過去雖有文獻探討國內房地產市場泡沫化問題，卻僅從租金收益的單一角度衡量房價基值，對於自有住宅比例較高的台灣而言，家戶所得不僅代表購屋者的負擔能力，更是構成房價基值的重要因素。有鑑於此，本研究分別從租金收益及家戶所得兩者不同角度下，透過資產市場現值模型，分別建立房價基值模型分析泡沫化現象。此外，過去文獻僅從檢定價格波動穩定性與否或將殘差項視為泡沫來研究泡沫化問題，然泡沫為不可觀察之變數，故本文使用具有可估計不可觀察變數特質的狀態空間模型（STATE-SPACE MODEL），推估泡沫價格，分析在不同時期下泡沫的規模大小。 在實證方面，本研究使用台北市1973Q2至2008Q1共140筆住宅價格資料，發現由租金與所得所計算之房價泡沫規模略為一致。在1988~1990年房市泡沫化時期，所得推估之泡沫規模達到高峰，泡沫價格占市價約47%；而由租金面亦計算出泡沫價格占市價約54%的高比例。而在2008年房價持續上漲的情況下，兩者泡沫價格亦呈現相同上升之走勢，泡沫價格近市價38%，租金推估泡沫價格占市價27%；此結果表示出目前房市有泡沫化之跡象，現階段欲購屋自住者不宜進入市場，宜審慎等待時機。而本文認為房價所得比或是房價租金比皆是作為衡量台北市房地產市場泡沫化現象之重要指標，另外就總體因素分析而言，房價上漲率、貨幣供給額、貸款利率與大盤股價指數皆為影響泡沫之重要因素，且經由實證發現所得所推估之泡沫價格較具有市場代表性。 / The past literatures about Taipei housing price bubble has only been measured the fundamental price by rent. However, the housing owner ratio is so high in Taiwan that housing income is not only regarded as affordability but also an important fundamental factor of housing price. According to the above, we focus on different fundamental models that define market fundamental price to analyses the bubble price from expected present value of both rent and permanent housing income. On the other hand, different from lots of literature testing the housing price volatility or residual to measure bubble prices, because housing bubble is an unobservable variable, we apply State-Space Model which is good for testing an invisible factor to estimate bubble in the housing markets of Taipei. This paper tries to test whether there was a housing price bubble using Taipei housing price index ranged from 1973Q1 to 2008Q1. The findings indicate that there appeared bubble ratio from 1988 to 1990, 47% of the housing price based on housing income and 54 % of the housing price based on rent. In 2008 when housing price continually keeps rising, bubble price ratios are close to 38% and 27% respectively. Those results show that Taipei seems to have sign of a bubble in this moment and housing buyers should concern it with more caution. Secondly, both price-income ratio and price-rent ratio are good indicators to measure housing bubble prices. Beside, we find macro economic factors change, such as the growth rate of housing price, M2, mortgage rate, and stock price index, are important to influence the size of housing bubble. Thirdly, bubble price estimated by housing income has a better performance than rent.

Made available in DSpace on 2016-04-26T20:48:36Z (GMT). No. of bitstreams: 1 Caio Henrique Cunha.pdf: 1240002 bytes, checksum: d3aa1b3bb4da112f67bfc43a9eb55969 (MD5) Previous issue date: 2012-06-26 / The dissertation examines the need for families to have a family economic planning, understanding the context and risks of Brazilians who are productive and are concerned with maintaining the standard of living present and future. The new demographic behavior, which follows a trend of an aging society, makes Brazil a tendency to accentuate the character of public pension accounts. Secondary factors such as retirement contribution time, the exoneration of payroll increase in the minimum wage and are facilitators for increased pension debt. This creates a scenario of uncertainty in Brazilian society, due to instability in the maintenance of the public pension system in the long run. Therefore, the dissertation seek to calculate the need of liquid present and future in order to maintain a continuous income families. Through different patterns of consumption and personal savings as well as the financial vulnerability of households, we can conduct a study to understand the need for liquidity of life insurance policies and savings for retirement, will be treated as capital insured and private retirement, respectively / A dissertação analisa a necessidade das famílias em ter um planejamento econômico familiar, entendendo o contexto e riscos dos brasileiros que estão em fase produtiva e se preocupam com a manutenção do padrão de vida presente e futuro. O novo comportamento demográfico, que segue uma trajetória de envelhecimento da sociedade, leva o Brasil a uma tendência em agravar as contas públicas de caráter previdenciário. Fatores secundários, como a aposentadoria por tempo de contribuição, a desoneração da folha de pagamento e o aumento do piso salarial são facilitadores para o aumento da dívida previdenciária. Com isso, cria-se um cenário de incertezas na sociedade brasileira, devido a instabilidade na manutenção do regime previdenciário público no longo prazo. Portanto, a dissertação buscará calcular a necessidade de liquidez presente e futura, a fim de manter uma renda permanente a família. Através de diferentes modelos de consumo e poupança individual, bem como a vulnerabilidade financeira das famílias, pode-se realizar um estudo para entender a necessidade de liquidez em apólices de seguro de vida e poupança para a terceira idade, que será tratado como capital segurado e aposentadoria privada, respectivamente

