We use the Panel Study of Income Dynamics to estimate how net worth was affected among low‐ and moderate‐income households who became first‐time homebuyers at different points during the volatile ...2000s. We address selection using propensity score matching and estimating difference‐in‐difference models, and use quantile regressions to account for the skew in net worth outcomes. Results highlight the significance of race in the relationship between first‐time home buying and net worth during the decade. Although timing was critical to the short‐term trajectory of net worth for whites, total net worth declines for black first‐time homebuyers regardless of economic climate. The most dramatic differences between black and white new homebuyers is their neighborhood locations, with blacks purchasing in predominantly black neighborhoods with lower housing prices and price appreciation, and lower and declining rates of homeownership.
The Swaption Cube Trolle, Anders B.; Schwartz, Eduardo S.
The Review of financial studies,
08/2014, Letnik:
27, Številka:
8
Journal Article
Recenzirano
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries ...(conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is most consistently related to the conditional correlation between swap rates and swap rate variances. From realized excess returns on synthetic variance and skewness swap contracts, we infer that variance and (to a lesser extent) skewness risk premia are negative and time varying. For the most part, results hold true in both the USD and EUR markets and in both precrisis and crisis subsamples. We design and estimate a dynamic term structure model that captures much of the dynamics of conditional swap rate moments.
Using linked employer-employee data for all China's public listed firms over the period 2001-10, we find top executive compensation exhibits many of the traits familiar in the Western literature, ...although sometimes in a more muted way, and with some clear exceptions. We also find a role for managerial power in executive pay setting which may reflect the recency of the stock market and regulations underpinning corporate governance. Nevertheless, there appear to be some elements of executive compensation which transcend national economic, political and cultural differences. The implication is that the Western model is not as idiosyncratic as critics suggest.
Using the actual quarterly rental income generated in the years between 2001 and 2010 by over 9,000 NCREIF commercial properties, we construct a commercial real estate rental index and estimate the ...time series properties (e.g., mean‐reversion speed and volatility) of market‐wide rental growth using a dynamic panel data model. The dynamic panel data model has several advantages over a standard hedonic regression. In addition, we incorporate age effects into our panel data model, and by doing so we correct the age bias in the repeated sales method and in the simple average method. Our estimates show that rental growth is cyclical but it generally lags behind broader economic growth. Surprisingly, the long‐term average rental growth is significantly lower than what is usually perceived, and the volatility of rental growth can be significantly under estimated when the conventional methods are adopted. We also find significant cross‐property type and cross‐region variations in the rental adjustment process. In contrast to the existing literature, we find a strong negative relation between rental growth and cap rate, and that this relation is significantly stronger than that between NOI growth and cap rate. Finally, we establish an empirical relation between price return and rental growth in the commercial real estate market.
Increasing numbers of people are spending time focused on "the third screen" of a mobile device. Through ubiquitous connectivity, personalization, and affordability, such mobile devices have become ...much more than just entertainment handsets. In particular, e-commerce has harnessed the power of wireless computing to expand to mobile commerce (m-commerce), thus providing consumers with commercial services on the go. Because such services are often driven by customer input, it is important to consider the relevance of consumers to the development of new service offerings. We therefore dissect innovations in m-commerce by conducting a textual analysis of all filed m-commerce patent applications (over 2,300 in total). By using social network analysis and cluster analysis, we subsequently capture the focal innovation areas in m-commerce and develop a corresponding taxonomy of these innovations. The results clearly illustrate the importance of consumer empowerment and co-creation in the context of m-commerce innovations.
This article studies the effects of international and intranational knowledge flows. Contributions include comparing the effects of knowledge flows on the formal and informal sectors and determining ...multilateral spatial spillovers of innovation. Results show that formal entrepreneurs respect intranational intellectual property rights, but benefit from international spillovers, especially from patents granted. In contrast, informal entrepreneurs somewhat respect intranational patents granted, but not patent applications and citations. International spillovers to the informal sector are mainly from patents granted. Spillover magnitudes are greater internationally than intranationally, and greater in the informal sector than the formal sector (except for trademarks). (JEL O33, L26, K42)
This article estimates the impact of the 2007–2008 residential housing market bust on farmland values, using parcel-level farmland sales data from 2001–2010 for a 50-county region under urbanization ...pressure in western Ohio. Hedonic model estimates reveal that farmland was not immune to the residential housing bust; the portion of farmland value attributable to proximity to urban areas was almost cut in half shortly after the bust in 2009–2010. Nonetheless, total farmland prices remained relatively stable in the 2000s, likely due to increased demand for agricultural commodities. Our results are robust to different assumptions about the structure of the unobserved spatial correlation.
We investigate whether firms are rewarded for their participation in voluntary self-regulation programs through more lenient enforcement of mandated regulation. In particular, we investigate whether ...firms participating in the Responsible Care (RC) program experience less pressure from Occupational Safety and Health Administration inspections. We use three indicators of regulatory relief: the overall probability of an inspection regardless of its type, the probability of a planned inspection relative to other inspection types, and the intensity of planned inspections. The probability of a planned inspection is our primary indicator of regulatory relief because it is the only inspection type that is not triggered by facilities’ contemporaneous performance. We find strong evidence of regulatory relief: RC participants experienced fewer and possibly more lenient planned inspections than non-RC participants. While this was not enough to lower the overall probability of an inspection, the greater stringency of planned inspections translates into significantly less regulatory attention.
A model of supply and demand is applied to UK data over the period 2001-2010 to define graduate jobs in terms of the proportion of graduates and/or the graduate earnings mark-up within occupations. ...Within such a framework it is found that there has been an upward shift in the likelihood of young British university graduates being employed in non-graduate jobs over the course of the past decade. Such a period has coincided with a continued (and rapid) expansion of the UK higher education sector, and the findings presented here highlight the need for government policy in this area to be set in consideration of labour market needs.
Information frictions between firms and regulators are typically seen as a means by which firms evade enforcement. In contrast, we argue that information frictions between firms and regulators can ...reduce the efficiency of firms’ compliance efforts when the interpretation of regulatory standards is uncertain. We exploit plausibly exogenous variation in distance between firms and their regulators to demonstrate this for a panel of community banks in the US. We find that banks located at greater distance from regulatory field offices face significantly higher administrative costs, at a rate of 20% of administrative costs per hour of travel time. These differences do not come with reduced compliance, are not driven by endogenous regulator choice, and are stable over time. Further, the costs borne by distant firms are negatively related to the scale of the jurisdiction in which they operate, suggesting that information spillovers between firms limit uncertainty about regulatory expectations.
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