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## Price formation and real estate characteristics: residential real estate. Lisbon – Portugal

Vaz, António Jorge Ferreira; Garcia Erviti, Federico; Padial Molina, Francisco
Fonte: Instituto Politécnico de Bragança Publicador: Instituto Politécnico de Bragança
Tipo: Artigo de Revista Científica
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The discretionality and the appraisers’ subjectivity that characterize traditional real estate valuation are still allowed to take part in the formation of the asset price even when respecting international standards (EVS, IVS) or Appraisal Institution´s regulations (TEGOVA, RICS, etc.). The application of Econometric Methods to real estate valuation by the use of statistic procedures aims at the elimination of subjectivity on the appraisal process. On this study, Hedonic Models (Econometric Methods applied to Real Estate Appraisal) are used to determine the most important characteristics that define the multifamily residential real estate selling price and therefore to make estimations on real estate selling price (knowing the asset characteristics). Two different Statistical Techniques were used in order to compare the results: Multiple Lineal Regression; and Factorial Analysis. These techniques were applied to a sample of 82 flats for sale located in Lisbon, Portugal. From the 15 studied characteristics, we conclude that the ones the ones that determine/influence the most the asset price are: Area (m2); Nr. of Bathrooms; Privileged View; Nr. of Parking places. Using these 4 variables the asset’s price estimation model obtained explains 80...

## STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET

Fonte: WORLD SCIENTIFIC PUBL CO PTE LTD Publicador: WORLD SCIENTIFIC PUBL CO PTE LTD
Tipo: Artigo de Revista Científica
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We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The systems parameters correspond to: (a) the proportion of speculators in a market; (b) the traders speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the assets fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However...

## Capital Asset Price Model (CAPM) : uma aplicação ao mercado brasileiro de ações

Zandavalli, Alberto
Tipo: Dissertação Formato: application/pdf
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## The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

Majnoni, Giovanni
Fonte: Banco Mundial Publicador: Banco Mundial
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The integration of micro-prudential oversight with the macro-approach to financial stability -- long in the making -- raises several issues of coordination of regulatory responsibilities. This paper argues that a decomposition of the covariance of asset returns into an endogenous volatility component -- which can be reduced -- and an exogenous volatility component -- which we have to live with -- helps address these coordination issues and provides the basis for financial health diagnostics and supervisory responses to observed symptoms of financial instability. By linking risk origination and risk control, the paper may also contribute to the search for an operational definition of the term "macro-prudential."

McKibbin, Warwick J.; Stoeckel, Andrew B.; Lu, YingYing
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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## Monetary Policy and Macroprudential Regulation : Whither Emerging Markets

Canuto, Otaviano; Cavallari, Matheus
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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Confidence in combining inflation-targeting-cum-flexible-exchange-rate regimes with isolated microprudential regulation as a means to guarantee both macroeconomic and financial stability has been shattered by the scale and synchronization of asset price booms and busts that preceded the current global financial crisis. This paper has a two-fold purpose. On the one hand, it explores the implications and challenges of acknowledging the need for coordination between monetary policies and macroprudential regulation. On the other, it points out specific challenges currently faced by central bankers in emerging economies, as they cope with policy and regulatory coordination in a context of debt overhang and unconventional monetary policies in advanced economies.

## Asset Prices, Macro Prudential Regulation, and Monetary Policy

Canuto, Otaviano; Cavallari, Matheus
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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Confidence in combining inflation-targeting-cum-flexible-exchange-rate regimes with isolated micro prudential regulation as a means to guarantee both macroeconomic and financial stability has been shattered by the scale and synchronization of the asset price booms and busts that preceded the global financial crisis. It has now become clear that if monetary policy makers and prudential regulators are to succeed in achieving stability, there can be no complacency regarding asset price cycles. This note explores some of the ways in which monetary policy can address asset price booms and busts through its integration with macro prudential regulation.

## Asset Price Effects of Peer Benchmarking

Acharya, Sushant; Pedraza, Alvaro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
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This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.

