Appreciation Rates Research Articles

Measuring Trends in Western Water Prices

AbstractThis study updates analysis of western water markets with data from thirteen river basins in eight states based on analysis of over 7,000 transactions from 2002 to 2019. We take a new approach to characterizing the time trend in prices across basins by estimating hedonic price indices. In doing so, we do not attempt to explain how prices are determined but rather to characterize general price movements across the region. There have been nine widely cited analyses of trends in western water rights prices and trading. Since 2010, when Stratecon ceased publishing the Water Strategist, no one has extended this time series until now (Stratecon Inc. Accessed January 25, 2021). Researchers, planners, and investors remain keenly interested in water markets, but limited historic data are available on general water right price trends and volatility. Understanding general price movements over time help to fill this gap. Our analysis confirms the findings of earlier studies that urban buyers systematically pay premium prices relative to agricultural or environmental buyers, and that prices vary significantly within basins, across basins and states, and over time. Results from the pooled‐period method indicate an annual rate of appreciation of around 2.8% and results from the adjacent‐period method indicate a rate of 5.1%. Both methods suggest that water right prices from 2002 to 2019 have increased at a rate similar to the general price level.

Optimization of Portfolio Investment Strategy Based on Markov Decision Process Model

With the continuous development of the world financial market, investors are often faced with a wide variety of assets but do not know how to choose. In order to obtain the maximum benefits, how to choose the optimal investment strategy has become a top priority. In this paper, based on Markov decision process model, we study the optimal strategy for investment with two important assets in the market, gold and Bitcoin. we solve the problem with a Markov decision process model and measure the risk of the trade by financial indicators such as deviation rates and bullish indicators. Then a difference-in-difference formula for the asset appreciation rate is introduced to optimize the model by incorporating the long-term impact of trading on assets. Also based on the iterative algorithm of the sample path, an iterative algorithm of the strategy that can be applied online is designed, and it was finally calculated that after five years of investment using this strategy under the initial condition of $1000, $348287.46 could be obtained.

Linking users as private partners of utility tunnel public–private partnership projects

Linking users as private partners of utility tunnel public–private partnership (PPP) projects means treating users as internal core stakeholders in the designing, building, and operating phases, which is beneficial for precisely determining user needs, enhancing operational efficiency, and reducing user opposition. However, tunnel PPP projects are quasi-commercial projects, and users are not motivated to become linked. A reasonable incentive mechanism must thus be set up based on a systematic analysis of usersꞌ behaviors and incentive measures. Users of tunnel PPP projects were categorized as high- and low-cost users according to the difference in their traditional direct-buried costs. An evolutionary game model was established incrementally to investigate the incentive factors and their priority affecting the willingness and degree of users to be linked in tunnel PPP projects. The theoretical model was verified with a real Chinese tunnel PPP project, which suggested that the optimized scheme under the incentive mechanism is more efficient than the original solution. The research results indicate that the main factors influencing usersꞌ willingness and degree of being linked are the government subsidy rate, price discount rate, probability of enjoying a price discount, capital proportion, capital appreciation rate, and synergistic operational rate.

Does renewable energy use enhance exchange rate appreciation and stable rate of inflation?

The current study is aimed at investigating the relationship between the use of renewable energy, the rate of currency exchange, and the rate of inflation with the ARDL model. The findings of the ECM show that in the long run, a bidirectional association between exchange rate and renewable energy exists in Brazil. This shows that the rate of currency exchange affects the use of renewable energy, and the use of renewable energy affects the rate of currency exchange. The inflation rate also affects renewable energy and exchange rate in the long run. The rate of adjustment to equilibrium is also below 50%, indicating that it will take a long time to adjust to long-run equilibrium. In the short run, we ascertain that renewable energy use has a significant negative effect on the rate of currency exchange, showing that a rise in the use of renewable energy significantly causes the exchange rate to appreciate. The long-run results show that renewable energy use negatively impacts exchange rate (appreciation), while the inflation rate and rate of currency exchange significantly affect the use of renewable energy positively. Thus, in addition to lowering carbon dioxide emissions and global warming effects, renewable energy use also facilitates an improvement in the currency's value. Therefore, the use of renewable energy should be promoted, and nations should shift to the use of renewable energy. This will also promote zero carbon in the future.

