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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.

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.

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.

The authors’ rental regulation index is the first time-varying index that covers more than 18 economies over 40 years.

This study examined the dynamic role of the Japanese property sector, particularly the real estate investment trusts (REITs), in mixed-asset portfolios of stocks and bonds, as well as office, retail, hotel and residential REITs.

Daily data were retrieved from 01 January 2008 to 31 December 2019. The sample time frame consisted of in-sample and out-of-sample periods. The dynamic conditional correlation-generalised autoregressive conditional heteroskedastic (DCC-GJRGARCH) model was deployed to obtain the forecast estimates of time-varying volatility of REITs and correlations with other assets. The estimates were employed to construct out-of-sample portfolios based on the three assets for daily investment. The five sets of portfolios with each individual property sector REITs, as well as a portfolio of stocks and bonds that served as a benchmark, were produced. The average utility for each set of portfolios was estimated and compared with the average utility of the benchmark portfolio. The average transaction cost (TC) for portfolio rebalancing was calculated as well.

The forecast of volatility estimates for each property sector revealed that each asset displayed a similar pattern with the differences in the volatility magnitude. Notably, hotel and retail REITs were more volatile than other property sector REITs. The property sector REITs exhibited a positive correlation with stocks but negatively linked with bonds. The results unveiled the diversification benefits of incorporating property sector REITs. The portfolio with property sector REITs had higher risk-adjusted returns and utility, compared to portfolio consisting of stocks and bonds. The benefits outweighed the TC for portfolio rebalancing.

This study highlights the importance of quantifying the conditional time-varying volatility and correlations of the property sector REITs with other asset returns, especially for investment decision, to select and include property sector REITs in mixed-asset portfolios. For fund managers seeking liquid assets in daily investment, this analysis suggests the inclusion of hotel and retail REITs to enhance REITs' portfolio performance.

This study is the first to investigate the dynamic characteristics of the volatility and correlation of each property sector REITs with other financial assets by employing the conditional framework that accounted for short- and long-run persistency in economic shocks. The reported outcomes shed light on the differences in the underlying properties that contribute to the variances in dynamic volatility of each sector REITs, as well as REITs' correlations with stocks and bonds. This application enables the authors to transmit the dynamics of variance-covariance matrix amongst each property sector REITs, stocks and bonds into asset allocation problem on a daily basis.

Listed real estate securities have historically been used to achieve an exposure to the real estate asset class and to obtain a broad spectrum of other specific features such as return enhancement, but whether they must be associated to the direct property or to the broad stock market is deceptive on a merely theoretical basis. Moreover, the global financial crisis (GFC) has questioned their risk/return characteristics. The purpose of this paper is to asses if listed real estate securities are still enough dissimilar from the broad stock market to provide remarkable diversification benefits for a long term investor.

The analysis has been developed on the FTSE EPRA/NAREIT Developed Index and at country level (USA, UK, France, Japan, Singapore, Hong Kong and Australia) from November 2001 to October 2013. The authors analysed the real estate index over a broad market index and adjusted for a possible bias related to heteroskedasticity and autocorrelation, using a least squared regression with Newey-West HAC Correction. A Recursive Least Squares (RLS) was also used to test the stability of the parameters with the CUSUM squared test and the Chow test. Finally the authors tested for cointegration with the Augmented Dickey Fuller and the Engle Granger tests.

The authors found that after the GFC the Beta-risk related to the stock market has witnessed a sharp increase, but with differences among country. While the USA, the UK and France have experienced a trend similar to the one described for the FTSE EPRA/NAREIT Developed Index, Asian Markets depict a quite stable Beta over the full sample (gradual increase for the Australian market). Evidence of a structural break in conjunction with 2008 crisis has been found only in USA, UK and France.

Listed real estate securities, even if characterised by time varying Beta-risk and partially reduced diversification benefits, are still worth to be included in long term horizon portfolios. However, more wary considerations should be drafted before investing in the Asian markets where evidence of cointegration was found only for the Japanese market.

Analysis of post GFC effect on direct property investment vs indirect listed investment worldwide.