## A tale of five bubbles - asset price inflation and central bank policy in historical perspective

Voth, Hans-Joachim
Tipo: Working/Technical Paper Formato: 278884 bytes; application/pdf
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This paper examines five bubbles that eventually popped, and discusses the feasibility of central bank policy. In all cases, we find that monetary policy was too loose during the period when the bubble was developing, and that a determined switch from an accommodating to a tight stance caused “the music to stop”. We argue that despite the severe real effects of asset bubbles in all five examples, the case for targeting them explicitly is weak. Policy was flawed because it failed to pay sufficient attention to the output gap. We also present a more formal test, showing that policy errors influence the conditional volatility of equity returns as estimated in GARCH-M models. The conclusion examines US policy today in the light of our historical findings.; no

## Asset prices in monetary policy rules: should they stay or should they go?

Pacheco, Luís Miguel
Fonte: Centro de Investigação em Gestão e Economia da Universidade Portucalense Publicador: Centro de Investigação em Gestão e Economia da Universidade Portucalense
Tipo: Artigo de Revista Científica
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The nature of the relationship between asset price movements and monetary policy is a currently hotly debated topic in macroeconomics. We analyse that relationship using a standard dynamic stochastic general equilibrium model, augmented by an equation featuring the asset prices deviations from a trend value. The calibration and subsequent simulation of that model allows us to conclude that it wouldn’t be desirable to include asset prices in the monetary policy rule, because of the higher interest rate and inflation volatility. The inclusion of a reaction to asset prices deviations in the monetary policy rule would only be justifiable in the context of a strong output gap sensibility to them and, even in that case, the gains of welfare would be so small that shouldn’t offset the costs attached to an explicit tracking of asset prices behaviour by the monetary authority. In conclusion, our results are consistent with a benign neglect view by the monetary authority towards asset prices. This attitude, where the ECB clearly fits in, implies that central banks could act in response to asset prices movements when there’s the need to avoid a sharp correction in the markets, which could have destabilising effects over the economy.

## Comment on ‘It takes more than a bubble to become Japan’

de Brouwer, Gordon
Tipo: Working/Technical Paper Formato: 226000 bytes; 356 bytes; application/pdf; application/octet-stream
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The focus on Japan in this conference serves two purposes. The first is to highlight the cost of bubbles and examine the place for policy action to limit the worst of excesses in asset price bubbles. This is obviously important to the debate now occurring in Australia. The second purpose is to focus on the problems of a sustained collapse in asset prices and how to deal with them. Japan matters to the global economy and the sooner it gets its economic act together the better for us all. Adam’s paper serves both these purposes. But discussants are not invited just to say how great a paper is. They are there for debate and testing ideas. To this end, I will revisit the question of the lessons of Japan’s experience for other countries, and focus especially on the place of targeted interventions in asset markets. Before I get to this, I would like to look at two structural issues in Japan that may be useful in addressing the lessons from Japan’s experience. The first issue is the interplay and connections between the prices of various asset classes. If asset market spillovers exist, policies specifically directed to one asset class may have unintended spill-over effects to other asset classes. The second issue is the degree to which asset prices matter to economic activity. If asset prices are particularly important to private decision makers...

## How the Republic of Korea's Financial Structure Affects the Volatility of Four Asset Prices

Hong G. Min; Park, Jong-goo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research; Publications & Research :: Policy Research Working Paper
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The authors explore how Koreas financial structure affects the volatility of asset prices. Documented empirical evidence of the relationship between financial structure and financial crisis, sheds light on the relationship between asset price volatility - extreme variations in price - and financial structure. And the volatility of financial and non-financial asset prices provides an indirect link between an economys financial structure and the likelihood of financial crisis. Using time-series data on a se of indicators measuring financial structure, the authors examine how Koreas financial structure affects the volatility of the real effective exchange rate, the money market rate, government bond yields, and stock prices. They find: 1) There is a stable long-term relationship between financial structure and volatility in the real effective exchange rate, the money market rate, stock prices, and the yield on government housing bonds. 2) Financial structure affects asset price variables asymmetrically. Some variables volatility increases...

## Tropical Bubbles : Asset Prices in Latin America, 1980-2001

Herrera, Santiago; Perry, Guillermo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
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The authors test for the existence of asset price bubbles in Latin America in 1980-2001, focusing mainly on stock prices. Based on unit root and cointegration tests, they find that they cannot reject the hypothesis of bubbles. They arrive at the same conclusion using Froot and Obstfeld's intrinsic bubbles model. To examine empirical regularities of these bubble episodes in the region, the authors identify periods of significant stock price overvaluation. They quantify the relative importance of different factors that determine the probability of bubble occurrence, focusing on the contrast between the country-specific variables and the common external factors. They include as country-specific variables both the level and the volatility of domestic credit growth, the volatility of asset returns, the capital flows to each country, and the terms of trade. As common external variables, they consider the degree of asset overvaluation in the U.S. stock and real estate markets and the term spread of U.S. Treasury securities. To quantitatively assess the relative importance of each factor...

