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Zeitschriftenartikel zum Thema "Investments Australia Econometric models":
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Ma, Le, Richard Reed und Jian Liang. „Separating owner-occupier and investor demands for housing in the Australian states“. Journal of Property Investment & Finance 37, Nr. 2 (04.03.2019): 215–32. http://dx.doi.org/10.1108/jpif-07-2018-0045.
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PurposeThere has been declining home ownership and increased acceptance of long-term renting in many western countries including Australia; this has created a problem when examining housing markets as there are dual demand and include both owner-occupiers and investors. The purpose of this paper is to examine the long-run relationship between house prices, housing supply and demand, and to estimate the effects of the two types of demand (i.e. owner-occupier and investor) on house prices.Design/methodology/approachThe econometric techniques for cointegration with vector error correction models are used to specify the proposed models, where the housing markets in the Australian states and territories illustrate the models.FindingsThe results highlight the regional long-run equilibrium and associated patterns in house prices, the level of new housing supply, owner-occupier demand for housing and investor demand for housing. Different types of markets were identified.Practical implicationsThe findings suggest that policies that depress the investment demand can effectively prevent the housing bubble from further building up in the Australian states. The empirical findings shed light in the strategy of maintaining levels of housing affordability in regions where owner-occupiers have been priced out of the housing market.Originality/valueThere has been declining home ownership and increased acceptance of long-term renting in many western countries including Australia; this has created a problem when examining housing markets as there are dual demand and include both owner-occupiers and investors. This research has given to the relationship between supply and dual demand, which includes owner-occupation and investment, for housing and the influence on house prices.
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Yong, Jaime, und Anh Khoi Pham. „The long-term linkages between direct and indirect property in Australia“. Journal of Property Investment & Finance 33, Nr. 4 (06.07.2015): 374–92. http://dx.doi.org/10.1108/jpif-01-2015-0005.
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Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.Design/methodology/approach– The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.Findings– The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.Practical implications– The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.Originality/value– The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.
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Reddy, Wejendra, David Higgins und Ron Wakefield. „An investigation of property-related decision practice of Australian fund managers“. Journal of Property Investment & Finance 32, Nr. 3 (01.04.2014): 282–305. http://dx.doi.org/10.1108/jpif-02-2014-0014.
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Purpose – In Australia, the A$2.2 trillion managed funds industry including the large pension funds (known locally as superannuation funds) are the dominant institutional property investors. While statistical information on the level of Australian managed fund investments in property assets is widely available, comprehensive practical evidence on property asset allocation decision-making process is underdeveloped. The purpose of this research is to identify Australian fund manager's property asset allocation strategies and decision-making frameworks at strategic level. Design/methodology/approach – The research was undertaken in May-August 2011 using an in-depth semi-structured questionnaire administered by mail. The survey was targeted at 130 leading managed funds and asset consultants within Australia. Findings – The evaluation of the 79 survey respondents indicated that Australian fund manager's property allocation decision-making process is an interactive, sequential and continuous process involving multiple decision-makers (internal and external) complete with feedback loops. It involves a combination of quantitative analysis (mainly mean-variance analysis) and qualitative overlay (mainly judgement, or “gut-feeling”, and experience). In addition, the research provided evidence that the property allocation decision-making process varies depending on the size and type of managed fund. Practical implications – This research makes important contributions to both practical and academic fields. Information on strategic property allocation models and variables is not widely available, and there is little guiding theory related to the subject. Therefore, the conceptual frameworks developed from the research will help enhance academic theory and understanding in the area of property allocation decision making. Furthermore, the research provides small fund managers and industry practitioners with a platform from which to improve their own property allocation processes. Originality/value – In contrast to previous property decision-making research in Australia which has mainly focused on strategies at the property fund investment level, this research investigates the institutional property allocation decision-making process from a strategic position involving all major groups in the Australian managed funds industry.
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West, Tracey, und Andrew Worthington. „The impact of major life events on household asset portfolio rebalancing“. Studies in Economics and Finance 36, Nr. 3 (26.07.2019): 334–47. http://dx.doi.org/10.1108/sef-11-2017-0318.
