RBA Research Discussion Papers最新文献_第2页

The Effect of Credit Constraints on Housing Prices: (Further) Evidence from a Survey Experiment 信贷约束对房价的影响:(进一步)来自调查实验的证据

RBA Research Discussion Papers Pub Date : 2023-01-31 DOI: 10.47688/rdp2023-01

Tom Cusbert

{"title":"The Effect of Credit Constraints on Housing Prices: (Further) Evidence from a Survey Experiment","authors":"Tom Cusbert","doi":"10.47688/rdp2023-01","DOIUrl":"https://doi.org/10.47688/rdp2023-01","url":null,"abstract":"The response of housing prices to financing conditions is determined by the effect on the marginal buyer, not the average household. I use heterogeneous willingness to pay (WTP) data from a stated preference experiment in Fuster and Zafar (2021) to estimate the effects of changes in mortgage rates and collateral constraints on housing prices by analysing the structure of housing demand curves. This work builds on their research, which focused on average changes in WTP. Relaxing down payment constraints has a large average effect on WTP, but the effect on price is less than half as large. Financially constrained households tend to respond more to relaxed constraints, but those households often have WTPs that are too low to affect market prices. Changing the mortgage rate has the same average effect on WTPs and on market prices, because there is no systematic relationship between a household's response to mortgage rates and their location on the demand curve. I use a heterogeneous user cost model of individual WTPs to understand how household heterogeneity determines the structure of overall housing demand. An empirical model using observable household characteristics allows the experimental findings to be applied to other household survey data to simulate the effects of credit conditions. The simulated effects of easing collateral constraints in Australia are fairly stable over the past 20 years, and show a similar pattern to the US results.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124604624","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

Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions 用限制符号的结构向量自回归估计澳大利亚货币政策的影响

RBA Research Discussion Papers Pub Date : 2023-01-03 DOI: 10.47688/rdp2022-09

Matthew Read

引用次数: 1

The Consequences of Low Interest Rates for the Australian Banking Sector 低利率对澳大利亚银行业的影响

RBA Research Discussion Papers Pub Date : 2022-12-21 DOI: 10.47688/rdp2022-08

Anthony Brassil

引用次数: 1

The Term Funding Facility: Has It Encouraged Business Lending? 定期融资便利:是否鼓励了企业贷款?

RBA Research Discussion Papers Pub Date : 2022-12-13 DOI: 10.47688/rdp2022-07

Sharon Lai, K. Lane, L. Nunn

引用次数: 1

MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model 马丁获得银行账户:将银行业加入澳大利亚央行的宏观计量经济模型

RBA Research Discussion Papers Pub Date : 2022-01-18 DOI: 10.47688/rdp2022-01

Anthony Brassil, M. Major, P. Rickards

{"title":"MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model","authors":"Anthony Brassil, M. Major, P. Rickards","doi":"10.47688/rdp2022-01","DOIUrl":"https://doi.org/10.47688/rdp2022-01","url":null,"abstract":"We add a simplified banking sector to the RBA's macroeconometric model (MARTIN). How this banking sector interacts with the rest of the economy chiefly depends on the extent of loan losses. During small downturns, losses are absorbed by banks' profits and the resulting effect on the broader economy is limited to that caused by the lower shareholder returns (which is already part of MARTIN). During large downturns, loan losses reduce banks' capital, and banks respond by reducing their credit supply. This reduction in supply reduces housing prices, wealth and investment; thereby amplifying the downturn (which leads to further losses). Our state-dependent approach is a significant advance on the treatment of financial sectors within existing macroeconometric models. Having a banking sector in MARTIN allows us to explore important policy questions. In this paper, we show how the effectiveness of monetary policy depends on the state of the economy. During large downturns, monetary policy is more effective than usual because it can reduce loan losses and therefore moderate any reduction in credit supply. But at low interest rates, the zero lower bound on retail deposit interest rates reduces policy effectiveness. We also investigate how one of the more pessimistic economic scenarios that could have resulted from COVID-19 might have affected the banking sector, and subsequently amplified the resulting downturn.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"88 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130899035","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

Smells Like Animal Spirits: The Effect of Corporate Sentiment on Investment 闻起来像动物精神:企业情绪对投资的影响

