Real estate markets and the macroeconomy: a dynamic coherence framework

This paper analyzes the dynamic interactions between real estate markets, in the US and the UK and their macroeconomic environments. We apply a new approach based on a dynamic coherence function (DCF) to study these interactions bringing together different real estate markets (the securitized market, the commercial market and the residential market). The results suggest that there is a common trend that drives the different real estate markets in the UK and the US, particularly in the long run, since they have a similar shape of the DCF. We also find that, in the US, wealth and housing expenditure channels are very conductive during real estate crises. However, in the UK, only the wealth effect is significant as a transmission channel during real estate market downturns. In addition, real estate markets in the UK and the US react differently to institutional shocks. This brings some insights on the conduct of monetary policy in order to avoid disturbances in real estate markets.

An easily implemented agro-hydrological procedure with dynamic root simulation for water transfer in the crop-soil system: validation and application

Models for water transfer in the crop-soil system are key components of agro-hydrological models for irrigation, fertilizer and pesticide practices. Many of the hydrological models for water transfer in the crop-soil system are either too approximate due to oversimplified algorithms or employ complex numerical schemes. In this paper we developed a simple and sufficiently accurate algorithm which can be easily adopted in agro-hydrological models for the simulation of water dynamics. We used a dual crop coefficient approach proposed by the FAO for estimating potential evaporation and transpiration, and a dynamic model for calculating relative root length distribution on a daily basis. In a small time step of 0.001 d, we implemented algorithms separately for actual evaporation, root water uptake and soil water content redistribution by decoupling these processes. The Richards equation describing soil water movement was solved using an integration strategy over the soil layers instead of complex numerical schemes. This drastically simplified the procedures of modeling soil water and led to much shorter computer codes. The validity of the proposed model was tested against data from field experiments on two contrasting soils cropped with wheat. Good agreement was achieved between measurement and simulation of soil water content in various depths collected at intervals during crop growth. This indicates that the model is satisfactory in simulating water transfer in the crop-soil system, and therefore can reliably be adopted in agro-hydrological models. Finally we demonstrated how the developed model could be used to study the effect of changes in the environment such as lowering the groundwater table caused by the construction of a motorway on crop transpiration. (c) 2009 Elsevier B.V. All rights reserved.

Building dynamic capabilities of adaptation and innovation: a study of micro-foundations in a transition economy

What are the microfoundations of dynamic capabilities that sustain competitive advantage in a highly volatile environment, such as a transition economy? We explore the detailed nature of these dynamic capabilities along with their antecedents by tracing the sequence of their development based on a longitudinal case study of an organization subject to an external context of radical transition — the Russian oil company, Yukos. Our rich qualitative data indicate two distinct types of dynamic capabilities that are pivotal for organizational transformation. Adaptation dynamic capabilities relate to routines of resource exploitation and deployment, which are supported by acquisition, internalization and dissemination of extant knowledge, as well as resource reconfiguration, divestment and integration. Innovation dynamic capabilities relate to the creation of completely new capabilities via exploration and path-creation processes, which are supported by search, experimentation and risk taking, as well as project selection, funding and implementation. Second, we find that sequencing the two types of dynamic capabilities, helped the organization both to secure short-term competitive advantage, and to create the basis for long-term competitive advantage. These dynamic capability constructs advance theoretical understanding of what dynamic capabilities are, whilst their sequencing explains how firms create, leverage and enhance them over time.

The significance of occupancy steadiness in residential consumer response to Time of Use pricing: Evidence from a stochastic adjustment model

The recent roll-out of smart metering technologies in several developed countries has intensified research on the impacts of Time-of-Use (TOU) pricing on consumption. This paper analyses a TOU dataset from the Province of Trento in Northern Italy using a stochastic adjustment model. Findings highlight the non-steadiness of the relationship between consumption and TOU price. Weather and active occupancy can partly explain future consumption in relation to price.

An experiment on spatial competition with endogenous pricing

Hotelling's (1929) principle of minimum differentiation and the alternative prediction that firms will maximally differentiate from their rivals in order to relax price competition have not been explicitly tested so far. We report results from experimental spatial duopolies designed to address this issue. The levels of product differentiation observed are systematically lower than predicted in equilibrium under risk neutrality and compatible with risk aversion. The observed prices are consistent with collusion attempts. Our main findings are robust to variations in three experimental conditions: automated vs. human market sharing rule for ties, individual vs. collective decision making, and even vs. odd number of locations.

Asymmetric output gap effects in Phillips Curve and mark-up pricing models: evidence for the US and the UK

A number of studies have found an asymmetric response of consumer price index inflation to the output gap in the US in simple Phillips curve models. We consider whether there are similar asymmetries in mark-up pricing models, that is, whether the mark-up over producers' costs also depends upon the sign of the (adjusted) output gap. The robustness of our findings to the price series is assessed, and also whether price-output responses in the UK are asymmetric.