Because of the renewed interest in public purchasing and the strategic use of public funds under the requirements of sustainable development, the question arose once again as to how to curb the fall of institutional quality once criteria other than price are inserted into the decision-making in public purchasing. E-procurement has been repeatedly named as one of the most efficient tools to that effect and the present paper sets out to discover whether the implementation of e-procurement in a particular country per se entails also higher institutional quality, allowing for a wider implementation of green and sustainable procurement at the national, regional and municipal level without the fear of worsening the country’s institutional quality. By analyzing the implementation of e-procurement in Denmark, the Netherlands and in Portugal, this paper aims to verify the hypothesis that the implementation of e-procurement implies better institutions in terms of public purchasing. As such, the conclusions will be used in further research on the prerequisites for a successful implementation of green public procurement across the European Union.

Gathering data on institutional quality of three early e-procurement adopters (Denmark, the Netherlands and Portugal) allows for comparison of institutional quality pre- and post-e-procurement implementation. By using difference-in-differences comparison the paper seeks to answer the question how doesmandatory e-procurement influence institutional quality on the national level.

The paper finds that the reform is generally associated with a relatively stronger control of corruption in the Netherlands and Denmark, while a similar reform in Portugal failed to translate into a stronger control of corruption. Furthermore, while using the quality of regulation as a dependent variable, a positive and robust effect on the quality of regulation in Denmark was shown, while the quality of reputation in the Netherlands and Portugal declined in the post-reform period, with the drop in the quality of regulation in Portugal being considerably greater, a two-fold higher amount than the estimated drop in the Netherlands. The paper suggests that in spite of the same aims, the reform yielded substantially different or even opposing effects compared to Denmark.

By examining three examples of early adopters, further research with broader impact is needed to deduce general implications for e-procurement implementation. Furthermore, implementation of e-procurement at the regional or local level can also yield distinct results.

Understanding the actual impact of e-procurement on institutional quality is indispensable for further study on the matter. The present study argues that e-procurement needs to be accompanied by additional measures or variables to yield a positive impact on institutional quality in public procurement.

As to originality, the present paper uses a law and economics approach, originating or better said drawing motivation from green public procurement concerns, trying to provide an insight in terms of tools that can be used to eliminate concerns regarding institutional quality when implementing green public procurement practices.

This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion.

Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks.

The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy.

This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

The purpose of this paper is to examine the degree of housing affordability in China's 35 large and medium cities. Furthermore, this paper investigates the relationship between housing affordability and the house prices using data from China's 35 large and medium cities from 1996 to 2007.

This paper constructed the housing affordability index and classified cities in terms of their housing affordability degree. OLS, unit root test and cointegration test have also been used in the empirical test section.

The results exhibit that the housing price has played a more important role in housing affordability than household income. Thereby, decreasing housing price is more important than household income to alleviate the housing affordability problem. Meanwhile, housing size has exerted a great impact on housing affordability. Accordingly, developing more affordable houses is an alternative to mitigate the housing affordability issue in China. In addition, it is also found that the housing reform facilitates the housing affordability issue due to the low sale price of the public houses; the population growth rate and geographic locations have no significant impact on the housing affordability.

In terms of the research limitations, the heterogeneity factor may be introduced considering the regional heterogeneity of cities in China. Therefore, researchers are encouraged to test the propositions with enriched datasets.

Practical implications are that decision‐makers in government should pay close attention to the risk of the housing bubble. That is, the soaring house price was driven by investment instead of by the demand side.

This paper contributes to defining the dynamic upper boundary of the percentage of housing expenditure to income ratio via Engel's coefficient using the housing market data of 35 large and medium cities in China from 1996 to 2007.

This study explores the interconnectedness and complexity of risk-varied climate initiatives such as green bonds (GBs), emissions trading systems (ETS) and socially responsible investments (SRI). The analysis covers the period from September 2011 to August 2022, using six indices: three representing climate initiatives and three indicating uncertainty.

To achieve this, the study first examines dynamic lead-lag relations and correlation patterns in the time-frequency domain to analyse the returns of the series. Additionally, it applies an innovative approach to investigate the predictability of uncertainty measurements of climate initiatives across various market conditions and frequency spillovers in the short, medium and long run.

