Macroeconomic variables and the sovereign risk premia in EMU,non-EMU EU,and developed countries

This project studies and models key macroeconomic variables and their impact on sovereign risk premia across select European economies and developed countries. The sample is divided into three groups of countries: those in the European Monetary Union (EMU); the standalone economies outside the EMU but members of the broader European Union (EU); and other developed economies. The main subject of examination across all three groups is the impact of macroeconomic variables on sovereign borrowing costs. EU countries have experienced high financial stress and a rapid rise in the credit default swaps (CDS) spreads during the EMU debt crisis. A nonlinear vector smooth transition autoregressive model is applied to investigate such a regime change in the finance-output link using sovereign CDS and industrial production index. The paper finds that regime-switching takes place rather suddenly in most EMU countries. The study concludes that due to the potential spillover effects in the EU as a whole, the individual country macroeconomic indicators were less reflected in the financial stress and spillover and contagion effects became dominant.     

Renewable versus nonrenewable resources: an analysis of volatility in futures prices

This study outlines a new approach for differentiating commodity futures based on their exhaustibility. Various aspects of volatility in the futures prices of renewable resources (palm oil, coffee, soya beans, rice, wheat and corn) and nonrenewable resources (zinc, aluminium, natural gas, gold, crude oil and copper) are studied, exploring whether volatility is greater in the former than in the latter. We use a generalised autoregressive conditional heteroskedasticity (GARCH) model to test our main hypothesis that the volatility in futures prices for renewable resources has recently been equal to or greater than the volatility in futures prices for nonrenewable resources. Our key findings suggest that futures prices for some renewable resources have greater variance than those for benchmark crude oil in a simulated GARCH series. We extend our analysis using a nonlinear vector smooth transition autoregressive (VSTAR) model to test for the existence of a shifting‐mean tendency in the commodity series that we researched. We show that transition from a stable to a volatile regime is more abrupt for renewable resources.     

A Framework for a Dynamic Organizational Memory Information System

Organizational memory information systems (OMIS) implement important aspects of organizational memory with the aim of enhancing organizational effectiveness. We propose a 3-layered framework for a dynamic OMIS. The framework consists of a pragmatic layer to support the actual activity, a conceptual layer to store the concepts inherent in that activity, and a process layer to store the experience of performing that activity. Both the conceptual and process layers represent organizational memory repositories in the form of respective models. The implementation of OMIS assumes that any activity is the instantiation of relevant conceptual and process models and includes the reuse of knowledge stored in association with those models. In this way, organizational memory is always mapped to current activity, and its adequacy is constantly evaluated. This provides the potential for the models to evolve as a direct result of the current activity. A partial implementation of this framework to support epidemiological research is illustrated.     

A Re-Examination of the Joint Mortality Functions

Abstract

Mortality analysis involving multiple lives is easily one of the more complicated aspects in the theory of life contingencies. In this paper, we re-investigate joint mortality functions and in particular, we examine an assertion that relates the joint-life and last-survivor random variables. This common assertion states that the sum of the lifetimes of the joint-life and the last-survivor statuses is equal to the sum of the lifetimes of the single statuses. However, we show that this assertion is not precisely correct. We therefore offer a modification to the statuses definitions so that this common assertion holds.