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Affiliates of U.S. And Japanese Multinationals in East Asian Production and Trade
Lipsey, Robert E. - 2021
Since 1977, and in some cases starting before that, most East Asian countries' export patterns in manufacturing have been transformed from industry distributions typical of developing countries to distributions more like those of advanced countries. The process of change in most cases started...
Persistent link: https://www.econbiz.de/10013224859
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A Nation of Gamblers : Real Estate Speculation and American History
Glaeser, Edward L. - 2013
The great housing convulsion that buffeted America between 2000 and 2010 has historical precedents, from the frontier land boom of the 1790s to the skyscraper craze of the 1920s. But this time was different. There was far less real uncertainty about fundamental economic and geographic trends,...
Persistent link: https://www.econbiz.de/10013086304
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Do Stock Prices Really Reflect Fundamental Values? The Case of Reits
Gentry, William M. - 2010
Real estate investment trust (REIT) stock prices deviate substantially from net asset values (NAV). Using REIT data since 1990, we find large positive excess returns to a strategy of buying stocks that trade at a discount to NAV, and shorting stocks trading at a premium to NAV. Estimated alphas...
Persistent link: https://www.econbiz.de/10012762561
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An Equilibrium Analysis of Real Estate
Grenadier, Steven R. - 2009
This paper provides a unified equilibrium approach to valuing a wide variety of commercial real estate lease contracts. Using a game-theoretic variant of real options analysis, the underlying real estate asset market is modeled as a continuous-time Nash equilibrium in which developers make...
Persistent link: https://www.econbiz.de/10012767771
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Rational Housing Bubble
Zhao, Bo - 2013
This paper studies an economy inhabited by overlapping generations of homeowners and investors, with the only difference between the two being that homeowners derive utility from housing services whereas investors do not. Tight collateral constraint limits the borrowing capacity of homeowners...
Persistent link: https://www.econbiz.de/10013077222
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International Risk Sharing in the Short Run and in the Long Run
Baxter, Marianne - 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...
Persistent link: https://www.econbiz.de/10013129220
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …
Persistent link: https://www.econbiz.de/10013137011
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Testing the Correlated Random Coefficient Model
Heckman, James J. - 2012
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10013116685
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The Lucas Orchard
Martin, Ian - 2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
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Cyclicality of Credit Supply : Firm Level Evidence
Becker, Bo - 2011
Theory predicts that there is a close link between bank credit supply and the evolution of the business cycle. Yet fluctuations in bank-loan supply have been hard to quantify in the time-series. While loan issuance falls in recessions, it is not clear if this is due to demand or supply. We...
Persistent link: https://www.econbiz.de/10013120314