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This paper uses micro data on property advertisements published in widely circulated newspapers and online to construct residential price indices for Cyprus. The sample covers the period from 2000Q1 to 2018Q2 and contains information on various property characteristics (e.g. property type, size, location). A regression model is estimated using rolling samples of 12, 20 and 40 quarters. We obtain six sub-aggregate price indices, i.e. for houses and flats located in the districts of Nicosia, Limassol, and in the remaining districts. Using the six sub-aggregate indices, we construct five aggregate price indices, i.e. for (i) houses, (ii) flats, (iii) Nicosia district, (iv) Limassol district, and (v) other districts, as well as an overall property price index for Cyprus. The estimated price indices are juxtaposed with other available property price indices in Cyprus, namely the indices published by the Central Bank, Eurostat, and the Royal Institution of Chartered Surveyors, as well as with a number of macroeconomic indicators relating to the property market. The indices constructed in this paper tend to be associated with slightly larger quarterly percentage changes (higher growth and smaller contraction) compared to similar indices over common periods. The resulting indices are significantly correlated with the corresponding property price indices published by other organisations, and their agreement in the direction of quarterly changes is high. The estimated indices are found to contain leading information vis-à-vis other property price indices, particularly in the case of flats and the district of Limassol. Also, the estimated indices are highly correlated with many key macroeconomic variables, with the results suggesting that the former may lead developments in some macroeconomic series. The properties of the proposed indices together with their timely nature in terms of data availability could make them a useful tool for monitoring the evolution of property prices as well as macroeconomic developments in Cyprus. The estimation of sub-aggregate indices provides information on the key drivers (types, districts) of fluctuations in the domestic property market. As the proposed indices are model-based, the statistical significance of quarterly changes can be computed and confidence intervals can be constructed around these changes to provide an informed depiction of property price fluctuations

This paper uses micro data on property advertisements published in widely circulated newspapers and online to construct residential price indices for Cyprus. The sample covers the period from 2000Q1 to 2018Q2 and contains information on various property characteristics (e.g. property type, size, location). A regression model is estimated using rolling samples of 12, 20 and 40 quarters. We obtain six sub-aggregate price indices, i.e. for houses and flats located in the districts of Nicosia, Limassol, and in the remaining districts. Using the six sub-aggregate indices, we construct five aggregate price indices, i.e. for (i) houses, (ii) flats, (iii) Nicosia district, (iv) Limassol district, and (v) other districts, as well as an overall property price index for Cyprus. The estimated price indices are juxtaposed with other available property price indices in Cyprus, namely the indices published by the Central Bank, Eurostat, and the Royal Institution of Chartered Surveyors, as well as with a number of macroeconomic indicators relating to the property market. The indices constructed in this paper tend to be associated with slightly larger quarterly percentage changes (higher growth and smaller contraction) compared to similar indices over common periods. The resulting indices are significantly correlated with the corresponding property price indices published by other organisations, and their agreement in the direction of quarterly changes is high. The estimated indices are found to contain leading information vis-à-vis other property price indices, particularly in the case of flats and the district of Limassol. Also, the estimated indices are highly correlated with many key macroeconomic variables, with the results suggesting that the former may lead developments in some macroeconomic series. The properties of the proposed indices together with their timely nature in terms of data availability could make them a useful tool for monitoring the evolution of property prices as well as macroeconomic developments in Cyprus. The estimation of sub-aggregate indices provides information on the key drivers (types, districts) of fluctuations in the domestic property market. As the proposed indices are model-based, the statistical significance of quarterly changes can be computed and confidence intervals can be constructed around these changes to provide an informed depiction of property price fluctuations.

Εconomic Research Center Publication The aim of this paper is to apply single equation dynamic models together with information from a large dataset of predictors in the construction of short-term growth forecasts for the production-side components of the national accounts, i.e. Gross Value Added of sectors, and import duties plus Value Added Tax. To summarise the information content in a large number of predictors, we employ techniques such as common factors and forecast combinations. Aggregate and component forecasts are computed under two approaches to forecasting GDP growth, namely a direct and a bottom-up approach. In the direct approach, unconstrained models for GDP growth are estimated to compute forecasts for the aggregate, while constrained component models are used to obtain the disaggregate forecasts, which add up to the GDP growth forecasts computed directly. In the bottom-up approach, unconstrained component models are estimated to compute growth forecasts for the components as well as for GDP growth by adding up the unconstrained component forecasts. The performance of aggregate and disaggregate forecasts from the two approaches is assessed via pseudo outof-sample exercises. The results show that the use of macroeconomic and financial predictors improves on the accuracy of the naïve forecasts for most production-side components and the aggregate, under both the direct and bottom-up approaches. GDP growth forecasts from the direct approach are somewhat superior to those from the bottom-up approach. Both approaches result in gains in forecasting growth in industry, construction, trade, financial activities and duties. In the sector of professional services gains are limited for both constrained and unconstrained forecasts. In the sectors of agriculture and public administration, education and health, neither the unconstrained models nor the constrained sectoral models significantly improve on the naïve benchmark. Compared to the unconstrained component forecasts, gains attained through constrained forecasts are slightly lower, but more widespread across components and horizons.

