Expectations and liquidity in Yen bond markets

The relationship between daily yields on Japanese government bonds (JGBs), and high grade (AA and AAA) yen eurobonds is investigated. We find the cointegration vector differs slightly from the expected order predicted by the expectations hypothesis and attribute this to differing degrees of liquidity in the eurobond and JGB markets. We conclude that the concentration of new Japanese government issues in maturities of five to ten years, combined with the practice by the authorities of holding a significant amount of outstanding bonds, has distorted the transmission process between different risk classes of bonds. An example of the dynamics of the credit spread on the ten-year AA eurobond is provided.

The credit spread dynamics of Latin American euro issues in international bond markets

This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using variables derived from structural and macroeconomic theory and the impact of a default episode on the underlying equilibrium dynamics. We find four significant determinants of credit spread changes: an asset and interest rate factor—consistent with structural models of credit spread pricing; the exchange rate—consistent with macroeconomic determinants and the slope of the yield curve—consistent with a business cycle effect. Also, an intra-regional analysis of sovereign yields reveals a shift in the long-run equilibrium dynamics around the Argentine default on the 23 December 2001.

Volatility linkages and spillovers in stock and bond markets : some international evidence

This study investigates the transmission of market-wide volatility between the equity markets and bond markets of Japan, Germany, the U. K., and the U. S. To measure the volatility transmission, the BEKK- a decomposition approach to the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. Our results suggest that within the domestic cross markets, the volatility transmission is undirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant bi-directional volatility transmissions between stock markets in Germany and the U. K., and between Germany and the U. S. The volatility transmissions among these markets suggest that the international diversification of bonds is not prevalent.

Volatility transmissions between stock and bond markets : evidence from Japan and the U.S.

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK (Baba, Engle, Kraft and Kroner, 1990) method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the long-run phenomena of causality in conditional variances of paired assets within the local and international markets. Within various pairings, some evidence of bi-directional volatility transmissions such as informational linkages have been observed. Our empirical results suggest that within the domestic cross markets, the volatility transmission is unidirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant directional volatility transmissions between DJI index and FTSE100 index, and between DJI index and DAX200 index. The volatility transmission between these two markets indicates that the international diversification of bonds is not prevalent.

Volatility transmission between stock and bond markets : evidence from US and Australia

This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK – a matricular decomposition of the bivariate GARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market

Spatial linkages among Australian construction markets

The linkages among different construction markets have recently attracted much attention from construction economists. The interactions among regional construction markets have been discussed in a few studies, most of which have been carried out by using input-output methods, and none of them investigated spatial effects on the regional construction markets. This study employed spatial econometric techniques, including spatial autocorrelation and convergence tests, to analyse interactions and linkages among construction price indices in Australian six states and two territories. The empirical results indicate the presence of significant positive spatial correlation among the construction prices in Australian eight construction markets and the degree of dependence decreasing sufficiently quickly as the space between regions increases. The results of convergence test further provide evidence of existence of a ripple effect in construction prices among the Australian regional markets and the changes in construction prices in a state would first positively influence neighbouring states, and then spread out into other non-neighbouring states or territories.

Discrimination, Peformance and Career Progression in Australian Public Sector Labor Markets

While promotion is an important mechanism for allocating labor within organizations, relatively little is known about the determinants of promotion in the highly diverse and traditionally heavily regulated Australian labor markets. This study uses unique data from the Victorian Public Sector Census 2004 to identify the extent and nature of bias in the promotion process. Specifically, we use the promotion histories of 16,675 public sector employees to investigate the existence of discrimination in promotion on the basis of gender, disability and cultural diversity. We find that some differences exist in the rate of promotion on the basis of gender, and to a lesser extent, of birthplace, but, importantly, most of these are due to differences in endowments. There are effectively no differences in promotion on the basis of disability. We find that the main driver of promotion in Victorian public sector labor markets is worker effort and performance. Compared to labor markets elsewhere, the Australian public sector is relatively free of discrimination in promotions.

Credit cycle dependent spread determinants in emerging sovereign debt markets

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are motivated in the tradition of structural credit risk models and include changes in asset prices, interest rates, implied market volatility, gold price changes and foreign exchange rates. We examine daily frequency variations of U.S. dollar denominated Eurobond credit spreads of four major Latin American sovereign bond issuers (Brazil, Colombia, Mexico and Venezuela) with liquid bond markets during March 2000 to June 2011. We find that spread determinants are statistically significant and consistent with theory, while their magnitude remarkably varies with the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities with respect to the spread change determinants. We further document that not only changes of local currencies, but also changes of the Euro with respect to the U.S. dollar are significant spread drivers and argue that this is consistent with the sovereigns' ability to pay.

Do you really want to ask an underwriter how much money you should leave on the table?

This paper analyses whether the owners of companies seeking to list will leave less money on the table if underwriters are employed to price and market the issue. Our findings indicate that limited liability and Industrial company initial public offerings (IPOs) that have used underwriters have left
more money on the table than those not employing underwriters. Not only is there a direct cost in employing an underwriter but this study suggests there might also be an indirect cost. We also find that a positive forecast earnings per share yield may be useful in reducing the amount of money left on the table.

The dynamics of Latin American sovereign international bonds

This thesis investigated the behavioural dynamics of emerging market sovereign international bonds issued by key Latin American economies. The study allows deeper insights into the complex behaviour of an important segment of international bond markets in a single, comprehensive and penetrative study.

New housing supply and residential construction costs in Australia : a panel ECM approach

The supply of new housing in Australia has been experiencing a low increase rate since the 1990s in conjunction with an increasingly strong housing demand. On the contrary, residential construction costs across Australia?s states maintained dramatic increases simultaneously. Economic theory suggests that new housing supply is correlated to the costs of residential constructions. However, few empirical studies have focused on examining this relationship for Australian housing markets. To comprehensively investigate the relationship between the supply of new housing and residential construction costs a function for new housing supply considering the effects of regional heterogeneities is introduced in this study. By estimating a panel error correction model (ECM) applicable for quantifying the correlation with regional heterogeneities, this research identifies that a causal link and a strong correlation exist in between new housing supply and residential construction costs in Australia.

lnvestigating spatial linkages of construction prices in Australia's regions

Linkages among different construction markets have attracted great of attention from the construction economist. With notable exceptions, most of this infestation has carried out by using input-output analysis. Interactions among regional construction markets have been discussed in few studies and none of them investigate spatial effects on the regional construction markets. This study employed spatial econometric techniques, spatial autocorrelation and convergence tests, to analysis interactions and linkages among construction price indices in Australian six states and two territories. The empirical results indicate the presence of significant positive spatial correlation between the construction prices in Australian eight construction markets and the degree of dependence decrease sufficiently quickly as the space between units increase. The results of convergence test further present evidence on "ripple effect" in the construction prices in Australian regional markets and the changes in regional construction price would positively influence neighboring states first, and then spread out into others, and then the regional prices converge and reach a long-run equilibrium in the following quarters. Urban development policymakers and construction developers could benefit from the analysis of spatial linkages in regional construction markets.