Submitted by Cesar Fukushima (fukushimacesar@gmail.com) on 2018-05-11T19:35:54Z No. of bitstreams: 1 CESAR_T_FUKUSHIMA_FINAL.pdf: 1330741 bytes, checksum: fa16e039db18efc7ce1d52fbc317312f (MD5) / Approved for entry into archive by Simone de Andrade Lopes Pires (simone.lopes@fgv.br) on 2018-05-14T20:52:37Z (GMT) No. of bitstreams: 1 CESAR_T_FUKUSHIMA_FINAL.pdf: 1330741 bytes, checksum: fa16e039db18efc7ce1d52fbc317312f (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-05-15T12:49:12Z (GMT) No. of bitstreams: 1 CESAR_T_FUKUSHIMA_FINAL.pdf: 1330741 bytes, checksum: fa16e039db18efc7ce1d52fbc317312f (MD5) / Made available in DSpace on 2018-05-15T12:49:12Z (GMT). No. of bitstreams: 1 CESAR_T_FUKUSHIMA_FINAL.pdf: 1330741 bytes, checksum: fa16e039db18efc7ce1d52fbc317312f (MD5) Previous issue date: 2018-04-17 / O presente trabalho consiste em uma análise do consumo das famílias utilizando-se a hipótese da renda permanente e do ciclo de vida, com base nos indicadores de consumo, crédito, renda e juros no Brasil durante o período de 2003 a 2017, em um ambiente econômico que apresentou um ciclo de expansão, seguido por duas crises econômicas, sendo que a segunda crise (após 2015) trouxe agravamentos ao ambiente econômico do país. Para tanto, utilizaram-se a metodologia proposta por Campbell e Mankiw (1989) e o Vetor Auto Regressivo (VAR) sobre as séries históricas de renda, crédito, taxa de juros e volume de crédito à pessoa física. Com base na metodologia de Markov Switching-VAR, buscou-se analisar quebras estruturais no comportamento do consumidor no período analisado. O resultado mostrou duas quebras estruturais, uma entre o segundo trimestre de 2003 e o quarto trimestre de 2007 e outra entre o primeiro trimestre de 2008 e o segundo trimestre de 2015. Em todos os períodos, o modelo de Campbell e Mankiw apresentou comportamentos similares, nos quais se rejeita a hipótese da renda permanente. No período entre o terceiro trimestre de 2015 e o terceiro trimestre de 2017, momento de grande impacto da crise econômica brasileira, obteve-se uma rejeição da hipótese da renda permanente com aumento significativo da restrição à liquidez e ao crédito. Segundo o modelo VAR, que tenta identificar o comportamento dinâmico das variáveis em estudo, observou-se que choques gerados individualmente na renda e no crédito têm impacto positivo no consumo, ou seja, geram um incremento no consumo das famílias; no entanto um choque nos juros tem um efeito inversamente proporcional no consumo, o que está de acordo com a rejeição da hipótese da renda permanente. / The present work consists of an analysis of household consumption using the permanent income and life cycle hypothesis, based on consumption, credit, income and interest rate indicators in Brazil from 2003 to 2017, in an economic environment that presented a cycle of expansion, followed by two economic crisis, with the second crisis (after 2015) aggravating to the country's economic environment. In this work the employed methodology was the one proposed by Campbell and Mankiw (1989) together with the Vector Auto Regressive (VAR), on the historical series of income, credit, interest rate and volume of credit to individuals. Based on the Markov SwitchingVAR methodology, we sought to analyze structural breaks in consumer behavior during the analyzed period. The result showed two structural breaks, one between the second quarter of 2003 and the fourth quarter of 2007, and another between the first quarter of 2008 and the second quarter of 2015. In all periods, the Campbell and Mankiw model showed similar behavior, in which we reject the hypothesis of permanent income. Between the third quarter of 2015 and the third quarter of 2017, a period of great impact of the Brazilian economic crisis, the hypothesis of permanent income was rejected, with a significant increase in the restriction on liquidity and credit. According to the VAR model, which tries to identify the dynamic behavior of the variables under study, we have observed that shocks individually generated on income and credit have a positive impact on consumption, ie, it generates an increase in household consumption. On the other hand, a shock on the interest rate causes an inversely proportional effect on consumption, which is in line with the rejection of the hypothesis of permanent income.

