<p>This dissertation presents the construction procedure of &ldquo;high-frequency&rdquo; daily measure of changes in housing valuations, and analyzes its return dynamics, as well as investigates its relationship to capital markets. The dissertation consists of three chapters. The first chapter introduces the house price index methodologies and housing transaction data, and reviews the related literature. The second chapter shows the construction and modeling of daily house price indexes and highlights the informational advantage of the daily indexes. The final chapter provides detailed empirical and theoretical investigations of housing index return volatilities. </p><p>Chapter 2 discusses the relationship of the housing market with the other markets, such as consumer good market and financial markets. Different housing price indexes and their construction methodologies are introduced, with emphases on the repeat sales model and S&P/Case Shiller Home Price Index. A detailed description of the housing transaction data I use in the dissertation is also provided in this chapter.</p><p>Chapter 3 is co-authored with Professor Tim Bollerslev and Professor Andrew Patton. We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular monthly Case-Shiller house price indexes. Our new daily house price indexes exhibit dynamic features similar to those of other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity. The correlations across house price index returns are low at the daily frequency, but rise monotonically with the return horizon, and are commensurate with existing empirical evidence for existing monthly and quarterly house price series. Timely and accurate measures of house prices are important in a variety of applications, and are particularly valuable during times of turbulence, such as the recent housing crisis. To quantify the informational advantage of our daily index, we show that a relatively simple multivariate time series model for the daily house price index returns, explicitly allowing for commonalities across cities and GARCH effects, produces forecasts of monthly house price changes that are superior to various alternative forecast procedures based on lower frequency data.</p><p>Chapter 4 investigates the properties of housing index return volatilities. Similar to stock market volatility, housing volatilities are found to respond asymmetrically to negative and positive returns. A direct test of volatility on changes in loan-to-value ratio suggests that the observed volatility asymmetry does not stem from changes in degree of housing financial leverage, but could result from the risk premium carried by housing volatility, which is supported by a consumption-based asset pricing model with housing. Moreover, housing and stock volatilities are found to be positively correlated from a set of predictive regressions based on realized variances of housing and stock markets, in which higher (lower) volatility in one market will be followed by higher (lower) volatility in the other. Finally, housing and stock cross-sectional return dispersions are shown to contain useful information in predicting both within-market and cross-market realized volatilities.</p> / Dissertation

The dissertation studies the relationship among durable goods, price indexes and monetary policy in two sticky-price models with durable goods. One is a one-sector model with only durable goods and the other is a two-sector model with durable and non-durable goods. In the models with durable goods, the COLI (Cost of Living Index) and the PPI (Producer Price Index) identical to the CPI (Consumer Price Index) measured by the acquisitions approach are distinguished, and the COLI/PPI ratio plays an important rule in monetary policy transmission. The welfare function based on the household utility can be represented by a quadratic function of the quasi-differenced durables-stock gaps and the PPI inflation rates. In the one-sector model, the optimal policy maximizing welfare is to keep the (acquisition) price and the output gap at a constant rate which does not depend on the durability of consumption goods. In the two-sector model with sticky prices, the central bank has only one policy instrument, so it cannot cope with distortions in both sectors. Simulation results show that the PPI is an adequate price index for monetary policy and that a policy of targeting core inflation constructed by putting more weight on prices in the sector producing more durable goods is near optimal.

This thesis aimed to improve decision-maker access to economic information by testing a pricejusting methodology to annually update expenditure information for economic impacts analyses and by conducting a trends analysis of economic sector contributions to a regional economy. A secondary data analysis of historical angler survey data generated expenditure profiles adjusted over time using price indices. A replication survey was conducted to compare expenditures. Grouping anglers by trip type (one-day/multiple-day) resulted in expenditure profiles that were generally consistent over time as anglers spent approximately $75 and $130 on one-day and multiple-day trips, respectively. These expenditures resulted in total economic impacts of over $13 million. A series of automatic social accounting matrices (ASAM) were then employed to execute economic base analyses, quantifying the role of sectors in the regional economy. The tourism sector consistently contributed over 20% of gross employment and almost 10% of gross output over time.

published_or_final_version / Statistics / Master / Master of Philosophy

In a developing country such as India, 44% of the population does not have access to power and for many others, the power supply is unreliable. A nanogrid, defined as “a single domain for voltage, reliability and administration”, is a possible solution to distribute power to such off-grid areas. Built from the bottom up, nanogrids have the ability to function independently, using locally generated power (such as solar power) as the power source. Such grids enable residents to lead more productive lives, with improved access to power. This thesis designs a new communication protocol for nanogrids to enable matching demand to short-term limited supply. A review of the existing local grid projects in off-grid areas in developing countries is covered – outlining the cost per kWh incurred by the customer, the communications (if any) defined in each local grid and the supply duration of the local grid. A communication protocol for a nanogrid is presented, defining a list of messages required to enable communication and the use of the Link Layer Discovery Protocol (LLDP) to implement this list. A simulation evaluation of a nanogrid deployed in an off-grid rural area of a developing country is presented. Keeping three distinct days – a sunny, cloudy and rainy day and three months – summer, monsoon and winter in mind, we demonstrate how communication about the local power price of the nanogrid can be used to modulate demand in connected loads, matching present demand with short-term limited supply. Simulation results show that the nanogrid model with communication enabled results in ~95% reduction in unmet demand for the month of December with an initial battery level of 20% (the worst case scenario). These results indicate that a grid can distribute adequate power to the loads attached to it for a month in different seasons. Such a grid, with communication about power can have a great impact in developing countries, where reduced power supply or a brownout is preferred to no power supply or a blackout.

