The old Quantity Theory of the Value of Money can be expressed as the "Equation of Exchange," MV=PT, in which M is the quantity of money, V is the velocity of circulation of money, P is the price level, and T is the total number of transactions during the period under consideration. The major shortcoming of the old Quantity Theory was that velocity (V) was taken to be numerically constant, which it is not. The new Quantity Theory is a theory of the demand for money as an asset, productive capital yielding a stream of income in the form of convenience, security, and so on. According to this theory, people hold portfolios containing money, bonds, equities, and other assets, and they adjust their portfolios so that they obtain the maximum returns therefrom. The demand for money can be expressed in terms of the demand for other assets (in real terms), the behaviour of the general price level, people's utility preferences, and their total wealth. Given a function describing total income, an equation describing the velocity of circulation of money can be written as the quotient of the income function divided by the demand for money function. This is the difference between the new and old Quantity Theories: under the old, the velocity of money was considered to be a numerical constant; under the new it is described as a function of income and the demand for money. In accordance with the above theory, when a monetary disturbance is introduced by the central bank, people will want to adjust their portfolios in such a way as to compensate for the disturbance. The initial impact of the monetary disturbance is in the markets for the most liquid assets: the financial markets. This idea was tested by correlation analysis on Canadian data of money supply and stock prices and variants thereof for the years 1924-1967. Even after the influence of trend had been removed from the data, statistical support was found for the above theory, but only after the influence of random variation had been reduced by six-month moving averaging. However, the evidence—a significant correlation of .259 between percent change in money and percent change in stock prices—suggests that monetary change accounts for only about 6.7 percent of the variation in stock prices. But this conclusion must be tempered by the realisation that variable lags of the same nature as those that exist between monetary change and change in the level of business activity can be expected to exist between monetary change and change in the level of stock prices. Thus it can be argued that the results of correlation analysis tend to understate the actual impact of monetary change on stock prices. / Business, Sauder School of / Graduate

Since 1970, many inner-city neighbourhoods that were the domain of low-income groups occupying cheap, dilapidated housing have attracted higher socio-economic groups. As a consequence, capital invested has increased the condition and price of inner-city housing. This phenomenon is commonly called "gentrification." This thesis reviews the gentrification literature, analyzes gentrification within an economic framework, and uses regression analysis to test the following hypothesis: There is a lag between the first statge of gentrification, the start of demographic transition, and the second stage, rising real housing prices. An increase in real housing prices can, therefore, be predicted by observing which central neighbourhoods are beginning to undergo demographic change. The intra-urban gentrification model designed for this thesis regresses the change in real housing prices during the 1970s against the change in demographics during the 1960s. The sample is 95 inner-city census tracts from Vancouver, Ottawa-Hull, and Toronto. The conclusion from statistical analysis is that rising housing prices in gentrifying neighbourhoods can indeed be predicted by observing which inner-city neighbourhoods are starting to undergo demographic change. / Business, Sauder School of / Graduate

This thesis contains three empirical essays on the economics of house price dynamics. The first essay derives a forward-looking rational expectations house price model and empirically tests its ability to explain short-run fluctuations in real house prices. A novel approach to proxying imputed rents of owner-occupied housing, as a function of housing market fundamentals, is derived and combined with a housing market arbitrage relation to derive a present value model for real house prices. Tests of the rational expectations, nonlinear cross-equation restrictions reject the joint null hypothesis of rational expectations and the asset-based housing price model for quarterly, single-detached house prices in the city of Vancouver, British Columbia, over the 1979-1991 sample period. The model fails to fully capture observed house price dynamics in two real estate booms but tracks real house prices well in less volatile times, suggesting that prices may temporarily deviate from fundamental values in real estate market upswings. The second essay develops and applies a test of the joint null hypothesis of rational expectations, and no risk premium in the Vancouver condominium apartment market. The results show that, on average, ex post house price changes move in the opposite direction than their rational expectation under risk neutrality. This essay also documents the predictability of excess annual condominium returns using lags of annual returns and the rent/price ratio, and quarterly returns with short-term nominal interest rates. It further shows that deviations of house price changes from their (risk neutral) rational expectation are both stationary and related to the stage of the real estate price cycle. The third essay examines whether a time-varying housing market risk premium can explain deviations in house price fluctuations from those predicted by the rational expectations hypothesis under risk neutrality. If homeowners are risk averse and housing price risk is not completely diversifiable then housing market efficiency implies that re turns to housing investment should be positively correlated with a premium for bearing risk. The first part of the essay shows that, in theory, the finding of negative slope co-efficients in tests of unbiased house price expectations under risk neutrality (in chapter 3) is attributable to omitted risk considerations if two conditions are satisfied: (1) the covariance between the risk premium and expected house price appreciation under risk neutrality is negative, and; (2) the variance of the risk premium is considerably larger than the variance of expected appreciation under risk neutrality. The second part of the essay uses a conditional capital asset pricing model to investigate whether predictable returns in the Vancouver housing market are time-varying risk premia. The empirical results are inconclusive. / Business, Sauder School of / Real Estate Division / Graduate

No description available.

