Identifying house price diffusion patterns among Australian state capital cities

Prior research supports the proposition that house price diffusion shows a ripple effect along the spatial dimension. That is, house price changes in one region would reflect in subsequent house price changes in other regions, showing certain linkages among regions. Using the vector autoregression model and the impulse response function, this study investigates house price diffusion among Australia\u27s state capital cities, examining the response of one market to the innovation of other markets and determining the lagged terms for the maximum absolute value of the other markets\u27 responses. The results show that the most important subnational markets in Australia do not point to Sydney, rather towards Canberra and Hobart, while the Darwin market plays a role of buffer. The safest markets are Sydney and Melbourne. This study helps to predict house price movement trends in eight capital cities.<br /

Volatility in the Housing Market: Evidence on Risk and Return in the London Sub-market

The impact of volatility in housing market analysis is reconsidered via examination of the risk-return relationship in the London housing market is examined. In addition to providing the first empirical results for the relationship between risk (as measured by volatility) and returns for this submarket, the analysis offers a more general message to empiricists via a detailed and explicit evaluation of the impact of empirical design decisions upon inferences. In particular, the negative risk-return relationship discussed frequently in the housing market literature is examined and shown to depend upon typically overlooked decisions concerning components of the empirical framework from which statistical inferences are drawn

Obelix vs. Asterix : size of US commercial banks and its regulatory challenge

Big banks pose substantial costs to society in the form of increased systemic risk and government bailouts during crises. So the question is: Should regulators limit the size of banks? To answer this question, regulators need to assess the potential costs of such regulations. If big banks enjoy substantial scale economies (i.e., average costs get lower as bank size increases), limiting the size of banks through regulations may be inefficient and likely to reduce social welfare. However, the literature offers conflicting results regarding the existence of economies of scale for the biggest US banks. We contribute to this literature using a novel approach to estimating nonparametric measures of scale economies and total factor productivity (TFP) growth. For US commercial banks, we find that around 73 % of the top one hundred banks, 98 % of medium and small banks, and seven of the top ten biggest banks by asset size exhibit substantial economies of scale. Likewise, we find that scale economies contribute positively and significantly to their TFP growth. The existence of substantial scale economies raises an important challenge for regulators to pursue size limit regulations

Deregulation, intensity of competition, industry evolution and the productivity growth of US commercial banks

We study the influence of the evolution in intrastate and interstate deregulations on the total factor productivity growth of U.S. commercial banking during 1971–95. We consider statewide deregulations in intrastate branching, intrastate multibank holding company (MBHC), interstate multibank holding company, and interstate MBHC de novo branching regulations. Results indicate that (1) long-standing banking restrictions negatively affected banks’ productivity growth, and (2) relaxing restrictions on intrastate branching expansion had a positive long-run influence upon banks’ productivity growth. The effect of interstate MBHC deregulations is largely short run, and it is negative in the long run for interstate MBHC de novo branching deregulations.Dogan Tirtiroglu, Kenneth N. Daniels and Ercan Tirtirogluhttp://muse.jhu.edu/journals/journal_of_money_credit_and_banking

Quality assurance role of seller financing: Evidence from second mortgages

Quality problems that are known to the seller of a product, but will become known to the buyer only after the purchase have the potential to frustrate voluntary exchanges. Where the determination of quality after the sale is cut-and-dried, brand names and unconditional guarantees will bond contract performance. When the problem is more subtle or confounded by the extent of consumer inputs, requiring risk-sharing by the contracting parties, these bonding devices typically are not sufficient. Under the circumstances, seller financing may be an efficient contracting solution for bonding the quality dimension of the contract. This form of financing makes both the buyer and the seller share the risk that the product may not suit the buyer’s needs in the way promised by the seller. This paper provides further empirical evidence on the quality assurance role of seller financing. We consider seller-financed second mortgages in the National Association of Realtors database. Seller financing in second mortgages may be a supplement to first mortgages supplied by conventional lenders. The role of seller financing as a quality assurance mechanism in second mortgages is more complex than its role in first mortgages, but is also less subject to an alternative interpretation of credit rationing than is its role in seller-financed first mortgages. To avoid further complexities, we do not consider second seller financing transactions that supplement first assumption mortgage transactions.Dogan Tirtiroglu and David N. Laban

A Latent Variable Approach to Estimating Time-Varying Scale Efficiencies in U.S. Commercial Banking

Dogan Tirtiroglu, Ken Daniels, Ercan Tirtirogluhttp://www.boomerangbooks.com.au/Liquidity-Interest-Rates-Banking/Alexander-Guyton/book_9781606927755.ht

The external monitoring bodies' view of the board independence in the new public family firms

Some commentators suggest that the Wall Street views family firms with scepticism. The appointment of independent directors to form a majority on a firm's board of directors should constitute a strong signal to the market of a family firm's willingness to be monitored objectively and thus should alleviate Wall Street's scepticism. This is likely to be more important for the newly public family firms than for mature family firms since outsider-domination on the board pre-dates the involvement of other outsiders, such as underwriters, financial analysts, or institutional investors. Whether the presence of an independent board alleviates the market's scepticism may be evident in the responses of various external monitoring entities to the newly public family and non-family firms. Using a hand-collected sample of newly public firms, we cast brand-new light on whether an independent board provides any advantage to the newly public family firms in underwriter reputation, analyst coverage, and investment by institutional investors over newly public non-family firms. We find that independence of board of directors is overall a positive signal and that while the independence of board is more important than the independence of management for underwriters and financial analysts, the reverse is the case for institutional investors.Imants Paeglis and Dogan Tirtirogluhttp://dx.doi.org/10.1016/S1569-3732(07)12007-

Political uncertainty and asset valuation: Evidence from business relocations in Canada

Copyright © 2003 Elsevier B.V. All rights reserved.Dogan Tirtiroglu, Harjeet S. Bhabra, Ugur Le

Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances

This article examines patterns of temporal and spatial diffusion of real estate price changes. In addition to means, changes in volatility are tracked in reaction to substantial new information, estimated with GARCH-M methods. The data covers towns in Connecticut and near San Francisco. There is evidence of negative feedback at short lags, contrary to previous research on housing and other assets. There is also evidence of a moving average error process which tends to reverse recent shocks. Significantly positive spatial information diffusion is found from neighboring towns in Connecticut but none in control tests on nonneighboring towns. The results also include evidence of a risk-reward tradeoff in housing price changes in the San Francisco area. Copyright American Real Estate and Urban Economics Association.