## How Complementary Are Prudential Regulation and Monetary Policy?

Canuto, Otaviano
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
Português
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Could either monetary policy or financial prudential regulation be relied on individually to mitigate asset price cycles or their effects? If both ways are effective, monetary policy and prudential regulation could then be considered 'substitutes,' in the sense that the individual use of either instrument leads to a reduction in the volatility of both corresponding targets. This note, however, argues in favor of complementarily rather than substitution in the use of monetary and macro-prudential policies: the combined (articulate) use of both policies tends to be more effective than a standalone implementation of either.

## A new look at short-term implied volatility in asset price models with jumps

Mijatović, Aleksandar; Tankov, Peter
Tipo: Artigo de Revista Científica
Português
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We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential L\'evy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the implied volatility converges to a non-constant limiting shape, which is a function of both the diffusion component of the process and the jump activity (Blumenthal-Getoor) index of the jump component. Our limiting implied volatility formula relates the jump activity of the underlying asset price process to the short end of the implied volatility surface and sheds new light on the difference between finite and infinite variation jumps from the viewpoint of option prices: in the latter, the wings of the limiting smile are determined by the jump activity indices of the positive and negative jumps, whereas in the former, the wings have a constant model-independent slope. This result gives a theoretical justification for the preference of the infinite variation L\'evy models over the finite variation ones in the calibration based on short-maturity option prices.

## Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

Criens, David; Glau, Kathrin; Grbac, Zorana
Tipo: Artigo de Revista Científica
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Martingality plays a crucial role in mathematical finance, in particular arbitrage-freeness of a financial model is guaranteed by the local martingale property of discounted price processes. However, in order to compute prices as conditional expectations the discounted price process has to be a true martingale. If this is not the case, the market and the fundamental (computed) prices deviate, which is interpreted as financial bubble. Moreover, if the discounted price process is a true martingale it can be used to define an equivalent change of measure. Based on general conditions in Kallsen and Shiryaev (2002), we derive explicit sufficient conditions for the true martingality of a wide class of exponentials of semimartingales. Suitably for applications, the conditions are expressed in terms of the semimartingale characteristics. We illustrate their use for stochastic volatility asset price models driven by semimartingales. Finally, we prove the well-definedness of semimartingale Libor models given by a backward construction.; Comment: 22 pages

## On the semimartingale property of discounted asset-price processes

Kardaras, Constantinos; Platen, Eckhard
Tipo: Artigo de Revista Científica
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A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.; Comment: 11 pages. The text has been thoroughly revised and there are new results. This is the 1st part of what comprised the older arxiv submission arXiv:0803.1890 "On financial markets where only buy-and-hold trading is possible" by the two authors

## Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

Yuan, Baosheng; Chen, Kan
Tipo: Artigo de Revista Científica
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While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the `stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.; Comment: 17 pages, 7 figures

## Stock price booms and expected capital gains

Adam, Klaus; Beutel, Johannes; Marcet, Albert
Fonte: Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica Publicador: Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica
Tipo: Trabalho em Andamento Formato: application/pdf
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The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs. Formally incorporating subjective price beliefs into an otherwise standard asset pricing model with utility maximizing investors, we show how subjective belief dynamics can temporarily delink stock prices from their fundamental value and give rise to asset price booms that ultimately result in a price bust. The model successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and expected returns observed in survey data. We show that models imposing objective or 'rational' price expectations cannot simultaneously account for both facts. Our findings imply that large part of U.S. stock price fluctuations are not due to standard fundamental forces, instead result from self-reinforcing belief dynamics triggered by these fundamentals.

## The Impact of Technical Analysis on Asset Price Dynamics

Yang, J.-H. Steffi; Satchell, Stephen E.
Tipo: Trabalho em Andamento Formato: 292600 bytes; application/pdf; application/pdf
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The Impact of Technical Analysis on Asset Price Dynamics