Yes / This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011.

published_or_final_version / Business / Doctoral / Doctor of Philosophy

Yu Qing. / Thesis submitted in: November 2000. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 65-68). / Abstracts in English and Chinese. / Acknowledgements --- p.i / Abstract --- p.ii / 摘要 --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Figures --- p.vi / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review --- p.4 / Chapter 2.1 --- Theoretical Model --- p.4 / Chapter 2.2 --- Empirical Investigation --- p.9 / Chapter 2.2.1 --- Choice of The Functional Form --- p.9 / Chapter 2.2.2 --- Choice of Variables --- p.13 / Chapter 2.2.3 --- Estimation of Supply and Demand Functions --- p.16 / Chapter 2.2.4 --- Test of Heteroskedasticity --- p.17 / Chapter 2.2.5 --- Test of Multicollinearity --- p.18 / Chapter 2.2.6 --- Application of The Hedonic Price Model to Developing Countries --- p.20 / Chapter 2.3 --- Concluding Remarks --- p.21 / Chapter Chapter 3 --- Introduction of The Housing Market in Guang Zhou --- p.23 / Chapter 3.1 --- Development and Current Situation --- p.23 / Chapter 3.2 --- Some Caveats --- p.26 / Chapter Chapter 4 --- Empirical Results --- p.30 / Chapter 4.1 --- The Data --- p.30 / Chapter 4.1.1 --- Dependent Variable --- p.34 / Chapter 4.1.2 --- Locational Variables --- p.34 / Chapter 4.1.3 --- Structural Variables --- p.35 / Chapter 4.1.4 --- Neighbourhood Variables --- p.37 / Chapter 4.2 --- The Results --- p.38 / Chapter 4.2.1 --- Regression Results and Possible Interpretation --- p.40 / Chapter 4.2.2 --- Test of Multicollinearity --- p.48 / Chapter 4.2.3 --- Test of Heteroscedasticity --- p.50 / Chapter 4.2.4 --- Test of Alternative Functional Forms --- p.55 / Chapter 4.3 --- Possible Sources of Estimation Bias --- p.57 / Chapter 4.4 --- Concluding Remarks --- p.59 / Chapter Chapter 5 --- Conclusion --- p.61 / References --- p.65

Li, Kun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 52-54). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Stylized Facts --- p.3 / Chapter 1.2 --- Literature Review --- p.5 / Chapter 1.3 --- Model Framework --- p.8 / Chapter 2 --- The Model --- p.10 / Chapter 2.1 --- The Basic Setting --- p.10 / Chapter 2.2 --- Basic Assumptions of the Model --- p.14 / Chapter 2.3 --- The Bargaining Process --- p.15 / Chapter 2.4 --- The Determination of Ratios --- p.17 / Chapter 2.4.1 --- The Rent-Price Ratio --- p.17 / Chapter 2.5 --- Empirical Evidence --- p.17 / Chapter 2.5.1 --- Data Sources --- p.18 / Chapter 2.5.2 --- Estimation Strategy --- p.19 / Chapter 2.5.3 --- Estimation Results and Discussions --- p.20 / Chapter 3 --- The Model in the Long Run --- p.23 / Chapter 3.1 --- Assumptions --- p.23 / Chapter 3.2 --- Population Dynamics of the Model --- p.24 / Chapter 3.3 --- Comparative Statics --- p.25 / Chapter 3.4 --- Simulation Results in the Long Run --- p.28 / Chapter 3.4.1 --- Housing Market Parameters Variation --- p.28 / Chapter 3.4.2 --- Rental Market Parameters Variation --- p.31 / Chapter 3.5 --- Discussion --- p.34 / Chapter 4 --- The Model in the Short Run --- p.35 / Chapter 4.1 --- Assumptions in the Short Run --- p.35 / Chapter 4.2 --- Short-run Dynamics --- p.36 / Chapter 4.3 --- Simulation Results in the Short Run --- p.37 / Chapter 4.4 --- Discussions --- p.41 / Chapter 5 --- The Dynamics of the Model --- p.42 / Chapter 5.1 --- Dynamic Population and Bellman Equations --- p.42 / Chapter 5.2 --- Transition Path in the Dynamics --- p.43 / Chapter 5.2.1 --- Temporary Shocks and Impulse Responses --- p.43 / Chapter 5.2.2 --- The Transition Path for Permanent Shocks --- p.45 / Chapter 6 --- Further Research Directions --- p.47 / Chapter 6.1 --- Tenure Choice in the Model --- p.47 / Chapter 6.2 --- Market Accessability --- p.48 / Chapter 6.3 --- The ´ةMismatch´ة Approach --- p.49 / Chapter 7 --- Conclusion --- p.50 / Bibliography --- p.52 / Chapter A --- Simulation on Long-run Equilibrium --- p.55 / Chapter B --- Simulation on Short-run Equilibrium --- p.60 / Chapter C --- Transition Paths on Permanent Shock --- p.66 / Chapter D --- Impulse Responses --- p.72

