The reaction of emerging market credit default swap spreads to sovereign credit rating changes

This paper examines the effect of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies’ CDS premiums. We find that positive events have a greater impact on CDS markets in the two-day period surrounding the event, and are more likely to spill over to other emerging countries. Alternatively, CDS markets anticipate negative events, and previous changes in CDS premiums can be used to estimate the probability of a negative credit event. The transmission mechanisms for positive events are the common creditor and competition in trade markets.     

Increasing Water Security: An Algorithm to Improve Water Distribution Performance

Water Distribution Systems (WDSs) are indispensable infrastructures for urban societies. Due to vitality of continuous supply of drinking water in urban areas, it is necessary to have a performance evaluation and monitoring system to provide the expected level of security in water distribution systems. A main weakness point of these systems is the physical break of pipes which results in high level of water loss, pollution risk and public unsatisfactory. In this study, a framework is developed to increase physical water supply security in urban areas. For this purpose, a physical vulnerability index (PVI) is developed for evaluation of physical statues of water mains. In quantifying PVI, pipe characteristics and bedding soil specifications are considered. The importance of these factors on PVI is determined using Analytical Hierarchy Process (AHP). In system performance evaluation, the pipe role in system performance is incorporated regarding pipe location in WDS, distance of pipe from reservoir and average pressure of pipe. Then, System Physical Performance Index (SPVI) is evaluated. An optimization algorithm is employed to determine ways to improve the system performance through enhancing the physical condition of the pipe in the system at a minimum cost. The genetic algorithm is employed for solving the optimization model. A global sensitivity analysis method named FAST, is used for sensitivity analysis to incorporate the correlation between different parameters in analysis. The proposed framework is applied to a case study located in Tehran metropolitan area. The results of this study show the significant value of the proposed algorithm in supporting decision makers to better choose vulnerable pipes for rehabilitation practices in order to decrease system vulnerability against physical failures.     

Use of average data of 181 synoptic stations for estimation of reference crop evapotranspiration by temperature-based methods

Evapotranspiration has a highlighted role in agricultural and forest meteorology researches, hydrological cycle, irrigation scheduling, and water resources management. There are many models to estimate the evapotranspiration including mass transfer, radiation, temperature, and pan evaporation-based models. This study aims to compare temperature-based models to detect the best model under different weather conditions. For this purpose, weather data were gathered from 181 synoptic stations in 31 provinces of Iran. The evapotranspiration was estimated using 11 temperature-based models and was compared with the FAO Penman-Monteith model. The results showed that the Modified Hargreaves-Samani models estimate the evapotranspiration better than other models in the most provinces of Iran (25 provinces). However, the values of R² were less than 0.98 for 15 provinces of Iran. Therefore, the models were calibrated and preciseness of estimation was increased. However, the estimation was improved only in 14 provinces. The new temperature-based models estimated the evapotranspiration in the eastern (RK, NK, SB, and KE) provinces of Iran (with a various temperature range 14–20 °C) better than other provinces. The best precise methods were the Modified Hargreaves-Samani 1 method for AL (before calibration) and the Modified Hargreaves-Samani 3 method for KE (after calibration). Finally, a list of the best performance of each model has been presented to use other regions and next researches according to values of mean, maximum, and minimum temperature, elevation, minimum and mean relative humidity, sunshine, precipitation, and wind speed. The results are also useful for selecting the best model when we must apply temperature-based models because of type of available data.     

Return generating processes of long-term bonds and measurement of risk: Theory and empirical tests

Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its covariance with changes in prices of long-term bonds. The present paper first extends the above result to a discrete time framework and shows that there are significant differences between the continuous time and discrete time versions of the model. Second, we test an empirical implication of this result; the evidence supports the theoretical model.     

Comparison of Two Different Adaptive Neuro-Fuzzy Inference Systems in Modelling Daily Reference Evapotranspiration

This study compares two different adaptive neuro-fuzzy inference systems, adaptive neuro-fuzzy inference system (ANFIS) with grid partition (GP) method and ANFIS with subtractive clustering (SC) method, in modeling daily reference evapotranspiration (ET ₀ ). Daily climatic data including air temperature, solar radiation, relative humidity and wind speed from Adana Station, Turkey were used as inputs to the fuzzy models to estimate daily ET ₀ values obtained using FAO 56 Penman Monteith (PM) method. In the first part of the study, the effect of each climatic variable on FAO 56 PM ET ₀ was investigated by using fuzzy models. Wind speed was found to be the most effective variable in modeling ET ₀ . In the second part of the study, the effect of missing data on training, validation and test accuracy of the neuro-fuzzy models was examined. It was found that the ANFIS-GP model was not affected by missing data while the test accuracy of the ANFIS-SC model slightly decreases by increasing missing data’s percent. In the third part of the study, the effect of training data length on training, validation and test accuracy of the ANFIS models was investigated. It was found that training data length did not significantly affect the accuracy of ANFIS models in modeling daily ET ₀ . ANFIS-SC model was found to be more sensitive to the training data length than the ANFIS-GP model. In the fourth part of the study, both ANFIS models were compared with the following empirical models and their calibrated versions; Valiantzas’ equations, Turc, Hargreaves and Ritchie. Comparison results indicated that the three-and four-input ANFIS models performed better than the corresponding empirical equations in modeling ET ₀ while the calibrated two-parameter Ritchie and Valiantzas’ equations were found to be better than the two-input ANFIS models.     

