Evaluating forecasts from SETAR models of exchange rates

We consider the forecasting performance of two SETAR exchange rate models proposed by Kräger and Kugler [J. Int. Money Fin. 12 (1993) 195]. Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the data can be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the ‘state of nature’. Evaluation based on traditional measures, such as (root) mean squared forecast errors, may mask the superiority of the non-linear models. Generalized impulse response functions are also calculated as a means of portraying the asymmetric response to shocks implied by such models.

The price of space: the convergence of value in use and value in exchange

This paper discusses concepts of value from the point of view of the user of the space and the counter view of the provider of the same. Land and property are factors of production. The value of the land flows from the use to which it is put, and that in turn, is dependent upon the demand (and supply) for the product or service that is produced/provided from that space. If there is a high demand for the product (at a fixed level of supply), the price will increase and the economic rent for the land/property will increase accordingly. This is the underlying paradigm of Ricardian rent theory where the supply of land is fixed and a single good is produced. In such a case the rent of land is wholly an economic rent. Economic theory generally distinguishes between two kinds of price, price of production or “value in use” (as determined by the labour theory of value), and market price or “value in exchange��� (as determined by supply and demand). It is based on a coherent and consistent theory of value and price. Effectively the distinction is between what space is ‘worth’ to an individual and that space’s price of exchange in the market place. In a perfect market where any individual has access to the same information as all others in the market, price and worth should coincide. However in a market where access to information is not uniform, and where different uses compete for the same space, it is more likely that the two figures will diverge. This paper argues that the traditional reliance of valuers to use methods of comparison to determine “price” has led to an artificial divergence of “value in use” and “value in exchange���, but now such comparison are becoming more difficult due to the diversity of lettings in the market place, there will be a requirement to return to fundamentals and pay heed to the thought process of the user in assessing the worth of the space to be let.

Mechanisms of midlatitude cross-tropopause transport using a potential vorticity budget approach

[ 1] A potential vorticity (PV) budget method has been used to attribute vertical transport across the near-tropopause ( 1 PVU surface) in extratropical weather systems to radiative, latent heating and cooling, and mixing processes. Sources and sinks of PV due to nonconservative processes are calculated online and advected as passive tracers. There is reasonable agreement between the spatial distribution of transport determined from the PV budget method and the transport across the 1 - 2 PVU zone from a passive tracer and trajectories, but different aspects of exchange can be diagnosed with each method. Stratosphere-to-troposphere transport occurred in the broad upper level PV anomalies and was attributed mainly to latent heating and cooling processes; troposphere-to-stratosphere transport occurred toward the tail of a PV filament and in a ridge region and was attributed mainly to radiative processes. The contribution of mixing processes to transport was comparatively small. Using the PV budget method, the domain integrated exchange across the 1 PVU surface was from stratosphere to troposphere, and the magnitude of 1 x 10(15) kg over a 2 day winter integration in a large North Atlantic domain is consistent with stratosphere-troposphere exchange calculations from other studies. This exchange arises from an approximate balance between the dominant stratosphere-to-troposphere transport due to latent heating and cooling processes and troposphere-to-stratosphere transport due to radiative processes. The direction of transport across the tropopause in a fold was found to be critically dependent on the PV surface considered to represent the tropopause.

The impact of exchanges rates on international real estate portfolio allocation

This paper, examines whether the asset holdings and weights of an international real estate portfolio using exchange rate adjusted returns are essentially the same or radically different from those based on unadjusted returns. The results indicate that the portfolio compositions produced by exchange rate adjusted returns are markedly different from those based on unadjusted returns. However following the introduction of the single currency the differences in portfolio composition are much less pronounced. The findings have a practical consequence for the investor because they suggest that following the introduction of the single currency international investors can concentrate on the real estate fundamentals when making their portfolio choices, rather than worry about the implications of exchange rate risk.

