A model for exchange rates with crawling bands: an application to the Colombian peso

This paper builds upon previous research on currency bands, and provides a model for the Colombian peso. Stochastic differential equations are combined with information related to the Colombian currency band to estimate competing models of the behaviour of the Colombian peso within the limits of the currency band. The resulting moments of the density function for the simulated returns describe adequately most of the characteristics of the sample returns data. The factor included to account for the intra-marginal intervention performed to drive the rate towards the Central Parity accounts only for 6.5% of the daily change, which supports the argument that intervention, if performed by the Central Bank, it is not directed to push the currency towards the limits. Moreover, the credibility of the Colombian Central Bank, Banco de la República’s ability to defend the band seems low.

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Continental shift? An analysis of convergence trends in European real estate equities

European economic and political integration have been recognised as having implications for patterns of performance in national real estate and capital markets and have generated a wide body of research and commentary. In 1999, progress towards monetary integration within the European Union culminated in the introduction of a common currency and monetary policy. This paper investigates the effects of this ‘event’ on the behaviour of stock returns in European real estate companies. A range of statistical tests is applied to the performance of European property companies to test for changes in segmentation, co-movement and causality. The results suggest that, relative to the wider equity markets, the dispersion of performance is higher, correlations are lower, a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Consequently, the evidence of transmission of monetary integration to real estate securities is less noticeable than to general securities. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local and national nature of the majority of the companies’ portfolios.

xero, kline & coma

xero, kline & coma is an artist run project space at 258 Hackney Road, London. It’s program, curated by Pil and Galia Kollectiv, focuses primarily on solo exhibitions by internationally established as well as emerging artists. Work by recent graduates King Conny Wobble and David Steans is being shown alongside projects like the Museum of American Art – Berlin, previously included in the Venice and Istanbul Biennales, Jeffrey Vallance, whose recent solo exhibition was at the Warhol Museum, and Plastique Fantastique, whose work has been shown at Tate Britain and the Pratt Manhatten Gallery, New York, with the aim of raising the profile of lesser known artists and allowing others to experiment with work that more institutional contexts don’t always permit. Some of the themes this program has explored have included fictional identities, a-chronological art histories and the mediation of ritual in time-based media. A commitment to critically engaged art is also central to the ethos of the space, and future shows include an exploration of unionism in art by Sophie Carapetian. As well as displaying new work, the gallery hosts events, talks and screenings. Most recently these have included meetings of the Political Currency of Art research group, a discussion and film screening dealing with the theme of ‘hostile objects’ led by Evan Calder Williams and Marina Vishmidt, a book launch for New Lines of Alliance, New Spaces of Liberty by Antonio Negri and Felix Guattari and an event dedicated to the theatre work of Slovenian art collective NSK, featuring a screening of unreleased documentation and a discussion about the future of total performance.

Future Monument

Based on a series of collage made from images of mega yachts, the Future Monument looks at the possibility of taking late capitalism more seriously as an ideology than it takes itself seriously. The project asks whether the private display of wealth and power represented by the yacht can be appropriated for a new language of public sculpture. The choreographed live performance of the construction of the large scale monument was scripted to a proposed capitalist manifesto and took place in a public square in Herzliya, Israel. It aimed to articulate the ideology latent in capitalism’s claims to a neutral manifestation of human nature. The Future Monument project was developed through reading seminars taking place at Goldsmiths College, as part of a research strand headed by Pil and Galia Kollectiv on irony and overidentification within the Political Currency of Art research group. This research has so far produced a series of silk screen collage prints, a sculpture commissioned by the Essex Council and a live performance commissioned by the Herzliya Biennale. However, the project is ongoing, with future outputs planned including a curated exhibition and conference in 2012, in collaboration with Matthew Poole, Programme Director of the Centre for Curatorial Studies at the University of Essex.

Safeguarding livelihoods or exacerbating poverty?: Artisanal mining and formalization in West Africa

In recent years, policy mechanisms to support a formalized artisanal and small-scale mining (ASM) sector in sub-Saharan Africa have gained increasing currency. Proponents of formalization argue that most social and environmental problems associated with the sector stem from the fact that ASM is predominantly unregulated and operates outside the legal sphere. This paper critically examines recent efforts to formalize artisanal and small-scale mining inWest Africa, drawing upon recent fieldwork carried out in Sierra Leone, Ghana and Mali. In exploring the sector’s livelihood dimensions, the analysis suggests that bringing unregulated, informal mining activities into the legal domain remains a considerable challenge. The paper concludes by confirming the urgent need to refocus formalization strategies on the main livelihood challenges and constraints of small-scale miners themselves, if poverty is to be alleviated and more benefits are to accrue to depressed communities in mineral-rich regions.

The risks of investing in the real estate markets of the asian region

The Asian region has become a focus of attention for investors in recent years. Due to the strong economic performance of the region, the higher expected returns in the area compared with Europe and the USA and the additional diversification benefits investment in the region would offer. Nonetheless many investors have doubts about the prudence of investing in such areas. In particular it may be felt that the expected returns offered in the countries of the Asian region are not sufficient to compensate investors for the increased risks of investing in such markets. These risks can be categorised into under four headings: investment risk, currency risk, political risk, and institutional risk. This paper analyses each of these risks in turn to see if they are sufficiently large to deter real estate investment in the region in general or in a particular country.

