Essays On Transparency Systemic Risk And Liquidity In Real Estate Markets PDF Download

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Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets

Essays on Transparency, Systemic Risk, and Liquidity in Real Estate Markets
Author: Daniel Ruf
Publisher:
Total Pages:
Release: 2018
Genre:
ISBN:
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This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.

The Impact of Real Estate Market Transparency on the Linkages Between Direct and Indirect Real Estate

The Impact of Real Estate Market Transparency on the Linkages Between Direct and Indirect Real Estate
Author: Yun Luo
Publisher:
Total Pages:
Release: 2017-01-26
Genre:
ISBN: 9781361005989
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This dissertation, "The Impact of Real Estate Market Transparency on the Linkages Between Direct and Indirect Real Estate" by Yun, Luo, 骆韵, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Global investors often invest in publicly traded indirect real estate (IRE) such as Real Estate Investment Trust (REIT) and listed property companies rather than physical real estate asset in order to get exposure in foreign real estate markets for a number of reasons that mainly originated from the high transaction cost in the direct real estate (DRE) market. However, in reality IRE is not a perfect substitute of DRE and that the substitutability between IRE and DRE varies across markets. Very little is known about the factors that contributed to the variation. One possible contributing factor is the variation in the degree of real estate market transparency across markets, which is seldom examined in the previous studies. This thesis provides empirical evidence on the impact of real estate market transparency on the linkages between IRE and DRE. This study examines two aspects of IRE-DRE linkages, namely, return (first moment) linkages and volatility (second moment) linkages. This thesis uses style analysis to measure return linkages and variance decomposition to measure volatility linkages. After that, the correlations between IRE-DRE linkages and Jones Lang LaSalle (JLL)''s global real estate market transparency index will be examined. The empirical results show that the JLL global real estate market transparency index does have a positive impact on the linkages between IRE and DRE, especially on the volatility linkages. In addition, regulatory and legal transparency sub-index as well as real estate transaction process transparency sub-index have the strongest impact on both return and volatility IRE-DRE linkages. A highly-developed legal system as well as consistent regulatory enforcement (as measured by the degree of fairness treatment towards both domestic and foreign investors) ensures that real estate investors'' rights are well protected and thus the values of the underlying real estate asset are reflected in the IRE, which strengthens the IRE-DRE linkages. In addition, having a well-functioning regulatory and legal framework also means that DRE market transaction information is reliable which can be used for more accurate valuations. This assists investors in valuing the IRE based on their audited financial statements and thus strengthens the IRE-DRE linkages. Real estate transaction process transparency refers to market transparency in both pre-sale and spot real estate market. The presale market is essentially a forward market. Price information in the spot market can assist investors in assessing the future prospect of IRE and thus facilitates the price discovery process between the IRE and DRE. High transparency in the presale market therefore lead to stronger IRE-DRE linkages. The findings of this study provide several implications for global investors and local policy makers. Though emerging markets, which have low market transparency, are playing a more and more significant role in international real estate investment portfolios, global investors should understand the limitation of investing IRE as a means to gain exposure in DRE since the IRE-DRE linkages are usually weak in emergent markets. On the other hand, policy makers should spend more efforts to increase real estate market transparency if they wish to attract investments from global investors. In particular, policy makers should aim at improving the regulatory and legal framework

The Financial Crisis Inquiry Report

The Financial Crisis Inquiry Report
Author: Financial Crisis Inquiry Commission
Publisher: Cosimo, Inc.
Total Pages: 692
Release: 2011-05-01
Genre: Political Science
ISBN: 1616405414
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The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Global Financial Stability Report, October 2019

Global Financial Stability Report, October 2019
Author: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
Total Pages: 109
Release: 2019-10-16
Genre: Business & Economics
ISBN: 1498324029
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The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.

Global Financial Stability Report, April 2021

Global Financial Stability Report, April 2021
Author: International Monetary Fund
Publisher: International Monetary Fund
Total Pages: 92
Release: 2021-04-06
Genre: Business & Economics
ISBN: 1513569678
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Extraordinary policy measures have eased financial conditions and supported the economy, helping to contain financial stability risks. Chapter 1 warns that there is a pressing need to act to avoid a legacy of vulnerabilities while avoiding a broad tightening of financial conditions. Actions taken during the pandemic may have unintended consequences such as stretched valuations and rising financial vulnerabilities. The recovery is also expected to be asynchronous and divergent between advanced and emerging market economies. Given large external financing needs, several emerging markets face challenges, especially if a persistent rise in US rates brings about a repricing of risk and tighter financial conditions. The corporate sector in many countries is emerging from the pandemic overindebted, with notable differences depending on firm size and sector. Concerns about the credit quality of hard-hit borrowers and profitability are likely to weigh on the risk appetite of banks. Chapter 2 studies leverage in the nonfinancial private sector before and during the COVID-19 crisis, pointing out that policymakers face a trade-off between boosting growth in the short term by facilitating an easing of financial conditions and containing future downside risks. This trade-off may be amplified by the existing high and rapidly building leverage, increasing downside risks to future growth. The appropriate timing for deployment of macroprudential tools should be country-specific, depending on the pace of recovery, vulnerabilities, and policy tools available. Chapter 3 turns to the impact of the COVID-19 crisis on the commercial real estate sector. While there is little evidence of large price misalignments at the onset of the pandemic, signs of overvaluation have now emerged in some economies. Misalignments in commercial real estate prices, especially if they interact with other vulnerabilities, increase downside risks to future growth due to the possibility of sharp price corrections.