The type and frequency of interactions that occur between staff and children outside in Early Years Foundation Stage settings during a fixed playtime period when there are tricycles available

This study reports on an investigation into adult and child interactions observed in the outdoor play environment in four Local Authority early years foundation stage settings in England. In this instance the common two features across the settings were the presence of tricycles and a timetabled outdoor play period. In total, across the four schools, there were 204 children. The study aimed to gain an understanding of the nature of the dialogues between staff and children, that is, the types of exchange that occurred when either the child approached an adult or the adult approached a child. The most frequent type of utterance was also analysed. The study concludes that adults in these settings spoke more than children and the greatest type of utterance was that of the adult about domestic matters. When the child initiated the conversation there were more extended child utterances than domestic utterances. This may suggest that children wish to be involved in conversations of depth and meaning and that staff need to become aware of how to develop this conversational language with children.

Medieval foreign exchange: a time series analysis

This chapter applies rigorous statistical analysis to existing datasets of medieval exchange rates quoted in merchants’ letters sent from Barcelona, Bruges and Venice between 1380 and 1310, which survive in the archive of Francesco di Marco Datini of Prato. First, it tests the exchange rates for stationarity. Second, it uses regression analysis to examine the seasonality of exchange rates at the three financial centres and compares them against contemporary descriptions by the merchant Giovanni di Antonio da Uzzano. Third, it tests for structural breaks in the exchange rate series.

Liquidity and the drivers of search, due diligence and transaction times for UK commercial real estate investments

Trading commercial real estate involves a process of exchange that is costly and which occurs over an extended and uncertain period of time. This has consequences for the performance and risk of real estate investments. Most research on transaction times has occurred for residential rather than commercial real estate. We study the time taken to transact commercial real estate assets in the UK using a sample of 578 transactions over the period 2004 to 2013. We measure average time to transact from a buyer and seller perspective, distinguishing the search and due diligence phases of the process, and we conduct econometric analysis to explain variation in due diligence times between assets. The median time for purchase of real estate from introduction to completion was 104 days and the median time for sale from marketing to completion was 135 days. There is considerable variation around these times and results suggest that some of this variation is related to market state, type and quality of asset, and type of participants involved in the transaction. Our findings shed light on the drivers of liquidity at an individual asset level and can inform models that quantify the impact of uncertain time on market on real estate investment risk.

Social interaction deficits and conversational inadequacy in Williams syndrome

Research on social communication skills in individuals with Williams syndrome has been inconclusive, with some arguing that these skills are a relative strength and others that they are a weakness. The aim of the present study was to investigate social interaction abilities in a group of children with WS, and to compare them to a group of children with specific language impairment and a group of typically developing children. Semi-structured conversations were conducted and 100-150 utterances were selected for analysis in terms of exchange structure, turn taking, information transfer and conversational inadequacy. The statistical analyses showed that the children with WS had difficulties with exchange structure and responding appropriately to the interlocutor's requests for information and clarification. They also had significant difficulties with interpreting meaning and providing enough information for the conversational partner. Despite similar language abilities with a group of children with specific language impairment, the children with WS had different social interaction skills, which suggests that they follow an atypical trajectory of development and their neurolinguistic profile does not directly support innate modularity. (c) 2005 Elsevier Ltd. All rights reserved.

Sociality and money

This is a translation of ‘Socialité et argent’, a text by Emmanuel Levinas originally published in 1987. Levinas describes the emergence of money out of interhuman relations of exchange and the social relations – sociality – that result. While elsewhere he has presented sociality as ‘nonindifference to alterity’ it appears here as ‘proximity of the stranger’ and points to the tension between an economic system based on money and the basic human disposition to respond to the face of the other person. Money both encodes and effaces sociality, both designates and disguises social relations. It arises from the way that needs and interests are manifested in exchange relations, in what he calls the ‘interestedness’ of economic life. But interests are always already cut through by the fact that being is always ‘being with others’. Being is always ‘interbeing’. Interestedness is always confronted by disinterestedness, that is, by a sociality marked by the ‘goodness of giving’, attachment to and concern for the poverty of the other person. Levinas concludes with a discussion of sociality and justice, posing questions about the tension between the demand to respond to an Other immediately before me and at the same time to respond to the demands of an other Other (the third person) who also invites a response.

