• House prices and bubbles in New Zealand 

    Fraser, Patricia; Hoesli, Martin; McAlevey, Lynn
    Much of bubble literature centred on financial markets. Dominant theory – if prices deviate from fundamental value for some time then a bubble is said to exist. Bubbles usually characterised in three main ways: ● momentum: ...
  • House Prices, fundamentals and Inflation 

    Black, Angela; Hoesli, Martin; Fraser, Patricia
    This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by ...
  • The UK stock market’s relationship with US and European stock markets: Is the UK stock market snuggling-up to the US - or to Europe? 

    Fraser, Patricia; Oyefeso, Oluwatobi
    Using 27 years of data this paper considers short-run, bi-lateral, and long-run, linkages between the US, UK and nine European equity markets. Using time-varying parameter and multivariate cointegration modelling techniques, ...
  • US stock prices and macroeconomic fundamentals 

    Black, Angela; Fraser, Patricia; Groenewold, Nicolaas
    Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do ...