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Journal articles on the topic 'Finance Australia Econometric models'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Ma, Le, Richard Reed, and Jian Liang. "Separating owner-occupier and investor demands for housing in the Australian states." Journal of Property Investment & Finance 37, no. 2 (March 4, 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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MILLER, PAUL W. "ECONOMIC MODELS OF FERTILITY BEHAVIOUR IN AUSTRALIA*." Australian Economic Papers 27, no. 50 (June 1988): 65–82. http://dx.doi.org/10.1111/j.1467-8454.1988.tb00807.x.

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3

Reddy Yarram, Subba. "Factors influencing on-market share repurchase decisions in Australia." Studies in Economics and Finance 31, no. 3 (July 29, 2014): 255–71. http://dx.doi.org/10.1108/sef-02-2013-0021.

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Purpose – The purpose of this study is to examine factors influencing decisions to repurchase shares on-market in Australia. The present study also examines the role of board size, board independence and chief executive officer duality on the decision to repurchase shares on-market by Australian firms. Design/methodology/approach – This study blends the traditional motivations of share repurchases with the influences of governance. The sample consists of all non-financial firms included in the Australian All Ordinaries Index (AOI) for the period 2004-2010. The repurchase sample consists of 104 repurchases undertaken by 62 firms. A probit panel model is used to analyse the decision to repurchase shares on the market. To account for unobserved heterogeneity, random effects panel models are also used. Findings – Analyses of a sample of non-financial firms included in the AOI for the period 2004-2010 show that size is significantly positively correlated with the decision to repurchase shares, thus supporting the agency cost. Findings also support the undervaluation and signalling hypotheses. Similarly, there is evidence in support of the view that firms repurchase shares to reach their target optimal capital structure. The present study also finds a significant positive association between board independence and the decision to repurchase shares in Australia. Research limitations/implications – On-market share repurchases help firms to signal their future growth opportunities and resolve agency conflicts. Signals from repurchases also help markets discover the true fundamental values of firms. Governance plays an important role in improving the effectiveness of on-market share repurchases, as independent directors provide both monitoring and discipline which helps to ensure that firms have valid motivations in undertaking share repurchases. Practical implications – These findings have implications for capital restructuring and governance policies. Principle-based governance frameworks that prevail in countries like Australia work as well as rule-based governance. Originality/value – This study highlights the complementary roles that financial policies and corporate boards play in corporate governance. Independent boards ensure that firms pursue appropriate financial policies that help resolve agency conflicts and information asymmetry problems.

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West, Tracey, and Andrew C. Worthington. "Life Events and Portfolio Rebalancing of the Family Home." Journal of Financial Counseling and Planning 29, no. 1 (June 2018): 103–13. http://dx.doi.org/10.1891/1052-3073.29.1.103.

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This article investigates the impacts of financial shocks on the role of the family home in asset portfolios of Australian households using longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey. The life events considered are serious illness or injury, death of a spouse, fired or made redundant, and separation from a spouse. We use a static and dynamic Tobit models to assess the impact and duration of the life events on the portfolio share of the family home. The insights gained from this study may be important for financial planners, as adverse wealth outcomes may be hedged through better financial education, insurance products, or general financial preparedness.

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Durack, Nick, Robert B. Durand, and Ross A. Maller. "A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia." Accounting and Finance 44, no. 2 (July 2004): 139–62. http://dx.doi.org/10.1111/j.1467-629x.2004.00107.x.

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Reddy, Wejendra, David Higgins, and Ron Wakefield. "An investigation of property-related decision practice of Australian fund managers." Journal of Property Investment & Finance 32, no. 3 (April 1, 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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Antioch, K. M., and M. K. Walsh. "Risk-adjusted capitation funding models for chronic disease in Australia: alternatives to casemix funding." European Journal of Health Economics 3, no. 2 (June 2002): 83–93. http://dx.doi.org/10.1007/s10198-002-0096-7.

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PLUNKETT, BRADLEY, FABIO R. CHADDAD, and MICHAEL L. COOK. "Ownership structure and incentives to invest: dual-structured irrigation cooperatives in Australia." Journal of Institutional Economics 6, no. 2 (May 6, 2010): 261–80. http://dx.doi.org/10.1017/s1744137409990361.

