Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis

This paper compares exchange rate pass-through to aggregate prices in the US, Germany and Japan across a number of dimensions. Building on the empirical approaches in the recent literature, our contribution is to perform a thorough sensitivity analysis of pass-through estimates. We find that the econometric method, data frequency and variable proxy employed matter for the precision of details, yet they often agree on some general trends. Thus, pass-through to import prices has declined in the 1990s relative to the 1980s, pass-through to export prices remains country-specific and pass-through to consumer prices is nowadays negligible in all three economies we considered.

Mono-aqua-bridged dinuclear complexes of Cu(II) containing NNO donor Schiff base ligand: Hydrogen-bond-mediated exchange coupling

Two new mono-aqua-bridged dinuclear Cu(II) complexes of tridentate NNO Schiff bases, [Cu-2(mu-H2O)L-2(1)(H2O)(2)](BF4)(2)center dot 2H(2)O (1) and [Cu-2(mu-H2O)L-2(2)(H2O)(2)](BF4)(2)center dot 2H(2)O (2) where HL1 = 2-[1-(2-dimethylamino-ethylimino)-ethyl]-phenol and HL2 =2-[(2-dimethylamino-ethylimino)-methyl]-phenol were synthesized. Both the complexes were characterized by single-crystal X-ray diffraction analyses and variable-temperature magnetic measurements. For both the complexes each Cu(II) ion is in a square-pyramidal environment being bonded to three atoms from the tridentate NNO Schiff base and a terminal H2O molecule in the equatorial plane; a second H2O ligand acts as a bridge between the two Cu(II) centres through the axial positions. Hydrogen bonds between the terminal H2O ligand and the Schiff base of the adjacent centre complete the intra-dimer linkages. Variable-temperature (4-300 K) magnetic susceptibility measurement shows the presence of significant antiferromagnetic coupling for both the complexes (J = -12.2 and -12.5 cm(-1), respectively, for 1 and 2), mediated mainly through the intra-dimer H-bonds.

From CAD to virtual reality: modelling approaches, data exchange and interactive 3D building design tools

Virtual reality has the potential to improve visualisation of building design and construction, but its implementation in the industry has yet to reach maturity. Present day translation of building data to virtual reality is often unidirectional and unsatisfactory. Three different approaches to the creation of models are identified and described in this paper. Consideration is given to the potential of both advances in computer-aided design and the emerging standards for data exchange to facilitate an integrated use of virtual reality. Commonalities and differences between computer-aided design and virtual reality packages are reviewed, and trials of current system, are described. The trials have been conducted to explore the technical issues related to the integrated use of CAD and virtual environments within the house building sector of the construction industry and to investigate the practical use of the new technology.

Drivers of fund performance: a panel data analysis

The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework. In line with previous results, we find that core funds exhibit lower yet more stable returns than value-added and, in particular, opportunistic funds, both cross-sectionally and over time. After taking into account overall market exposure, as measured by weighted market returns, the excess returns of value-added and opportunity funds are likely to stem from: high leverage, high exposure to development, active asset management and investment in specialized property sectors. A random effects estimation of the panel data model largely confirms the findings obtained from the fixed effects model. Again, the country and sector property effect shows the strongest significance in explaining total returns. The stock market variable is negative which hints at switching effects between competing asset classes. For opportunity funds, on average, the returns attributable to gearing are three times higher than those for value added funds and over five times higher than for core funds. Overall, there is relatively strong evidence indicating that country and sector allocation, style, gearing and fund size combinations impact on the performance of unlisted real estate funds.

Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Judgments, forecasts and decisions: an analysis of fund managers over time

Decision theory is the study of models of judgement involved in, and leading to, deliberate and (usually) rational choice. In real estate investment there are normative models for the allocation of assets. These asset allocation models suggest an optimum allocation between the respective asset classes based on the investors’ judgements of performance and risk. Real estate is selected, as other assets, on the basis of some criteria, e.g. commonly its marginal contribution to the production of a mean variance efficient multi asset portfolio, subject to the investor’s objectives and capital rationing constraints. However, decisions are made relative to current expectations and current business constraints. Whilst a decision maker may believe in the required optimum exposure levels as dictated by an asset allocation model, the final decision may/will be influenced by factors outside the parameters of the mathematical model. This paper discusses investors' perceptions and attitudes toward real estate and highlights the important difference between theoretical exposure levels and pragmatic business considerations. It develops a model to identify “soft” parameters in decision making which will influence the optimal allocation for that asset class. This “soft” information may relate to behavioural issues such as the tendency to mirror competitors; a desire to meet weight of money objectives; a desire to retain the status quo and many other non-financial considerations. The paper aims to establish the place of property in multi asset portfolios in the UK and examine the asset allocation process in practice, with a view to understanding the decision making process and to look at investors’ perceptions based on an historic analysis of market expectation; a comparison with historic data and an analysis of actual performance.

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.