This paper uses a sample of German commercial and residential property returns to estimate parameters for stable distribution functions. A quantile-based estimation methodology is used to examine distributions of income, capital growth, and total returns. There are controls for the effects of property characteristics and for possible differences between appraisal-based and transaction-based return distribution parameters. The findings reveal that the assumption of normality in return distributions can be rejected for virtually all subsamples of all property types, and for all years from 2000 to 2009. However, income return distributions are found to be less leptokurtic than those of capital growth. Building characteristics do not have a strong influence on distribution parameters, while transaction-based returns do differ from appraisal-based returns for retail and residential properties.
Diese Arbeit widmet sich dem Thema der Balanced Scorecard im öffentlichen Sektor. Zahlreiche Literatur und Anwendungsbeispiele sind für das Konzept der Balanced Scorecard in Privatunternehmen vorhanden. Da im Zuge der Verwaltungsreformen verstärkt über die Einführung betriebswirtschaftlicher Elemente in öffentlichen Institutionen gesprochen wird, bietet es sich an, auch über die Balanced Scorecard nachzudenken. Die Literatur auf diesem Gebiet ist eher dünn; ich werde die vorhandenen Ansätze im Laufe der Arbeit vorstellen.
This paper addresses the question of whether shares of public real estate companies should be treated as real estate or as equity investments. Because theoretical considerations do not suffice for making such a classification, we empirically investigate correlation structures and cointegration relationships of private and public real estate and equity markets for the United States and the United Kingdom. Our results suggest that public real estate stocks show similarities to the general stock market with regard to short-term return co-movements. For long-term investment horizons, the interdependence between direct and securitized real estate is much stronger. However, in the latter case, real estate stocks substantially lead the private property markets.
WARNING: this page is no longer updated. Go to http://www.econ.brown.edu/fac/Blaise_Melly/ to find the current version of the codes.
Rqdeco is a Stata command computing a decomposition of differences in distributions using quantile regression. It is a generalization of the Oaxaca/Blinder decomposition since it decomposes observed differences into a part explained by differences in characteristics and a part explained by differences in coefficients. It is very similar to the Machado/Mata decomposition. See Melly (2006) for a precise description of the estimator and its statistical properties: http://www.alexandria.unisg.ch/publications/22644. Rqdeco3 decomposes differences in distribution into three components: characteristics, median coefficients and residuals. It is conceptually similar to the Juhn, Murphy and Pierce (1993) decomposition but allows for heteroscedasticity. This estimator has been defined and applied in Melly (2005): http://www.alexandria.unisg.ch/publications/14991.
If you use these commands in your work, please cite the related paper.
We apply the instrumental quantile regression estimator of Chernozhukov and Hansen (2004b and 2006) to examine the wage structure in the public and private sector in Germany. Assuming exogenous sector choice, we find a negative mean public sector wage premium and show that the wage distribution is more compressed in the public sector. Correcting for endogenous sector choice reverses the findings concerning the mean premium but preserves the more compressed structure of the public sector earnings distribution. Since the original estimator loses its good properties if we allow the public sector premium to vary with the covariates, we propose computationally convenient estimators that achieve good small-sample properties. Applying these estimators, we find that returns to experience and education are generally higher in the private sector.
This paper proposes estimators of unconditional distribution functions in the presence of covariates. The methods are based on the estimation of the conditional distribution by (parametric or nonparametric) quantile regression. The conditional distribution is then integrated over the range of the covariates, allowing for the estimation of counterfactual distributions. In the parametric settings, we propose an extension of the Oaxaca (1973) / Blinder (1973) decomposition of means to the full distribution. In the nonparametric setting, we develop an efficient local-linear regression estimator for quantile treatment effects. We show root n consistency and asymptotic normality of the estimators and present analytical estimators of their variance. Monte-Carlo simulations show that the procedures perform well in finite samples. An application to the black-white wage gap illustrates the usefulness of the estimators.
Over the last twenty years, many researchers have attempted to explain the determinants of wage inequality. I propose a flexible, intuitive and semiparametric estimator of distribution functions in the presence of covariates. The conditional wage distribution is estimated by quantile regressions. Then, the conditional distribution is integrated over the range of the covariates to obtain an estimate of the unconditional distribution. Counterfactual distributions can be estimated, allowing the decomposition of changes in distribution into three factors: changes in regression coefficients, changes in the distribution of covariates and changes in residuals. I use the proposed approach to re-assess the sources of changes in the distribution of wages in the United States between 1973 and 2001. Unlike most others, I find that residuals plays only a minor role in the overall growth in wage inequality. This suggests that there was no or only a small increase in the price of unmeasured skills. The reason of this difference between my results and those obtained with others methodologies is that quantile regressions account for heteroscedasticity. Indeed, the variance of the residuals expands with education and experience. Therefore, the fact that the population is getting older and more educated put more weight on groups with higher residual variances.
In electricity markets globally, market participants and policymakers increasingly focus on integrating adjacent, yet separate market areas via cross-border trade in electricity. Based on a discussion of the institutional framework for organizing cross-border trade, this paper analyzes how spot and futures prices for wholesale electricity are affected by different degrees of market integration. We first contrast the two main mechanisms to allocate transmission capacity between neighboring markets: explicit and implicit auctions. Subsequently, we study the impact of these allocation schemes on the empirical price dynamics of major electricity markets in Europe. Our empirical analysis thereby confirms that under market coupling, economically inefficient cross-border flows in the wrong direction can be avoided. From a policy point of view, however, we show that further market integration can be hindered by individual energy market regulation on a national level, which may be opposed to supra-national frameworks such as market coupling.