Magister Commercii - MCom / This study analyses the extent to which stock returns provide forecasts of changes in interest rates and inflation for the South African market. The period under investigation, January 1966 - February 1989, is characterised by structural changes in the South African economy, especially in the financial markets. The earnings yield on shares is used as a measure of the return on stocks. Stock returns of 10 specific industries are used in addition to the overall market return. Monthly inflation series were constructed by employing both the Consumer Price Index (CPI) and the Producer Price Index (PPI). Before examining that relationship, tests were done to examine the relationship between nominal stock returns and expected inflation. The relation between the stock market and expected inflation is estimated by using three measures of expected inflation. The results appear to suggest that the stock market reacted positively to expected inflation during the 1966 - 1982 period. Two proxies of expected inflation. Best results inflation are used to were obtained with measure future the Fama-Gibbons measure. In addition, the results suggest that stock returns provide additional information of future inflation to that contained in the Fama-Gibbons and interest rate models. Returns for specific industries, used in this study, appear to provide marginally better forecasts of inflation than the overall market return. The results also suggest that stock returns provide forecasts of changes in interest rates and inflation. There is no evidence that the specific industries used, provide consistent better forecasts of interest rate changes than the overall market.

The subject of this thesis is the relationship that exists between deflation and the macroeconomic stability of the economy. Much literature has been published on this topic, but there is still a dearth of quantitative research based on strong empirical work. In the present work I have used a set of large panel data composed of 18 countries over 34 years in order to analyze the relationship between changes in inflation and output growth in a more complete and rigorous fashion. I use 3 different econometric models, namely fixed effects, random effects and the generalized method of moments. I chose these models in order to more appropriately examine the contemporaneous and lagged correlation between prices and output of countries. I also introduced foreign direct investment as a control variable to avoid the presence of potential bias. The empirical work presented in this paper leads to several findings. First, there is an insignificant relationship between a country's GDP growth and its deflation rate. Second, the relation between inflation and GDP growth is significant, and this relation becomes even positive when the econometric model is conducted on the data excluding outliers. Third, FDI positively contributes to and is partly responsible for the level of economic growth of the countries...

Food insecurity is a condition of insufficient access to quality nutritious food; it is often rooted in shocks that interrupt the food production/distribution system in an area. Amidst the capabilities of Nigeria's agricultural system, the number of households across Nigeria experiencing food shortages has increased rapidly. The main reason for this increase were price shocks. This incident highlighted a huge vulnerability in Nigeria's food system, the vulnerability to price shocks. Incidences such as poverty and conflicts magnify the frequency of food insecurity. The ability to reduce vulnerabilities while addressing existing issues in food production and supply depends on a stable economy and innovative policy. As a major oil exporter, Nigeria's economy is affected by oil price fluctuations. This paper analyses the extent of the effect and how such volatility could increase vulnerability in the food system. The analysis in this treatise examines economic and agricultural factors to identify trends that negatively affect Nigeria's current food system.. Oil prices were significant in explaining variation in food price shocks and Gross Domestic Product (GDP). Food price shocks are one of the symptoms of economic downturns. Agricultural innovation, and economic policies need to be formulated to prevent such shocks in the future. Given the dependency of economic performance on oil prices, a major move would be to diversify the Nigerian economy; with adequate attention being paid to agriculture.

The aim of this thesis is to examine how wealth inequality alters when macroeconomic factors such as housing price index, inflation rate, and minimum wage change. In the theoretical part, the potential connection between some macroeconomic factors and wealth inequality is described through the link of the Lorenz Curve and Pareto distribution. In the empirical part, we analyze the development of wealth inequality in 21 countries from the European Union from 2004 to 2015. The study presents significant evidence that the housing price index is negatively correlated with wealth inequality while similar conclusions cannot be made regarding inflation rate and minimum wage. In this paper, the Gini index is used as a proxy for wealth inequality.

