Can investors hedge residential price dynamics of Australia's capital cities?

The study described in this paper focuses on testing the short-run and
long-run relationships between house price and consumer price indices in Australia’s capital cities from 1998 to 2008. The autoregressive distributed lag model is adopted to obtain the estimates of the short-run relationships, while the error correction model is used to investigate the long-run relationships. The t-statistic is used to compute the significance of these relationships. The research results give no evidence that house price indices are correlated with consumer price indices in the short run. However, the long-run relationships between house and consumer price indices exist in most of the cities.

Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.

Price dynamics, foreign exchange and anticipated shocks in a tourism economy

Using a dynamic model of an open monetary economy, this paper examines the effects of tourism-related anticipated shocks on goods prices and foreign exchange reserves. Foreign tourists consume mainly non-traded goods in holiday destinations, converting them into exportable goods. This gives rise to a tourism terms-of-trade effect that affects the accumulation of foreign exchange. Announcements of anticipated events bring tourist visits forward, resulting in an initial under-adjustment or an over-adjustment in the prices of the non-traded goods when the tourism terms-of-trade effect is positive or negative. This leads to an increase or a decrease in foreign reserves in the long run.

Price dynamics, foreign exchange and anticipated shocks in a tourism economy

Using a dynamic model of an open monetary economy, this paper examines the effects of tourism-related anticipated shocks on goods prices and foreign exchange reserves. Foreign tourists consume mainly non-traded goods in holiday destinations, converting them into exportable goods. This gives rise to a tourism terms-of-trade effect that affects the accumulation of foreign exchange. Announcements of anticipated events bring tourist visits forward, resulting in an initial underadjustment or an over-adjustment in the prices of the non-traded goods when the tourism termsof-trade effect is positive or negative. This leads to an increase or a decrease in foreign reserves in the long run.

Lying about the price? Ultimatum bargaining with messages and imperfectly observed offers

We introduce the taxicab game, related to the ultimatum game and Gehrig et al.'s (2007) yes/no game. The proposer makes an offer, and simultaneously sends a cheap talk message indicating (possibly falsely) the amount of the offer. The responder observes the message with certainty and the offer with probability p before accepting or rejecting the offer. We investigate versions with p=. 0 and p=. 0.5 along with the ultimatum game as a baseline. Intuition and a model comprising both standard economic agents and others who dislike inequity, lies and lying provide clear predictions that our experimental results support. As the likelihood increases of offers being seen, the offers themselves increase, messages over-state them less, and responders are more likely to accept (even when the offer is unseen). Also, responders are more likely to accept after truthful messages than after lies or when no message is sent.

The value of information in an agency model with moral hazard

I show that the principal and the agent may each prefer that the principal or the agent has imperfect information about the principal's technology in a principal-agent environment with moral hazard. Principals expend considerable resources on data cumulation and analysis. However, such investments in information acquisition are benecial only if the agent will know that the principal is not ignorant or it allows the principal to implement a dierent action. When the principal is perfectly informed about her technology, the agent prefers to be ignorant. In addition, the value of perfect information for the agency is negative if the principal would implement the same action with either possible technology. I also investigate the dierences between ex ante and ex post contracting, and the ramications of the principal being ignorant or potentially ignorant about the technology. Finally, I determine if the principal's utility varies continuously with the degree of informativeness of the agent about the principal's technology. In this vein, I determine whether the agent's uncertainty may make the principal better o if she has the less informative technology.

A computation trust model with trust network in multi-agent systems

Trust is a fundamental issue in multi-agent systems, especially when they are applied in e-commence. The computational models of trust play an important role in determining who and how to interact in open and dynamic environments. To this end, a computation trust model is proposed in which the confidence information based on direct prior interactions with the target agent and the reputation information from trust network are used. In this way, agents can autonomously deal with deception and identify trustworthy parties in multi-agent systems. The ontological property of trust is also considered in the model. A case study is provided to show the effectiveness of the proposed model.

Risk allocation in public-private partnership projects : an innovative model with an intelligent approach

Both the increasing private participation in public projects and the critical importance of appropriate risk allocation to the success of Public-private partnership (PPP) projects justify specific research on how to establish effective risk allocation strategies in PPP projects. Partner’s risk management capability is currently the main concern to risk allocation in PPP projects. Following the transaction cost economics, it is argued that factors such as partner’s commitment and risk management structure should be considered simultaneously in order to develop effective risk allocation strategies. Based on the holistic capability-commitment governance-driven view, this paper proposed a model for generating an optimal risk allocation strategy in PPP projects. The model is demonstrated and described. An artificial intelligent technique integrated with fuzzy logic for model testing and validation is then introduced and justified. The innovative model is expected to provide a logical and complete understanding of the risk allocation strategy selection process, and to provide stakeholders with a richer framework than previously existing ones to guide their decision-making on risk allocation strategies.

Data-based dynamic haptic interaction model with deformable 3D objects

The data-based modeling of the haptic interaction simulation is a growing trend in research. These techniques offer a quick alternative to parametric modeling of the simulation. So far, most of the use of the data-based techniques was applied to static simulations. This paper introduces how to use data-based model in dynamic simulations. This ensures realistic behavior and produce results that are very close to parametric modeling. The results show that a quick and accurate response can be achieved using the proposed methods.