This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...

We quantify the housing-consumption channel in mortgage demand according to which households borrow more following house-price increases since housing and non-housing consumption are imperfect substitutes. To identify this channel, we take a structural approach to mortgage demand and supply,...

Theory suggests that corporate and sovereign bonds are fundamentally different, also because sovereign debt has no bankruptcy mechanism and is hard to enforce. We show empirically that the two assets are more similar than you think, at least when it comes to high-yield bonds over the past 20...

We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The effects on trading are spatially highly concentrated, immediate and not persistent. They seem to...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

This paper studies the impact of UNESCO World Heritage List (WHL) inscription on income and property values in the Italian municipalities that had their sites inscribed during the past two decades. To address the selection bias and identify the causal impact of inscription, we focus on sites...

This study provides a test for measurement of spatial competition in residential real estate markets. Several alternative spatial competition measures are tested. We employ a Bertrand oligopoly model with differentiated products and adopt a Spatial Autoregressive model using a two stage least...

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q3, it turns out that the k-year VaR of French...

Round numbers affect behavior in various domains, e.g., as prominent thresholds or focal points in bargaining. In line with earlier findings, residential real estate transactions in Germany cluster at round-number prices, but there are also interesting (presumably cultural) differences. We...