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.

Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

The impact of economic and financial factors on UK property performance

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. The results indicate that unexpected inflation, and the interest rate term spread have explanatory powers for the property market. However, the most significant influence on the real estate series are the lagged values of the real estate series themselves. We conclude that identifying the factors that have determined UK property returns over the past twelve years remains a difficult task.

Economic and agronomic impact of commercialised GM crops: a meta-analysis

The present paper presents a meta-analysis of the economic and agronomic performance of genetically modified (GM) crops worldwide. Bayesian, classical and non-parametric approaches were used to evaluate the performance of GM crops v. their conventional counterparts. The two main GM crop traits (herbicide tolerant (HT) and insect resistant (Bt)) and three of the main GM crops produced worldwide (Bt cotton, HT soybean and Bt maize) were analysed in terms of yield, production cost and gross margin. The scope of the analysis covers developing and developed countries, six world regions, and all countries combined. Results from the statistical analyses indicate that GM crops perform better than their conventional counterparts in agronomic and economic (gross margin) terms. Regarding countries’ level of development, GM crops tend to perform better in developing countries than in developed countries, with Bt cotton being the most profitable crop grown.

Capital market expectations and the London office market

The analysis of office market dynamics has generally concentrated on the impact of underlying fundamental demand and supply variables. This paper takes a slightly different approach to many previous examinations of rental dynamics. Within a Vector-Error-Correction framework the empirical analysis concentrates upon the impact of economic and financial variables on rents in the City of London and West End of London office markets. The impulse response and variance decomposition reveal that while lagged rental values and key demand drivers play a highly important role in the dynamics of rents, financial variables are also influential. Stock market performance not only influences the City of London market but also the West End, whilst the default spread plays an important role in recent years. It is argued that both series incorporate expectations about future economic performance and that this is the basis of their influence upon rental values.

An evidence-based review on the likely economic and environmental impact of genetically modified cereals and oilseeds for UK agriculture

An evidence-based review of the potential impact that the introduction of genetically-modified (GM) cereal and oilseed crops could have for the UK was carried out. The inter-disciplinary research project addressed the key research questions using scenarios for the uptake, or not, of GM technologies. This was followed by an extensive literature review, stakeholder consultation and financial modelling. The world area of canola, oilseed rape (OSR) low in both erucic acid in the oil and glucosinolates in the meal, was 34M ha in 2012 of which 27% was GM; Canada is the lead producer but it is also grown in the USA, Australia and Chile. Farm level effects of adopting GM OSR include: lower production costs; higher yields and profits; and ease of farm management. Growing GM OSR instead of conventional OSR reduces both herbicide usage and environmental impact. Some 170M ha of maize was grown in the world in 2011 of which 28% was GM; the main producers are the USA, China and Brazil. Spain is the main EU producer of GM maize although it is also grown widely in Portugal. Insect resistant (IR) and herbicide tolerant (HT) are the GM maize traits currently available commercially. Farm level benefits of adopting GM maize are lower costs of production through reduced use of pesticides and higher profits. GM maize adoption results in less pesticide usage than on conventional counterpart crops leading to less residues in food and animal feed and allowing increasing diversity of bees and other pollinators. In the EU, well-tried coexistence measures for growing GM crops in the proximity of conventional crops have avoided gene flow issues. Scientific evidence so far seems to indicate that there has been no environmental damage from growing GM crops. They may possibly even be beneficial to the environment as they result in less pesticides and herbicides being applied and improved carbon sequestration from less tillage. A review of work on GM cereals relevant for the UK found input trait work on: herbicide and pathogen tolerance; abiotic stress such as from drought or salinity; and yield traits under different field conditions. For output traits, work has mainly focussed on modifying the nutritional components of cereals and in connection with various enzymes, diagnostics and vaccines. Scrutiny of applications submitted for field trial testing of GM cereals found around 9000 applications in the USA, 15 in Australia and 10 in the EU since 1996. There have also been many patent applications and granted patents for GM cereals in the USA for both input and output traits;an indication of the scale of such work is the fact that in a 6 week period in the spring of 2013, 12 patents were granted relating to GM cereals. A dynamic financial model has enabled us to better understand and examine the likely performance of Bt maize and HT OSR for the south of the UK, if cultivation is permitted in the future. It was found that for continuous growing of Bt maize and HT OSR, unless there was pest pressure for the former and weed pressure for the latter, the seed premia and likely coexistence costs for a buffer zone between other crops would reduce the financial returns for the GM crops compared with their conventional counterparts. When modelling HT OSR in a four crop rotation, it was found that gross margins increased significantly at the higher levels of such pest or weed pressure, particularly for farm businesses with larger fields where coexistence costs would be scaled down. The impact of the supply of UK-produced GM crops on the wider supply chain was examined through an extensive literature review and widespread stakeholder consultation with the feed supply chain. The animal feed sector would benefit from cheaper supplies of raw materials if GM crops were grown and, in the future, they might also benefit from crops with enhanced nutritional profile (such as having higher protein levels) becoming available. This would also be beneficial to livestock producers enabling lower production costs and higher margins. Whilst coexistence measures would result in increased costs, it is unlikely that these would cause substantial changes in the feed chain structure. Retailers were not concerned about a future increase in the amount of animal feed coming from GM crops. To conclude, we (the project team) feel that the adoption of currently available and appropriate GM crops in the UK in the years ahead would benefit farmers, consumers and the feed chain without causing environmental damage. Furthermore, unless British farmers are allowed to grow GM crops in the future, the competitiveness of farming in the UK is likely to decline relative to that globally.