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Abstract:In the past decade, Australia has begun to privatize its irrigation system. Two general models have emerged: a single and a dual ownership structure. This paper examines the trade-offs, costs and benefits, and the attendant efficiencies regarding costs of ownership. In particular, we examine member capital investment incentives and resultant risk-bearing costs related to capital formation. The paper concludes that the dual ownership structure system has significant economic advantages relative to its single-structured counterpart.

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West, Tracey, and Andrew Worthington. "The impact of major life events on household asset portfolio rebalancing." Studies in Economics and Finance 36, no. 3 (July 26, 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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Yong, Jaime, and Anh Khoi Pham. "The long-term linkages between direct and indirect property in Australia." Journal of Property Investment & Finance 33, no. 4 (July 6, 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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Gonçalves, Tânia, João Rebelo, Lina Lourenço-Gomes, and José Caldas. "Wine price determinants. Is there a homogeneous international standard?" Wine Economics and Policy 10, no. 1 (April 7, 2021): 33–55. http://dx.doi.org/10.36253/wep-8879.

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This article presents an international comparison of the main determinants of wine prices in specialist online wine shops. Hedonic price functions were estimated for 9624 wines spread among four datasets from France, Italy, Germany and Australia. To explain price variation data was collected on wine classification, closure type, wine origin, medals or awards, vintage, alcohol content, color, and grape variety. Results from quantile regression models show that the wine vintage is a common price driver in all markets and quantiles. A quite similar effect was found for alcohol content. In terms of color, the implicit prices for red and white wines are also structurally different between countries, particularly in origin, blend, closure, awards and age. Thus, the markets should be assumed as heterogeneous, and the extrapolation of the results from one market to another may lead to erroneous management decisions.

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Carroll, David, Jaai Parasnis, and Massimiliano Tani. "Why do women become teachers while men don’t?" B.E. Journal of Economic Analysis & Policy 21, no. 2 (January 22, 2021): 793–823. http://dx.doi.org/10.1515/bejeap-2020-0236.

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Abstract Across countries, almost all primary and pre-primary teachers are women while few men in the occupation tend to specialise in secondary schooling and administration. We investigate the decision to become a teacher versus alternative occupations for graduates in Australia over the past 15 years. We find that this gender distribution reflects relative returns in the labour market: women with bachelor qualifications receive higher returns in teaching, while similarly educated men enjoy substantially higher returns in other occupations. We also find evidence that schools which can, and do, make higher wage offers successfully attract more male teachers as well as more female teachers with a degree in science, technology, engineering, and mathematics. These results are consistent with the predictions of theoretical models of self-selection of intrinsically motivated workers.

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Perera, Treshani, David Higgins, and Woon-Weng Wong. "The evaluation of the Australian office market forecast accuracy." Journal of Property Investment & Finance 36, no. 3 (April 3, 2018): 259–72. http://dx.doi.org/10.1108/jpif-04-2017-0029.