This thesis deals with the relationship between mood and behavior of bettors using a dataset provided by a betting company, Chance a.s., which operates in the Czech Republic. We consider three types of proxies for the mood: weather in regions, sport successes and the results of elections, and we build a fixed effect model to estimate the effect of mood on betting behavior. We provide strong evidence that the weather proxy has a significant effect on daily turnovers of the betting company and there also seems to be an effect of sport optimism. On the contrary, we failed to find any impact of elections. The results show that better mood tend to discourage clients from sports and lottery betting which is consistent with the increase in risk aversion or the depletion of a common self-control resource due to active mood regulation attempts. Additionally, we provide an evidence that the intra-month cycle in turnovers corresponds to liquidity constraint of bettors which disproves the permanent income hypothesis.

In South Africa, less than 10% of individuals are financially independent after retirement, with an increasing number becoming dependent on social grants from government – hence the importance of analysing the asset composition of high net worth individuals who have achieved financial independence. To achieve the aim of this study, it was first necessary to define net worth and to develop a theoretical framework of the assets and liabilities included in the measurement of an individual’s net worth and how these assets and liabilities should be valued. A definition of high net worth individuals was then formulated. Secondly, the factors influencing the asset composition of high net worth individuals, as well as selected demographic factors that influence net worth, were investigated. Finally, following a quantitative approach, data collected from the liquidation and distribution accounts of deceased individuals were analysed according to the developed framework. The results of this study suggest that are indeed differences in the contribution of the different asset types when measured using the mean, relative contribution and importance of the asset class in comparison with total assets. Further analysis revealed that the richest individuals included in the survey invested more in shares than the other groups for whom immovable property was the primary asset. Based on the analysis of selected demographic factors, the findings indicated that for many of the dependent variables, the asset used most by respondents in that group was not the same asset that made the highest contribution to the net worth of the individuals in the group. / Business Management / M. Com. (Accounting)

<p>The primary aim of this thesis has been to analyse the transformation of the Swedish capital market from a household perspective. The investigation shows that the transition from a mostly private credit market to a more institutionalised credit market took place at the end of the nineteenth century. At this time there were several actors in the credit market that were able to fulfil the diverse needs of credit that different households might have. This need was very much correlated to the household’s particular stage in its life-cycle. In accordance with the life-cycle theory and the permanent income hypothesis, households displayed a savings and consumption pattern that was dependent on income and the burden of expenditure. Households also seemed to have particular difficulty meeting expenditures, so-called life-cycle squeezes, when the household was first started, when the household size was at its peak and when the head of family reached old age, which coincided with a declining capacity to work. The investigation also shows that household savings were meant for old age. Contrary to the assumption made in life-cycle theory, households seemed to intend to provide heirs with an inheritance. This finding is more in keeping with the permanent income hypothesis, which states that households were expected to maintain their assets intact over the course of a life-time.</p>

