Informational efficiency of the European Union emission allowance market

This thesis studies the informational efficiency of the European Union emission allowance (EUA) market. In an efficient market, the market price is unpredictable and profits above average are impossible in the long run. The main research problem is does the EUA price follow a random walk. The method is an econometric analysis of the price series, which includes an autocorrelation coefficient test and a variance ratio test. The results reveal that the price series is autocorrelated and therefore a nonrandom walk. In order to find out the extent of predictability, the price series is modelled with an autoregressive model. The conclusion is that the EUA price is autocorrelated only to a small degree and that the predictability cannot be used to make extra profits. The EUA market is therefore considered informationally efficient, although the price series does not fulfill the requirements of a random walk. A market review supports the conclusion, but it is clear that the maturing of the market is still in process.

Cobreaking of Stock Prices and Contagion

Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. The paper proposes to use cobreaking to model comovements between financial markets during crises and to test for conta-gion. It finds evidence of cobreaking between stock returns in developed markets. Finding cobreaking has implications for the diversification of international investments. For emerging mar-ket stock returns the evidence of cobreaking is mainly due to the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial crises originating in one emerging market do not spread to other markets, i.e., no contagion.

International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.

Material And Informational Synergy For Sustainable Prosperity

The quest for prosperity has been a central motive in the life of man from the moment of his entrance into the worldly scence. And certain, it is that the issue of prosperity at the very cost of his very existence has mounted in intensity and urgency with the unforeseen evolution of industrialization. The traditional paradigm of prosperity has been resting on the classical theory of production economics.With increasing empiricism it is obvious that the rational model fail to grapple with the complexity of the concept. The paper addresses the prosperity as an goal state resting on the conviction of harmony between present generation and generation of humans to come. Sustainable prosperity involves more than growth in services/goods. It requires a change in the content of the growth, to make it less material-and energy-intensive and more equitable in its impact. The process of economic prosperity must be more soundly based upon the realities of the stock of capital that sustains it.

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.

Informational report: Bycatch reduction devices used in the Pink Shrimp trawl fishery

The California Fish and Game Commission (Commission) has the authority to require one or any combination of Bycatch Reduction Device (BRD) types in the trawl fishery within California waters for Pacific ocean shrimp (Pandalus jordani), most commonly referred to as pink shrimp. The purpose of this report is to provide the Commission with the best available information about the BRDs used in the pink shrimp trawl fishery. The mandatory requirement for BRDs occurred in California in 2002, and in Oregon and Washington in 2003, resulting from an effort to minimize bycatch of overfished and quota managed groundfish species. Three types of BRDs currently satisfy the requirement for this device in the California fishery: 1) the Nordmøre grate (rigid-grate excluder); 2) soft-panel excluder; and 3) fisheye excluder; however, the design, specifications, and efficacy differ by BRD type. Although no data has been collected on BRDs directly from the California pink shrimp fishery, extensive research on the efficacy and differences among BRD types has been conducted by the Oregon Department of Fish and Wildlife (ODFW) since the mid-1990s. Rigid-grate excluders are widely considered to be the most effective of the three BRD types at reducing groundfish bycatch. Over 90 percent of the Oregon pink shrimp fleet use rigid-grate excluders. The majority of the current California pink shrimp fleet also uses rigid-grate excluders, according to a telephone survey conducted by the California Department of Fish and Game (Department) in 2007-2008 of pink shrimp fishermen who have been active in the California fishery in recent years. Hinged rigid-grate excluders have been developed in recent years to reduce the bending of the BRD on vessels that employ net reels to stow and deploy their trawl nets, and they have been used successfully on both single- and double-rig vessels in Oregon. Soft-panel excluders have been demonstrated to be effective at reducing groundfish bycatch, although excessive shrimp loss and other problems have also been associated with this design. Fisheye excluders have been used in the California fishery in the past, but they were disapproved in Oregon and Washington in 2003 because they were found to be less effective at reducing groundfish bycatch than other designs. The reputation of the United States west coast pink shrimp fishery as one of the cleanest shrimp fisheries in the world is largely attributed to the effectiveness of BRDs at reducing groundfish bycatch. Nevertheless, BRD research and development is still a relatively new field and additional modifications and methods may further reduce bycatch rates in the pink shrimp fishery.(PDF contains 12 pages.)