Lessons and Policy Implications from the Global Financial Crisis

Lessons and Policy Implications from the Global Financial Crisis
Author: Mr.Luc Laeven
Publisher: International Monetary Fund
Total Pages: 42
Release: 2010-02-01
Genre: Business & Economics
ISBN: 1451963025
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The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation and architecture, particularly in the treatment of systemically important financial institutions, the assessments of systemic risks and vulnerabilities, and the resolution of financial institutions. The global nature of the financial crisis has made clear that financially integrated markets, while offering many benefits, can also pose significant risks, with large real economic consequences. Deep reforms are therefore needed to the international financial architecture to safeguard the stability of an increasingly financially integrated world.

Essays on Applied Mircoeconomics and Finance

Essays on Applied Mircoeconomics and Finance
Author: Fei Song (Ph. D.)
Publisher:
Total Pages: 262
Release: 2019
Genre:
ISBN:
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This dissertation consists of four chapters. Chapter 1 studies the effect of online review manipulations on review systems. Chapter 2 and Chapter 3 are co-authored with Ali Kakhbod and focus on post-trade transparency in dynamic over-the-counter markets. Chapter 4 is co-authored with Umut Dur, Parag A. Pathak and Tayfun Sönmez and studies the effect of the Taiwan mechanism, a mechanism that allocates high school seats to applicants. Chapter 1 shows that the conventional impression holds in the short-run that review manipulation makes review systems less informative. In the long-run, however., a manipulated review system can contain the same level of information as an un-manipulated counterpart. I develop a dynamic programming model with fixed product quality and naive buyers who are unaware of manipulation. I then extend it to consider endogenous product quality and sophisticated buyers. I also identify an unexpected effect of a policy to target sellers and check for manipulation. Chapter 2 studies how mandatory transparency (through TRACE), along with the long-term incentive of informed dealers, affects market price informativeness, liquidity and welfare in dynamic over-the-counter (OTC) markets. We show that the public disclosure of additional information about past trades, paradoxically, makes the markets more opaque, by reducing the market price informativeness. Thus, surprisingly, transparency requirements such as U.S. Dodd-Frank Act may make markets more opaque. However, this market opacity creates liquidity and increases welfare. To enhance financial transparency and improve the price informativeness as well as the market liquidity and welfare, an effective approach is to randomly audit dealers. Chapter 3 then studies how public disclosure of past trade details affects price discovery dynamics under asymmetric information with heterogenous hedging motives. We model that an informed buyer (informed trader) sequentially trades with a series of uninformed sellers (hedgers). The informed buyer is forward-looking and risk-neutral, and uninformed sellers are myopic and heterogeneously risk-averse. We discover that sellers' price discovery over the underlying fundamentals is crucially affected by what they can observe about past trade details. Specifically, (i) post-trade price transparency delays price discovery, but once it happens, it is always perfect. (ii) In contrast, when only past order information is available, price discovery can never be perfect, and can even be in the wrong direction. (iii) The availability of past trade details, paradoxically, makes it easier for the informed buyer to hide her private information and offer opaque prices. We establish that, under some minor regularity conditions, our equilibrium characterization achieves the maximal degree of ignorance among all pure-strategy PBE. Hence, this chapter can be viewed as a worst case analysis for regulators who care about market transparency. Moreover, we show that our findings are robust when the informed party's bargaining power decreases along the length of past trade history. Finally, we extend our results to the case where the informed buyer has a non-zero outside option, and the case where both parties switch their trading positions. Chapter 4 analyzes the properties of the Taiwan mechanism, used for high school placement nationwide starting in 2014. In the Taiwan mechanism, points are deducted from an applicant's score with larger penalties for lower ranked choices. Deduction makes the mechanism a new hybrid between the well-known Boston and deferred acceptance mechanisms. Our analysis sheds light on why Taiwan's new mechanism has led to massive nationwide demonstrations and why it nonetheless still remains in use.

The Federal Reserve System Purposes and Functions

The Federal Reserve System Purposes and Functions
Author: Board of Governors of the Federal Reserve System
Publisher:
Total Pages: 0
Release: 2002
Genre: Banks and Banking
ISBN: 9780894991967
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Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.

Financial Crises Explanations, Types, and Implications

Financial Crises Explanations, Types, and Implications
Author: Mr.Stijn Claessens
Publisher: International Monetary Fund
Total Pages: 66
Release: 2013-01-30
Genre: Business & Economics
ISBN: 1475561008
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This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Bank Size and Systemic Risk

Bank Size and Systemic Risk
Author: Mr.Luc Laeven
Publisher: International Monetary Fund
Total Pages: 34
Release: 2014-05-08
Genre: Business & Economics
ISBN: 1484363728
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The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.