Optimal Design of Concrete Canal Section for Minimizing Costs of Water Loss,Lining and Earthworks

Canal section design with minimum cost, which can be considered as an objective function, involves minimization of total costs per unit length of the canal, including direct costs of per cubic meter earthworks and per meter canal lining and indirect costs of water losses through canal seepage and evaporation. Since the costs (both direct and indirect) are associated with the canal geometry and dimensions, it is possible to lower them by optimization of the mentioned objective function. For this purpose, some constraints were subjected and considered to solve the problem. Flow discharge, as the main constraint, was considered in addition to the minimum permissible velocity and Froude’s number, as subsidiary constraints. MATLAB programming software was used to demonstrate and run the optimization algorithm. The results finally were illustrated in forms of dimensionless graphs, which simplify the optimum design of canal dimensions with minimum cost per meter length. Comparing the results with other similar studies, however show the importance and role of earthworks and lining costs, as well as including the subsidiary constraints in the optimization process.     

Modelling Energy Dissipation Over Stepped-gabion Weirs by Artificial Intelligence

The hydraulics of energy dissipation over stepped-gabion weirs is investigated by carrying out a series of laboratory experiments, building models to explain the experimental data, and testing their robustness by using the data reported by other researchers. The experiments comprise: six different stepped-gabion weirs tested in a horizontal laboratory flume, a wide range of discharge values, two weir slopes (V:H): 1:1 and 1:2, and gabion filling material gravel size (porosity equal to 38 %, 40 % and 42 %). These experimental setups were selected to ensure the development of both the nappe and skimming flow regimes within the measured dataset. The models developed for computing energy dissipation over stepped-gabion weirs comprise: multiple regression equations based on dimensional analysis theory, Artificial Neural Network (ANN) and Gene Expression Programming (GEP). The analysis shows that the measured data capture both flow regimes and the transition in between them and above all, and by using all of the data, it may be possible to identify the range of each regime. Energy dissipation modelled by the ANN formulation is successful and may be recommended for reliable estimates but those by GEP and regression analysis can still serve for rough-and-ready estimates in engineering applications.     

Effect of vegetated-banks on local scour around a wing-wall abutment with circular edges

Failure of bridges due to local scour in the vicinity of bridge abutments is a common occurrence. In this study, experiments under two different channel conditions were conducted to assess the impacts of vegetation on channel banks on local scour around a wing-wall abutment with circular edges. Some experiments were conducted in channel with vegetation on channel banks, and other experiments in channel without vegetation on channel bank. The flow velocity and Reynolds stress distributions in scour holes around a wing-wall abutment with circular edges were compared under these 2 different channel conditions. Results reveal that the vegetated-banks can reduce the time for achieving the equilibrium condition from 17 h to 9 h. Also, vegetated-bank channels can result in a significant decrease in the maximum scour depth from 0.084 m（for bare channel bank） to 0.00032 m. Additionally, around the abutment, vegetated-banks play a significant role in diminishing the Reynolds stress（RS） near the bed and removing negative values in RS distribution by weakening unfavorable pressure gradient and down-flow in the upstream of abutment.     

AN APPLICATION OF ACTIVITY BASED COSTING IN THE AIR CONDITIONER MANUFACTURING INDUSTRY

AIRCO is a manufacturer of industrial air conditioner units whose management is concerned that their current traditional cost accounting (TCA) system is not accurately representing their product cost behavior. Under certain operating conditions, an activity based costing (ABC) system can provide relevant and accurate indirect cost information that assists in making customer, product, and process improvement decisions. An ABC system was successfully developed for AIRCO that indicated that their products do not consume overhead costs on a volume basis as represented by their current TCA system. Valuable product and process information were obtained. This case study details the development process that was used and the results that were obtained during the ABC analysis.     

Identification of Trend in Reference Evapotranspiration Series with Serial Dependence in Iran

Monitoring the temporal variations of reference evapotranspiration (ET_o) and quantifying any trends offer valuable information for regional hydrology, agricultural water requirements and water resources management. This study aimed to examine the temporal trends in the Penman–Monteith ET_o in the west and southwest of Iran by using the Kendall and Spearman tests after eliminating the influence of significant lag-1 serial correlation from the ET_o time series. The magnitudes and starting years of significant ET_o trends were determined by the Mann-Kendall rank statistic and the Theil–Sen’s estimator, respectively. For the study period of 1966–2005, a significant positive lag-1 serial correlation coefficient was observed at almost all the stations. The existence of the positive serial correlation in the ET_o series increased the possibility of the Kendall and Spearman tests to reject the null hypothesis of no trend while it is true. It was found that the Kendall test was more sensitive than the Spearman test to the existence of the positive serial correlation in the ET_o series. After removing the serial correlation effect with pre-whitening method, only three significant increasing ET_o trends were obtained at Khorram-Abad, Shahrekord and Zanjan stations at the rates of 0.16, 0.06 and 0.06 mm/day per decade, respectively. The significant increasing ET_o trends of Khorram-Abad, Zanjan and Shahrekord stations started in 1997, 1994 and 1998, respectively. The stepwise regression method showed that wind speed was the most dominating variable affecting on the significant changes of ET_o.