantify the aggregate effects of both channels

VAR models with non-Gaussian shocks

We introduce a Bayesian VAR model with non-Gaussian disturbances that are modelled with a finite mixture of normal distributions. Importantly, we allow for regime switching among the different components of the mixture of normals. Our model is highly flexible and can capture distributions that are fat-tailed, skewed and even multimodal. We show that our model can generate large out-of-sample forecast gains relative to standard forecasting models, especially during tranquil periods. Our model forecasts are also competitive with those generated by the conventional VAR model with stochastic volatility

A szÅ‘lÅ‘venyige és a fanyesedék biomassza-erÅ‘művi beszállításának elemzése

Magyarországon is teret hódít a biomassza villamos energia termelésére történÅ‘ felhasználása. A tanulmány Magyarországon képzÅ‘dÅ‘ szÅ‘lÅ‘venyige és fanyesedék biomassza-erÅ‘művi beszállításának lehetÅ‘ségeivel foglalkozik. 2009-ben már öt hazai nagyerÅ‘műben tüzelnek a környezÅ‘ erdÅ‘gazdaságokból származó alapanyagot. Magyarországon rendkívül sok az energetikai célra hasznosítható szÅ‘lÅ‘venyige és fanyesedék, ami nem kerül hasznosításra, holott ezek erÅ‘művi beszállítása – számításaink alapján – 45 km-es szállítási távolság alatt már gazdaságos lehet. A tanulmány hangsúlyozza, hogy az említett melléktermékek erÅ‘művi eltüzelése – csekély jövedelemtermelÅ‘ képessége miatt – jövedelemszerzés helyett inkább a „felesleges†melléktermékektÅ‘l való megszabadulást, az elhelyezési és megsemmisítési problémák megoldását jelenti, mely költségcsökkenést eredményezhet az egyes gazdaságokban. A szerzÅ‘k megállapítása szerint a biomasszát mint mellékterméket hasznosító gazdák és települések összefogása ez esetben is elengedhetetlen az erÅ‘művekkel szembeni megfelelÅ‘ alkupozíció kiharcolásához. ------------------------------------------ The production of electricity from biomass is spreading in Hungary as well. This paper looks at the possibilities of supplying vine cane and wood cuttings produced in Hungary to biomass power plants. In 2009, five large Hungarian power plants already use raw material from the nearby managed forests. An extremely large quantity of vine cane and wood cuttings are produced in Hungary which are suitable – but not used – for electricity production, even though our calculations indicate that such supply could be economical if the distance to cover is less than 45 km. Our paper points out that as burning such by-products in a power plant has little potential for profitability, such use could instead serve to enable farms to get rid of the ‘surplus’ by-products and to resolve issues of disposal and destruction. Some farms could achieve a reduction of their costs this way. The authors have found that cooperation between farmers and communities utilising biomass as a by-product is again essential if they are to step up as a viable negotiating partner of the power plants.szÅ‘lÅ‘venyige, nyesedék, beszállítás, égetés, vine cane, cuttings, supply, burning, Agribusiness, Environmental Economics and Policy, Land Economics/Use,

Private information and client connections in government bond markets

In government bond markets the number of dealers with whom clients trade changes through time. Our paper shows that this time-variation in clients’ connections serves as a proxy for time-variation in private information. Using proprietary data covering close to all dealer-client transactions in the UK government bond market, we show that clients have systematically better performance when trading with more dealers, and this effect is stronger during macroeconomic announcements. Most of the effect comes from clients’ increased ability to predict future yield changes (anticipation component) rather than these clients facing tighter bid-ask spreads (transaction component). To explore the nature of this private information, we find that clients with increased dealer connections can better predict the fraction of the aggregate order flow that is intermediated by dealers they regularly trade with. Positive trading performance is concentrated in those periods when clients have more dealer connections than usual

Lending Relationships and the Collateral Channel

This article shows that lending relationships insulate corporate investment from fluctuations in collateral values. The sensitivity of corporate investment to changes in real-estate collateral values is halved when the length of relationship between a bank and a firm, or its board of directors, doubles. Long relationships with board members dominate relationships with the firm in dampening the collateral channel. Moreover, lending relationships with directors in their personal capacity insulate corporate investment over and above corporate relationships. Our findings support theories where collateral and private information are substitutes in mitigating credit frictions over the cycle and show that lending relationships are more multi-faceted than previously thought

A készletgazdálkodás optimalizálási módszereinek gyakorlati alkalmazása

A készletgazdálkodás színvonala a forgóeszköz-gazdálkodáson belül kiemelt szerepű és folyamatosan napirenden lévÅ‘ a vállalatok életében, ami a készletgazdálkodás gazdasági hatásaival magyarázható. A kapcsolódó forrásmunkákban közölt eredmények, a fogalmak értelmezése, az összefüggések gyakorlati alkalmazásának feltételrendszere stb. több ellentmondást is takar, sok esetben hiányos vagy rosszul értelmezett. Jelen tanulmányban a készletgazdálkodással összefüggésben azon ismert módszerek és algoritmusok képezik a kutatás tárgyát, melyeknek elméleti megalapozottsága nem vitatható, de gyakorlati alkalmazásuk több problémát is felvet, melyek az egyes készletgazdálkodási modellek gyakorlati alkalmazásakor, az összefüggésekben szereplÅ‘ változók gazdasági tartalmának értelmezésekor és számszerűsítésekor jelentkeznek. A tanulmány keretében feltárjuk az összefüggésekben szereplÅ‘ változók számszerűsítésének fontosságát, értelmezzük gazdasági tartalmukat, meghatározzuk gyakorlati alkalmazásuk esetén jelentkezÅ‘ problémákat, és javaslatot teszünk a változók számszerűsítésének és gyakorlati alkalmazásuk algoritmusára. ------------------------------------------------ The standard of stock management is always an important issue for the life of any company, chiefly because of the economic effects of stock management. There are numerous controversies in the findings published in the relevant literature, in the interpretation of concepts and in the practical application of the relevant correlations. They are often incomplete or incorrectly interpreted. This paper looks at methods and algorithms relevant to stock management that are unquestionably well-founded theoretically but the practical application of which raises various problems. These problems arise in the course of the practical application of certain stock management models, with respect to the interpretation of the economic meaning and the quantification of variables included in the various functions. The paper explains the importance of quantifying these variables, provides an interpretation of such variables in economic terms, identifies the issues arising in the course of their application in practice, and proposes algorithms for the quantification and practical application of such variables.forgótÅ‘ke, optimális rendelési tételnagyság, készlettartási ráta, készlettartási modellek, working capital, economic order quantity, holding cost (%), stock management models, Farm Management, Financial Economics,