4,722 research outputs found
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Are mortgage lenders guilty of the housing bubble? A UK perspective
Existing theoretical models of house prices and credit rely on continuous rationality of consumers, an assumption that has been frequently questioned in recent years. Meanwhile, empirical investigations of the relationship between prices and credit are often based on national-level data, which is then tested for structural breaks and asymmetric responses, usually with subsamples. Earlier author argues that local markets are structurally different from one another and so the coefficients of any estimated housing market model should vary from region to region. We investigate differences in the price–credit relationship for 12 regions of the UK. Markov-switching is introduced to capture asymmetric market behaviours and turning points. Results show that credit abundance had a large impact on house prices in Greater London and nearby regions alongside a strong positive feedback effect from past house price movements. This impact is even larger in Greater London and the South East of England when house prices are falling, which are the only instances where the credit effect is more prominent than the positive feedback effect. A strong positive feedback effect from past lending activity is also present in the loan dynamics. Furthermore, bubble probabilities extracted using a discrete Kalman filter neatly capture market turning points
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Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum
Whether returns from investing in real estate shares reflect equity market or real estate market trends is an important question for investors seeking liquid, low cost exposure to real estate. We consider the relationship between real estate shares, private real estate investments and equity markets for five real estate investment locations: Australia, Hong Kong, Singapore, UK and US. We utilise spectral and cross-spectral techniques to decompose each time series into cyclical components of differing frequencies. This allows correlations for a range of cyclical components to be analysed. Our results suggest that returns from real estate shares share a number of short frequency cycles with the equity market. Longer cycles are evident in both real estate shares and private real estate returns, but these cycles are not always shared. Hence, real estate shares and private real estate may not always be close substitutes, even over longer horizons, but the relationship varies across our locations
Predicting the statistics of wave transport through chaotic cavities by the Random Coupling Model: a review and recent progress
In this review, a model (the Random Coupling Model) that gives a statistical
description of the coupling of radiation into and out of large enclosures
through localized and/or distributed channels is presented. The Random Coupling
Model combines both deterministic and statistical phenomena. The model makes
use of wave chaos theory to extend the classical modal description of the
cavity fields in the presence of boundaries that lead to chaotic ray
trajectories. The model is based on a clear separation between the universal
statistical behavior of the isolated chaotic system, and the deterministic
coupling channel characteristics. Moreover, the ability of the random coupling
model to describe interconnected cavities, aperture coupling, and the effects
of short ray trajectories is discussed. A relation between the random coupling
model and other formulations adopted in acoustics, optics, and statistical
electromagnetics, is examined. In particular, a rigorous analogy of the random
coupling model with the Statistical Energy Analysis used in acoustics is
presented.Comment: 32 pages, 9 figures, submitted to 'Wave Motion', special issue
'Innovations in Wave Model
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