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The Drivers of Direct Commercial Real Estate Returns: Evidence from South Africa 商业地产直接回报的驱动因素:来自南非的证据
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-09-30 DOI: 10.2139/ssrn.2846088
O. Akinsomi, N. Mkhabela
{"title":"The Drivers of Direct Commercial Real Estate Returns: Evidence from South Africa","authors":"O. Akinsomi, N. Mkhabela","doi":"10.2139/ssrn.2846088","DOIUrl":"https://doi.org/10.2139/ssrn.2846088","url":null,"abstract":"The purpose of the study is to investigate the determinants of direct real estate returns in South Africa. Literature review is conducted to identify factors that drive direct commercial real returns in other countries and the identified drivers are tested for relevancy in the South African (SA) market. The study applies SA annual commercial real estate returns including total returns, rental growth and capital growth published by the International Property Databank (IPD) over the past 20 years, from 1995 to 2014, as an independent variable. The study finds that vacancy returns, operating expenses, unemployment rates, inflation rates, GDP and interest rates all have an effect on real estate returns. However the most dominant and significant factors that explain total returns across all property types and provinces in South Africa are unemployment rates and interest rates. Our study finds key differences between the determinants of total return and change in capital values which are different from the variables which determine rental growth.These results are important for asset managers as well as government regulatory agencies to make better informed decisions in relation to factors which affect direct real estate returns in an emerging economy.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"360 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122313419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Extending the Determinants of Dollarization in Sub-Saharan Africa: The Role of Easy Access to Foreign Exchange Earnings 扩大撒哈拉以南非洲美元化的决定因素:容易获得外汇收入的作用
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-09-12 DOI: 10.2139/ssrn.2838044
I. Raheem, S. Asongu
{"title":"Extending the Determinants of Dollarization in Sub-Saharan Africa: The Role of Easy Access to Foreign Exchange Earnings","authors":"I. Raheem, S. Asongu","doi":"10.2139/ssrn.2838044","DOIUrl":"https://doi.org/10.2139/ssrn.2838044","url":null,"abstract":"This study argues that the ease at which economic agents have access to foreign earnings would influence/increase the level of dollarization in the economy. The three sources of foreign currency earnings are financial integration, trade openness and natural resource rent. As such, we extend the determinants of dollarization to capture these variables. A dataset of 26 countries in sub-Saharan Africa (SSA) for the period 2001 – 2012 was built. Based on Tobit regression, we found that all the proxies of foreign currency earning, with the exception of natural resource rent, are significant contributors to the increasing rate of dollarization. Specifically, it was found that trade openness and financial liberalization are positive determinants of dollarization, while natural resource rent serves as drag to the dollarization process. These results remain valid to three robustness tests. Policy implications and suggestions for future research were proposed.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133902424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
When Does the Cost Channel Pose a Challenge to Inflation Targeting Central Banks? 成本渠道何时对通胀目标制央行构成挑战?
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-09-07 DOI: 10.2139/ssrn.2639786
A. Smith
{"title":"When Does the Cost Channel Pose a Challenge to Inflation Targeting Central Banks?","authors":"A. Smith","doi":"10.2139/ssrn.2639786","DOIUrl":"https://doi.org/10.2139/ssrn.2639786","url":null,"abstract":"In a sticky-price model where firms finance their production inputs, there is both a lower and an upper bound on the central bank’s inflation response necessary to rule out the possibility of self-fulfilling inflation expectations. This paper shows that real wage rigidities decrease this upper bound, but coefficients in the range of those on the Taylor rule place the economy well within the determinacy region. However, when there is time-variation in the share of firms who finance their inputs (i.e. Markov-Switching) then inflation targeting interest rate rules are often found to result in indeterminacy, even if the central bank also targets output. In this case, adding money growth as an intermediate target in the Taylor rule can alleviate this indeterminacy and anchor inflation expectations. Whether the money growth target should be a constant feature of the central bank’s policy rule or Markov-Switch depends on the weight the central bank places on output stability relative to inflation stability and the size of money demand shocks.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"21 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113961927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal Deficit and Inflation in an Oil Rich Exporting Country: Evidence from Nigeria 石油出口国的财政赤字与通货膨胀:来自尼日利亚的证据