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Purpose Property market models have the overriding aim of predicting reasonable estimates of key dependent variables (demand, supply, rent, yield, vacancy and net absorption rate). These can be based on independent drivers of core property and economic activities. Accurate predictions can only be conducted when ample quantitative data are available with fewer uncertainties. However, a broad-fronted social, technical and ecological evolution can throw up sudden, unexpected shocks that result in the econometric outputs sceptical to unknown risk factors. Therefore, the purpose of this paper is to evaluate Australian office market forecast accuracy and to determine whether the forecasts capture extreme downside risk events. Design/methodology/approach This study follows a quantitative research approach, using secondary data analysis to test the accuracy of economists’ forecasts. The forecast accuracy evaluation encompasses the measurement of economic and property forecasts under the following phases: testing for the forecast accuracy; analysing outliers of forecast errors; and testing of causal relationships. Forecast accuracy measurement incorporates scale independent metrics that include Theil’s U values (U1 and U2) and mean absolute scaled error. Inter-quartile range rule is used for the outlier analysis. To find the causal relationships among variables, the time series regression methodology is utilised, including multiple regression analysis and Granger causality developed under the vector auto regression (VAR). Findings The credibility of economic and property forecasts was questionable around the period of the Global Financial Crisis (GFC); a significant man-made Black Swan event. The forecast accuracy measurement highlighted rental movement and net absorption forecast errors as the critical inaccurate predictions. These key property variables are explained by historic information and independent economic variables. However, these do not explain the changes when error time series of the variables were concerned. According to VAR estimates, all property variables have a significant causality derived from the lagged values of Australian S&P/ASX 200 (ASX) forecast errors. Therefore, lagged ASX forecast errors could be used as a warning signal to adjust property forecasts. Research limitations/implications Secondary data were obtained from the premier Australian property markets: Canberra, Sydney, Brisbane, Adelaide, Melbourne and Perth. A limited ten-year timeframe (2001-2011) was used in the ex-post analysis for the comparison of economic and property variables. Forecasts ceased from 2011, due to the discontinuity of the Australian Financial Review quarterly survey of economists; the main source of economic forecast data. Practical implications The research strongly recommended naïve forecasts for the property variables, as an input determinant in each office market forecast equation. Further, lagged forecast errors in the ASX could be used as a warning signal for the successive property forecast errors. Hence, data adjustments can be made to ensure the accuracy of the Australian office market forecasts. Originality/value The paper highlights the critical inaccuracy of the Australian office market forecasts around the GFC. In an environment of increasing incidence of unknown events, these types of risk events should not be dismissed as statistical outliers in real estate modelling. As a proactive strategy to improve office market forecasts, lagged ASX forecast errors could be used as a warning signal. This causality was mirrored in rental movements and total vacancy forecast errors. The close interdependency between rents and vacancy rates in the forecasting process and the volatility in rental cash flows reflects on direct property investment and subsequently on the ASX, is therefore justified.

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Jones, Colin, Neil Dunse, and Kevin Cutsforth. "The changing relationships between government bond yields and capitalisation rates." Journal of European Real Estate Research 8, no. 2 (August 3, 2015): 153–71. http://dx.doi.org/10.1108/jerer-05-2015-0023.

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Purpose – The purpose of this paper is to analyse the gap between government bonds (index-linked and long-dated) and real estate yields/capitalization rates over time for the UK, Australia and the USA. The global financial crisis was a sharp shock to real estate markets, and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. Design/methodology/approach – The absolute yield gap levels and their variation over time in the different countries are compared and linked to the theoretical reasons for the yield gap and, in particular, a changing real estate risk premium. Within this context, it assesses whether there have been structural breaks in long-term relationships during booms and busts based on autoregressive conditionally heteroscedastic (ARCH) models. Finally, the paper provides further insights by constructing statistical models of index-linked and long-dated yield gaps. Findings – The relationships between bond and property yields go through a traumatic time around the period of the global financial crisis. These changes are sufficiently strong to be statistically defined as “structural breaks” in the time series. The sudden switch in the yield gaps may have stimulated a greater appreciation of structural change in the property market. Research limitations/implications – The research focuses on the most transparent real estate markets in the world, but other countries with less developed markets may respond differently. Practical implications – The practical implications relate to how to value real estate yields relative to interest rates. Originality/value – This is the first paper that has compared international yield gaps over time and examined the role of the gap between index-linked government bonds and real estate yields.

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Cheung, Ka Shing, and Siu Kei Wong. "Entry and exit affordability of shared equity homeownership: an international comparison." International Journal of Housing Markets and Analysis 13, no. 5 (August 30, 2019): 737–52. http://dx.doi.org/10.1108/ijhma-06-2019-0059.

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Purpose Shared equity homeownership is a form of subsidised, resale-restricted housing through which lower-income households can sustain their affordability. This paper aims to distinguish two types of affordability within shared equity homeownership: “entry affordability” indicates how affordable subsidised housing is when a household first becomes a subsidised owner; while “exit affordability” means how affordable private housing is after a household has enjoyed subsidised homeownership for a period of time. Design/methodology/approach Using price-to-income ratios, this study compares the entry and exit affordability of shared equity homeownership programs in Australia, Mainland China, Hong Kong, Norway, the UK and the USA. Based on these international comparisons, this study generalises two distinct types of shared equity homeownership models, namely, the models of “share-to-buy” and “share forever”. A new model, “follow-as-you-go”, is further suggested to increase the elasticity of potential affordable housing supply by providing incentives for existing subsidised homeowners to move. Findings A key finding of this study is that while shared equity homeownership programs can improve entry affordability, homeowners’ exit affordability is weak when subsidised homeowners have to share their capital gain with the government. While many housing policy discussions around the world that support shared equity homeownership focus only on the improvement of entry affordability, these discussions usually ignore the importance of exit affordability. This study attempts to fill the void in the understanding of these two types of affordability. Originality/value Shared equity homeownership policy is not only about offering low-income households but also an affordable housing option. It is also about facilitating well-off subsidised homeowners to move up the housing ladder so that the affordable housing option can be freed up for others in need. In a word, it is not only entry affordability but also exit affordability that matters.