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Purpose This paper aims to model the asset portfolio rebalancing decisions of Australian households experiencing a severe life event shock. Design/methodology/approach The paper uses household longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey since 2001. The major life events are serious illness or injury, death of a spouse, job dismissal or redundancy and separation from a spouse. The asset classes are bank accounts, cash investments, equities, superannuation (private pensions), life insurance, trust funds, owner-occupied housing, investor housing, business assets, vehicles and collectibles. The authors use both static and dynamic Tobit models to assess the impact and duration of impact of the shocks. Findings Serious illness and injury, loss of employment, separation and spousal death cause households to rebalance portfolios in ways that can have detrimental effects on long-term wealth accumulation through poor market timing and the incurring of transaction costs. Research limitations/implications The survey results are only available since 2001, and the wealth module from which the asset data are drawn is self-reported and not available every year. Practical implications Relevant to policymakers working on the ongoing retirement of the “baby boomer” generation and for financial planners guiding household investment decisions. Originality/value Most research on shocks to household wealth concern a narrower range of assets and only limited shocks. Also, this is one of the few studies to use a random effects model to allow for unspecified heterogeneity among households.
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Sherris, M., L. Tedesco und B. Zehnwirth. „Investment Returns and Inflation Models: Some Australian Evidence“. British Actuarial Journal 5, Nr. 1 (01.04.1999): 237–67. http://dx.doi.org/10.1017/s135732170000043x.
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ABSTRACTThe development of stochastic investment models for actuarial and investment applications has become an important area of interest to actuaries. This paper reports the application of some techniques of modern time series and econometric analysis to Australian inflation, share market and interest rate data. It considers unit roots, cointegration and state space models. Some of the results from this analysis are not reflected in the published stochastic investment models.
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Muravieva, Marina. „State support of the village social infrastructure systems“. Przegląd Wschodnioeuropejski 8, Nr. 2 (01.11.2018): 107–21. http://dx.doi.org/10.31648/pw.3574.
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The paper presents an analysis of the existing system of state support for rural social infrastructure for the first time. To address this goal the author studied the state information resources and data base of research of the models of state support for the sustainable development of rural areas. The researcher reveals the limitations of research on this subject (the analysis of Web of science, Scopus, Science Direct, Springer Link, Agris, Russian research data base), formulates the descriptive models of various countries in Europe and North America, and groups them into two basic systems. The tests revealed the main factors of the system of public funding of social infrastructure projects. In general financing the algorithms of support for rural social infrastructure were brought to light, the basis of which is made up by two main groups of countries: those with a support system for large rural settlements, selected on the principle of “driving member” and the countries with a system of grant and loan support for rural communities based on projects and local initiatives. The list of systems is not closed, because the study does not affect the countries of Asia, South America, Africa and Australia, which have their own distinctive features. The limitations in a single database of comparable statistical data about the objects of social and engineering infrastructure in rural areas do not allow to assess the effectiveness of investments. The author comes to the conclusion that single common methodology and standards for the evaluation of all forms of efficiency (economic, social, demographic and environmental) the use of state and interstate programs of support of social and infrastructural projects in rural areas, including a preliminary assessment of the needs in social and engineering facilities are necessary.
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Kliber, Paweł, und Artur Stefański. „Econometric Models in Resident Value of Investment“. Oeconomia Copernicana 4, Nr. 3 (30.09.2013): 49–63. http://dx.doi.org/10.12775/oec.2013.022.
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The aim of the study is to analyze what is the impact of: analyze period, resident value estimation method, discount rate and economic sector of the investor on the level of resident value to initial value of investment ratio. In the article, basing on 43 investments made by investors form MSP sector whose purpose was to purchase truck car of capacity to 3,5t, four econometric models were prepared: logit, probit, tobit, and logit-tobit to explain the dependence described in the aim of the study. All models are statistically important. In all models only one independent variable is always statistically important – analyze period. The longer analyze period is, the smaller resident value to initial value of investment ratio is. In order to compare models: MSE, RMSE, MAE, MAPE ratios were used. The best adaptation to data was observed when logit-tobit model is used
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Tursunbaevich, Baykhonov Bakhodirjon, und Bustonov Mansurjon Mardonakulovich. „Econometric models of sectoral distribution of investments in the economy of Uzbekistan“. South Asian Journal of Marketing & Management Research 9, Nr. 8 (2019): 89. http://dx.doi.org/10.5958/2249-877x.2019.00039.0.