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-08-30 DOI: 10.12816/0032105
Clem Nwakoby, C. S. Okaro, A. Ananwude
{"title":"Fiscal Deficit and Inflation in an Oil Rich Exporting Country: Evidence from Nigeria","authors":"Clem Nwakoby, C. S. Okaro, A. Ananwude","doi":"10.12816/0032105","DOIUrl":"https://doi.org/10.12816/0032105","url":null,"abstract":"This research work examined the long run relationship between fiscal deficit and inflation in Nigeria as well as the effect of fiscal deficit on inflation covering a time frame of 1981 to 2015. Data sourced from Central Bank of Nigeria statistical bulletin were diagnosed for heteroskedasticity, serial correlation, Ramsey Reset and multicollinearity. We exercised econometric tools such as unit root, Johansen co-integration, Granger causality and Vector Error Correction Model to achieve the aim of the study. Johansen co-integration established that there is a long run relationship between fiscal deficit and inflation in Nigeria as evidenced on the trace and maximum eigenvalue depiction of two co-integration equation each at 5% level of significance. The granger causality impact assessment result showed fiscal deficit does not significantly influence inflation in Nigeria. In view of the fact that fiscal deficit does not play down inflationary trend in Nigeria, this study recommends that deficit financing by government should be discontinued with and reduction in fiscal deficit capable of keeping government spending at sustainable limits be upheld.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123364832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Advanced Economy Inflation: The Role of Global Factors 发达经济体通货膨胀:全球因素的作用
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-08-30 DOI: 10.2139/ssrn.2831946
Irena Mikolajun, D. Lodge
{"title":"Advanced Economy Inflation: The Role of Global Factors","authors":"Irena Mikolajun, D. Lodge","doi":"10.2139/ssrn.2831946","DOIUrl":"https://doi.org/10.2139/ssrn.2831946","url":null,"abstract":"A number of studies document the prominent role of global factors in domestic inflation developments (e.g. Borio and Filardo, 2007; Ciccarelli and Mojon, 2010). In this paper we investigate global dimensions of advanced economy inflation. We estimate open-economy Phillips curves for 19 advanced economies. We include backwardand forward-looking survey measures of inflation expectations and augment Phillips curves with global factors including global economic slack, global inflation and commodity prices. Our results provide little support for the existence of direct effects of global economic slack on domestic inflation. Moreover, the results suggest that the importance of global inflation in forecasting domestic inflation has its roots solely in its ability to capture slow-moving trends in inflation rates. In the Phillips curve context much the same role is performed by domestic forward-looking inflation expectations. With the exception of commodity prices therefore our results reveal little reason to include global factors into traditional reduced form Phillips curves. JEL Classification: E31, E32, E37","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126701913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 44
Wage and Price Dynamics in China 中国的工资和价格动态
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-08-01 DOI: 10.1111/twec.12399
Carsten A. Holz, Aaron N. Mehrotra
{"title":"Wage and Price Dynamics in China","authors":"Carsten A. Holz, Aaron N. Mehrotra","doi":"10.1111/twec.12399","DOIUrl":"https://doi.org/10.1111/twec.12399","url":null,"abstract":"We study wage‐price dynamics in Mainland China with a novel data set using province‐level data from 1994 to 2010. We find that the growth in labour costs in China is not passed through fully to final prices, neither in the tradable goods sector nor in the economy as a whole. This probably reflects the strong pressure on profit margins from a highly competitive environment, especially in manufactured goods. These findings have potential implications for global price developments, given China's relevance in global supply chains.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127789890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
On the Interest Rate Sensitivity of Corporate Securities 论公司证券的利率敏感性
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-08-01 DOI: 10.2139/ssrn.2324904
Jaewon Choi, M. Richardson, Robert F. Whitelaw
{"title":"On the Interest Rate Sensitivity of Corporate Securities","authors":"Jaewon Choi, M. Richardson, Robert F. Whitelaw","doi":"10.2139/ssrn.2324904","DOIUrl":"https://doi.org/10.2139/ssrn.2324904","url":null,"abstract":"We use contingent claim asset pricing and exploit capital structure priority to better understand the relation between corporate security returns and interest rate changes, i.e., duration. We show theoretically and confirm empirically that lower priority securities, such as subordinated debt and equity, have low or even negative durations because they are effectively short higher priority, high duration, fixed rate debt. This finding has important implications for interpreting (i) time-varying correlations between the stock market and government bonds, (ii) bond factors in pricing models and forecasting models for bond and stock returns, (iii) the Fisher effect, and (iv) the betas of corporate bonds.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116823407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
