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Publications (10 of 11) Show all publications
Asal, M. (2019). Is there a bubble in the Swedish housing market?. Journal of European Real Estate Research
Open this publication in new window or tab >>Is there a bubble in the Swedish housing market?
2019 (English)In: Journal of European Real Estate Research, ISSN 1753-9269, E-ISSN 1753-9277Article in journal (Refereed) Epub ahead of print
Abstract [en]

Purpose This paper aims to investigate the presence of a housing bubble using Swedish data from 1986Q1-2016Q4 by using various methods. Design/methodology/approachFirst, the authors use affordability indicators and asset-pricing approaches, including the price-to-income ratio, price-to-rent ratio and user cost, supplemented by a qualitative discussion of other factors affecting house prices. Second, the authors use cointegration techniques to compute the fundamental (or long-run) price, which is then compared with the actual price to test the degree of Sweden'€™s housing price bubble during the studied period. Third, they apply the univariate right-tailed unit root test procedure to capture bursting bubbles and to date-stamp bubbles. Findings The authors find evidence for rational housing bubbles with explosive behavioral components beginning in 2004. These bubbles do not continuously diverge but instead periodically revert to their fundamental value. However, the deviation is persistent, and without any policy correction, it takes decades for real house prices to return to equilibrium.Originality/value The policy implication is that monetary policy designed to contain mortgage demand and thereby prevent burst episodes in the housing market must address external imbalances, as revealed in real exchange rate undervaluation. It is unlikely that current policies will stop the rise of house prices, as the growth of mortgage credit, improvement in Sweden’s international competitiveness and the path of interest rates are much more important factors.

Place, publisher, year, edition, pages
Emerald Group Publishing Limited, 2019
Keywords
VECM, Rational, Bubbles, Cointegration, Explosive, Fundamenta
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-13426 (URN)10.1108/JERER-03-2018-0013 (DOI)2-s2.0-85059539145 (Scopus ID)
Available from: 2019-03-05 Created: 2019-03-05 Last updated: 2019-04-04Bibliographically approved
Asal, M. (2018). Long-run drivers and short-term dynamics of Swedish real house prices. International Journal of Housing Markets and Analysis, 11(1), 45-72
Open this publication in new window or tab >>Long-run drivers and short-term dynamics of Swedish real house prices
2018 (English)In: International Journal of Housing Markets and Analysis, ISSN 1753-8270, E-ISSN 1753-8289, Vol. 11, no 1, p. 45-72Article in journal (Refereed) Published
Abstract [en]

Purpose

This paper aims to assess the long-run drivers and short-term dynamics of real house prices in Sweden for 1986Q1 to 2016Q4. More specifically, the author examines the extent to which real house prices are determined by affordability, demographics and asset price factors.

Design/methodology/approach

The author conducts a cointegration analysis and applies a vector autoregression model to examine the long- and short-run responsiveness of Swedish real house prices to a number of key categories of fundamental variables.

Findings

The empirical results indicate that house prices will increase in the long run by 1.04 per cent in response to a 1 per cent increase in household real disposable income, whereas real after-tax mortgage interest and real effective exchange rates show average long-term effects of approximately – 8 and – 0.7 per cent, respectively. In addition, the results show that the growth of real house prices is affected by growth in mortgage credit, real after-tax mortgage interest rates and disposable incomes in the short run, whereas the real effective exchange rate is the most significant determinant of Swedish real house appreciation.

Originality/value

The impact of the two lending restrictions been implemented after the financial crisis – the mortgage cap in October 2010 and the amortization requirement in June 2016 – are ineffective to stabilize the housing market. This suggests that macroprudential measures designed to ease pressure on housing prices and reduce risks to financial stability need to focus on these fundamentals and address the issues of tax deductibility on mortgage rates and the gradual implementation of debt-to-income limits to contain mortgage demand and improve households' resilience to shocks.

