Fisher’s hypothesis,survey-based expectations and asymmetric adjustments: Empirical evidence from South Africa

Our study re-examines Fisher’s hypothesis for the South African economy in the post-inflation targeting era and presents two empirical novelties over preceding works for the same country. Firstly, we examine Fisher effect by making use of survey-based inflation expectations data for financial analysts, business sector, trade unions and households, hence making our study more disaggregate in nature. Secondly, we examine both short-run and long-run asymmetric cointegration effects in Fisher’s relation using the nonlinear autoregressive distributive lag (NARDL) model as an econometric framework. For the full quarterly sample of 2002:01 – 2019:04, our study finds interest rates respond more aggressively to falling expectations than rising ones, with a full Fisher effect found for financial analysts, partial effects for households and business, and no effect for trade unions. However, when the data is split into two sub-samples corresponding to pre- and post-financial crisis periods, we observe changing dynamics in which interest rates respond more aggressively to rising inflation, with partial effects being also found for trade unions. Policy recommendations based on our study are offered.

     

Optimization of Monte Carlo Procedures for Value at Risk Estimates

This paper proposes a methodology which improves the computational efficiency of the Monte Carlo simulation approach of value at risk (VaR) estimates. Principal components analysis is used to reduce the number of relevant sources of risk driving the portfolio dynamics. Moreover, large deviations techniques are used to provide an estimate of the minimum number of price scenarios to be simulated to attain a given accuracy. Numerical examples are provided and show the good performance of the methodolgy proposed.
(J.E.L.: C15, G1).     

Economic valuation of biodiversity: A comparative study

In recent years, an intensive debate on the economic valuation of biodiversity has entered the environmental-economics literature. The present paper seeks to offer first a critical review of key concepts that are essential for a proper understanding of such evaluation issues. Particular attention is given here to various monetary valuation approaches and to comparative (i.e., meta-analytical) methods from the perspective of conservation and sustainable use of biodiversity. Several illustrative examples are presented in order to highlight the usefulness of the various approaches discussed. Next, an attempt is made to infer general findings and lessons from past applied research by means of meta-analysis. In this context, a multi-dimensional technique originating from the field of artificial intelligence is deployed. It allows us to identify the most important variables responsible for changes in economic estimates of biodiversity.     

The measure of blocking coalitions in differential information economies

We provide an evaluation of the measure of privately blocking coalitions in differential information economies. In the case of atomless economies, it is proved that for a Pareto optimal allocation that is not a Walrasian expectations equilibrium, to any symmetric profile there corresponds a ball such that "almost half” of the profiles it contains are privately blocking. Analogous results are proved in the case of finite differential information economies for generalized coalitions and social coalition structures. From a different point of view, the paper can be considered as a contribution showing private core equivalence theorems under restrictions on coalition formation. We thank an anonymous referee for observations and comments improving an earlier version of the present paper.     

University-Business Cooperation in Education： Real and Perceived Performances

The purpose of this paper is to describe and demonstrate the validity of a methodology to distinguish, in the performances of high education institutions （HEIs）, real from perceived performances. The extension of accountability to the evaluation of educational programs involves significant topics concerning the gap between perceived and real performances. It means that, since many actors such as teachers, students, and external stakeholders are involved in the process, the research on methodologies to distinguish subjective from objective parameters is still on the floor. Debate about performance evaluation in this collaboration is still in progress particularly as it concerns the proposal of several parameters and indexes to quantify the topic and reduce the subjectivism in the assessment and the gap between real and perceived performances. After describing and discussing an evaluation model based on three interdependent typologies of indexes, this will be tested in two Tempus projects having the purpose of activating Ph.D. and masters courses. The results encourage deepening researches in this direction and disseminating this methodology and extending and enriching the validation process.     

Applying Wand and Weber's Surface and Deep Structure Approaches to Financial Reporting Systems

Wand and Weber's fundamental premise is that ‘a physical‐symbol system has the necessary and sufficient properties to represent real‐world meaning’. Their representation of real‐world meaning flows from three possible information system models: representational, state‐tracking and de‐compositional. We address these three types of information system in the context of financial reporting systems and we use purchased goodwill and other intangible assets to selectively critique their characteristics. The principle feature of this critique is the comparison that is made throughout the paper between an economic and an artefactual (physical‐symbol) representation of assets, particularly the intangible ones, in the financial reporting domain.     

A methodology for evaluating transit service quality based on subjective and objective measures from the passenger’s point of view

In this paper a methodology for measuring transit service quality is proposed. The methodology is based on the use of both passenger perceptions and transit agency performance measures involving the main aspects characterizing a transit service. The combination of these two types of service quality measurement fulfils the need to provide a reliable as possible measurement tool of the transit performance. Considering passenger perceptions is fundamental because the customer's point of view is very relevant for evaluating the performance of a transit service. At the same time, the use of a more objective measurement provided by the transit agency can be a useful solution for obtaining a more comprehensive service quality measurement. The proposed procedure is applied to a real case study of a suburban bus line; a series of subjective and objective indicators are calculated on the basis of users’ perception about the service and measurements provided by the transit agency.     

Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

In this paper we develop simulation techniques in order to evaluate single and double barrier options with general features. Our method is based on Sharp Large Deviation estimates, which allow one to improve the usual Monte Carlo procedure. Numerical results are provided and show the validity of the proposed simulation algorithm.     

Core and equilibria in coalitional asymmetric information economies

We study coalitional economies under uncertainty and asymmetric information, assuming a finitely additive measure space of agents and finitely many possible states of nature. We introduce a suitable core notion showing that it is equivalent to Walrasian expectations equilibria. The finitely additive approach proposed in the paper permits also asymmetric information economy with countably many agents, rather than requiring only a continuum. Moreover, it allows us to overcome well-known criticisms related to the interpretation of individual private core notions.