The primary aim of this thesis has been to analyse the transformation of the Swedish capital market from a household perspective. The investigation shows that the transition from a mostly private credit market to a more institutionalised credit market took place at the end of the nineteenth century. At this time there were several actors in the credit market that were able to fulfil the diverse needs of credit that different households might have. This need was very much correlated to the household’s particular stage in its life-cycle. In accordance with the life-cycle theory and the permanent income hypothesis, households displayed a savings and consumption pattern that was dependent on income and the burden of expenditure. Households also seemed to have particular difficulty meeting expenditures, so-called life-cycle squeezes, when the household was first started, when the household size was at its peak and when the head of family reached old age, which coincided with a declining capacity to work. The investigation also shows that household savings were meant for old age. Contrary to the assumption made in life-cycle theory, households seemed to intend to provide heirs with an inheritance. This finding is more in keeping with the permanent income hypothesis, which states that households were expected to maintain their assets intact over the course of a life-time.

The dissertation consists of four self-contained essays on consumption. Essays 1 and 2 consider different measures of aggregate consumption, and Essays 3 and 4 consider how the distributions of income and wealth affect consumption from a macro and micro perspective, respectively. Essay 1 considers the empirical practice of seemingly interchangeable use of two measures of consumption; total consumption expenditure and consumption expenditure on nondurable goods and services. Using data from Sweden and the US in an error correction model, it is shown that consumption functions based on the two measures exhibit significant differences in several aspects of econometric modelling. Essay 2, coauthored with Thomas Holgersson, considers derivation of a univariate and a multivariate version of a test for asymmetry, based on the third central moment. The logic behind the test is that the dependent variable should correspond to the specification of the econometric model; symmetric with linear models and asymmetric with non-linear models. The main result in the empirical application of the test is that orthodox theory seems to be supported for consumption of both nondurable and durable consumption. The consumption of durables shows little deviation from symmetry in the four-country sample, while the consumption of nondurables is shown to be asymmetric in two out of four cases, the UK and the US. Essay 3 departs from the observation that introducing income uncertainty makes the consumption function concave, implying that the distributions of wealth and income are omitted variables in aggregate Euler equations. This implication is tested through estimation of the distributions over time and augmentation of consumption functions, using Swedish data for 1963-2000. The results show that only the dispersion of wealth is significant, the explanation of which is found in the marked changes of the group of households with negative wealth; a group that according to a concave consumption function has the highest marginal propensity to consume. Essay 4 attempts to empirically specify the nature of the alleged concavity of the consumption function. Using grouped household level Swedish data for 1999-2001, it is shown that the marginal propensity to consume out of current resources, i.e. current income and net wealth, is strictly decreasing in current resources and net wealth, but approximately constant in income. Also, an empirical reciprocal to the stylized theoretical consumption function is estimated, and shown to bear a close resemblance to the theoretical version.

In South Africa, less than 10% of individuals are financially independent after retirement, with an increasing number becoming dependent on social grants from government – hence the importance of analysing the asset composition of high net worth individuals who have achieved financial independence. To achieve the aim of this study, it was first necessary to define net worth and to develop a theoretical framework of the assets and liabilities included in the measurement of an individual’s net worth and how these assets and liabilities should be valued. A definition of high net worth individuals was then formulated. Secondly, the factors influencing the asset composition of high net worth individuals, as well as selected demographic factors that influence net worth, were investigated. Finally, following a quantitative approach, data collected from the liquidation and distribution accounts of deceased individuals were analysed according to the developed framework. The results of this study suggest that are indeed differences in the contribution of the different asset types when measured using the mean, relative contribution and importance of the asset class in comparison with total assets. Further analysis revealed that the richest individuals included in the survey invested more in shares than the other groups for whom immovable property was the primary asset. Based on the analysis of selected demographic factors, the findings indicated that for many of the dependent variables, the asset used most by respondents in that group was not the same asset that made the highest contribution to the net worth of the individuals in the group. / Taxation / M. Com. (Accounting)

