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  • 1.
    Manduchi, Agostino
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics. Jönköping University, Jönköping International Business School, JIBS, Media, Management and Transformation Centre (MMTC).
    Petreski, Aleksandar
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Stephan, Andreas
    Jönköping University, Jönköping International Business School, JIBS, Economics. Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO).
    Market for Apartment Swap and Rental MarketManuscript (preprint) (Other academic)
    Abstract [en]

    This paper develops a theoretical search model of apartment swap in the rental market. Using random matching mechanism, we mimic the informal Swedish swap market, which is characterized by strong rent control and dominant ownership of the apartments by municipalities. Our proposed framework captures supply and demand dynamics of the rental market, segmented into households with rented small or big municipal apartments, searching and trying to swap apartments between each other. In the basic setup, in isolation of rental market, the value of the swap is a function of the structure of the population, probabilities of match, probability of cancelling the swap agreement and the differential in the utility gains of matching swap counter-parties. When integrated with the classical rental market, the swap market reflects not only the supply/demand conditions in the swap market, but also the tightness in the rental market. Vice-versa, a well developed swap rental market affects the rental market, so with an increase in the probability of successful swap of a particular rental apartment, the apartment rent value increases.

  • 2. Petreski, Aleksandar
    Aggregate indices for financial stability as early warning indicators for monetary measures in the Republic of Macedonia2016Conference paper (Other academic)
  • 3.
    Petreski, Aleksandar
    National Bank of the Republic of Macedonia.
    Test of imputation methods for missing values in currency time series – a case of European countries that have not adopted the euro2007Report (Other academic)
    Abstract [en]

    This study is motivated by the problem of missing data and its consequences on accuracy of the parameters estimation and the problem of reliability of output when missing data is used as input. Precisely, the test was done on data set of non-euro currency time series of Poland, Slovakia, UK and Russia (European countries that have not adopted the euro).

    Several methods of filling missing historical data were used and their imputation accuracy was compared. It was examined efficiency of imputation of: simple interpolation method, regression analysis, Principal Component Analysis (PCA) and the Expectation Maximization (EM) algorithm.

    It was found that for the periods and the data series analysed, linear interpolation (for univariate series) and PCA (for multivariate series) outperformed the other methodologies.

    Out performance of naïve approach such as linear interpolation for univariate series, might speak about the quality of the data and the market from which data is coming. This confirms the intuition, that in the illiquid markets, market returns exhibits autocorrelation and follow some interpolated pattern.

    Furthermore, for the multivariate series, it was found that the accuracy of the imputation depends on the strength of the correlation between currencies.

  • 4.
    Petreski, Aleksandar
    et al.
    Jönköping University, Jönköping International Business School.
    Stephan, Andreas
    Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO). Jönköping University, Jönköping International Business School, JIBS, Economics.
    Österlund, Urban
    Jönköping University, Jönköping International Business School.
    The impact of mandatory amortization of mortgage loans on the housing market2017Conference paper (Other academic)
    Abstract [en]

    Using transactions data on apartment sales in Sweden, and taking in consideration the decision made by Swedish Riksbank, we examined the effect of mandatory mortgage amortization on apartment prices. In addition, we examined the effect on apartment demand preferences. For this purpose, we created indices of apartment prices using traditional hedonic models. We applied the spatial model in estimating a zone level apartment price index. With the created indices, we studied the effect on apartment prices by using the traditional panel data method. The propensity score model was used to analyze the effect of the decision on the property prices. We applied different time periods as the event window (quarter, 2 quarters, 1 year, 2 years). Finally, we tested several cut-off time points. We found no effect of the Riksbank decision on apartment prices, however we found a change in apartment preferences.

  • 5.
    Stephan, Andreas
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO). Jönköping University, Jönköping International Business School, JIBS, Economics.
    Petreski, Aleksandar
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Spatial dimension of the credit risk: spatial filter approach2017Conference paper (Refereed)
    Abstract [en]

    In this research it was shown that, in general, spatial filter enhance the fit and moderately improve the prediction of the logit credit risk model. It was observed that the fit and prediction results depend on the created weight matrix when using spatial filtering. With the increase of the neighbor links, the prediction by the spatial model increase and slightly outperform the base model. Detected positive autocorrelation indicate the existence of clusters of defaults within geographical area, which could confirm the need for use of spatial filter or other spatial techniques. Also, existence of positive spatial pattern in the credit risk assessment could be taken in consideration by the national banking regulators (central banks) and appropriately treated in the regulation, so that estimated credit risk parameters reflect the true risk condition of the companies and their microeconomic surrounding.

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