Developing a rural land investment performance index for New Zealand

Agricultural production is one of the major industries in New Zealand and accounts for over 60% of all export trade. The farming industry comprises 70,000 entities ranging in size from small individual run farms to large corporate operations. The reliance of the New Zealand economy to the international rural sector has seen considerable volatility in the rural land markets over the past four decades, with significant shifts in rural land prices based on location, land use and underlying international rural commodity prices. With the increasing attention being paid to the rural sector, especially in relation to food production and bio-fuels, there has been an increasing corporate interest in rural land ownership in relatively low subsidised agricultural producing countries such as New Zealand and Australia. A factor that has limited this participation of institutional investors previously has been a lack of reliable and up-to-date investment performance data for this asset class. This paper is the initial starting phase in the development of a New Zealand South Island rural land investment performance index and covers the period 1990-2007. The research in this paper analyses all rural sales transactions in the South Island and develops a capital return index for rural property based on major rural property land use. Additional work on this index will cover both total return performance and geographic location.

The on-road difficulties of older drivers and their relationship with self-reported motor vehicle crashes

OBJECTIVES: To quantify the driving difficulties of older adults using a detailed assessment of driving performance and to link this with self-reported retrospective and prospective crashes. DESIGN: Prospective cohort study. SETTING: On-road driving assessment. PARTICIPANTS: Two hundred sixty-seven community-living adults aged 70 to 88 randomly recruited through the electoral roll. MEASUREMENTS: Performance on a standardized measure of driving performance. RESULTS: Lane positioning, approach, and blind spot monitoring were the most common error types, and errors occurred most frequently in situations involving merging and maneuvering. Drivers reporting more retrospective or prospective crashes made significantly more driving errors. Driver instructor interventions during self-navigation (where the instructor had to brake or take control of the steering to avoid an accident) were significantly associated with higher retrospective and prospective crashes; every instructor intervention almost doubled prospective crash risk. CONCLUSION: These findings suggest that on-road driving assessment provides useful information on older driver difficulties, with the self-directed component providing the most valuable information.

An empirical investigation of the level effect in Australian interest rates

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates—the so-called level effect. This paper examines the interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian yield curve. We adopt a new methodology that estimates elasticity in a multivariate setting that explicitly accommodates the correlations that exist between various yield factors. Results show that significant correlations exist between the residuals of yield factors and that such correlations do indeed impact on model estimates. Within the multivariate setting, the level of the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts is important

Voter behaviour and constitutional change in Australia since 1967

Australian Constitutional referendums have been part of the Australian political system since federation. Up to the year 1999 (the time of the last referendum in Australia), constitutional change in Australia does not have a good history of acceptance. Since 1901, there have been 44 proposed constitutional changes with eight gaining the required acceptance according to section 128 of the Australian Constitution. In the modern era since 1967, there have been 20 proposals over seven referendum votes for a total of four changes. Over this same period, there have been 13 federal general elections which have realised change in government just five times. This research examines the electoral behaviour of Australian voters from 1967 to 1999 for each referendum. Party identification has long been a key indicator in general election voting. This research considers whether the dominant theory of voter behaviour in general elections (the Michigan Model) provides a plausible explanation for voting in Australian referendums. In order to explain electoral behaviour in each referendum, this research has utilised available data from the Australian Electoral Commission, the 1996 Australian Bureau of Statistics Census data, and the 1999 Australian Constitutional Referendum Study. This data has provided the necessary variables required to measure the impact of the Michigan Model of voter behaviour. Measurements have been conducted using bivariate and multivariate analyses. Each referendum provides an overview of the events at the time of the referendum as well as the =yes‘ and =no‘ cases at the time each referendum was initiated. Results from this research provide support for the Michigan Model of voter behaviour in Australian referendum voting. This research concludes that party identification, as a key variable of the Michigan Model, shows that voters continue to take their cues for voting from the political party they identify with in Australian referendums. However, the outcome of Australian referendums clearly shows that partisanship is only one of a number of contributory factors in constitutional referendums.

Nasal carriage of Staphylococcus aureus, including community-associated methicillin-resistant strains, in Queensland adults

Community-associated methicillin-resistant Staphylococcus aureus (CA-MRSA) infections are emerging in southeast Queensland, Australia, but the incidence of carriage of CA-MRSA strains is unknown. The aim of this study was to assess the nasal carriage rate of S. aureus, including CA-MRSA strains, in the general adult population of southeast Queensland. 396 patients presenting to general practices in two Brisbane suburbs and 303 volunteers randomly selected from the electoral rolls in the same suburbs completed a medical questionnaire and had nasal swabs performed for S. aureus. All isolates of S. aureus underwent antibiotic susceptibility testing and single-nucleotide polymorphism (SNP) and binary typing, including determination of Panton–Valentine leukocidin (PVL). The nasal carriage rate of methicillin-susceptible S. aureus (MSSA) was 202/699 (28%), a rate similar to that found in other community-based nasal carriage studies. According to multivariate analysis, nasal carriage of S. aureus was associated with male sex, young adult age group and Caucasian ethnicity. Only two study isolates (one MSSA and one CA-MRSA) carried PVL. The nasal carriage rate of MRSA was low, at 5/699 (0.7%), and only two study participants (0.3%) had CA-MRSA strains. CA-MRSA is an emerging cause of infection in southeast Queensland, but as yet the incidence of carriage of CA-MRSA in the general community is low.