An Investor’s Investment Plan with Stochastic Interest Rate under the CEV Model and the Ornstein-Uhlenbeck Process

The aim of this paper is to maximize an investor’s terminal wealth which exhibits constant relative risk aversion (CRRA). Considering the fluctuating nature of the stock market price, it is imperative for investors to study and develop an effective investment plan that considers the volatility of the stock market price and the fluctuation in interest rate. To achieve this, the optimal investment plan for an investor with logarithm utility under constant elasticity of variance (CEV) model in the presence of stochastic interest rate is considered. Also, a portfolio with one risk free asset and two risky assets is considered where the risk free interest rate follows the Ornstein-Uhlenbeck (O-U) process and the two risky assets follow the CEV process. Using the Legendre transformation and dual theory with asymptotic expansion technique, closed form solutions of the optimal investment plans are obtained. Furthermore, the impacts of some sensitive parameters on the optimal investment plans are analyzed numerically. We observed that the optimal investment plan for the three assets give a fluctuation effect, showing that the investor’s behaviour in his investment pattern changes at different time intervals due to some information available in the financial market such as the fluctuations in the risk free interest rate occasioned by the O-U process, appreciation rates of the risky assets prices and the volatility of the stock market price due to changes in the elasticity parameters. Also, the optimal investment plans for the risky assets are directly proportional to the elasticity parameters and inversely proportional to the risk free interest rate and does not depend on the risk averse coefficient.

An Analytic Approach for Pricing American Options with Regime Switching

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the economy which can be interpreted in terms of Markov chains. By means of the homotopy analysis method, an explicit formula for pricing two-state regime-switching American options is presented.

Tracking the pulse of a city—3D real estate price heat maps

AbstractThis paper proposes the use of a semiparametric model based on a locally weighted approach that controls for dynamic agglomeration and diffusion effects in constructing localized housing price indices. Based on residential transaction records in Singapore, we create three‐dimensional interactive heat maps that allow for better measurement and visualization of spatial variations and heterogeneity in price appreciation. The heat map captures regional variations and temporal dispersions in price appreciation rates in the business cycle. Our methodology provides high‐resolution information about price dynamics that could aid individual buyers, investors, and policy makers in making objective and informed decisions.

The gravity model of international trade of the EAEU, SCO and BRICS countries

This article discusses the factors influencing the financial and economic cooperation of the countries with the developing marker within the framework of the three blocks – EAEU, BRICS, and SCO, by means of building the gravity model. The countries of the former Soviet Union are considered separately. The research covers the period from the Russian crisis of 2014 up to the present. The subject of this analysis is the financial and economic relations arising in the process of cooperation of the EAEU, SCO, and BRICS member-states with the developing market. The author explores the factors that impact the financial and economic cooperation of the countries with the developing market: depth and scale of foreign trade turnover, per capita GDP, market accessibility index, currency appreciation rate of the import and export country, distance between the countries, belonging of the country with the developing market to such associations as EAEU, BRICS, and SCO. The research is based on the general scientific methods of cognition such as analysis, synthesis, and comparison, presentation of tabular and graphical interpretation of statistics, time series, econometric modelling using the EViews software. The novelty of this article consists in determination of the factors influencing financial and economic cooperation of the countries with the developing market within the framework of the three blocks – EAEU, BRICS, and SCO by means of building the gravity model. The peculiarity of such model lies in the availability of the lagged exchange rates. The inclusion of the lag in the relative exchange rate of the export country rate let to exclusion of the data for 2014 from the sampling. Therefore, it is advisable to take into account the acquired results pertaining to Russia’s cooperation on the bilateral or multilateral basis within the framework of EAEU, BRICS, and SCO.

House Prices, Government Quality, and Voting Behavior

The hypothesis that minority voters act in their economic self-interest in supporting municipal candidates of their own race or ethnicity has been tested using changes in municipal spending and employment. However, governments affect voter welfare in many other ways, particularly in the provision of quality public services. This paper exploits a natural experiment arising in 1995 when Congress created an appointed financial control board for the District of Columbia and gave to it many of the powers previously reserved to the local elected government. The natural experiment sets up a triple-difference research design based on changes in property values across District neighborhoods and voting behavior compared to untreated adjacent areas across the District boundary in Maryland. We find that oversight by the control board raised annual appreciation rates in the District by 178 to 254 basis points during the period from 1995 to 2001. Furthermore, effects of the intervention were uniformly positive across areas of the District that varied dramatically in their support for the incumbent administration that lost its powers. This implies, after the fact, that the administration’s supporters had not voted in accord with economic self-interest.