Fixing the currency: analysing the implications for property investment performance

This paper analyses the historic effects of exchange rate movements on returns, risk and diversification of office markets within the Euro zone in order to gain insights into the investment consequences of conversion to a fixed rate currency regime. The data used in the study represents annual office rental growth rates for 22 European cities from nine European Union countries between 1985 and 1996. Relative performance is reported in terms of domestic currency and in terms of deutsche marks. The evidence presented suggests that Euro zone property investors in ‘southern’ countries are now protected from short term jump risk associated with flexible peg currency arrangements and medium/long-term currency volatility. Historically exchange rate movements have produced decreases in returns and increases in volatility. For northern ‘bloc’ cities, the effects of fixing the exchange rate are minimal. For these cities, national exchange rate fluctuations against the deutsche mark have been minor and the resultant implications for property risk and return to non-domestic SCA investors have been negligible. Moreover, although previous research would suggest that the effect of currency volatility is to decrease market correlation, this cannot be observed within the Euro zone.

The relationship between diffuse spectral reflectance of the soil and its cation exchange capacity is scale-dependent

Diffuse reflectance spectroscopy (DRS) is increasingly being used to predict numerous soil physical, chemical and biochemical properties. However, soil properties and processes vary at different scales and, as a result, relationships between soil properties often depend on scale. In this paper we report on how the relationship between one such property, cation exchange capacity (CEC), and the DRS of the soil depends on spatial scale. We show this by means of a nested analysis of covariance of soils sampled on a balanced nested design in a 16 km × 16 km area in eastern England. We used principal components analysis on the DRS to obtain a reduced number of variables while retaining key variation. The first principal component accounted for 99.8% of the total variance, the second for 0.14%. Nested analysis of the variation in the CEC and the two principal components showed that the substantial variance components are at the > 2000-m scale. This is probably the result of differences in soil composition due to parent material. We then developed a model to predict CEC from the DRS and used partial least squares (PLS) regression do to so. Leave-one-out cross-validation results suggested a reasonable predictive capability (R2 = 0.71 and RMSE = 0.048 molc kg− 1). However, the results from the independent validation were not as good, with R2 = 0.27, RMSE = 0.056 molc kg− 1 and an overall correlation of 0.52. This would indicate that DRS may not be useful for predictions of CEC. When we applied the analysis of covariance between predicted and observed we found significant scale-dependent correlations at scales of 50 and 500 m (0.82 and 0.73 respectively). DRS measurements can therefore be useful to predict CEC if predictions are required, for example, at the field scale (50 m). This study illustrates that the relationship between DRS and soil properties is scale-dependent and that this scale dependency has important consequences for prediction of soil properties from DRS data

Tracer correlations in the northern high latitude lowermost stratosphere: Influence of cross‐tropopause mass exchange

We present an analysis of trace gas correlations in the lowermost stratosphere. In‐situ aircraft measurements of CO, N2O, NOy and O3, obtained during the STREAM 1997 winter campaign, have been used to investigate the role of cross‐tropopause mass exchange on tracer‐tracer relations. At altitudes several kilometers above the local tropopause, undisturbed stratospheric air was found with NOy/NOy * ratios close to unity, NOy/O3 about 0.003–0.006 and CO mixing ratios as low as 20 ppbv (NOy * is a proxy for total reactive nitrogen derived from NOy–N2O relations measured in the stratosphere). Mixing of tropospheric air into the lowermost stratosphere has been identified by enhanced ratios of NOy/NOy * and NOy/O3, and from scatter plots of CO versus O3. The enhanced NOy/O3 ratio in the lowermost stratospheric mixing zone points to a reduced efficiency of O3 formation from aircraft NOx emissions.