This paper evaluates the relation between house prices and economic growth. Using a dataset that covers house prices for 19 countries from the first quarter of 1975 to the third quarter of 2013. We find that house price appreciations are positively associated with economic growth, while the...

This paper evaluates the relation between house prices and economic growth. Using a dataset that covers house prices for 19 countries from the first quarter of 1975 to the third quarter of 2013. We find that house price appreciations are positively associated with economic growth, while the...

In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (2012). Using monthly data of French and US stock markets, the regression shows that individual markets have feature of two-regime switching process. By including inter-market traders whose...

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...

In this paper we examine various types of financial crises and conjecture its underlying mechanisms using a deterministic heterogeneous agent model (HAM). In a market-maker framework, forward-looking investors update their price expectation according to psychological trading windows and cluster...

We unite investment by speculators and tech-savvy investors with a heterogeneous agent model.While speculators seek to profit from extrapolating the price trends, tech-savvy investors trade based on the prospective value of Bitcoin, which is a function of factors that capture the market demand...

Using a large, representative sample of consumer financial transaction data, this paper studies the consumption and savings response to a permanent increase in income tax. In 2015, Singapore marginally raised the income taxes on high-income taxpayers. Using difference-in-differences regressions,...

Market inefficiency provides an opportunity for rational arbitrage. Nonetheless, investors may not necessarily act on such information even if they are informed. Instead, they extrapolate what the others are doing and decide strategically whether to do rational arbitrage or irrational...

Foreign Direct Investments (FDI) are often considered long-term and less sensitive to global shocks as they involve large amounts of capital investment that are costly to reverse. This study examines whether a pandemic arbitrage through “distance” in COVID-19 infection rates impacts FDI....