Fodder beet to support early and late lactation milk production from pasture, is it worth the risk?

High yielding crops such as maize (Zea mays L.) and fodder beet (FB; Beta vulgaris L), are commonly used to extend lactation and increase animal productivity from pastoral dairy systems. Financial modelling to compare costs and benefits of different crops is useful for decision making, but such modelling often fails to account for potential animal health risks which can be associated with feeding supplements. A multi-component, whole-farm modelling approach was used to predict milk solids (MS, milk fat + protein) production and the economic farm surplus (EFS: operating surplus – adjustments) between 2016 and 2018 for an irrigated farm in Canterbury (South Island) and a non-irrigated farm in the Waikato (North Island), of New Zealand. The financial risk of the dairy business was measured using the ratio between mean return on assets (ROA) minus an assumed 5% risk-free ROA, and the standard deviation of ROA was calculated from 300 combinations of climate, milk, and feed price, land appreciation, and interest rate. Four scenarios of autumn and spring supplementation of pasture were considered at each geographical location; imported maize silage (Base), a crop of maize silage grown on the milking platform (MSC; area used to produce milk), a crop of FB grown on the milking platform (FBC), and a FB crop with an outbreak of acute (1% stock fatality) and subacute ruminal acidosis (5% decline of feed intake) across the entire herd (FBAC). The MSC scenario improved EFS by 5.8% compared with Base in both the irrigated and the dryland system. The predicted response to MSC reflected greater milk production, lower feed expenses, and shorter crop rotation, compared with either Base, FBC, or FBAC. While FBC increased EFS by 4.8% compared with Base under irrigation, EFS was similar to Base under dryland conditions ($2711 and $2759/ha, respectively). The limited advantage of growing FB under dryland conditions reflect reduced herbage supply due to the extended crop duration of FB compared with maize silage. Model predictions suggest that FBAC will increase the financial risk by reducing milk production and EFS by 6.5% (irrigated) and 7.1% (dryland) compared with Base. In the absence of any adverse health risks, farm performance from the FBC scenario was comparable to that of MSC under irrigated conditions. However, in dryland conditions, and when the potential economic cost of acute and sub-acute ruminal acidosis is considered, there is little advantage to growing FB on the milking platform.

Portfolio optimization for jump-diffusion risky assets with regime switching: A time-consistent approach

<p style='text-indent:20px;'>In this paper, an optimal portfolio selection problem with mean-variance utility is considered for a financial market consisting of one risk-free asset and two risky assets, whose price processes are modulated by jump-diffusion model, the two jump number processes are correlated through a common shock, and the Brownian motions are supposed to be dependent. Moreover, it is assumed that not only the risk aversion coefficient but also the market parameters such as the appreciation and volatility rates as well as the jump amplitude depend on a Markov chain with finite states. In addition, short selling is supposed to be prohibited. Using the technique of stochastic control theory and the corresponding extended Hamilton-Jacobi-Bellman equation, the explicit expressions of the optimal strategies and value function are obtained within a game theoretic framework, and the existence and uniqueness of the solutions are proved as well. In the end, some numerical examples are presented to show the impact of the parameters on the optimal strategies, and some further discussions on the case of <inline-formula><tex-math id="M1">\begin{document}$ n\geq 3 $\end{document}</tex-math></inline-formula> risky assets are given to demonstrate the important effect of the correlation coefficient of the Brownian motions on the optimal results.</p>

Determining the Increase in a Building’s Appreciation Rate Due to a Reconstruction

The reconstruction of buildings generally prolongs their useful life, increases their utility value, and last but not least, leads to an increase in their value. These assumptions only apply if an independent third party reaches the same conclusion together with the owner. However, the undesirable effect of the reconstruction of a building may be a decrease in its value. The aim of this contribution is to determine the change in value of an older sample building assessed in the included case study as a result of its reconstruction. Valuation methods are applied, which, as it turns out, reveal the inaccuracy of the subjective view of the person who reconstructed the building. The resulting change in the value of the sample building is discussed from the point of view of the applied valuation methods and other value-creating aspects (subjective view of the owner on the value of the building, historical value of the building, etc.). The contribution concludes with recommendations for maximizing the increase in value of a property through its reconstruction so as to eliminate the risk of a decrease in its value.