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van der Nest, D. P., Louis Smidt, and Dave Lubbe. "The use of generalised audit software by internal audit functions in a developing country: A maturity level assessment." Risk Governance and Control: Financial Markets and Institutions 7, no. 4-2 (December 28, 2017): 189–202. http://dx.doi.org/10.22495/rgc7i4c2art2.

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This article explores the existing practices of internal audit functions in the locally controlled South African banking industry regarding the use of Generalised Audit Software (GAS), against a benchmark developed from recognised data analytic maturity models, in order to assess the current maturity levels of the locally controlled South African banks in the use of this software for tests of controls. The literature review indicates that the use of GAS by internal audit functions is still at a relatively low level of maturity, despite the accelerating adoption of information technology and generation of big data within organisations. The empirical results of this article also confirm that the maturity of the use of GAS by the internal auditors employed by locally controlled South African banks is still lower than expected, given that the world, especially from a business perspective is now fully immersed in a technological-driven business environment. This study has since been extended to other industries in the following countries namely, Canada, Columbia, Portugal and Australia.

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Aluko, Bioye Tajudeen. "ACCURACY OF AUCTION SALE VALUATIONS IN DISTRESSED BANK LENDING DECISIONS IN NIGERIA." Journal of Business Economics and Management 8, no. 3 (September 30, 2007): 225–33. http://dx.doi.org/10.3846/16111699.2007.9636172.

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Of all the sub‐sectors of the national economy, the banking industry and the property market have arguably been most severely affected by the current recession. Thus, the prevailing credit crunch in real estate finance and market conditions have implication for disposal and valuations of real estate for mortgage purposes. The study examined whether forced sale valuations of mortgage properties were a good proxy for their auction sale prices. Relevant data involving 67 auction sales of foreclosed residential property transactions together with their contemporaneous forced sale valuations were pooled together in Lagos Metropolis during the period 1994 to 2003 from sample of estate surveying and valuation/auctioneering firms, the lending institutions and the Nigeria Deport Insurance Corporation. The data obtained were analyzed with the aid of frequency distributions and multiple regression models. The study revealed, amongst others, that forced sale values are not good proxies for auction sale prices as against the conclusions of previous studies on accuracy of open market valuations either in Nigeria or other countries like UK, USA and Australia. The implications of the foregoing conclusions on the lending decisions and valuation profession in the country were further examined in the paper.

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Gabe, Jeremy, Spenser Robinson, Andrew Sanderford, and Robert A. Simons. "Lease structures and occupancy costs in eco-labeled buildings." Journal of Property Investment & Finance 38, no. 1 (October 4, 2019): 31–46. http://dx.doi.org/10.1108/jpif-07-2019-0098.

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Purpose The purpose of this paper is to investigate whether energy-efficient green buildings tend to provide net lease structures over gross lease ones. It then considers whether owners benefit by trading away operational savings in a net lease structure. Design/methodology/approach Empirical models of office leasing transactions in Sydney, Australia, with wider transferability supported by analysis of office rent data in the USA. Findings Labeled green buildings are approximately four to five times more likely than non-labeled buildings to use a net lease structure. However, despite receiving operational savings, tenants in net leases pay higher total occupancy costs (TOC), benefiting owners. On average, the increase in TOC paid by tenants in a net lease is equal to or greater than savings attributed to an eco-labeled building. Practical implications A full accounting of TOC in eco-labeled buildings suggests that net lease structures provide numerous benefits to owners that offset the loss of trading away operational savings. Originality/value The principal-agent market inefficiency, or “split incentive,” is a widely cited barrier to private investment in energy-efficient building technology. Here, a uniquely broad look at rental cash flows suggests its role as a barrier is exaggerated.

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Mainardi, Stefano. "Geological occurrence and economic feasibility in closing decisions by gold mines." South African Journal of Economic and Management Sciences 2, no. 2 (June 30, 1999): 240–57. http://dx.doi.org/10.4102/sajems.v2i2.2576.