The Effects of Higher Oil Prices on the Level of Consumer Prices in Jamaica: An Estimation of the Pass-Through Effect for the Period 2001 to 2016 高油价对牙买加消费价格水平的影响:2001年至2016年期间传递效应的估计
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-07-06 DOI: 10.2139/ssrn.2805609
Samuel P. Indalmanie
{"title":"The Effects of Higher Oil Prices on the Level of Consumer Prices in Jamaica: An Estimation of the Pass-Through Effect for the Period 2001 to 2016","authors":"Samuel P. Indalmanie","doi":"10.2139/ssrn.2805609","DOIUrl":"https://doi.org/10.2139/ssrn.2805609","url":null,"abstract":"Oil prices on the world market over the last four decades have been viewed with serious macroeconomic concerns in oil-importing countries. In Jamaica, questions have been raised about the extent to which higher oil prices has pushed up the rate of inflation. Over the review period (January 2001 to April 2016), oil price (Petrojam billing price) to the pumps increased by approximately 325 per cent, while inflation rose by 309 per cent, with multiple peaks and troughs within. These increases, together with a high volatility in oil price, have serious implications for macroeconomic policy objectives given Jamaica’s high oil intensity ratio. This paper seeks to assess the inflationary effect of higher oil prices using the pass-through mechanism for the period 2001 to 2016, using monthly data.Results derived from this study show that a one-time 10 percentage points’ increase in oil price, denominated in the domestic currency, would push inflation up by 0.021, 0.020 and 0.014 percentage points during the first three months, respectively, after the initial change in oil price. Using oil prices to the local gas stations, an increase in the price of unleaded gasoline 87, unleaded gasoline 90 and diesel by 10 percentage points show that inflation increased in the following month by 0.02 percentage points, increases similar to that related to higher world prices.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127913052","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Deflation in Asia: Should the Dangers Be Dismissed? 亚洲的通货紧缩:危险应该被忽视吗?
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-07-01 DOI: 10.2139/ssrn.2811563
Barry Eichengreen, Donghyun Park, Kwanho Shin
{"title":"Deflation in Asia: Should the Dangers Be Dismissed?","authors":"Barry Eichengreen, Donghyun Park, Kwanho Shin","doi":"10.2139/ssrn.2811563","DOIUrl":"https://doi.org/10.2139/ssrn.2811563","url":null,"abstract":"Deflation has emerged as a new concern for Asian policy makers. The traditional view is that deflation can lead to a vicious cycle of falling demand and prices, and is thus a dangerous condition. However, another school of thought emphasizes the role of positive supply shocks and takes a more benign view of deflation. In a recent paper that examines the relationship between deflation and economic growth, using consumer prices time series, Borio et al. (2015) find some evidence that casts doubt on the traditional view. In this paper, we revisit the relationship and find some grounds for concern about the harmful effect of deflation on growth.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131184477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Aspects Regarding the Evolution of the Consumer Price Indices in Romania, During 1991-2015. Is Romania Price Safety? 1991-2015年罗马尼亚消费物价指数演变的几个方面罗马尼亚物价安全吗?
ERN: Price Level; Inflation; Deflation (Topic) Pub Date : 2016-06-30 DOI: 10.5937/EKONOMIKA1602001J
J. Andrei, Zaharia Marian, B. Bazgă
{"title":"Aspects Regarding the Evolution of the Consumer Price Indices in Romania, During 1991-2015. Is Romania Price Safety?","authors":"J. Andrei, Zaharia Marian, B. Bazgă","doi":"10.5937/EKONOMIKA1602001J","DOIUrl":"https://doi.org/10.5937/EKONOMIKA1602001J","url":null,"abstract":"Prices are an essential barometer in assessing, both consumer behavior, orienting production towards those categories of products sold in the market but mainly provides information on economic developments in general. Pricing behavior also provides reliable information in the assessment classical report demand vs. offer. Rapid price increases are the results of a complex combination of structural and temporary factors. From this perspective, understanding and explanation as possible of the evolution of prices is a necessary step in adopting the general economic measures and policies to remove some of their volatility. The main aim of this paper is mainly focused on an analysis regarding the evolution of the consumer price indices in Romania, during 1991-2015, trying equally to explain if Romania is price safety.","PeriodicalId":138629,"journal":{"name":"ERN: Price Level; Inflation; Deflation (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128873103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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