[pt] Esta tese é composta por três ensaios. Os dois primeiros investigam a relação entre a renda per capita das famílias e as frações dos gastos setoriais, tanto em séries temporais quanto em cross-section nos EUA do pós-guerra. O primeiro usa uma abordagem parcial para estimar o aumento da dispersão do consumo (renda) e os efeitos de renda nos EUA de 1980 a 2010. Mostramos que os efeitos da renda são heterogêneos entre as famílias agrupadas por quintis de renda e, em seguida, a dispersão do consumo é correlacionada com as duas principais forças de transformação estrutural (efeitos de preço e renda) na contabilização da magnitude de transformação estrutural nas partes das despesas de consumo nos EUA durante esse período. O segundo estende um modelo canônico de Bewley-Aiyagari em tempo contínuo incorporado a um ambiente de dois setores para representar quantitativamente três regularidades empíricas nos EUA do pós-guerra (o preço relativo dos bens cai e a parcela de gastos dos produtos cai sistematicamente com a renda per capita, tanto em séries temporais quanto no cross-section) sem se afastar das preferências padrão Stone-Geary. Avaliamos a importância de mudanças na renda e nos preços relativos para mudanças estruturais nas parcelas dos gastos de consumo nos EUA do pós-guerra e concluímos que são forças equivalentes. Reforçamos que a conciliação dessas três principais regularidades empíricas nos EUA do pós-guerra exige uma teoria do crescimento que acomode a demanda de longo prazo e forneça fatores de mudança estrutural. Finalmente, o terceiro ensaio usa um conjunto de dados de painel exclusivo com registros administrativos em nível individual de transações de crédito, benefícios do programa, demografia individual e características de contratos de trabalho para estudar como os consumidores respondem a um choque de liquidez decorrente de liberações de saques de contas inativas do Fundo de Garantia por tempo de serviço (FGTS) no Brasil em 2017. Usando um design de identificação de diferenças entre diferenças, encontramos um aumento no consumo e uma dívida total diminuída após o anúncio: durante até doze meses subsequentes, para cada USD 1 de benefício do programa, os consumidores a média aumentaram os gastos de consumo em USD 0,53 - 25 porcento dos quais ocorrem durante a janela de anúncio - e a dívida total diminuiu em USD 0,07, especialmente em dívidas de folha de pagamento. A resposta ao consumo ocorreu principalmente por meio de gastos com cartão de crédito, mas também foram encontradas evidências de bens duráveis financiados por dívida. Os consumidores endividados usaram liquidez de curto prazo nas modalidades de dívida (cheque especial e dívida com cartão de crédito), além dos gastos com cartão de crédito para suavizar consumo. Consumidores restritos, medidos como jovens ou idosos, mostraram respostas mais fortes ao consumo. / [en] This thesis is comprised of three essays. The first two investigate the relationship between households per capita income and sectoral expenditure shares both in times series and in cross-section in the postwar US. The first uses a partial approach to estimate the rise of consumption (income) dispersion and income effects in the US from 1980 to 2010. We show that income effects are heterogeneous across households grouped by income quintiles and then consumption dispersion correlates the two main driving forces of structural change (price and income effects) in accounting for the magnitude of structural change in the shares of consumption expenditure in the US over this period. The second extends a canonical Bewley-Aiyagari model in continuous time embedded with a two-sector environment to depict quantitatively three empirical regularities in the postwar US (relative price of goods falls and expenditure shares of goods falls systematically with per capita income, both in times series and in cross-section) without departing from benchmark Stone-Geary preferences. We assess the importance of changes in income and relative prices for structural change in the shares of consumption expenditure in the postwar US and conclude they are nearly equivalent forces. We reinforce that reconciling these three main empirical regularities in the postwar US calls for a growth theory that accommodates long-run demand and supply drivers of structural change. Finally, the third essay uses a unique panel dataset with individual-level administrative records of credit transactions, program benefits, individual demographics and features of labor contracts to study how consumers respond to a liquidity shock arising from withdrawals releases from inactive accounts of the Guarantee Fund for Time of Service (FGTS) in Brazil in 2017. Using a difference-in-differences identification design, we find consumption rose and total debt declined after the announcement: during up to twelve subsequent months, for each USD 1 of program benefit, consumers on average increased consumption spending by USD 0.53 - 25 percent of which occurs during the announcement window - and total debt declined by USD 0.07, specially in payroll debt. Consumption response occurred mostly via credit card spending, but evidence of debt-financed durables was also found. Indebted consumers used short-term liquidity in debt modalities (overdraft debt and credit card debt) in addition to credit card spending to smooth consumption. Constrained consumers, measured as young or old, showed stronger consumption responses.