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With successful exploration of deposits often lagging behind mineral extraction, and the international price of gold showing no signs of recovery, mining companies are under pressure to reassess their strategies. The decision whether or not to close a mining activity is the outcome of a process of adapting expectations to a changing economic and geological environment. Part of the literature emphasizes the role of the mineral price and operating costs. However, the extent, pace and intertemporal allocation of metal recovery is in practice determined by a complex interaction of both these with other factors. Following a review of theoretical interpretations, and a reformulation of associated hypotheses, binary-response models are applied to a sample of gold mines in mainly three major southern hemisphere producers (Australia, South Africa and Chile).

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Chan, Tze-Haw, Hooi Hooi Lean, and Chee-Wooi Hooy. "A macro assessment of China effects on Malaysian exports and trade balances." Journal of Chinese Economic and Foreign Trade Studies 7, no. 1 (January 28, 2014): 18–37. http://dx.doi.org/10.1108/jcefts-11-2012-0019.

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Purpose – This paper aims to focus on the impact of China's export expansion on Malaysian monthly trading with to her 12 major trading partners over the liberalization era. Design/methodology/approach – The analytical framework comprises of both the export and trade balance models. Unit root and cointegration tests with break and error correction modeling are employed in the analyses. Findings – Regime shifts are evident in the long run where structural break(s) found mostly coincides with the Asia crisis and China's accession into WTO. While the income effects are more apparent in most cases, the real exchanges are rather insignificant and incorrectly signed for Malaysian bilateral trading. Besides, the trade balance estimation is generally more consistent that the Chinese exports have exhibited complementary effects in the long-run, mainly for advanced export destination such as Australia, Germany, Japan, the UK and the USA. On the whole, there is insufficient evidence to support the “PRC competitive threat”. Practical implications – The empirical evidence disfavors currency devaluation for current account correction and reveals that the fear for China effect might be over-projected. Closer regional collaboration and trade integration between the two nations are well expected. Originality/value – The paper assesses the China's crowding out effect and magnitudes of Malaysian export and trade balance elasticities with model specifications that consider structural breaks. The paper also assesses the macro dimension of income and real exchanges effects.

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Li, Youwei, Bas Donkers, and Bertrand Melenberg. "Econometric analysis of microscopic simulation models." Quantitative Finance 10, no. 10 (December 2010): 1187–201. http://dx.doi.org/10.1080/14697680903460176.

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Spirtes, Peter. "Graphical models, causal inference, and econometric models." Journal of Economic Methodology 12, no. 1 (March 2005): 3–34. http://dx.doi.org/10.1080/1350178042000330887.

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Dixon, Tim. "Commercial property retrofitting." Journal of Property Investment & Finance 32, no. 4 (July 1, 2014): 443–52. http://dx.doi.org/10.1108/jpif-02-2014-0016.

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Purpose – Progress in retrofitting the UK's commercial properties continues to be slow and fragmented. New research from the UK and USA suggests that radical changes are needed to drive large-scale retrofitting, and that new and innovative models of financing can create new opportunities. The purpose of this paper is to offer insights into the terminology of retrofit and the changes in UK policy and practice that are needed to scale up activity in the sector. Design/methodology/approach – The paper reviews and synthesises key published research into commercial property retrofitting in the UK and USA and also draws on policy and practice from the EU and Australia. Findings – The paper provides a definition of “retrofit”, and compares and contrasts this with “refurbishment” and “renovation” in an international context. The paper summarises key findings from recent research and suggests that there are a number of policy and practice measures which need to be implemented in the UK for commercial retrofitting to succeed at scale. These include improved funding vehicles for retrofit; better transparency in actual energy performance; and consistency in measurement, verification and assessment standards. Practical implications – Policy and practice in the UK needs to change if large-scale commercial property retrofit is to be rolled out successfully. This requires mandatory legislation underpinned by incentives and penalties for non-compliance. Originality/value – This paper synthesises recent research to provide a set of policy and practice recommendations which draw on international experience, and can assist on implementation in the UK.

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Degiannakis, Stavros, and Apostolos Kiohos. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices." Journal of Economic Studies 41, no. 2 (March 4, 2014): 216–32. http://dx.doi.org/10.1108/jes-06-2012-0082.

