Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behaviour across regimes.

The dependent variable problem in quantitative studies of Active Labour Market Programmes: uncovering hidden dynamics?

The question of what explains variation in expenditures on Active Labour Market Programs (ALMPs) has attracted significant scholarship in recent years. Significant insights have been gained with respect to the role of employers, unions and dual labour markets, openness, and partisanship. However, there remain significant disagreements with respects to key explanatory variables such the role of unions or the impact of partisanship. Qualitative studies have shown that there are both good conceptual reasons as well as historical evidence that different ALMPs are driven by different dynamics. There is little reason to believe that vastly different programs such as training and employment subsidies are driven by similar structural, interest group or indeed partisan dynamics. The question is therefore whether different ALMPs have the same correlation with different key explanatory variables identified in the literature? Using regression analysis, this paper shows that the explanatory variables identified by the literature have different relation to distinct ALMPs. This refinement adds significant analytical value and shows that disagreements are at least partly due to a dependent variable problem of ‘over-aggregation’.

A rate and state friction law for saline ice

Sea ice friction models are necessary to predict the nature of interactions between sea ice floes. These interactions are of interest on a range of scales, for example, to predict loads on engineering structures in icy waters or to understand the basin-scale motion of sea ice. Many models use Amonton's friction law due to its simplicity. More advanced models allow for hydrodynamic lubrication and refreezing of asperities; however, modeling these processes leads to greatly increased complexity. In this paper we propose, by analogy with rock physics, that a rate- and state-dependent friction law allows us to incorporate memory (and thus the effects of lubrication and bonding) into ice friction models without a great increase in complexity. We support this proposal with experimental data on both the laboratory (∼0.1 m) and ice tank (∼1 m) scale. These experiments show that the effects of static contact under normal load can be incorporated into a friction model. We find the parameters for a first-order rate and state model to be A = 0.310, B = 0.382, and μ0 = 0.872. Such a model then allows us to make predictions about the nature of memory effects in moving ice-ice contacts.

Market effects of changes in consumers' social responsibility

In a duopoly model of vertical differentiation, we study market equilibrium and the resulting social welfare following an increase in the consumer's willingness to pay (WTP) for products sold by socially responsible manufacturers. Different types of such changes emerge depending on their effects on consumer heterogeneity. We show that, in most cases, increases in the consumers' social consciousness yield higher profits to socially responsible firms and may lead to higher levels of social welfare, provided that the market structure is left unchanged. However, when an increase in the consumer's social consciousness changes the market structure, welfare may fall, while the duopolists' profits rise. The resulting tension between private and social interest calls for a cautious attitude toward information campaigns aimed at increasing the consumer's social consciousness.

Assessment of the CMD Mini-Explorer, a new low-frequency multi-coil electromagnetic device, for archaeological investigations

In this article we assess the abilities of a new electromagnetic (EM) system, the CMD Mini-Explorer, for prospecting of archaeological features in Ireland and the UK. The Mini-Explorer is an EM probe which is primarily aimed at the environmental/geological prospecting market for the detection of pipes and geology. It has long been evident from the use of other EM devices that such an instrument might be suitable for shallow soil studies and applicable for archaeological prospecting. Of particular interest for the archaeological surveyor is the fact that the Mini-Explorer simultaneously obtains both quadrature (‘conductivity’) and in-phase (relative to ‘magnetic susceptibility’) data from three depth levels. As the maximum depth range is probably about 1.5 m, a comprehensive analysis of the subsoil within that range is possible. As with all EM devices the measurements require no contact with the ground, thereby negating the problem of high contact resistance that often besets earth resistance data during dry spells. The use of the CMD Mini-Explorer at a number of sites has demonstrated that it has the potential to detect a range of archaeological features and produces high-quality data that are comparable in quality to those obtained from standard earth resistance and magnetometer techniques. In theory the ability to measure two phenomena at three depths suggests that this type of instrument could reduce the number of poor outcomes that are the result of single measurement surveys. The high success rate reported here in the identification of buried archaeology using a multi-depth device that responds to the two most commonly mapped geophysical phenomena has implications for evaluation style surveys. Copyright © 2013 John Wiley & Sons, Ltd.

Asymmetric information, credit market condition, and entrepreneurial finance

The issue of imperfect information plays a much more important role in financing “informationally opaque” small businesses than in financing large companies.1 This chapter examines the asymmetric information issue in entrepreneurial finance from two perspectives: the effects of relationship lending and the impacts of credit market concentration on entrepreneurial financial behavior. These two perspectives are strongly linked to each other via the asymmetric information issue in entrepreneurial finance. Existing literature has recognized the important role played by relationship lending in alleviating the problem of asymmetric information. However, mixed empirical results have been reported. For example, it has been found that the development of relationship lending can improve the availability of finance for small businesses borrowers (Petersen and Rajan, 1994) and reduce the costs of finance (Berger and Udell, 1995). Meanwhile, with monopoly power, banks may extract rents, in terms of charging higher-than-market interest rates, from small businesscustomers who have very concentrated banking relationships (Ongena and Smith, 2001). In addition, both favorable and unfavorable effects of credit market concentration on financing small businesses have been acknowledged. Small business borrowers may have to pay a higher-than-market price on loans (Degryse and Ongena, 2005) and are more likely to be financially constrained (Cetorelli, 2004) than in competitive markets. On the other hand, empirical studies have shown that market concentration create a strong motive for lenders to invest in private information from small business customers, and therefore a concentrated market is more efficient in terms of private information acquisition (Han et al., 2009b). The objective of this chapter is to investigate, by reviewing existing literature, the role played by relationship lending and the effects of market concentration on financing entrepreneurial businesses that are supposed to be informationally opaque. In the first section we review literature on the important role played by asymmetric information in entrepreneurial finance from two perspectives: asymmetric information and relationship lending, and the theoretical modeling of asymmetric information. Then we examine the relationship between capital market conditions and entrepreneurial finance and attempt to answer two questions: Why is the capital market condition important for entrepreneurial finance? and What are the effects of capital market conditions on entrepreneurial financial behavior in terms of discouraged borrowers, cash holding, and the availability and costs of finance?

Cambium non est mutuum: exchange and interest rates in medieval Europe

A major gap in our understanding of the medieval economy concerns interest rates, especially relating to commercial credit. Although direct evidence about interest rates is scattered and anecdotal, there is much more surviving information about exchange rates. Since both contemporaries and historians have suggested that exchange and rechange transactions could be used to disguise the charging of interest in order to circumvent the usury prohibition, it should be possible to back out the interest rates from exchange rates. The following analysis is based on a new dataset of medieval exchange rates collected from commercial correspondence in the archive of Francesco di Marco Datini of Prato, c.1383-1411. It demonstrates that the time value of money was consistently incorporated into market exchange rates. Moreover, these implicit interest rates are broadly comparable to those received from other types of commercial loan and investment. Although on average profitable, the return on any individual exchange and rechange transaction did involve a degree of uncertainty that may have justified their non-usurious nature. However, there were also practical reasons why medieval merchants may have used foreign exchange transactions as a means of extending credit.