House Prices and Voting Behavior

The hypothesis that minority voters act in their economic self-interest in supporting municipal candidates of their own race or ethnicity has been tested using changes in municipal spending and employment. However, governments affect voter welfare in many other ways, particularly in the provision of quality public services. This paper exploits a natural experiment arising in 1995 when Congress created an appointed financial control board for the District of Columbia and gave to it many of the powers previously reserved to the local elected government. The natural experiment sets up a triple-difference research design based on changes in property values across District neighborhoods and voting behavior compared to untreated adjacent areas across the District boundary in Maryland. We find that oversight by a control board raised appreciation rates in the District by 178 to 254 basis points. Furthermore, effects of the intervention were uniformly positive across areas of the District that varied dramatically in their support for the incumbent administration that lost its powers. This implies, after the fact, that the administration's supporters had not voted in accord with economic self-interest.

Divergence of House Prices in the United States: 2000 to 2015

Housing is the largest component of most American households’ wealth. Divergence of house prices directly affects wealth inequality. Using 5.9 million repeat sales of single-family houses, we find strong evidence that pricier houses had higher price appreciation rates from 2000 to 2015. Across houses, when the log house price increased by one standard deviation, the price appreciation rate increased by 70 to 100 basis points per annum. The superior performance of pricier houses was more pronounced in periods when the housing market performed poorly. We also use a variety of specifications to document detailed temporal variation and non-linearity of the relationship between houses’ price appreciation and their prices.

Understanding house price appreciation using multi-source big geo-data and machine learning

Understanding house price appreciation benefits place-based decision makings and real estate market analyses. Although large amounts of interests have been paid in the house price modeling, limited work has focused on evaluating the price appreciation rate. In this study, we propose a data-fusion framework to examine how well house price appreciation potentials can be predicted by combining multiple data sources. We used data sets including house structural attributes, house photos, locational amenities, street view images, transportation accessibility, visitor patterns, and socioeconomic attributes of neighborhoods to enrich our understanding of the real estate appreciation and its predictive modeling. As a case study, we investigate more than 20,000 houses in the Greater Boston Area, and discuss the spatial dependency of house price appreciations, influential variables and their relationships. In detail, we extract deep features from street view images and house photos using a deep learning model, merging features from multi-source data and modeling house price appreciation using machine learning models and the geographically weighted regression at two spatial scales: fine-scale point level and aggregated neighborhood level. Results show that the house price appreciation rate can be modeled with high accuracy using the proposed framework (R2=0.74 for gradient boosting machine at neighborhood-scale). We discovered that houses with low house prices and small house areas may have a higher house appreciation potential. Our results provide insights into how multi-source big geo-data can be employed in machine learning frameworks to characterize real estate price trends and help understand human settlements for policy-making.

Thoughts on the Looming Pension Problems Facing Chicago, Cook County and Illinois

Recent increases in Cook County’s property taxes have reignited longstanding political controversies about public-sector expenditures of the City of Chicago, Cook County and the State of Illinois. These fiscal problems leave Illinois with among the worst fiscal health of any of the fifty states. Much of the state’s poor fiscal condition is attributable to the unfunded pension liabilities of its various governmental entities. These liabilities have an adverse impact on property values (due to increased property taxes, uncertainty about how these unfunded pension liabilities are to be ultimately resolved, and the crowding out of public-sector services). Partly as a result of these harmful forces, the Chicago area has seen the lowest home appreciation rate of any major metropolitan area in the country. Importantly, these fiscal problems are expected to worsen, as the gap between the pension plans’ assets and liabilities is expected to widen considerably over the coming decades. Moreover, it is challenging to raise taxes in an environment where Illinois’ overall taxes are the third-highest in the country (and, specifically, its property taxes are the second-highest in the country and its sales taxes are the seventh-highest in the country). Without a comprehensive plan to arrest these runaway pension liabilities, the economic engine that is the Chicago metropolitan area will slowly falter. Now that the Democrats control the governorship as well as both legislative bodies, it would seem an appropriate time to consider a “grand bargain.” I propose three bold items: a) all new public-sector employees are to be enrolled in defined-contribution pension plans, b) all new significant sources of revenue, cost-cutting mechanisms and the monetization of the state’s assets are to be dedicated to the pay-down of unfunded pension benefits, and c) a constitutional amendment is needed to moderately reduce the future benefits (of the current defined-benefit pension plans) of the existing public-sector employees (and their beneficiaries).