Keywords
Cointegration, Macroprudential, Mortgage, Affordability, Autoregression, Amortization
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-11932 (URN)10.1108/IJHMA-08-2017-0070 (DOI)
Available from: 2017-12-18 Created: 2017-12-18 Last updated: 2018-04-06Bibliographically approved
Asal, M. (2016). Long-Run Drivers and Short-Term Dynamics of the Swedish Real House Prices. In: Abstract of Economic, Finance and Management Outlook: 7th International Conference on Economics,Finance and Management Outlooks, 15-16 October, 2016, Hotel Grand Flora Dubai, UAE. Paper presented at th International Conference on Economics,Finance and Management Outlooks, 15-16 October, 2016, Hotel Grand Flora Dubai, UAE. , 7, Article ID 307/16/7 th ICEFMO.
Open this publication in new window or tab >>Long-Run Drivers and Short-Term Dynamics of the Swedish Real House Prices
2016 (English)In: Abstract of Economic, Finance and Management Outlook: 7th International Conference on Economics,Finance and Management Outlooks, 15-16 October, 2016, Hotel Grand Flora Dubai, UAE, 2016, Vol. 7, article id 307/16/7 th ICEFMOConference paper, Oral presentation with published abstract (Other academic)
Abstract [en]

This paper uses cointegration and vector autoregressive (VAR) model to investigate the long-run drivers and short-term dynamics of the real house prices in Sweden forthe period 1986Q to 1995Q4. Specifically, we examine the extent to which real houseprices are determined by affordability, demographic, and asset price factors. The empirical results indicate house prices to increase in the long-run by 0.8% in response to a 1% increase in household's real disposable income, while after tax mortgage interest rate and real effective exchange rate show average long-term effects of approximately - 1% and - 5.3%, respectively. Suggesting that fiscal policy aimed todampen real house appreciation needs to adress the issue of tax deductibility onmortgage rate. In addition, our results indicate that the growth of real house prices is affected by the growth of mortgage credit, after tax mortgage interest rate and disposable income in the short run, and among which the real effective exchange rateis the most significant determinant behind Swedish real house appreciation.

Keywords
Cointegration, Vector autoregressive, Affordability
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-10554 (URN)10.18488/journal.1003/2016.7/1003.7 (DOI)
Conference
th International Conference on Economics,Finance and Management Outlooks, 15-16 October, 2016, Hotel Grand Flora Dubai, UAE
Available from: 2017-01-12 Created: 2017-01-12 Last updated: 2017-01-12Bibliographically approved
Asal, M. (2016). Testing for the presence of skill in Swedish mutual fund performance: Evidence from a bootstrap analysis. Journal of Economics and Business, 88, 22-35
Open this publication in new window or tab >>Testing for the presence of skill in Swedish mutual fund performance: Evidence from a bootstrap analysis
2016 (English)In: Journal of Economics and Business, ISSN 0148-6195, E-ISSN 1879-1735, Vol. 88, p. 22-35Article in journal (Refereed) Published
Abstract [en]

We use a pooled panel bootstrap procedure and different benchmark models of performance to investigate presence of skill in mutual fund performance across different investment styles based on Swedish data from February 2007 to March 2015. To check robustness, we apply serial correlation, unit root, and variance ratio tests to examine the predictability and market efficiency of gross and net excess returns. The results suggest that Swedish funds underperform their benchmarks, net of costs. In addition, very few managers outperform the market, and too many managers underperform the market due to good and bad skills rather than good or bad luck. © 2016 Elsevier Inc.

Keywords
Abnormal performance, Bootstrap, Expense ratio, Serial correlation, Variance ratio
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-10269 (URN)10.1016/j.jeconbus.2016.07.001 (DOI)000391122000002 ()2-s2.0-84996548889 (Scopus ID)
Available from: 2016-12-16 Created: 2016-12-14 Last updated: 2019-05-20Bibliographically approved
Asal, M., Jalilvand, A. & Rolseth, L. (2015). Do Size and Value Premia Vary Across Industry and Market Conditions?: Evidence from the Euro Area. Journal of Business and Policy Research, 10(1), 1-1
Open this publication in new window or tab >>Do Size and Value Premia Vary Across Industry and Market Conditions?: Evidence from the Euro Area
2015 (English)In: Journal of Business and Policy Research, ISSN 1449-387, Vol. 10, no 1, p. 1-1Article in journal (Refereed) Published
Abstract [en]

This paper investigates whether value and size premia exist in the Euro area’s industry returns and, if so, what factors are driving them. We use a Garch-M (1,1) model on daily return data from the STOXX market indices for five major industries in the euro area. Our findings show that an industry-specific three-factor Fama and French type model does provide a robust explanation of returns over the period, 2001-2012. While, our results further emphasize the widespread influence of the value and size effects in the Euro market, the pattern, sign, size, and significance of these factors vary widely across different industries and market conditions.