Esta pesquisa foi motivada pela necessidade de desenvolvimento de uma metodologia para elaboração de índices de preços para os fretes de cargas agroindustriais no Brasil. O estudo das principais fórmulas utilizadas na elaboração dos índices culminou com a apresentação de um ranking segundo sua superioridade no atendimento às aproximações. Concluiu-se que os índices de Fisher e Walsh são aqueles capazes de atender ao maior número de preceitos lógicos, estatísticos e econômicos. Em seguida surgem os índices geométricos de Vartia, Törnqvist e Theil. Os índices de Laspeyres e Paasche, apesar de apresentarem algumas sérias limitações, acabam sendo amplamente utilizados na prática devido à fácil operacionalização. A pesquisa sobre os índices existentes para o transporte ratifica a idéia de que o Índice de Laspeyres é o mais utilizado. Essa análise ainda mostrou que os índices geralmente são elaborados com rotas bem definidas, para modais e tipo de carga bem definidos. A presente pesquisa apresentou um estudo de caso objetivando avaliar as variações nos procedimentos possíveis para a elaboração dos índices. A utilização de um estudo específico é justificada pela necessidade de se avaliar empiricamente os resultados obtidos a partir de índices distintos. Nesse sentido, foi escolhido o transporte rodoviário da soja a granel no Brasil. Foram realizados quatro tratamentos. Os tratamentos 1 e 4 mostraram-se mais adequados para a obtenção de um índice para o nível geral de frete. O primeiro, entretanto, apresenta baixa capacidade em fornecer informações mais desagregadas (sub-índices), uma vez que apresenta apenas agrupamento por faixas de distância. O quarto tratamento, por utilizar equações do preço em função da distância, deve ser considerado com ressalvas no fornecimento de sub-índices específicos. A principal vantagem que se espera desse tratamento é o conhecimento do nível geral dos preços sem perda de informações. Esse tratamento, sob o ponto de vista das aproximações, parece bastante razoável: atende à maior parte dos testes axiomáticos, está baseado em fundamentos estatísticos sólidos e utiliza uma função econômica que, estimada, fornece uma relação entre preço e quantidade. Os tratamentos 2 e 3, por sua vez, procuraram, por meio da desagregação, dispor de uma maior riqueza de informações, apresentando sub-índices por faixas de distância e regiões de origem e destino. Contudo, essa vantagem implica um esforço significativamente maior no processo de amostragem. A principal conseqüência de se trabalhar com informações incompletas é a ocorrência de sérias distorções (vieses) nos resultados finais.Em termos de informações para ponderação, foram testadas duas possibilidades: uma através da utilização da própria amostra (a distância percorrida), outra com o uso de informações exógenas (no caso, de uma matriz origem-destino que foi construída para esse fim). Recomenda-se a utilização de matrizes origem-destino, baseando-se no argumento de que isso diminuiria a responsabilidade sobre o processo amostral que, além dos preços, deveria também abranger as quantidades movimentadas. A realização da pesquisa permitiu a obtenção da variação acumulada no nível geral de preços para o transporte rodoviário de soja no Brasil no período entre fevereiro de 1998 e março de 2002. De acordo com os resultados dos tratamentos 1 e 4, essa variação teria sido de 76%. / This research was motivated by the necessity of developing a methodology to elaborate price indexes to cargo freights for agroindustrial products in Brazil. The study on the most used mathematical formulas to elaborate indexes resulted in a ranking that considers their superiority in terms of theoretical approximations. It was concluded that Fisher and Walsh indexes are those that attend most of the logical, statistical and economic principles, followed by the geometric indexes, like Vartia, Törnqvist and Theil. Laspeyres and Paasche, in spite of their limitations, are widely used in practice. The research on the existing transportation indexes ratifies the idea that the Laspeyres is the most used. The analysis also showed that these indexes are generally calculated considering well-defined routes to specific transportation modes and cargoes. A case study was selected to evaluate variations on possible procedures to index elaboration. The utilization of a specific study is justified by the need of empirically evaluating the results to be obtained through different indexes. In view of that, it was chosen the bulk soybean hauled by road transport in Brazil. Four treatments were conducted. The treatments 1 and 4 seemed to be more suitable to calculate an index for a general price level. The first one, nevertheless, shows low capacity to supply less aggregated information, provided that has only items related to different distances groups. The fourth, which uses equations of price in function of distance, should be carefully considered when referring to sub-indexes transparency. The main advantage of this treatment is the knowledge of general price level without information loss. This treatment, under the theorical approach, looks quite reasonable: it attempts to the majority of axiomatic tests, is based on statistics foundation and uses an economic function that, when estimated, gives the relation between price and quantity. The treatments 2 and 3, in their turn, try to rank more information through disaggregation, showing sub-indexes for distances groups and origin and destination regions. On the other side, this advantage causes the need of significantly more efforts (large number of observations) in sampling process. The outcome of incomplete information is the occurrence of distortion (errors) in final results. Related to the weighting system, two possibilities were tested: using the own sample as the main source (traveled distance), or using exogenous information (in this case, from an origin-destination matrix built for this purpose). It’s recommended the employment of origin-destination matrixes, based on the argument that this would reduce the responsibility over the sampling process that, beyond the prices, should comply the volumes that were transported. As a result, it was obtained that the general price level variation of the soybean transported by road in Brazil, between February 1998 and March 2002, was 76%, considering the treatments 1 and 4.