This study tests for the presence of negative bubbles in the REIT markets over the period 1972:01 to 2004:05 using the momentum threshold autoregressive (MTAR) model. There is evidence of asymmetric adjustment towards the long-run equilibrium between REIT prices and dividends indicative of...

This study uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey-Fuller (RADF) approach to test for the presence of Evans' (1991) periodically collapsing bubbles in four real estate investment trusts (REIT) classifications. The RADF test shows evidence of...

This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey-Fuller (RADF) test to examine the possibility of Evans' (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real equity...

This paper examines a class of interest rate rules that respond to public expectations and to lagged variables. Varying levels of commitment correspond to varying degrees of response to lagged output and targeting of the price level. If the response rises (unintentionally) above the optimal...

Quantity rationing of credit, when some firms are denied loans, has macroeconomic effects not fully captured by measures of borrowing costs. This paper develops a monetary DSGE model with quantity rationing and derives a Phillips curve relation where inflation dynamics depend on excess...

One proxy of price rationing of credit is an aggregation of information on interest rates, while loan officer survey data measures quantity rationing of credit, meaning some borrowers are denied loans. The latter Granger causes real GDP but the former does not. The loan officer survey is a...