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Keeping the basic principles of sustainable development, it must be highlighted that decisions about transport safety projects must be made following expert preparation, using reliable, professional methods. A prerequisite for the cost–benefit analysis of investments is to constantly monitor the efficiency of accident forecasting models and to update these continuously. This paper presents an accident forecasting model for urban areas, which handles both the properties of the public road infrastructure and spatial dependency relations. As the aim was to model the urban environment, we focused on the road public transportation modes (bus and trolley) and the vulnerable road users (bicyclist) using shared infrastructure elements. The road accident data from 2016 to 2018 on the whole road network of Budapest, Hungary, is analyzed, focusing on road links (i.e., road segments between junctions) by applying spatial econometric statistical models. As a result of this article, we have developed a model that can be used by decision-makers as well, which is suitable for estimating the expected value of accidents, and thus for the development of the optimal sequence of appropriate road safety interventions.
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Salem, Mohamed, und Andrew Baum. „Determinants of foreign direct real estate investment in selected MENA countries“. Journal of Property Investment & Finance 34, Nr. 2 (07.03.2016): 116–42. http://dx.doi.org/10.1108/jpif-06-2015-0042.
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Purpose – The purpose of this paper is to identify the main determinants of foreign direct real estate investments (foreign direct investment (FDI)) in selected Middle Eastern and North African (MENA) countries. Design/methodology/approach – The empirical work of this study is an econometric analysis of FDI in the commercial real estate sector for eight MENA markets, namely Algeria, Egypt, Morocco, Qatar, Saudi Arabia, Turkey, Tunisia and the UAE during the period 2003-2009. The econometric analysis is carried out using the pooled Tobit model technique for panel data. Findings – The paper finds that both country-specific factors and real estate sector-specific variables consistently support hypotheses explaining commercial real estate-related FDI, and find evidence that political stability explains why some selected MENA countries attract more real estate investments than other MENA countries. Practical implications – The findings should be seriously considered in any policy making effort on the part of governments in the region. Originality/value – The authors contribute to the existing literature in many ways. First, the study aims to develop econometric models, using both conventional and unique variables, to be generalised and applied to any developed or emerging market. The study applies relevant techniques in estimating the models, including the pooled Tobit model. Second, the research studies eight selected MENA real estate markets from 2003 to 2009, a timeframe and geography not examined in previous published empirical work on commercial real estate investments. Lastly, and for the first time in real estate literature, the study applies the location dimension of Dunning’s OLI paradigm as a theoretical explanation for the behaviour of foreign investors in commercial real estate towards the selected MENA markets.
Dissertationen zum Thema "Investments Australia Econometric models":
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Eadie, Edward Norman. „Small resource stock share price behaviour and prediction“. Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.
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Limkriangkrai, Manapon. „An empirical investigation of asset-pricing models in Australia“. University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
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Liu, Siyang, und 劉巳洋. „Essays on spillover effects from foreign direct investment in China and internal promotions in the government of Qing China“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B39321368.
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Marshall, Peter John 1960. „Rational versus anchored traders : exchange rate behaviour in macro models“. Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.
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Enzinger, Sharn Emma 1973. „The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis“. Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.
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顔紅曉 und Hongxiao Yan. „"Indirect" investment across the Taiwan strait: determinants, characteristics and trends“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31220174.
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Spurway, Kayleigh Fay Nanette. „A study of the Consumption Capital Asset Pricing Model's appilcability across four countries“. Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013016.
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Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
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Trainor, William John. „Redefining risk: an investigation into the role of sequencing“. Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/37257.
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Glazyrina, Anna. „Contribution of Public Investments and Innovations to Total Factor Productivity“. Thesis, North Dakota State University, 2011. https://hdl.handle.net/10365/29848.
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This study examines the importance of public research and development (R&D) expenditures and innovations (prices) to U S agricultural productivity employing panel vector error correction econometric technique Specifically, time-series and panel unit root tests, panel cointegration procedures, panel causality tests, and vector error correction model are used in the analysis. Empirical application to U S state-level data for 1960-2004 suggests positive and statistically significant influence of both supply-side
drivers, in the form of public R&D expenditures, and demand-side drivers, in the form of innovations (prices), on total factor productivity growth.