A geographically weighted regression approach to investigating local built-environment effects on home prices in the housing downturn, recovery, and subsequent increases

The 2007 financial crisis profoundly affected most American metropolitan areas. Over the past 10 years, Columbus, Ohio, has experienced a housing downturn, recovery, and subsequent increases. This allows to investigate the response of housing market in different periods of the recession. Ordinary and geographically-weighted regression (GWR) models were developed to examine global and local built-environment effects on home-price appreciations for the three periods while controlling for other physical and socioeconomic variables. The results found that home buyers showed an unchanged preference for residential privacy and amenity and avoided those features that might attract negative external effects from a period to another. The home-price appreciation rates showed different spatial patterns across the study region in the three periods. Nevertheless, the results suggested that suburban areas, particularly those in northern Columbus, better resisted, recovered from, and adapted to the recession. In the wake of the recession, a smaller house was preferred by home buyers. GWR models also provided some interesting findings. In the downturn, accessibility to a park or library helped sustain home prices in the northwest. Bus stop density had a positive effect in eastern Columbus in the recovery, most likely due to the high fuel price at that time. Neighborhoods with a higher income better retained their home value in the downturn, especially those in southern Columbus. Finally, this study found that the recession hit harder on minority neighborhoods in all three periods. This finding suggests that housing policies should focus on these neighborhoods with other social support.

Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk

The paper aims to solve the asset allocation problem of a loss-averse commercial bank in an environment with macroeconomic risks where inflation rates obey a mean-reverting process. The bank has only partial information about the appreciation rate of inflation. Its risk preference is described using an S-shaped utility function and then a semi-analytical investment strategy is derived through the filtering theory and inverse Fourier Transformation method. The paper finds that the investment proportion which decreases with a higher degree of information incompleteness is positively correlated with inflation risks and has a close but not monotonic relationship with the reference point.

A new measure of private rental market regulation index and its effects on housing rents

Purpose The purpose of this paper is twofold: first, the authors construct a country-specific time-varying private rental regulation index for 18 developed economies starting from 1973 to 2014. Second, the authors analyze the effects of their index on the housing rental markets across 18 countries and states. Design/methodology/approach The authors’ index not only covers 18 developed economies over 42 years but also combines both tenure security and rent laws. The authors’ empirical framework is that of panel regressions with time and country fixed effects. Findings The authors’ index sheds further insights on the extent to which rent and tenure security laws have converged over the past 40 years for each economy. Moreover, the authors show three empirical results. First, stringent rent control regimes do lead to lower real rent growth rates than regimes with free rents. Second, soft rent control regimes with time-limited tenure security and minimum duration periods, however, may cause higher rent growth rates than free rent regimes. Third, rent-free regimes do not show significant high real rent appreciation rates. Originality/value The authors’ rental regulation index is the first time-varying index that covers more than 18 economies over 40 years.

Time-consistent equilibrium reinsurance–investment strategy for [formula omitted] competitive insurers under a new interaction mechanism and a general investment framework

We propose a new interaction mechanism for n≥2 competitive insurers, under which we investigate the time-consistent equilibrium reinsurance–investment strategy for n insurers. Each insurer can purchase reinsurance for reducing the claim risk and invest in the financial market for increasing his wealth. We consider a general investment framework which includes typical diversified and concentrated investment patterns in the literature. The objective of each insurer is to find a time-consistent equilibrium reinsurance–investment strategy so as to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. By using the stochastic control technique, we obtain the explicit time-consistent equilibrium reinsurance–investment strategies and corresponding equilibrium value functions. Through analyzing the general investment strategy, we find the criterion of whether the insurer should invest in a specific risky asset. Furthermore, we examine theoretically and numerically how the price parameters of risky assets affect the concrete investment pattern. We find that when the appreciation rate of one risky asset exceeds some times as those of other risky assets, the insurer will only invest in this asset; otherwise, the insurer will adopt the diversified investment pattern. We also numerically examine the influences of the number of insurers and the surplus jump on the time-consistent equilibrium reinsurance strategy.