Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.

Asymmetric output gap effects in Phillips Curve and mark-up pricing models: evidence for the US and the UK

A number of studies have found an asymmetric response of consumer price index inflation to the output gap in the US in simple Phillips curve models. We consider whether there are similar asymmetries in mark-up pricing models, that is, whether the mark-up over producers' costs also depends upon the sign of the (adjusted) output gap. The robustness of our findings to the price series is assessed, and also whether price-output responses in the UK are asymmetric.

Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.

Model for calculating the sustainable building index (SBI) in the kingdom of Bahrain

We have developed a model that allows players in the building and construction sector and the energy policy makers on energy strategies to be able to perceive the interest of investors in the kingdom of Bahrain in conducting Building Integrated Photovoltaic (BIPV) or Building integrated wind turbines (BIWT) projects, i.e. a partial sustainable or green buildings. The model allows the calculation of the Sustainable building index (SBI), which ranges from 0.1 (lowest) to 1.0 (highest); the higher figure the more chance for launching BIPV or BIWT. This model was tested in Bahrain and the calculated SBI was found 0.47. This means that an extensive effort must be made through policies on renewable energy, renewable energy education, and incentives to BIPV and BIWT projects, environmental awareness and promotion to clean and sustainable energy for building and construction projects. Our model can be used internationally to create a "Global SBI" database. The Sustainable building and construction initiative (SBCI), United Nation, can take the task for establishing such task using this model.

New evidence on the green building rent and price premium

This paper investigates the effect of voluntary eco-certification on the rental and sale prices of US commercial office properties. Hedonic and logistic regressions are used to test whether there are rental and sale price premiums for LEED and Energy Star certified buildings. The results of the hedonic analysis suggest that there is a rental premium of approximately 6% for LEED and Energy Star certification. A sale price premium of approximately 35% was found for 127 price observations involving LEED rated buildings and 31% for 662 buildings involving Energy Star rated buildings. When compared to samples of similar buildings identified by a binomial logistic regression for LEED-certified buildings, the existence of a rent and sales price premium is confirmed albeit with differences regarding the magnitude of the premium. Overall, the results of this study confirm that LEED and Energy Star buildings exhibit higher rental rates and sales prices per square foot controlling for a large number of location- and property-specific factors.

The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.

A multicriteria lifespan energy efficiency approach to intelligent building assessment

This paper presents a multicriteria decision-making model for lifespan energy efficiency assessment of intelligent buildings (IBs). The decision-making model called IBAssessor is developed using an analytic network process (ANP) method and a set of lifespan performance indicators for IBs selected by a new quantitative approach called energy-time consumption index (ETI). In order to improve the quality of decision-making, the authors of this paper make use of previous research achievements including a lifespan sustainable business model, the Asian IB Index, and a number of relevant publications. Practitioners can use the IBAssessor ANP model at different stages of an IB lifespan for either engineering or business oriented assessments. Finally, this paper presents an experimental case study to demonstrate how to use IBAssessor ANP model to solve real-world design tasks.

The tendering process and performance analysis of a public building project in Ghana

A case study on the tendering process and cost/time performance of a public building project in Ghana is conducted. Competitive bids submitted by five contractors for the project, in which contractors were required to prepare their own quantities, were analyzed to compare differences in their pricing levels and risk/requirement perceptions. Queries sent to the consultants at the tender stage were also analyzed to identify the significant areas of concern to contractors in relation to the tender documentation. The five bidding prices were significantly different. The queries submitted for clarifications were significantly different, although a few were similar. Using a before-and-after experiment, the expected cost/time estimate at the start of the project was compared to the actual cost/time values, i.e. what happened in the actual construction phase. The analysis showed that the project exceeded its expected cost by 18% and its planned time by 210%. Variations and inadequate design were the major reasons. Following an exploration of these issues, an alternative tendering mechanism is recommended to clients. A shift away from the conventional approach of awarding work based on price, and serious consideration of alternative procurement routes can help clients in Ghana obtain better value for money on their projects.

The price of risk in construction projects: contingency approximation model (CAM)

Little attention has been focussed on a precise definition and evaluation mechanism for project management risk specifically related to contractors. When bidding, contractors traditionally price risks using unsystematic approaches. The high business failure rate our industry records may indicate that the current unsystematic mechanisms contractors use for building up contingencies may be inadequate. The reluctance of some contractors to include a price for risk in their tenders when bidding for work competitively may also not be a useful approach. Here, instead, we first define the meaning of contractor contingency, and then we develop a facile quantitative technique that contractors can use to estimate a price for project risk. This model will help contractors analyse their exposure to project risks; and help them express the risk in monetary terms for management action. When bidding for work, they can decide how to allocate contingencies strategically in a way that balances risk and reward.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.