期刊-NBER美国国民经济研究局-2018number2_40页_2mb

NBER Research Summary - June 2018 Issue

Core Content Overview

The NBER Reporter (No. 2, June 2018) provides a quarterly summary of research conducted by the National Bureau of Economic Research (NBER), focusing on three key areas: violations of the law of one price, house price dynamics, and positions-based asset pricing. The report highlights post-2007-09 financial crisis studies and includes insights from various NBER programs and working groups.

Main Topics and Key Findings

1. Violations of the Law of One Price

• Law of One Price: The principle that two investment strategies with identical future payoffs should have the same present value.
• Pre-Crisis Situation: Before the crisis, it was believed that such violations were rare or short-lived due to effective arbitrage.
• Post-Crisis Observations: The crisis led to significant violations, especially in foreign exchange markets.
• Covered Interest Rate Parity (CIP): A key implication of the law of one price in FX markets. CIP suggests that returns on equivalent investments in different currencies should be the same.
• CIP Violations: The report documents that CIP broke down in G-10 currency markets after the crisis. Foreign investors preferred U.S. Treasuries over domestic bonds, even at a cost.
• Regulatory Constraints: European banks, due to capital requirements, were unable to arbitrage effectively, leading to persistent CIP violations.
• Liquidity and Convenience Yield: The convenience yield of U.S. Treasuries (due to their safety and liquidity) contributed to CIP violations, especially during and after the crisis.
• Empirical Evidence: Studies by Wenxin Du, Alexander Tepper, and Adrien Verdelhan show that the dollar appreciated when Treasuries had higher convenience yields, but this was followed by depreciation, lowering returns for foreign investors.

2. House Price Dynamics

• Historical Context: Before the 2000s housing boom, house price research was limited due to data availability.
• Data Challenges: Housing and mortgage data are not as accessible as stock data, requiring extensive cleaning and processing.
• San Diego Housing Market Study: Researchers analyzed house price appreciation during the boom and bust using repeat-sales data.
• Key Findings:
  • Cheaper, lower-quality houses appreciated more than expensive, high-quality ones.
  • This was due to:
    • Cheap Credit: Lower down-payment requirements and mortgage rates enabled more households to buy homes.
    • Quality Distribution: At the peak of the boom, the quality distribution of houses had fatter tails, increasing demand for lower-quality houses.
    • Expectations: Households expected further price appreciation, which influenced their behavior.
• International Insights: Research on China indicates that strong household income growth supported the housing boom, and the demand for real estate remains high due to limited alternative investments.
• Discount Rate Estimation: The price differences between freehold and leasehold properties in the UK suggest a long-term discount rate of about 2.5 percent per year, applicable to environmental policy analysis.
• Beliefs and Expectations: The role of optimistic beliefs in driving house price cycles is explored, showing that even small numbers of optimists can significantly affect market behavior.

3. Positions-Based Asset Pricing

• Traditional Approach: Models of optimal consumption and savings behavior are used to understand asset prices.
• New Research Focus: "Positions-based asset pricing" examines the asset holdings of households and financial institutions and their impact on asset prices.
• Key Studies:
  • Financial Institutions' Impact: Ralph S. J. Koijen and Motohiro Yogo found that financial institutions' asset demand decisions influence stock prices and return volatility.
  • Portfolio Choice: Institutions face short sale constraints and heterogeneous beliefs, leading to specific demand patterns for stocks based on characteristics like market capitalization and profitability.
  • Bank Risk Exposures: Juliane Begenau, Monika Piazzesi, and Martin Schneider analyzed banks' exposure to interest rate and credit risk, showing that large banks had significant interest-rate risk through derivatives, while small banks were more exposed to credit risk via loan portfolios.
  • Factor Investing: The use of factor portfolios (like market risk, size, and value) has become a popular technique in asset management and academic research.

NBER Structure and Funding

• NBER Overview: A private, nonprofit research organization founded in 1920, dedicated to quantitative economic analysis.
• Leadership:
  • President and CEO: James M. Poterba
  • Board of Directors includes notable economists and finance professionals.
• Program Directors:
  • Monika Piazzesi (Asset Pricing Program)
  • Other directors are listed by university and organization appointments.
• Funding: Relies on contributions from individuals, corporations, and private foundations to maintain independence and flexibility.

Additional Information

• NBER Books: A list of books published by the NBER.
• Conferences and Meetings: Information on upcoming NBER conferences and program meetings.
• Subscription Information: Details on how to subscribe to the NBER Reporter, including email and postal address options.
• Contributions: Donations can be made to the NBER, with tax-deductible status.

Conclusion

The June 2018 issue of the NBER Reporter highlights the evolving nature of asset pricing research, particularly in the context of the financial crisis. It underscores the importance of understanding market distortions, behavioral factors, and regulatory impacts on asset prices and housing markets. The report also emphasizes the value of detailed data and the integration of macroeconomic and microeconomic perspectives in financial research.