The effect of investors’ confidence on monetary policy transmission mechanism: A Multivariate GARCH approach

This paper investigates the financial stability’s effect on the monetary policy transmission mechanisms. The correlations between investors’ confidence in the markets, money growth and economic growth are analyzed along with the correlations within their volatilities. Specifically, the heteroskedasticity of the errors is exploited in a Multivariate GARCH framework to obtain endogenously estimated measures of uncertainty. By a two-step estimator, the indirect interplay of money growth and financial markets is highlighted at different time horizons. The results contrast previous literature supportive of the “Great Moderation” as causing the recent financial crisis. Effectively, by accounting for the breaks in volatility series due to structural shifts in monetary policy, a low period of macroeconomic volatility is found not to drive directly low financial stability.     

Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution in two distinct ways that are both suitable for the use of optimization algorithms. The first method is valid in the general multivariate case and is based on Bernstein copulas that are dense in the set of all copula functions. The second one is easier to work with but is only valid in the bivariate case. It relies on results about improved Fréchet–Hoeffding bounds in presence of additional information. For both methods, details of implementation steps and empirical applications are provided.     

Half-day trading and spillovers

This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional correlation (DCC) and asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two markets. The empirical results show that there are only unidirectional return spillovers from the U.S. stock market to the Chinese stock market. The U.S. stock market has a consistently positive spillover to China’s next day’s morning trading, but its impact on China’s next day’s afternoon trading appears to be insignificant. This finding implies that information in the U.S. stock market impacts the performance of the Chinese stock market differently in distinct semi-day trading. Moreover, with respect to the volatility, there are significant bidirectional spillover effects between these two markets.     

Delineating boundaries of social-ecological systems for landscape planning: A comprehensive spatial approach

An increasing number of studies demonstrate the need of applying a social-ecological system approach for landscape planning. However, there is a lack of empirical research that operationalizes the concept of social-ecological system for landscape planning through the characterization of social-ecological interactions. In this study, we develop a methodological framework to delineate the boundaries of social-ecological systems and to characterize their main social-ecological units in a spatially explicit way. Social-ecological units represent the interactions between the biophysical and socio-economic sub-systems at local scale. The methodology is structured in four phases: (1) ecological regionalization, i.e. identification and mapping of consistent ecological units based on biophysical variables; (2) socio-economic regionalization, i.e. identification and mapping of homogeneous groups of municipalities based on socio-economic variables; (3) identification of social-ecological systems boundaries and characterization of social-ecological units; and (4) validation of the social-ecological systems boundaries with key informants through participatory mapping. By applying the proposed methodological framework to three different Mediterranean cultural landscapes, we define the boundaries of social-ecological systems and illustrate how social and ecological sub-systems interact at local scale. We conclude that the proposed methodological framework is useful to operationalize the concept of social-ecological systems in landscape planning.     

Differentiating peri-urban areas: A transdisciplinary approach towards a typology

Peri-urban areas have no clear boundaries, both in geographic and conceptual terms. This paper presents a transdisciplinary approach for the identification of typologies of peri-urban areas and applies it to the Lisbon Metropolitan Area (LMA), Portugal. It is based on the assumptions that more than one type of peri-urban region around an urban core can exist, and that a transdisciplinary approach, linking the physical, economic, social and personal aspects, is needed to capture the intrinsic variability and the complexity of the peri-urban character. The approach is based on four sequential steps: (i) identifying the important peri-urban dimensions to be considered, based on expert-knowledge and stakeholder perspectives; (ii) defining a set of indicators for each dimension; (iii) summarizing redundant information for each dimension; and (iv) applying cluster analysis to identify typologies of peri-urban. This approach was applied to the 211 parishes comprised in the LMA. Seven types of parishes were identified, of which two can be considered urban and five peri-urban, although with quite distinct features. This approach has the potential to be applied to other metropolitan regions, and the resulting peri-urban (and urban) typologies can contribute to a better understanding of the peri-urban character, and to a more targeted implementation of planning and management strategies taking into consideration the diversity and specificities of each peri-urban type.     

The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach

It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our perception of the global performance of fund managers compared with the unconditional approach and the conditional approach based on instruments. We find strong evidence that the multivariate GARCH method makes mutual fund performance looks better relative to the existent approaches, but this improvement in the global performance does not mean necessarily that mutual funds outperform traditional benchmarks. Indeed, mixed mutual funds yield neutral performance relative to benchmarks, whereas bond mutual funds generate significant positive global coefficients. The strong performance of bond fund managers comes from their ability to pick profitable bonds, not from their ability to time the market. Also, the empirical tests highlight that the best (worst) bond funds in the past remain at the top (bottom) of the ranking in the following years. These findings suggest that the Tunisian bond market presents strong opportunities for sophisticated investors.     

A GIS-based methodological framework to characterize the Resource Management Domain (RMD): A case study of Mewat district,Haryana, India

Resource Management Domains (RMD) represent a way to characterize land units, based on biophysical and socioeconomic characteristics. This concept has been applied to delineate and characterize sustainable land units for agricultural use in the Mewat District of Haryana, India. A GIS-based framework was conceptualized to characterize RMD and appropriate biophysical and socioeconomic parameters were identified based on local conditions and expert opinion. The biophysical characteristics of the region were represented by soil (soil erosion and fertility) and groundwater (groundwater quality, potential and vulnerability) parameters. Population density, landholding, cropping pattern, irrigation source, fertilizer type, sprinkler density, tubewell type and tractor density were considered for socioeconomic characterization. Each of these parameters was modelled and mapped using well established methods The biophysical and socioeconomic parameters were integrated using a multivariate clustering method. The integration modelling results in the delineation of the region into seven RMDs, which were validated with two focus group discussions (FGD) in each of the RMD’s. The correlation between the RMD modelling results and the FGD was found to be more than 90% in five RMDs and 65% and 39% in the remaining two RMDs respectively. The result was also validated with feedback from the local administrative authorities. The study charts a sound basis for policy makers for taking the necessary steps to address location-specific differential agricultural needs in any region.     

新农村法治进程中多元纠纷解决机制建设的模式

我国农村纠纷解决机制的建设和我国社会“转型期”一样将经历一段较为漫长的进程，不可能一蹴而就。现阶段，在坚持以人为本、维护公共利益的价值取向下，需要通过以国家主导为重点、社会参与为辅的多元治理格局来推动农村多元纠纷解决机制建设。     

Volatility transmission patterns and terrorist attacks

The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the financial market responses to the terrorist attacks. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impacts that terrorist attacks had on both markets.     

Analysis of ruin measures for the classical compound Poisson risk model with dependence

In this paper, we consider an extension to the classical compound Poisson risk model. Historically, it has been assumed that the claim amounts and claim inter-arrival times are independent. In this contribution, a dependence structure between the claim amount and the interclaim time is introduced through a Farlie–Gumbel–Morgenstern copula. In this framework, we derive the integro-differential equation and the Laplace transform (LT) of the Gerber–Shiu discounted penalty function. An explicit expression for the LT of the discounted value of a general function of the deficit at ruin is obtained for claim amounts having an exponential distribution.