Central to recent debates on the “mis-pricing” in the housing market and the proactive policy of central bank is the determination of the “fundamental house price.” This paper builds a dynamic stochastic general equilibrium (DSGE) model that produces reduced-form dynamics that are...

We present cross-country evidence that a country’s macroeconomic volatility, measured either by the standard deviation of output growth or the occurrence of trend-growth breaks, is significantly affected by the country’s historical variables. In particular, countries with longer histories of...

We examine how the fluctuations in financial and housing markets in U.S. affect the asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching...

This paper evaluates the role of technical change as a mediating channel through which the effects of institutions trickle down to affect macroeconomic volatility, crises and growth. Using different samples, estimation procedures and indicators of institutions and technical change, we find a...

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...

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...

In this note, we analyze the effects of intellectual property rights on the volatility of economic growth. Our analysis is motivated by the observation that the strengthening of patent protection and the increase in R&D in the US coincide with a reduction in growth volatility beginning in the...

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...

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...