The findings indicate changing relationships between the series, increased linkages during turbulent market periods and strong co-movements within the network. The ETS is recommended for diversification and hedging against uncertainty indices, whereas the GB may be suitable for long-term diversification.

This study highlights the role of climate initiatives as potential hedges and contagion amplifiers during crises, with implications for policy recommendations and the asymmetric effects on market connectedness.

The paper answers questions that previous studies have not and contributes to the literature regarding financial risk management and social responsibility.

The purpose of this paper is to test the asymptotic properties and prediction accuracy of two innovative methods proposed along the hedonic debate: the geographically weighted regression (GWR) and the generalized additive model (GAM).

The authors assess the asymptotic properties of linear, spatial and non-linear hedonic models based on a very large data set in Germany. The employed functional form is based on the OLS, GWR and the GAM, while the estimation methodology was chosen to be iterative in forecasting, the fitted rents for each quarter based on their 1-quarter-prior functional form. The performance accuracy is measured by traditional indicators such as the error variance and the mean squared (percentage) error.

The results provide evidence for a clear disadvantage of the GWR model in out-of-sample forecasts. There exists a strong out-of-sample discrepancy between the GWR and the GAM models, whereas the simplicity of the OLS approach is not substantially outperformed by the GAM approach.

For policymakers, a more accurate knowledge on market dynamics via hedonic models leads to a more precise market control and to a better understanding of the local factors affecting current and future rents. For institutional researchers, instead, the findings are essential and might be used as a guide when valuing residential portfolios and forecasting cashflows. Even though this study analyses residential real estate, the results should be of interest to all forms of real estate investments.

Sample size is essential when deriving the asymptotic properties of hedonic models. Whit this study covering more than 570,000 observations, this study constitutes – to the authors’ knowledge – one of the largest data sets used for spatial real estate analysis.

Preserving sufficient financial assets is crucial for maintaining the standard of living. The lack of adequate financial cushion can translate into financial hardship at any age, but its effects can be especially severe in later adulthood. The authors evaluate whether financial literacy can prevent individuals from depleting the stock of liquid financial assets below a predefined minimum level.

Defining financial resilience as the ability to maintain the value of household savings above the level of 3-monthly incomes, the authors examined whether financial literacy is (1) prospectively associated with the probability of losing financial resilience and (2) the probability of gaining financial resilience among financially vulnerable middle-aged and older adults. To this end, the authors applied the multivariate Cox proportional hazards model with time-varying covariates. Data were retrieved from the Survey of Health, Aging and Retirement in Europe with the sample comprising 13,718 adults aged ≥ 50 years in (1) and 12,802 in (2).

The authors show that financial literacy plays a protective role for financial resilience. Its role is not symmetrical and protects more against the loss of financial resilience than it contributes to the gain of financial resilience. Among individuals aged 65–74, the association between financial literacy and financial resilience is weaker than among adults in the middle-age (50–64) and among the oldest (75+).

Fostering financial literacy can be important to help middle-aged and older adults maintain a good quality of life and favorable living standards.

Given the scarce evidence on the links between financial literacy and financial resilience among middle-aged and older adults, the article contributes to the literature by examining whether financial literacy retains its protective role in later stages of the life course.

This paper aims to examine whether there are differences between the long and short-term relationship of house prices and interest rates. The elasticity of house prices to monetary policy changes, e.g. via interest rates, is from a theoretical perspective and in the long-run negative. However, house prices adapt in the short-run dynamically to economic, financial, institutional and demographic factors.

In this paper, the authors confirm the aforementioned elasticity for the Nordic housing markets but provide evidence of drastic deviations from the negative relationship. This is done by using rolling regressions in search for time-varying betas.

The empirical results show that recessionary and expansionary policy regimes play a much more important role in the development of house prices in Finland, Sweden and Norway, than in Denmark.

Further, it is shown that the relationship between house prices and monetary policy is discontinuous over time, with large deviations from the long-term beta during the past decade. This holds true especially since the beginning of the financial crisis and the expansionary monetary policy in Europe.