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Forrester, David Edward Economics Australian School of Business UNSW. „Market probability density functions and investor risk aversion for the australia-us dollar exchange rate“. Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
Bücher zum Thema "Investments Australia Econometric models":
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Milopoulos, Christos. Investment behaviour under uncertainty: An econometric analysis of Swedish panel data. Gothenburg: Nationalekonomiska institutionen, Handelshögskolan vid Göteborgs universitet, 1993.
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Martín, Rama. Empirical investment equations in developing countries. Washington, DC: Macroeconomic Adjustment and Growth, Country Economics Dept., World Bank, 1990.
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Chien, YiLi. A multiplier approach to understanding the macro implications of household finance. Cambridge, Mass: National Bureau of Economic Research, 2007.
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Rusibane, Gaëtan. Le comportement de l'investissement privé au Burundi et au Rwanda. Addis-Ababa, Ethiopia: United Nations Economic Commission for Africa, Socio-Economic Research and Planning Division, 1993.
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Angeletos, Marios. Uninsured idiosyncratic investment risk and aggregate saving. Cambridge, Mass: Massachusetts Institute of Technology, Dept. of Economics, 2005.
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Torello, Mariella. Incertidumbre macroeconómica e inversión en Uruguay. [Montevideo, Uruguay]: Comisión Económica para América Latina y el Caribe, Oficina de Montevideo, 1993.
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AbstractOne central pillar in the development of urban science which is key to the development of simulation of models of urban structure is spatial econometrics. In this chapter, we outline the way in which ideas pertaining to accessibility which we define conventionally, as in transport economics, as the relative nearness and size of locations to one another, can be embedded in a wider econometric framework. We are thus able to explore how GDP (gross domestic product) of different locations is influenced by different spatial investments. To illustrate this, we first outline the intellectual context, followed by a review of the most relevant econometric models. We examine the data required for such models and look at various quantifications in terms of elasticities of business productivity with respect to transport accessibility, using ordinary least squares, time-series fixed effects, and a range of dynamic panel-data models which narrow down the valid range of estimates. We then show how the model is applied to Guangdong province (with its connections to Hong Kong and Macau), which is one of the three major mega-city regions and a leading adopter of new technologies in China.
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Bhowmik, Debesh. „Econometric Analysis of India's Foreign Direct Investment Inflows“. In Foreign Direct Investments (FDIs) and Opportunities for Developing Economies in the World Market, 248–75. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3026-8.ch012.
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In this chapter, the author explains the trend lines, random walk, stationary, structural breaks, and volatility of FDI inflows in India during 1971-2015. Both log linear and exponential trends are significant. FDI inflows are stationary and showed four structural breaks in 1985, 1994, 2000, and 2006. The author found the relation among FDI inflows, growth rate, interest rate, inflation rate, exchange rate, fiscal deficit, external debt, and trade openness with the help of Granger causality, Johansen cointegration test, and vector error correction models. Trace statistic has four cointegrating equations, and Max Eigen statistic has three cointegrating equations. The speed of the vector error correction process is more or less slow except for change in interest rate and change in inflation rate, which are significant where VECM is stable and diverging. Limitations and future scope of research is added. Policy recommendations are also included.
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Bennani, Az-Eddine. „Reconsidering IT Impact Assessment in E-Collaboration“. In E-Collaboration, 1210–17. IGI Global, 2009. http://dx.doi.org/10.4018/978-1-60566-652-5.ch091.
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The literature review shows two main research groups using various models making it possible to explore this impact. The first falls under the economic production theory and the information and decision theory, often referring to econometric models (Alpar & Kim, 1990; Due, 1994; Brynjolofson & Hitt, 1993). It raises the question of ICT contribution in terms of efficiency and tries to show the existence of a relation between the investments made in this technology and the operational and financial performance of companies. The second group can be divided into three subgroups. The first subgroup examines performance as a dependent variable centered on ICT success perception (DeLone & McLean, 1992, 2002, 2003; Seddon, 1997). The second considers ICT effects on operational and managerial processes (Crowston & Treacy, 1986; Bakos 1987; Mooney, Gurbaxani, & Kraemer, 1995). Finally, the third bases its research works on contingency models (Henderson & Venkatraman, 1993; Iivari 1992).