RBA Research Discussion Papers Pub Date : 2021-11-30 DOI: 10.47688/rdp2021-11

Gianni La Cava

{"title":"Smells Like Animal Spirits: The Effect of Corporate Sentiment on Investment","authors":"Gianni La Cava","doi":"10.47688/rdp2021-11","DOIUrl":"https://doi.org/10.47688/rdp2021-11","url":null,"abstract":"Economists have long been interested in the effect of business sentiment on economic activity. Using text analysis, I construct a new company-level indicator of sentiment based on the net balance of positive and negative words in Australian company disclosures. I find that company-level investment is very sensitive to changes in this corporate sentiment indicator, even controlling for fundamentals, such as Tobin's Q and expected profits, as well as controlling for measures of company-level uncertainty. I explore the mechanisms that link investment to sentiment. The conditional relationship could be because sentiment proxies for private information held by managers about the future prospects of the company or because of animal spirits among managers relative to investors. I find that the effect of sentiment on investment is relatively persistent, which is consistent with the private information story, albeit less persistent than other news shocks, such as Tobin's Q. But the effect of sentiment on investment is not any stronger at 'opaque' companies in which managers are likely to be better informed than investors, which argues against the private information story. Corporate investment has been weak in Australia since the global financial crisis (GFC) and demand-side factors, such as lower sales growth, explain more than half of this persistent weakness. Low sentiment and heightened uncertainty weighed on investment during the GFC but have been less important factors since then.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114589439","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

The Rise in Household Liquidity 家庭流动资金的增加

RBA Research Discussion Papers Pub Date : 2021-11-10 DOI: 10.47688/rdp2021-10

G. La Cava, L. Wang

{"title":"The Rise in Household Liquidity","authors":"G. La Cava, L. Wang","doi":"10.47688/rdp2021-10","DOIUrl":"https://doi.org/10.47688/rdp2021-10","url":null,"abstract":"It is well documented that household wealth has risen significantly in recent decades and that both sides of the household balance sheet – assets and liabilities – have expanded. We document a less well-known phenomenon: household liquid assets (such as cash, deposits and equities) have also risen strongly relative to income over the same period. This is true for Australia and for most advanced economies. We explore the determinants of liquidity across households and over time, using a range of household surveys for Australia. We find that household liquidity is strongly associated with life cycle factors, such as age and housing tenure. The increase in liquidity over recent decades has been broad based across households, though strongest amongst those with mortgage debt. Consistent with this, the share of liquidity-constrained households has declined significantly. The growth in liquidity is closely connected to developments in the housing market. First, higher housing prices have lifted the deposit requirement for potential home buyers, encouraging such households to save more in liquid assets. Second, higher mortgage debt has increased the repayment risks associated with future income declines, leading indebted home owners to save more for precautionary reasons, partly through paying down debt ahead of schedule. The process of building wealth and liquidity through debt amortisation has been supported by the trend decline in interest rates and unique financial innovations such as mortgage offset and redraw accounts that have made housing wealth more liquid. Overall, the rise in household liquidity appears to have increased the financial resilience of the household sector.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128394955","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

Is the Phillips Curve Still a Curve? Evidence from the Regions 菲利普斯曲线还是曲线吗?来自各地区的证据

RBA Research Discussion Papers Pub Date : 2021-08-31 DOI: 10.47688/rdp2021-09

James Bishop, Emma Greenland

{"title":"Is the Phillips Curve Still a Curve? Evidence from the Regions","authors":"James Bishop, Emma Greenland","doi":"10.47688/rdp2021-09","DOIUrl":"https://doi.org/10.47688/rdp2021-09","url":null,"abstract":"The way in which wages respond to very low rates of unemployment remains a key source of uncertainty in Australia, partly due to the lack of historical evidence to draw upon. To help fill this gap, we study data on unemployment rates and wages growth across local labour markets over the past 20 years. The considerable variation in economic conditions across local labour markets allows us to infer the strength of the relationship between unemployment and wages growth (i.e. the wage Phillips curve) at very low unemployment rates that are rarely seen at the national level. We find strong evidence that the wage Phillips curve is indeed a curve, rather than a straight line. When the unemployment rate exceeds 7½ per cent, the Phillips curve is flat and wages growth is unresponsive to changes in unemployment. Wages growth then becomes increasingly responsive to changes in the unemployment rate as the unemployment rate falls to lower and lower levels, most notably below 4 per cent. These findings have implications for monetary policy, particularly at the current juncture given the Reserve Bank of Australia's central forecast for the unemployment rate to fall to multi-decade lows in the next few years.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130186718","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

Job Loss, Subjective Expectations and Household Spending 失业、主观预期与家庭支出

RBA Research Discussion Papers Pub Date : 2021-08-18 DOI: 10.47688/rdp2021-08

Gabrielle Penrose, G. La Cava

引用次数: 2

Macroprudential Limits on Mortgage Products: The Australian Experience 抵押贷款产品的宏观审慎限制:澳大利亚的经验

RBA Research Discussion Papers Pub Date : 2021-07-26 DOI: 10.47688/rdp2021-07

Nicholas Garvin, A. Kearney, Corrine Rosé

引用次数: 0