Place, publisher, year, edition, pages
Berwick, Australia: World Business Institute, 2015
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-8696 (URN)
Available from: 2015-12-12 Created: 2015-11-24 Last updated: 2019-05-14Bibliographically approved
Asal, M. (2015). Estimating the Cost of Equity Capital of the Banking Sector in the Eurozone. Journal of Applied Finance and Banking, 5(6), 69-96
Open this publication in new window or tab >>Estimating the Cost of Equity Capital of the Banking Sector in the Eurozone
2015 (English)In: Journal of Applied Finance and Banking, ISSN 1792-6580, E-ISSN 1792-6599, Vol. 5, no 6, p. 69-96Article in journal (Refereed) Published
Abstract [en]

The objectives of this paper are, first, to estimate the long-run cost of equity capital for the banking sector using data from the Eurozone, US, UK, Sweden and Switzerland for the period 1999-2014. Our inference differs from that of previous studies because we employ a dynamic panel GMM model with a fixed effect and a multi-factor asset pricing framework to explain the variation of the cost of equity capital across banks in terms of risk-factors including, bank size, leverage, business cycle and regulations. Second, this model analyzes whether the cost of equity of banks in Eurozone differs from banks’ cost of equity in the U.S. Our findings show that the multi-factor asset pricing framework does provide a robust explanation of the cost of equity for banking sector. Our findings are consistent with those of IIF (2011) in that a higher leverage ratio, an increase in capital requirement and regulation resulting in an increase of the cost of equity in the banking sector. However, the pattern, sign, size, and significance of these factors vary widely between the Eurozone and the US

Keywords
: Cost of equity, GMM, regulations, Leverage and capital requirement
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-8762 (URN)
Available from: 2015-12-07 Created: 2015-12-07 Last updated: 2019-05-14Bibliographically approved
Asal, M. & Jalilvand, A. (2014). Do Size and Value Premia Vary across Industry and during the Bull and Bear Market Conditions?: Evidence from the Euro Area. In: Mr. Md. Mahbubul Hoque Bhuiyan (Ed.), Proceedings of Eurasia Business Research Conference: . Paper presented at Eurasia Business Research Conference16 - 18 June 2014, Nippon Hotel, Istanbul, Turkey,. , no 319
Open this publication in new window or tab >>Do Size and Value Premia Vary across Industry and during the Bull and Bear Market Conditions?: Evidence from the Euro Area
2014 (English)In: Proceedings of Eurasia Business Research Conference / [ed] Mr. Md. Mahbubul Hoque Bhuiyan, 2014, Vol. no 319Conference paper, Published paper (Other academic)
Abstract [en]

The elimination of exchange rate risk and overall integration of the European equity markets have created new opportunities to utilize industry-specific diversification strategies for portfolio and risk management decisions. Using daily return data for five major industries in the Euro area over the period, 2001-2012, our findings show that an industry-specific three-factor Fama and French type model provides a robust explanation of security returns. While, our results further emphasize the widespread influence of the “value” and “size” premiums in the Euro area, we show that the pattern, sign, size, and significance of these factors vary widely across different industries and during the “bull” (2003-2007) and “bear” (2007-2009) market conditions. The size premium predominantly plays a positive, stable and significant role in explaining security returns under different market conditions. On the other hand, the results for the value premium is not convincing. Its estimated coefficients are both positive and significant (30% of all cases), and negative and significant (66% of all cases). Nor does our results provide convincing evidence for the conventional risk-based argument in support of the existence of size and value premiums in the Euro area. Value stocks are generally associated with higher betas than those of growth stocks only during the bear market condition. The betas for small caps are consistently lower than those for the large caps. Finally, the momentum effect does not appear to play a strong rule in explaining security returns in the Euro area.