Dynamic group communication for large-scale parallel data mining

Exascale systems are the next frontier in high-performance computing and are expected to deliver a performance of the order of 10^18 operations per second using massive multicore processors. Very large- and extreme-scale parallel systems pose critical algorithmic challenges, especially related to concurrency, locality and the need to avoid global communication patterns. This work investigates a novel protocol for dynamic group communication that can be used to remove the global communication requirement and to reduce the communication cost in parallel formulations of iterative data mining algorithms. The protocol is used to provide a communication-efficient parallel formulation of the k-means algorithm for cluster analysis. The approach is based on a collective communication operation for dynamic groups of processes and exploits non-uniform data distributions. Non-uniform data distributions can be either found in real-world distributed applications or induced by means of multidimensional binary search trees. The analysis of the proposed dynamic group communication protocol has shown that it does not introduce significant communication overhead. The parallel clustering algorithm has also been extended to accommodate an approximation error, which allows a further reduction of the communication costs. The effectiveness of the exact and approximate methods has been tested in a parallel computing system with 64 processors and in simulations with 1024 processing elements.

Dynamic hydrological modeling in drylands with TRMM based rainfall

This paper introduces and evaluates DryMOD, a dynamic water balance model of the key hydrological process in drylands that is based on free, public-domain datasets. The rainfall model of DryMOD makes optimal use of spatially disaggregated Tropical Rainfall Measuring Mission (TRMM) datasets to simulate hourly rainfall intensities at a spatial resolution of 1-km. Regional-scale applications of the model in seasonal catchments in Tunisia and Senegal characterize runoff and soil moisture distribution and dynamics in response to varying rainfall data inputs and soil properties. The results highlight the need for hourly-based rainfall simulation and for correcting TRMM 3B42 rainfall intensities for the fractional cover of rainfall (FCR). Without FCR correction and disaggregation to 1 km, TRMM 3B42 based rainfall intensities are too low to generate surface runoff and to induce substantial changes to soil moisture storage. The outcomes from the sensitivity analysis show that topsoil porosity is the most important soil property for simulation of runoff and soil moisture. Thus, we demonstrate the benefit of hydrological investigations at a scale, for which reliable information on soil profile characteristics exists and which is sufficiently fine to account for the heterogeneities of these. Where such information is available, application of DryMOD can assist in the spatial and temporal planning of water harvesting according to runoff-generating areas and the runoff ratio, as well as in the optimization of agricultural activities based on realistic representation of soil moisture conditions.

On the evolution of monopoly pricing in Internet-assisted search markets

This study examines the evolution of prices in markets with Internet price-comparison search engines. The empirical study analyzes laboratory data of prices available to informed consumers, for two industry sizes and two conditions on the sample (complete and incomplete). Distributions are typically bimodal. One of the two modes of distribution, corresponding to monopoly pricing, tends to attract such pricing strategies increasingly over time. The second one, corresponding to interior pricing, follows a decreasing trend. Monopoly pricing can serve as a means of insurance against more competitive (but riskier) behavior. In fact, experimental subjects who initially earn low profits due to interior pricing are more likely to switch to monopoly pricing than subjects who experience good returns from the start.

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

Dynamic Devensian ice flow in NE England: a sedimentological reconstruction

This study reconstructs the depositional environments that accompanied both ice advance and ice retreat of the last British–Irish Ice Sheet in NE England during the Last Glacial Maximum, and proposes three regional ice-flow phases. The Late Devensian (29–22 cal. ka BP) Tyne Gap Ice Stream initially deposited the Blackhall Till Formation during shelf-edge glaciation (Phase I). This subglacial traction till comprises several related facies, including stratified and laminated diamictons, tectonites, and sand and gravel beds deposited both in subglacial canals and in proglacial streams. Eventually, stagnation of the Tyne Gap Ice Stream led to ice-marginal sedimentation in County Durham (Phase II). During the Dimlington Stadial (21 cal. ka BP), the North Sea Lobe advanced towards the coastline of N Norfolk. This resulted initially in sandur deposition (widespread, tabular sand and gravel; the Peterlee Sand and Gravel Formation; Phase II) and ultimately in deposition of the Horden Till Formation (Phase III), a massive subglacial till. As the North Sea Lobe overrode previous formations, it thrusted and stacked sediments in County Durham, and dammed proglacial lakes between the east-coast ice, the Pennine uplands and the remaining Pennine ice. The North Sea Lobe retreated after Heinrich Event 1 (16 ka). This study highlights the complexity of ice flow during the Late Devensian glaciation of NE England, with changing environmental and oceanic conditions forcing a mobile and sensitive ice sheet.