Trends in National Party support

The National Party of Australia is under challenge. Will it be able to adapt and survive or will it become increasingly irrelevant in Australian politics? With population growth in some coastal and hinterland areas and decline in inland agricultural areas, the face of rural and regional Australia is changing. As a result, the National Party's traditional support is being eroded. Within the long-standing Coalition, the influence of the Nationals appears to be in decline, yet they continue to resist amalgamation with the Liberal Party.

Public Perceptions of Elections: An Australia-New Zealand Comparison

his collection of essays honouring the late Emeritus Keith Jackson addresses the public interest in New Zealand. This subject is of increasing importance at a time when politicians are grappling with serious issues that call into question the boundaries between the private and public spheres. The essays, by leading scholars and acknowledged experts in their field, reflect Keith's own preoccupations with institutional politics and with communication

Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.

Pairs trading profits in commodity futures markets

This study employs a pairs trading investment strategy on daily commodity futures returns. The study reveals that pairs trading in similarly related commodity futures earns statistically significant excess returns with commensurate volatility. The excess returns from pairs trading in commodity futures are unrelated to conventional market risk factors and they are not associated with classic contrarian investing. The evidence of pairs trading reflect compensation to arbitrageurs for enforcing the law of one price in similarly related market efficiency.

Energy polarization and popular representation: Evidence from the Russian Duma

In this article we introduce the term “energy polarization” to explain the politics of energy market reform in the Russian Duma. Our model tests the impact of regional energy production, party cohesion and ideology, and electoral mandate on the energy policy decisions of the Duma deputies (oil, gas, and electricity bills and resolution proposals) between 1994 and 2003. We find a strong divide between Single-Member District (SMD) and Proportional Representation (PR) deputies High statistical significance of gas production is demonstrated throughout the three Duma terms and shows Gazprom's key position in the post-Soviet Russian economy. Oil production is variably significant in the two first Dumas, when the main legislative debates on oil privatization occur. There is no constant left–right continuum, which is consistent with the deputies' proclaimed party ideology. The pro- and anti-reform poles observed in our Poole-based single dimensional scale are not necessarily connected with liberal and state-oriented regulatory policies, respectively. Party switching is a solid indicator of Russia's polarized legislative dynamics when it comes to energy sector reform.

NSW rural land performance : 1990-2008

The annual income return for rural property is based on two major factors being commodity prices and production yields. Commodity prices paid to rural producers can vary depending on the agricultural policies of their respective countries. Free trade countries, such as Australia and New Zealand are subject to the volatility of the world commodity markets to a greater extent than those farmers in protected or subsidised markets. In countries where rural production is protected or subsidised the annual income received by rural producers has been relatively stable. However, the high cost of agricultural protection is now being questioned, particularly in relation to the increasing economic costs of government services such as health, education and housing. When combined with the agricultural production limitations of climate, topography, chemical residues and disease issues, the impact of commodity prices on rural property income is crucial in the ability of rural producers to enter into or expand their holdings in agricultural land. These problems are then reflected in the volatility of the rural land capital returns and the investment performance of this property class. This paper will address the total and capital return performance of a major agricultural area and compare these returns on the basis of both location of land and land use. The comparison will be used to determine if location or actual land use has a greater influence on rural property capital returns. This performance analysis is based on over 35,000 rural sales transactions. These transactions cover all market based rural property transactions in New South Wales, Australia for the period January 1990 to December 2008. Correlation analysis and investment performance analysis has also been carried out to determine the possible relationships between location and land use and subsequent changes in rural land capital values.

Governance in the Australian superannuation industry

In the Superannuation/Pension industry ordinary investors entrust their retirement savings to the trustees of the superannuation plan. Investors rely on the trustees to ensure ethical business and risk management practices are implemented to protect their retirement savings. Governance practices ensure the monitoring of ethical risk management (Drennan, 2004). The Australian superannuation industry presents a unique scenario. Legislation requires employers to contribute a minimum of 9% of the employees wage to retirement savings. However, there are no legislated governance standards, although there are standards of recommended governance practices. In this paper, we examine the level of voluntary adoption of governance practices by the trustees of Australian public sector and industry superannuation funds. We also assess whether superannuation governance practices are associated with performance and volatility/riskiness of returns. Survey results show that the majority of superannuation plans adopt recommended governance practices supporting the concept of ethical management of the member’s retirement savings. The examination of governance principles that impact returns and risk show that board size and regular review of conflicts are positively associated with return. Superannuation plans with higher volatility in returns meet more frequently.