Alberto Montagnoli

Demographic change and the housing market: evidence from a comparison of Scotland and England

This paper examines the impact of demographic change on the housing market. More specifically, a difference-in-differences methodology is used to explore the effect of population decline and population ageing on house prices in Scotland and England/Wales. The analysis suggests that population decline and population ageing put downward pressure on prices. Therefore, the long-run trend of rising real house prices can not be assumed to continue into the future, particularly in Scotland.

Euro Area Inflation Differentials: Unit Roots and Nonlinear Adjustment

This article examines the time-series properties of inflation differentials in 12 economic and monetary union (EMU) countries. The evidence from standard linear unit root tests indicates that inflation differentials are highly persistent in the majority of countries. However, when one allows for the possibility that inflation differentials can be characterized by a nonlinear mean reverting process, one finds evidence of stationarity in all cases. The empirical results suggest that once nonlinearity is accounted for, inflation differentials do not consistently intensify real divergence in the euro area.

RISK AND UNCERTAINTY IN CENTRAL BANK SIGNALS: AN ANALYSIS OF MONETARY POLICY COMMITTEE MINUTES

This paper considers the signalling aspect of monetary policy. We introduce a heuristic framework for the study of signal uncertainty, and use this to analyse the signal uncertainty implicit in the communications of the Bank of Englands Monetary Policy Committee (MPC). Our findings suggest that frequencies of key terms expressing signal uncertainty in MPC minutes may either reflect the degree of confidence implicit in MPC deliberations, or offer evidence for the presence of an irreducible kind of signal uncertainty that shows up as white noise, casting doubt on the soundness of the various qualitative uncertainty indices found in the literature.

Aggregate and regional house price to earnings ratio dynamics in the UK

This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.

The Time-Series Properties of UK Inflation: Evidence from Aggregate and Disaggregate Data

This paper contrasts the time-series properties of aggregate and disaggregate UK inflation. While aggregate inflation is found to be non-stationary, unit root rejection frequencies are increasing when we use more disaggregate data. Structural break analysis suggests that structural shifts in monetary policy could alter inflation persistence. Additionally, panel evidence indicates that the unit root hypothesis can be rejected for sectoral inflation rates. Finally, we compare the persistence properties of UK inflation, finding statistically significant differences between aggregate and disaggregate series. Our analysis suggests that aggregation matters, which has important implications for econometric analysis and the conduct of monetary policy.

Speculation and monetary policy behaviour in the 1992 currency crisis: the Italian case

The paper proposes an explanation for the 1992 currency crisis as the result of monetary policy behaviour and private agents’ speculation. Our analysis reveals how speculators’ expectations and the behaviour of the monetary policy authority were formed on the widespread beliefs about the future value of income. We show that the real effects of monetary policy measures represent the link between the action of the central bank and speculation.

Mark-to-market and house asset valuation: An initial attempt at extending the Poterba model using the term structure of real forward interest rates

Purpose – Downward movements in house prices can exacerbate bank crises if mark‐to‐market methods of asset valuation are used by lenders to assess their current balance sheet exposure. There is an imperative to find methods of house price index calculation that reflect equilibrium prices rather than temporary undershoots. The purpose of this paper is to propose a new methodology in order to evaluate whether market house prices are different from their fundamental asset prices.Design/methodology/approach – This paper proposes a method for house asset valuation that incorporates expected house price appreciation as an endogenous variable. This avoids the necessity to make conjectures about expected future house price appreciation when applying Poterbas user‐cost method of house asset valuation. The methodological extension to Poterbas user‐cost method of house asset valuation endogenises expected house price appreciation as the no‐arbitrage expected price appreciation consistent with the term structure of...

Dynamics of inflation in Turkey during the 1990s

This article assesses the credibility of disinflation programmes in Turkey during the nineties, where several programmes of reform took place. The empirical results show that there was a sharp loss of credibility at the end of the 1991 and at the beginning of the 1994 and during the Asian crisis. The programme that the Central Bank implemented after the crisis was able to increase the level of credibility of the CBRT policies. Loss of credibility is registered during the end of the 1995, while various political events took place and during the 1997 following the world economic conditions and the outflow of capitals.

The Cost of Banking Crises: New Evidence from Life Satisfaction Data: Life satisfaction and banking crisis

It is known that banking crises produce large economic costs. Yet might their consequences be even more far‐reaching? We investigate an issue as yet largely unexplored and provide some of the first evidence that banking crises also lead to major, widespread, and lasting psychological losses. We estimate the costs of banking crises with individual life satisfaction; we show that these extend beyond GDP declines and other macroeconomic and financial leakages. For the 2007‐8 financial crisis, we find some evidence that the losses are larger for those countries that had previously experienced a credit boom.