The dynamics of commodity prices

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Climate change policy and business climate strategies: EU cement companies' response to climate change and barriers against action

The paper provides a descriptive analysis of the carbon management activities of the cement industry in Europe based on a study involving the four largest producers of cement in the world. Based on this analysis, the paper explores the relationship between managerial perception and strategy with particular focus on the impact of government regulation and competitive dynamics. The research is based on extensive documentary analysis and in-depth interviews with senior managers from the four companies who have been responsible for and/or involved in the development of climate change strategies. We find that whilst the cement industry has embraced climate change and the need for action, their remains much scope for action in their carbon management activities with current effort concentration on hedging practices and win-win efficiency programs. Managers perceive that inadequate and unfavourable regulatory structure is the key barrier against more action to achieve emission reduction within the industry. EU Cement companies are also shifting their CO2 emissions to less developed countries of the South.

Macro-economic and financial determinants of comovement across global real estate security markets

This paper models the determinants of integration in the context of global real estate security markets. Using both local and U.S. Dollar denominated returns, we model conditional correlations across listed real estate sectors and also with the global stock market. The empirical results find that financial factors, such as the relationship with the respective equity market, volatility, the relative size of the real estate sector and trading turnover all play an important role in the degree of integration present. Furthermore, the results highlight the importance of macro-economic variables in the degree of integration present. All four of the macro-economic variables modeled provide at least one significant result across the specifications estimated. Factors such as financial and trade openness, monetary independence and the stability of a country’s currency all contribute to the degree of integration reported.

Evaluation of ECMWF medium-range ensemble forecasts of precipitation for river basins

Providing probabilistic forecasts using Ensemble Prediction Systems has become increasingly popular in both the meteorological and hydrological communities. Compared to conventional deterministic forecasts, probabilistic forecasts may provide more reliable forecasts of a few hours to a number of days ahead, and hence are regarded as better tools for taking uncertainties into consideration and hedging against weather risks. It is essential to evaluate performance of raw ensemble forecasts and their potential values in forecasting extreme hydro-meteorological events. This study evaluates ECMWF’s medium-range ensemble forecasts of precipitation over the period 2008/01/01-2012/09/30 on a selected mid-latitude large scale river basin, the Huai river basin (ca. 270,000 km2) in central-east China. The evaluation unit is sub-basin in order to consider forecast performance in a hydrologically relevant way. The study finds that forecast performance varies with sub-basin properties, between flooding and non-flooding seasons, and with the forecast properties of aggregated time steps and lead times. Although the study does not evaluate any hydrological applications of the ensemble precipitation forecasts, its results have direct implications in hydrological forecasts should these ensemble precipitation forecasts be employed in hydrology.

Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

Bank integration and co-movements across housing markets

This paper investigates whether bank integration measured by cross-border bank flows can capture the co-movements across housing markets in developed countries by using a spatial dynamic panel model. The transmission can occur through a global banking channel in which global banks intermediate wholesale funding to local banks. Changes in financial conditions are passed across borders through the banks’ balance-sheet exposure to credit, currency, maturity, and funding risks resulting in house price spillovers. While controlling for country-level and global factors, we find significant co-movement across housing markets of countries with proportionally high bank integration. Bank integration can better capture house price co-movements than other measures of economic integration. Once we account for bank exposure, other spatial linkages traditionally used to account for return co-movements across region – such as trade, foreign direct investment, portfolio investment, geographic proximity, etc. – become insignificant. Moreover, we find that the co-movement across housing markets decreases for countries with less developed mortgage markets characterized by fixed mortgage rate contracts, low limits of loan-to-value ratios and no mortgage equity withdrawal.

Assessment for Learning in teaching English to Young Learners: teachers’ understanding, classroom practice and impact on interactions

It has been suggested that Assessment for Learning (AfL) plays a significant role in enhancing teaching and learning in mainstream educational contexts. However, little empirical evidence can support these claims. As AfL has been shown to be enacted predominantly through interactions in primary classes, there is a need to understand if it is appropriate, whether it can be efficiently used in teaching English to Young Learners (TEYL) and how it can facilitate learning in such a context. This emerging research focus gains currency especially in the light of SLA research, which suggests the important role of interactions in foreign language learning. This mixed-method, descriptive and exploratory study aims to investigate how teachers of learners aged 7-11 understand AfL; how they implement it; and the impact that such implementation could have on interactions which occur during lessons. The data were collected through lesson observations, scrutiny of school documents, semi-structured interviews and a focus group interview with teachers. The findings indicate that fitness for purpose guides the implementation of AfL in TEYL classrooms. Significantly, the study has revealed differences in the implementation of AfL between classes of 7-9 and 10-11 year olds within each of the three purposes (setting objectives and expectations; monitoring performance; and checking achievement) identified through the data. Another important finding of this study is the empirical evidence suggesting that the use of AfL could facilitate creating conditions conducive to learning in TEYL classes during collaborative and expert/novice interactions. The findings suggest that teachers’ understanding of AfL is largely aligned with the theoretical frameworks (Black & Wiliam, 2009; Swaffield, 2011) already available. However, they also demonstrate that there are TEYL specific characteristics. This research has important pedagogical implications and indicates a number of areas for further research.