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Purpose – The Basel Committee regulations require the estimation of value-at-risk (VaR) at 99 percent confidence level for a ten-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real estate portfolio returns. The purpose of the paper is to estimate accurate ten-day-ahead 99%VaR forecasts for real estate markets along with stock markets for seven countries across the world (the USA, the UK, Germany, Japan, Australia, Hong Kong and Singapore) following the Basel Committee requirements for financial regulation. Design/methodology/approach – A 14-dimensional multivariate Diag-VECH model for seven equity indices and their relative real estate indices is estimated. The authors evaluate the VaR forecasts over a period of two weeks in calendar time, or ten-trading-days, and at 99 percent confidence level based on the Basle Committee on Banking Supervision requirements. Findings – The Basel regulations require ten-day-ahead 99%VaR forecasts. This is the first study that provides successful evidence for ten-day-ahead 99%VaR estimations for real estate markets. Additionally, the authors provide evidence that there is a statistically significant relationship between the magnitude of the ten-day-ahead 99%VaR and the level of dynamic correlation for real estate and stock market indices; a valuable recommendation for risk managers who forecast risk across markets. Practical implications – Risk managers, investors and financial institutions require dynamic multi-period VaR forecasts that will take into account properties of financial time series. Such accurate dynamic forecasts lead to successful decisions for controlling market risks. Originality/value – This paper is the first approach which models simultaneously the volatility and VaR estimates for real estate and stock markets from the USA, Europe and Asia-Pacific over a period of more than 20 years. Additionally, the local correlation between stock and real estate indices has statistically significant explanatory power in estimating the ten-day-ahead 99%VaR.

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25

Hansen, Lars Peter, John Heaton, and Erzo G. J. Luttmer. "Econometric Evaluation of Asset Pricing Models." Review of Financial Studies 8, no. 2 (April 1995): 237–74. http://dx.doi.org/10.1093/rfs/8.2.237.

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26

Edwards, Sebastian. "Exchange rates in multi-country econometric models." Journal of International Economics 19, no. 3-4 (November 1985): 387–90. http://dx.doi.org/10.1016/0022-1996(85)90047-9.

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DIVISEKERA, SARATH. "AN ECONOMETRIC MODEL OF INTERNATIONAL VISITOR FLOWS TO AUSTRALIA*." Australian Economic Papers 34, no. 65 (December 1995): 291–308. http://dx.doi.org/10.1111/j.1467-8454.1995.tb00030.x.

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Kiss, Ferenc, and Bernard Lefebvre. "Econometric Models of Telecommunications Firms: A Survey." Revue économique 38, no. 2 (March 1987): 307. http://dx.doi.org/10.2307/3501725.

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Kiss, Ferenc, and Bernard Lefebvre. "Econometric models of telecommunications firms : a survey." Revue économique 38, no. 2 (1987): 307–74. http://dx.doi.org/10.3406/reco.1987.408982.

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30

Wong, Wing-Keung. "Review on behavioral economics and behavioral finance." Studies in Economics and Finance 37, no. 4 (June 19, 2020): 625–72. http://dx.doi.org/10.1108/sef-10-2019-0393.

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Purpose This paper aims to give a brief review on behavioral economics and behavioral finance and discusses some of the previous research on agents' utility functions, applicable risk measures, diversification strategies and portfolio optimization. Design/methodology/approach The authors also cover related disciplines such as trading rules, contagion and various econometric aspects. Findings While scholars could first develop theoretical models in behavioral economics and behavioral finance, they subsequently may develop corresponding statistical and econometric models, this finally includes simulation studies to examine whether the estimators or statistics have good power and size. This all helps us to better understand financial and economic decision-making from a descriptive standpoint. Originality/value The research paper is original.

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31

Hazieva, Aigul, Nuria Rafikova, Gamir Habirov, Zariya Zalilova, and Elza Sagadeeva. "Econometric Models of Cattle-Breeding Production Cost." Industrial Engineering & Management Systems 19, no. 4 (December 31, 2020): 857–65. http://dx.doi.org/10.7232/iems.2020.19.4.857.

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32

MILBOURNE, ROSS. "DISTINGUISHING BETWEEN AUSTRALIAN DEMAND FOR MONEY MODELS." Australian Economic Papers 24, no. 44 (June 1985): 154–68. http://dx.doi.org/10.1111/j.1467-8454.1985.tb00102.x.

