DURATION MOMENTS AND YIELD CURVE MOVEMENTS

In this paper we will analyze the relationship between the value and duration moments of a cash flow and movements in the yield curve. We will show that for changes in the yield curve which can be related to tⁿ , the 1st order changes in the net present value of a cash flow are linearly dependent on the n + lth duration moments, and that the 2nd order changes are dependent on the sum of duration moments of order 2 n + 1 and 2 n + 2. We will use this relationship to tilt tracking portfolios so as to protect them against specific changes in the yield curve.     

Asset market hangovers and economic growth: the OECD during 1984-93

Asses prices and investment were unusually weak throughout theindustrial world during the early 1990s. This paper highlightsthis stylized fact, and connects it with another: in most ofthe industrial world, asset markets boomed for several yearsbefore collapsing around 1989. The paper suggests that assetmarket bubbles during the late 1980s may have left the industrialworld with an 'asset market hangover' in the early 1990s, inthe form of sluggish asset markets and investment. Empiricalsupport for this hypothesis is provided based on cross-countrydata for equity and real estate markets in most industrial countries.We suggest that financial market developments not justifiedby fundamentals can substantially affect real activity.     

Rural traffic management: The Burrator Reservoir experiment

The introduction of traffic management schemes has been one response of the National Parks to the problem of ever-increasing car-borne visitors and the consequent damage caused to the rural environment. By reviewing these schemes and by determining and explaining attitudes towards one particular traffic management experiment, the paper aims to deduce lessons for future policy. The analysis, based on two visitor surveys, suggests that the likelihood of success is improved when schemes are integrated, containing both ‘carrot’ and ‘stick’ elements. Since public perceptions are also found to be pivotal to its success, appropriate marketing of a scheme is vital. The paper concludes, however, that to achieve the fundamental objective of greater accessibility with less mobility, a more wide-ranging marketing effort is required intended to engender a sea change in attitude towards both the car and public transport.     

International trade in a differentiated good: Trade elasticities in the world rice market

In many previous rice trade models, the commodity has been regarded as a homogeneous product. However, homogeneity is not an appropriate assumption, given the various types of rice that are traded and consumed. Parameters estimated from these models, therefore, do not reflect the real world market for rice and, hence, may mislead decision makers who use the results for policy evaluation purposes. This study uses an Armington approach to model the world rice trade as a differential good market and to derive trade elasticity parameters.     

Relative Significance of Journals,Authors, and Articles Cited in Financial Research

We evaluate journals based on their relative contributions to top-level finance research in a recent period. Journals are ranked according to the number of citations found in articles published in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Review of Financial Studies. The analysis controls for both the average number of articles and average number of words published annually in each cited journal. We identify the fifty most frequently cited journals during this period. We also list the fifty most frequently cited authors and articles and note topical trends in the research.     

Targeting Conservation Investments in Heterogeneous Landscapes: A Distance-Function Approach and Application to Watershed Management

To achieve an environmental objective at least cost, decision makers must integrate information about spatially variable biophysical and economic conditions. Although the biophysical attributes that contribute to an environmental outcome are often known, the way in which these attributes interact to produce the outcome is often unknown. We introduce a nonparametric conservation targeting approach that relies on distance functions to cost-efficiently allocate conservation funds. We apply the approach empirically to the case of conservation contracting for water-quality objectives. The contract portfolios derived from the application have many desirable properties, including intuitive appeal and robust performance across plausible parametric scoring measures.     

The Elasticity of Marginal Utility of Consumption: Estimates for 20 OECD Countries*

In social project appraisal, the policy profile of both distributional welfare weights and the social discount rate has risen considerably in recent years. This fact has important implications for the allocation of funds to social projects and policies in countries, and in unions of countries such as the EU. A key component in the formulae for both welfare weights and the social discount rate is the elasticity of marginal utility of consumption, e. A critical review of existing evidence on e suggests that the UK Treasury's preferred value of unity is too low. New evidence presented in this paper, based on the structure of personal income tax rates, suggests that, on average, for developed countries e is close to 1.4. This particular approach to the estimation of e has previously been under‐utilised by researchers.