Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Gestural communication of music structure during solo classical piano performance

The production and perception of music is a multimodal activity involving auditory, visual and conceptual processing, integrating these with prior knowledge and environmental experience. Musicians utilise expressive physical nuances to highlight salient features of the score. The question arises within the literature as to whether performers’ non-technical, non-sound-producing movements may be communicatively meaningful and convey important structural information to audience members and co-performers. In the light of previous performance research (Vines et al., 2006, Wanderley, 2002, Davidson, 1993), and considering findings within co-speech gestural research and auditory and audio-visual neuroscience, this thesis examines the nature of those movements not directly necessary for the production of sound, and their particular influence on audience perception. Within the current research 3D performance analysis is conducted using the Vicon 12- camera system and Nexus data-processing software. Performance gestures are identified as repeated patterns of motion relating to music structure, which not only express phrasing and structural hierarchy but are consistently and accurately interpreted as such by a perceiving audience. Gestural characteristics are analysed across performers and performance style using two Chopin preludes selected for their diverse yet comparable structures (Opus 28:7 and 6). Effects on perceptual judgements of presentation modes (visual-only, auditory-only, audiovisual, full- and point-light) and viewing conditions are explored. This thesis argues that while performance style is highly idiosyncratic, piano performers reliably generate structural gestures through repeated patterns of upper-body movement. The shapes and locations of phrasing motions are identified particular to the sample of performers investigated. Findings demonstrate that despite the personalised nature of the gestures, performers use increased velocity of movements to emphasise musical structure and that observers accurately and consistently locate phrasing junctures where these patterns and variation in motion magnitude, shape and velocity occur. By viewing performance motions in polar (spherical) rather than cartesian coordinate space it is possible to get mathematically closer to the movement generated by each of the nine performers, revealing distinct patterns of motion relating to phrasing structures, regardless of intended performance style. These patterns are highly individualised both to each performer and performed piece. Instantaneous velocity analysis indicates a right-directed bias of performance motion variation at salient structural features within individual performances. Perceptual analyses demonstrate that audience members are able to accurately and effectively detect phrasing structure from performance motion alone. This ability persists even for degraded point-light performances, where all extraneous environmental information has been removed. The relative contributions of audio, visual and audiovisual judgements demonstrate that the visual component of a performance does positively impact on the over- all accuracy of phrasing judgements, indicating that receivers are most effective in their recognition of structural segmentations when they can both see and hear a performance. Observers appear to make use of a rapid online judgement heuristics, adjusting response processes quickly to adapt and perform accurately across multiple modes of presentation and performance style. In line with existent theories within the literature, it is proposed that this processing ability may be related to cognitive and perceptual interpretation of syntax within gestural communication during social interaction and speech. Findings of this research may have future impact on performance pedagogy, computational analysis and performance research, as well as potentially influencing future investigations of the cognitive aspects of musical and gestural understanding.

Our own language: Scots verse translation and the second-generation Scottish renaissance

This thesis examines the role of Scots language verse translation in the second-generation or post-war Scottish Renaissance. The translation of European poetry into Scots was of central importance to the first-generation Scottish Renaissance of the nineteen twenties and thirties. As Margery Palmer McCulloch has shown, the wider cultural climate of Anglo-American modernism was key to MacDiarmid’s conception of the interwar Scottish Renaissance. What was the effect on second-generation poet-translators as the modernist moment passed? Are the many translations undertaken by the younger poets who emerged in the course of the nineteen forties and fifties a faithful reflection of this cultural inheritance? To what extent are they indicative of a new set of priorities and international influences? The five principal translators discussed in this thesis are Douglas Young (1913-1973), Sydney Goodsir Smith (1915-1975), Robert Garioch (1909-1981), Tom Scott (1918-1995) and William J. Tait (1918-1992). Each is the subject of a chapter, in many cases providing the first or most extensive treatment of particular translations. While the pioneering work of John Corbett, Bill Findlay and J. Derrick McClure, among other scholars, has drawn attention to the long history of literary translation into Scots, this thesis is the first extended critical work to take the verse translations of the post-MacDiarmid makars as its subject. The nature and extent of MacDiarmid’s influence is considered throughout, as are the wider discourses around language and translation in twentieth-century Scottish poetry. Critical engagement with a number of key insights from theoretical translation studies helps to situate these writers’ work in its global context. This thesis also explores the ways in which the specific context of Scots translation allows scholars to complicate or expand upon theories of translation developed in other cultural situations (notably Lawrence Venuti’s writing on domestication and foreignisation). The five writers upon whom this thesis concentrates were all highly individual, occasionally idiosyncratic personalities. Young’s polyglot ingenuity finds a foil in Garioch’s sharp, humane wit. Goodsir Smith’s romantic ironising meets its match in Scott’s radical certainty of cause. Tait’s use of the Shetlandic tongue sets him apart. Nonetheless, despite the great variety of style, form and tone shown by each of these translators, this thesis demonstrates that there are meaningful links to be made between them and that they form a unified, coherent group in the wider landscape of twentieth-century Scottish poetry. On the linguistic level, each engaged to some extent in the composition of a ‘synthetic’ or ‘plastic’ language deriving partly from literary sources, partly from the spoken language around them. On a more fundamental level, each was committed to enriching this language through translation, within which a number of key areas of interest emerge. One of the most important of these key areas is Gaelic – especially the poetry of Sorley MacLean, which Young, Garioch and Goodsir Smith all translated into Scots. This is to some extent an act of solidarity on the part of these Scots poets, acknowledging a shared history of marginalisation as well as expressing shared hopes for the future. The same is true of Goodsir Smith’s translations from a number of Eastern European poets (and Edwin Morgan’s own versions, slightly later in the century). The translation of verse drama by poets is another key theme sustained throughout the thesis, with Garioch and Young attempting to fill what they perceived as a gap in the Scots tradition through translation from other languages (another aspect of these writers’ legacy continued by Morgan). Beyond this, all of the writers discussed in this thesis translated extensively from European poetries from Ancient Greece to twentieth-century France. Their reasons for doing so were various, but a certain cosmopolitan idealism figures highly among them. So too does a desire to see Scotland interact with other European nations, thus escaping the potentially narrowing influence of post-war British culture. This thesis addresses the legacy of these writers’ translations, which, it argues, continue to exercise a perceptible influence on the course of poetry in Scotland. This work constitutes a significant contribution to a much-needed wider critical re-assessment of this pivotal period in modern Scottish writing, offering a fresh perspective on the formal and linguistic merits of these poets’ verse translations. Drawing upon frequently obscure book, pamphlet and periodical sources, as well as unpublished manuscripts in the National Library of Scotland and the Shetland Archives, this thesis breaks new ground in its investigation of the role of Scots verse translation in the second-generation Scottish Renaissance.