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33

Masouman, Ashkan, and Charles Harvie. "Forecasting, impact analysis and uncertainty propagation in regional integrated models: A case study of Australia." Environment and Planning B: Urban Analytics and City Science 47, no. 1 (April 16, 2018): 65–83. http://dx.doi.org/10.1177/2399808318767128.

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The integration of input–output and econometric models at regional level has gained popularity for its superior performance in forecasting employment and examining the impacts of policies. There are a number of approaches to integrate the two models. This paper examines the integration of input–output with econometric modelling using two merging methodologies, namely coupling and holistic embedding. Each methodology is analysed with respect to the accuracy of its results of total and sectoral employment forecasting. Both methodologies are applied to a regional economy in Australia. The methodology which shows superior forecasting accuracy is applied to examine the significance of sectors that generate the highest number of employments relative to other sectors.

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Bianchi, Carlo, Giuseppe Bruno, and Andrea Cividini. "Analysis of large-scale econometric models using supercomputer techniques." Computer Science in Economics and Management 5, no. 3 (August 1992): 271–81. http://dx.doi.org/10.1007/bf00426763.

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35

Caudill, Steven B., and Randall G. Holcombe. "Coefficient bias due to specification search in econometric models." Atlantic Economic Journal 15, no. 3 (September 1987): 30–34. http://dx.doi.org/10.1007/bf02316884.

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36

Arbia, Giuseppe, Marco Bee, and Giuseppe Espa. "Testing Isotropy in Spatial Econometric Models." Spatial Economic Analysis 8, no. 3 (September 2013): 228–40. http://dx.doi.org/10.1080/17421772.2013.804629.

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37

McDonald, John. "A Survey of Econometric Models of Office Markets." Journal of Real Estate Literature 10, no. 2 (January 1, 2002): 223–42. http://dx.doi.org/10.1080/10835547.2002.12090112.

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BROWN, DAVID P., and MICHAEL R. GIBBONS. "A Simple Econometric Approach for Utility-Based Asset Pricing Models." Journal of Finance 40, no. 2 (June 1985): 359–81. http://dx.doi.org/10.1111/j.1540-6261.1985.tb04962.x.

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39

Witkowska, D., K. Kompa, and A. Matuszewska. "Exchange rate prediction: Dynamic econometric models and neural networks." International Advances in Economic Research 7, no. 2 (May 2001): 267–68. http://dx.doi.org/10.1007/bf02296017.

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40

TREVOR, R. G., and S. J. THORP. "VAR FORECASTING MODELS OF THE AUSTRALIAN ECONOMY: A PRELIMINARY ANALYSIS." Australian Economic Papers 27, s1 (June 1988): 108–20. http://dx.doi.org/10.1111/j.1467-8454.1988.tb00697.x.

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VOON, THOMAS J. "CHINESE DEMAND FOR AUSTRALIAN WHEAT: APPLICATION OF MARKET SHARE MODELS." Australian Economic Papers 33, no. 63 (December 1994): 228–38. http://dx.doi.org/10.1111/j.1467-8454.1994.tb00862.x.

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42

McGinness, Mark. "Regulatory Models for Protecting the Markets: An Australian Perspective." Journal of Financial Crime 9, no. 1 (March 2001): 40–53. http://dx.doi.org/10.1108/eb026006.

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43

Nguyen, Annette, Robert Faff, and Philip Gharghori. "An examination of conditional asset pricing models in the Australian equities market." Applied Financial Economics Letters 3, no. 5 (September 2007): 307–12. http://dx.doi.org/10.1080/17446540701222409.

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Oaxaca, Ronald L., and Michael Ransom. "Using Econometric Models for Intrafirm Equity Salary Adjustments." Journal of Economic Inequality 1, no. 3 (December 2003): 221–49. http://dx.doi.org/10.1023/b:joei.0000004588.24934.81.

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Sanford, Andrew D., and Gael M. Martin. "Bayesian comparison of several continuous time models of the Australian short rate." Accounting and Finance 46, no. 2 (June 2006): 309–26. http://dx.doi.org/10.1111/j.1467-629x.2006.00169.x.