published_or_final_version / Housing Management / Master / Master of Housing Management

Darbo tikslas – identifikuoti svarbiausius grūdų kainų Lietuvoje veiksnius ir įvertinti jų reikšmingumą. Uždaviniai: 1) atskleisti grūdų kainų specifiką ir kainodaros ypatumus; 2) identifikuoti grūdų kainų veiksnius ir nustatyti jų ištirtumą akademinėje literatūroje; 3) išanalizuoti grūdų kainų pokyčius ir kainų dydžio veiksnius Lietuvoje; 4) įvertinti kainų veiksnių įtaką grūdų kainoms. Tyrimo metodai: 1) analizuojant grūdų kainų politikos nuostatas ir raidą Lietuvoje, naudoti bendramoksliniai tyrimo metodai – mokslinės literatūros ir juridinių dokumentų analizė ir sintezė; 2) atliekant grūdų kainų analizę ir įvertinant kainų pokyčius naudoti ekonominiai - statistiniai duomenų rinkimo ir analizės metodai; 3) statistinei informacijai apdoroti ir sisteminti panaudoti grupavimo, palyginimo ir grafinio vaizdavimo būdai; 4) įvertinant kainų veiksnių įtaką grūdų kainoms, naudotas tiesinės regresijos metodas. Tyrimo teorinis pagrindas Rengiant magistrūros studijų baigiamąjį darbą naudota Lietuvos bei užsienio autorių mokslinė literatūra baigiamojo darbo tema, Lietuvos Respublikos įstatymai ir nutarimai, statistinė informacija iš Lietuvos Respublikos institucijų: Statistikos departamento prie Lietuvos Respublikos Vyriausybės, Lietuvos Respublikos žemės ūkio ministerijos, Nacionalinės mokėjimo agentūros prie Žemės ūkio ministerijos, Lietuvos Respublikos finansų ministerijos duomenų bazių. Tyrimo rezultatai • pirmoje darbo dalyje išnagrinėta grūdų kainų specifika ir kainodara... [toliau žr. visą tekstą] / Research object – grain prices and its factors. Research aim – identify the most important factors of Lithuanian grain prices and eveluate its importance. Objectives: 1) Disclose specific and price making peculiarity of grain market prices; 2) Identify factors of grain market prices and ascertain its investigation in academic literature; 3) Analyze Lithuanian grain dynamics, changes, and factors of prices size; 4) Evaluate factors influence prices for grain market prices. Research methods: 1) Analyzing grain market politics statutes in Lithuania are used overall research methods- analysis and synthesis of scientific literature and juridical documents; 2) Remaining grain prices analysis are used economical, statistical collection of information and analysis methods; 3) Classification, comparison and graphic representation methods are used to edit and systematize statistical information; 4) Evaluation of the prices of factors influence the prices of cereals, used in the linear regression method. Research theoretical foundation Preparing a Master's degree final thesis will be used Lithuanian and foreign scientific literature for final thesis, Republic of Lithuania laws and resolutions, statistical information from institutions of Lithuania‘s Republic: Lithuanian Department of Statistics to the Government of the Republic of Lithuania, Lithuanian Ministry of Agriculture, National Paying Agency under the Ministry of Agriculture, Ministry of Finance of the Republic of... [to full text]