Keywords
Euro Area, Value Premium, Size Premium, Industry Diversification, GARCH-M
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-7127 (URN)978-1-922069-54-2 (ISBN)
Conference
Eurasia Business Research Conference16 - 18 June 2014, Nippon Hotel, Istanbul, Turkey,
Available from: 2014-12-11 Created: 2014-12-11 Last updated: 2016-06-01Bibliographically approved
Asal, M. (2012). Has the Euro Boosted Equity Markets in the Euro Area?. Journal of Business Administration Research, 1(2), 51-70
Open this publication in new window or tab >>Has the Euro Boosted Equity Markets in the Euro Area?
2012 (English)In: Journal of Business Administration Research, ISSN 1927-9515, Vol. 1, no 2, p. 51-70Article in journal (Refereed) Published
Abstract [en]

This paper analyses the impact of the Euro on the development of equity markets in the Euro area and compares the results with those of the United States, UK, and Japan. Specifically, using data on 11 EMU countries from 1990-2010, we examine the impact of the Euro on different measures of stock market size, market liquidity, and concentration. It then uses a variety of ARFIMA and GARCH models to test whether the volatility returns have decreased following the introduction of the Euro. We found that the Euro enhances the depth and the liquidity in Euro area equity markets and that concentration and the unconditional volatility of returns have significantly increased in most Euro area equity markets. Furthermore, although our results identify the United States, Italy, Greece, and Euronext as the fastest growing markets on aggregate, it identifies Ireland and Germany as the lowest growing markets when information on market size, liquidity measures, volatility, and concentration measures.

Place, publisher, year, edition, pages
Toronto, Canada: Sciedu Press, 2012
Keywords
Keywords: Liquidity, Concentration, ARFIMA and GARCH
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-4761 (URN)10.5430/jbar.v1n2p51 (DOI)
Available from: 2012-12-20 Created: 2012-10-24 Last updated: 2019-04-29Bibliographically approved
Asal, M. (2012). Non-linear Growth Impacts of Financial Development in Euro Area. International Journal of Economics and Finance, 4(12), 23-38
Open this publication in new window or tab >>Non-linear Growth Impacts of Financial Development in Euro Area
2012 (English)In: International Journal of Economics and Finance, ISSN 1916-9728, E-ISSN 1916-971X, Vol. 4, no 12, p. 23-38Article in journal (Refereed) Published
Abstract [en]

Using GMM model and data from 11 Euro Area countries and 5 non-Euro countries over the period 1989 to 2011, we explore the nonlinear effects of financial development on the performance of Euro Area economy that is: its growth, capital accumulation, investment and productivity. Four measures of financial developments are examined, namely, liquidity, size, volatility and bank’s loans to private enterprises. Special consideration is devoted to modeling threshold effects of public debt that has increased substantially in recent years in several Euro countries. We found that the effect of stock market size is always positive whether we consider the level of real per capita income or its growth. However, the effect of banking sector, volatility, liquidity and public debt are generally negative. In addition, we find support for the channels of investment, saving, total factor productivity, and capital intensity. For all the four channels, the results indicate a significant negative link between banking development and volatility of stock returns. The impact of debt on growth seems to be negative with the turning point of public debt likely to be between 45-65%.

Keywords
GMM, nonlinear, financial development, volatility, threshold
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-4760 (URN)10.5539/ijef.v4n12p23 (DOI)
Available from: 2012-12-20 Created: 2012-10-24 Last updated: 2019-04-29Bibliographically approved
Asal, M. (2011). The Impact of Euro on Sectoral Equity Returns and Portfolio Risk. International Advances in Economic Research, 17(2), 119-133
Open this publication in new window or tab >>The Impact of Euro on Sectoral Equity Returns and Portfolio Risk
2011 (English)In: International Advances in Economic Research, Vol. 17, no 2, p. 119-133Article in journal (Refereed) Published
Abstract [en]

This paper examines the implications of the adoption of the euro and the resulting monetary policy integration for investors in the Euro area in terms of stock market diversification. In particular, we study the difference between investment strategies based on country indices and on sector indices. In addition, we use GARCH-M to model return and volatility for the daily sectoral euro equity indices from 1992 to 2009 to analyze how and to what extent volatility in the sector equity index is driven by shocks occurring in the US, aggregate European equity index, aggregate Euro Zone equity index, and the global equity index. We find strong evidence that diversification over sectors yields more efficient portfolios than diversification over countries and that the volatility spillover of the aggregated Euro zone equity return index on the sectoral equity return index has increased after the launch of the euro. © 2011 International Atlantic Economic Society 

Keywords
Returns and Portfolio Risk, Diversification; GARCH-M; Volatility spillover, Avkastning och Portföljrisk
National Category
Economics
Research subject
SOCIAL SCIENCE, Economics
Identifiers
urn:nbn:se:hv:diva-3331 (URN)10.1007/s11294-011-9292-5 (DOI)
Available from: 2011-05-13 Created: 2011-05-13 Last updated: 2016-06-01Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-5176-9253

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