This paper describes the sampling methods and estimation techniques employed by the Economics Research Centre (CypERC) for the construction of property price indices for Cyprus. More specifically, the research described here aims at enhancing the existing knowledge on property price behaviour in Cyprus by: (a) building a new database, using newspaper advertisements of monthly prices and related information about various types of property (houses, flats, plots, etc.) in different districts of Cyprus over the post2000 period; (b) developing models for the estimation of property price indices that can provide a measure of the quarterly change in property prices, together with an assessment of the reliability of this measure. This paper revises the estimation methodology in Karagiannakis et al. (2015) to take into account the effects of different data sources on property prices.

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10 77 109 77-109

In spite of major advances in the theoretical, positive and normative, literature analysing the welfare implications of public provision of private goods, empirical investigation is often limited to contingent valuation studies, for example, of health care programmes. In this article we argue that when a market for a (subsidised or free of charge) publicly provided good exists, a consumer demand approach can be used to construct a money metric of welfare corresponding to the consumption of public provision. We illustrate this approach in investigating age and income effects on household demand for health care in Cyprus, where free public provision is not universal and those entitled to it often resort to private supplementation. Our findings suggest that the money metric of welfare, which consumers attach to free access to publicly provided health care, varies with age and to a lesser extent with household income.

8 93 119 93-119

"The European Union's energy and climate policy package is expected to cause an increase in end-user prices of electricity and fuels. This paper assesses the distributional effects of these price increases in Cyprus by specifying and estimating a consumer demand system with price heterogeneity between households. This novel method allows obtaining robust parameter estimates even when household expenditure surveys are limited, as is the case in many European countries. The empirical analysis is conducted both conditional on energy-related household characteristics and unconditionally. We then use the estimated demand system to conduct welfare analysis. We find that the rise in energy prices results in welfare losses of EUR 101 per household (in 2009 prices) in year 2020, or a nationwide welfare loss of more than EUR'2009 33 million. Price increases will be regressive and will affect small and urban households more strongly than the rest of the population. Furthermore, we find that the largest proportion of welfare loss is due to loss of household's income purchasing power caused by higher energy prices, while the changes in relative prices induce deadweight loss which is a small part of welfare loss because of the limited substitutability of energy with other goods."–Editor.

7 3 24 3-24

A consumer demand-based approach is proposed for estimating the shadow price of education relative to housing for households with children in state schools. This approach can be used together with or in place of a hedonic approach in countries in which the location of households is not disclosed in publicly available data. An empirical illustration is provided using UK data from the family expenditure surveys.

5 71 85 71-85

4 47 61 47-61

1 51 72 51-72

We investigate analytically and via Monte Carlo simulations the effects of the inclusion of irrelevant variables in the statistical model, on the cointegration analysis of Johansen (1988, 1991). We show that overspecifying the statistical model does not affect inference about the cointegrating rank, as Johansen (1996, p. 42) suggests. Estimators of the cointegrating vectors and adjustment coefficients remain consistent, but efficiency is affected for the cointegrating vectors. Simulations show that overspecifying the statistical model can considerably reduce the power of tests of cointegrating rank. Keywords; cointegration, misspecification, irrelevant variables, asymptotics, monte carlo

This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991). We show that underspecification of the statistical model leads to either failure in detecting cointegration or underestimation of the cointegrating rank. Although in the underspecified statistical model the estimator of the detected cointegrating vectors is shown to be consistent, this is not the case for the estimators of the adjustment coefficient matrix and the variance of the error term. The asymptotic analysis is supplemented by a Monte Carlo experiment and an empirical example. Keywords; cointegration, omitted variables, asymptotics, Monte Carlo