“Fire Sales” in housing market: is the house-searching process similar to a theme park visit?

Three striking empirical regularities have been repeatedly reported: the positive correlation between housing prices and trading volume, between housing price and the time-on-the-market (TOM), and the existence of price dispersion. This short paper provides perhaps the first unifying framework which mimics these phenomena in a simple competitive search framework. In the equilibrium, sellers with heterogeneous waiting cost and buyers are endogenously segregated into different submarkets, each with distinct market tightness and prices. With endogenous search effort, our model also reproduces the well-documented price-volume correlation. Directions for future research are also discussed.housing market, competitive search, price dispersion, trading volume, time on the market

¡§Fire Sales¡¨ in Housing Market: Is the House- Search Process Similar to a Theme Park Visit?

Three striking empirical regularities have been repeatedly reported: the positive correlation between housing prices and trading volume, and between housing price and time-on-the-market (TOM), and the existence of price dispersion. This short paper provides perhaps the first unifying framework which mimics these phenomena in a simple competitive search framework. In the equilibrium, sellers with heterogeneous waiting costs and buyers are endogenously segregated into different submarkets, each with distinct market tightness and prices. With endogenous search efforts, our model also reproduces the well-documented price-volume correlation. Directions for future research are also discussed.Housing market; Competitive search; Price dispersion; Trading volume; Time on the market

Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements

A multi-region, dynamic stochastic general equilibrium (MRDSGE) model is built to show that differences in the price elasticity of housing supply can be related to stylized facts on regional differences in (1) house price level, (2) house price volatility, (3) monetary policy propagation mechanism and (4) household asset portfolio. In addition, regional house prices are found to move more closely with regional fundamentals than with the national GDP. The correlation between the national stock price and the regional housing price also vary significantly across regions, which suggests that optimal portfolio should be region specific.regional economic difference, monetary policy, housing market, region-specific portfolio

What Drives Fixed Asset Holding and Risk-Adjusted Performance of Corporate in China? An Empirical Analysis

This paper attempts to shed light on the over-investment debate by investigating listed firms in China. Firms with higher level of fixed asset holding, higher level of overhead expenses, and being covered by the tax-favor policy in China are found to be associated with a lower risk-adjusted performance. In addition, the tax-favor policy itself encourages fixed asset investment. In contrast to some of the previous literature, state-ownership of firms, dividend policy, and ownership concentration are not robust predictors of risk-adjusted performance, and debt level, managerial shareholding, and profit per unit of asset are not robust predictors of fixed asset investment.fixed asset holding, corporate real estate, over-investment theory, state-ownership, tax-favor policy

Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis

This paper studies the connection between the capital market and the real estate market. Empirically, we find that positive real house price shocks lower the external finance premium and stimulate nonresidential investment and real GDP. Our theoretical framework is able to mimic the volatility of the external finance premium, the relative price of real estate and capital, and the investment in real estate and capital. It also captures the cyclicality of the external finance premium and of real estate prices. The contribution of real estate price fluctuations to the variability of the external finance premium and the GDP is confirmed to be significant.External Finance Premium, Residential and Corporate Real Estate, Capital Market Imperfections, Equilibrium Default, Real Estate Price Volatility.

Redistribution through Education and Other Transfer Mechanisms

Educational subsidies are frequently justified as a method of altering the income distribution. It is thus natural to compare education to other tax-transfer schemes designed to achieve distributional objectives. While equity-efficiency trade-offs are frequently discussed, they are rarely explicitly treated. This paper creates a general equilibrium model of school attendance, labor supply, wage determination, and aggregate production, which is used to compare alternative redistribution devices in terms of both deadweight loss and distributional outcomes. A wage subidy generally dominates tuition subsidies in ex ante (or 'opportunity') calculations, but this reverses in ex post (or 'realized') calculations. Both are generally superior to a negative income tax. With externalities in production, however, there is an unambiguous role for governmental subsidy of education, because it both raises GDP and creates a more equal income distribution.

Public Housing Units vs. Housing Vouchers: Accessibility, Local Public Goods, and Welfare

A perennial debate worldwide over housing aid policy focuses on whether the government should provide housing vouchers or subsidized public housing units. To complement the empirically- dominated literature, this paper builds a general equilibrium model that merges urban land use (monocentric city) and Tiebout frameworks. In our model, public housing units or housing vouchers are rationed and some lower-income people have to compete with those with higher incomes in the private rental market. We discuss how location of public housing units is an essential policy variable in addition to the numbers and sizes of units, and argue why housing vouchers may be preferable to public housing.Conditional CAPM

Are the markets for factories and offices integrated? Evidence from Hong Kong?

Due to the relocation of manufacturing facilities from Hong Kong to Mainland China, it is widely believed that some vacant private factories have been used as offices in Hong Kong. Yet there is no direct and systematic evidence to support this speculation. In fact, according to MacGregor and Schwann (2003), industrial and commercial real estate shares some common features. Our research attempts to investigate empirically the price and volume relationship between industrial and commercial real estate, using both aggregate and disaggregate data from the industrial and commercial property markets in Hong Kong. The study was built on the observation that economic restructuring and geographical distance will affect the substitutability (and thus the correlation) of different types of property, and utilizes commonly used time series techniques for analysis. Policy implications are discussed.aggregation bias, geographical distance, industrial real estate, substitutability