Comparing the Effectiveness of Traditional and Time Varying Hedge Ratios Using New Zealand and Australian Debt Futures Contracts

We apply cointegration methodology to the New Zealand and Australian 90-day, three-year and 10-year debt and futures markets. We compare traditional methods of calculating hedge ratios with those computed by using univariate and multivariate error correction models. We use out-of-sample forecasting to determine which approach is the most effective. Contrary to recent research, our results show that univariate and multivariate error correction models do not outperform more traditional methods of constructing hedges.     

Exchange Rate Uncertainty and Agricultural Trade

Using a sample of bilateral trade flows across ten developed countries between 1974 and 1995, this article explores the effect of exchange rate uncertainty on the growth of agricultural trade as compared to other sectors. Based on a gravity model that controls for other factors likely to determine bilateral trade, the results show that real exchange rate uncertainty has had a significant negative effect on agricultural trade over this period. Moreover, the negative impact of uncertainty on agricultural trade has been more significant compared to other sectors.     

Dynamic Relationship between Housing Values and Interest Rates in the Korean Housing Market

The goal of this study is to identify the long-term relationship between housing values and interest rates in the Korean housing market, using the cointegration test and spectral analysis. The result shows a long-term negative (–) equilibrium relationship between housing values and interest rates. Moreover, the Granger causality test for confirming the short-term dynamic relationship between these variables shows one-way causality from interest rate to the growth rate of housing values, while the transfer function model demonstrates concretely the causal structure of this relationship. These findings suggest that the interest rate adjustment policy in the Korean housing market can work very effectively and will contribute to forecasting the growth rate of future housing values. This study was supported from the 2003 Daegu University Research Fund     

Do Share Buybacks Provide Price Support? Evidence From Mandatory Non-Trading Periods

Abstract:  Financial regulators, analysts and journalists have expressed concern that open market share repurchases may help support share prices. We test this conjecture by examining repurchasing firms' share price patterns on entering mandatory non-trading periods imposed by the London Stock Exchange. If buybacks provide price support, we would expect to observe price declines when trading bans force firms to suspend their buyback program. Consistent with claims that open market buybacks provide price support, we document average price declines when repurchasing firms enter mandatory non-trading periods. We also find that the magnitude of the price decline varies cross-sectionally with proxies for the price support impact of repurchases in the predicted manner. However, economic and statistical significance levels are moderate and largely confined to non-trading periods preceding interim results announcements, casting doubt on whether trading profits could be earned by exploiting this information.     

The impact of oil prices on income and energy

The major determinant of real income growth in Korea is real oil prices, followed by money supply, exchange rates, energy consumption, and government spending. Over the longer horizon, the effects of exchange rates, oil prices, government spending, and money supply become more pronounced. For energy consumption, the most important factor is oil prices, followed by exchange rates, government spending, money supply, and income. For the association between energy consumption and real income, energy consumption influences real income growth only through energy consumption, while real income affects energy consumption only through the error correction term. The findings of the study thus suggest that the level of economic activity and energy consumption mutually influence each other.     

Locating the Urban In‐between: Tracking the Urban Politics of Infrastructure in Toronto

In the urban studies literature, urban politics is usually considered in two distinct locations: the city (often understood in quite conventional centralist ways) and the suburb (understood as spatially peripheral and politically at odds with the central city). At the metropolitan scale, the two types of urban politics are discussed in relation to one another. More recently, the metropolitan scale of urban politics has been expanded to regional dimensions. We pose the question of location of urban politics from a specific deficit in the geography of centre, suburb and metropolis. We argue that in today's regional political socio‐spatiality, politics will have to be found ‘in‐between’ the old lines of demarcation. Following Tom Sieverts' (2003) advice to look at the ‘in‐between’ cities that are neither old downtown nor new suburb but complex urban landscapes of mixed density, use and urbanity, we reveal the political vacuum that is at the heart of the urban region today. Using the politics of infrastructure in Toronto as our empirical example, we will show that vulnerabilities and risks for urban populations in that Canadian metropolis' in‐between city are co‐generated by the failure of conventional political spaces and processes to capture the connectivities threaded through those places that are in‐between the centre and exurbia.     

Changing corporate culture over time in South Korea

Corporate culture change is an interesting topic, not least since cultures are often seen as deeply ingrained and slow moving. Here we look at the example of the large, diversified conglomerates in South Korea – the chaebol. This is partly because of their strong corporate cultures, importance in the country's economic development and growth and growing public and political backlash against what are seen as overly powerful institutions. We find that over the decade from one crisis, the 1997 Asian financial crisis, to the next, the 2008 global financial crisis, there has indeed been change between and within chaebol corporate cultures. However, this is not as straightforward as it seems and the situation in and after 2011 has become even more complex, mainly due to changes in the global environment.     

Foreign Direct Investment and Income Inequality in Southeast Asia: a Panel Unit Root and Panel Cointegration Analysis, 1990–2013

This paper examines the relationship between foreign direct investment (FDI) and income distribution in the host country as measured by the Gini coefficient. After providing some background and reviewing the extant literature, it undertakes a panel unit root and cointegration analysis that tests whether FDI has a non-linear impact on income inequality in seven selected Southeast Asian countries over the period 1990 to 2013. The paper finds strong evidence for panel cointegration using the Pedroni Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) tests. Thus, it proceeds to utilize the group-mean fully modified ordinary least squares (FMOLS) procedure to generate long-run estimates that are unbiased and consistent. The FMOLS estimator is also extremely accurate even in panels with very heterogeneous serial correlation dynamics, fixed effects, and endogenous regressors. The results confirm the hypothesis that FDI inflows tend to raise income inequality in the short run but reduce it in the long run. In this study, the Gini index starts decreasing after FDI inflows as a percentage of GDP reaches 5.6. The fact that the Gini coefficient reaches its maximum at a relatively low level of FDI inflows suggests that sample countries are endowed with substantial absorptive capacity. In other words, they will shift into the new technological paradigm quickly, thus supporting pro-globalization claims that, on balance, FDI is more beneficial than harmful.     

Elliptical tempered stable distribution

Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its characteristic function, which involves a unique spectral measure. This definition provides a framework for creating a connection between the infinite divisible distribution (in particular the ETS distribution) with fractional calculus. In addition, a definition for the ETS copula is discussed. A simulation study shows the accuracy of this definition, in comparison to the normal copula for measuring the dependency of data. An empirical study of stock market index returns for 20 countries shows the usefulness of the theoretical results.