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46

Guidolin, Massimo, Francesco Ravazzolo, and Andrea Donato Tortora. "Alternative econometric implementations of multi-factor models of the U.S. financial markets." Quarterly Review of Economics and Finance 53, no. 2 (May 2013): 87–111. http://dx.doi.org/10.1016/j.qref.2013.01.004.

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Akbulaev, Nurkhodzha, Basti Aliyeva, and Shehla Rzayeva. "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange." Pénzügyi Szemle = Public Finance Quarterly 66, no. 1 (2021): 151–66. http://dx.doi.org/10.35551/pfq_2021_1_8.

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This article is a review on the impact of prices and their dependence on the cost of oil and natural gas on the world stock markets. The main studies and results achieved in the field of the impact of prices on both the stock index and industrial stocks and the dependence on the level of oil prices are presented. The paper presents an econometric study on the choice of offers on the securities market that allows us to identify the main specifics of changes in prices for the stock index and industrial shares in the daily period from 13. 05. 2012 to 01. 12. 2019. The article uses methods for estimating the impact of the price of natural gas and WTI crude oil using the Gretl statistical program, taking into account the selection of the main correlation features of the price matrix. Of the 13 proposed research models, only one model showed its statistical insignificance. A paired linear model of the CocaCola share price dependence and its dependence on NGFO prices was presented and analyzed in detail. Based on the results of econometric modeling, linear regression models were constructed for the dependence of stock prices on the NGFO and WTISPOT prices. The Gretl environment allows you to evaluate the situation in the econometric environment and make a forecast based on the obtained models of the dependence of stock prices and make appropriate conclusions.

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48

Simionescu, Bratu Mihaela. "Predicting Macroeconomic Indicators in the Czech Republic Using Econometric Models and Exponential Smoothing Techniques." South East European Journal of Economics and Business 7, no. 2 (November 1, 2012): 89–99. http://dx.doi.org/10.2478/v10033-012-0017-3.

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Abstract Econometric modeling and exponential smoothing techniques are two quantitative forecasting methods with good results in practice, but the objective of the research was to find out which of the two techniques are better for short run predictions. Therefore, for inflation, unemployment and interest rate in the Czech Republic various accuracy indicators were calculated for the predictions based on these methods. Short run forecasts on a horizon of 3 months were made for December 2011-February 2012, the econometric models being updated. For the Czech Republic, the exponential smoothing techniques provided more accurate forecasts than the econometric models (VAR(2) models, ARMA procedure and models with lagged variables). One explication for the better performance of smoothing techniques would be that in the chosen countries the short run predictions were more influenced by the recent evolution of the indicators.

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49

Maziarz, Mariusz. "‘Emerging contrary result’ phenomenon and scientific realism." Panoeconomicus, no. 00 (2020): 24. http://dx.doi.org/10.2298/pan171218024m.

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The article is aimed at reconsidering the question if the project of econometrics can be read in line with scientific realism. Previously, the methodological literature focused on the philosophy of econometrics, voices criticizing realist interpretations of econometrics were raised. The criticism was aimed at showing that econometric models lack robustness. The use of slightly different methods leads to obtaining different and often contrary models what supposedly undermine the project of econometrics. In this article, I aim at offering a new argument in defence of the current practice of the economists devoted to the empirical branch of macroeconomics. To do so, I apply M?ki?s (2009) model of representation to three case studies of contradictory pairs of econometric models and argue that contrary results are not necessarily a drawback of econometrics. Instead, the seemingly contradictory pairs of models are useful in various contexts constituted by their purpose and audience.

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Chen, Shu-Heng, Chia-Ling Chang, and Ye-Rong Du. "Agent-based economic models and econometrics." Knowledge Engineering Review 27, no. 2 (April 26, 2012): 187–219. http://dx.doi.org/10.1017/s0269888912000136.

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AbstractThis paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint. The review comprises three stages, characterizing the past, the present, and the future of this development. The first two stages can be interpreted as an attempt to build the econometric foundation of ACE, and, through that, enrich its empirical content. The second stage may then invoke a reverse reflection on the possible agent-based foundation of econometrics. While ACE modeling has been applied to different branches of economics, the one, and probably the only one, which is able to provide evidence of this three-stage development is finance or financial economics. We will, therefore, focus our review only on the literature of agent-based computational finance, or, more specifically, the agent-based modeling of financial markets.

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