Informational masking in young and elderly listeners for speech masked by simultaneous speech and noise

Three experiments measured the effects of age on informational masking of speech by competing speech. The experiments were designed to minimize the energetic contributions of the competing speech so that informational masking could be measured with no large corrections for energetic masking. Experiment 1 used a "speech-in-speech-in-noise" design, in which the competing speech was presented in noise at a signal-to-noise ratio (SNR) of -4 dB. This ensured that the noise primarily contributed the energetic masking but the competing speech contributed the informational masking. Equal amounts of informational masking (3 dB) were observed for young and elderly listeners, although less was found for hearing-impaired listeners. Experiment 2 tested a range of SNRs in this design and showed that informational masking increased with SNR up to about an SNR of -4 dB, but decreased thereafter. Experiment 3 further reduced the energetic contribution of the competing speech by filtering it into different frequency bands from the target speech. The elderly listeners again showed approximately the same amount of informational masking (4-5 dB), although some elderly listeners had particular difficulty understanding these stimuli in any condition. On the whole, these results suggest that young and elderly listeners were equally susceptible to informational masking. © 2009 Acoustical Society of America.

K-Contagion: Sound, Space and Speed in Psy's 'Gangnam Style'

Park Jae-Sang’s (otherwise known as PSY) bewilderingly successful pop contagion ‘Gangnam Style’ needs no introduction. As of January 2013, it has become the most watched video in YouTube’s history and has garnered over 1.23 billion hits since. ‘Gangnam Style’ has also become a rapid global pop phenomenon with multiple parodic reproductions, imitations and adaptations; Rapper PSY himself has become an international name and styled as the ‘anti-hero’ of the glamour-driven K-pop scene. His fame has transcended the social sphere and permeated the political stratosphere with politicians such as Barrack Obama and David Cameron being among the many whom PSY has exchanged pleasantries with. Apart from breaking ground and creating social and media history in many ways, ‘Gangnam Style’ has even been purported by UN Secretary-General Ban Ki Moon to be a “force for world peace” – cultural barriers are demolished as the world dances. Underlying this sentiment is the video’s almost universal appeal that assumes a supracultural yet equally paradoxical translatability: Korea’s neoteric ‘K-Wave’ phenomenon is at once local yet global, and where the latter is predicated on the former quality. The paper’s concern is thus two-fold. It will consider the dromological aspects of this musical contagion as it exemplifies and performs quite literally Paul Virilio’s thesis that the modern condition is driven by speed yet arrested to a dictatorship of movement. While many theories have been put forward for this astounding pop peculiarity, this paper would also examine the intercultural currents that advocate such a global (pop) cultural response. Through an analysis of sonic qualities – digital techno-beat rhythms, synth-based musicality, cyclical lyrics, horse-galloping movements – and acoustic receptions, it will consider the simultaneous and dichotomous currents of glocalisation and globalisation as it relates to the ways in which sonic ‘hyper-links’ establish new concepts of global-cultural identities even as these seem to be interrogated in the borderless worlds of hyper-mediatised realities and cultural technologies.

Isolating Informational Masking in Both Pure and Complex Tone Sequences

Objectives: Interference between a target and simultaneous maskers occurs both at the cochlear level through energetic masking and more centrally through informational masking (IM). Hence, quantifying the amount of IM requires a strict control of the energetic component. Presenting target and maskers on different sides (i.e., dichotically) reduces energetic masking but provides listeners with important lateralization cues that also drastically reduce IM. The main purpose of this study (Experiment 1) was to evaluate a "switch" manipulation aiming at restoring most of the IM despite dichotic listening. Experiment 2 was designed to investigate the source of the difficulty induced by this switching dichotic condition.

Design: In Experiment 1, the authors presented 60 normal-hearing young adults with a detection task in which a regularly repeating target was embedded in a randomly varying background masker. The authors evaluated spatial masking release induced by three different dichotic listening conditions in comparison with a diotic baseline. Dichotic stimuli were presented in either a nonswitching or a switching condition. In the latter case, the presentation sides of dichotic target and maskers alternated several times throughout 10 sec sequences. The impact of the number of switches on IM was investigated parametrically, with both pure and complex tone sequences. In Experiment 2, the authors compared performance of 13 young, normal-hearing listeners in a monotic and dichotic version of the rapidly switching condition, using pure-tone sequences.

Results: When target and maskers switched rapidly within sequences, IM was significantly stronger than in nonswitching dichotic sequences and was comparable with the masking effect induced by diotic sequences. Furthermore, Experiment 2 suggests that rapidly switching target and maskers prevent listeners from relying on lateralization cues inherent to the dichotic condition, hence preserving important amounts of IM.

Conclusions: This paradigm thus provides an original tool to isolate IM in signal and maskers having overlapping spectra.

UK Public Private Partnerships and the Credit Crunch: A Case of Risk Contagion?

During the past twenty years, the UK has relied heavily on Public Private Partnerships (PPP) and especially the Private Finance Initiative in the procurement of infrastructure and services. Discussing the causes of the credit crunch and its effects on PPP, this paper notes that the provision of new public sector infrastructure and related services has been adversely affected by the impact of the credit crunch on Private Finance Initiatives (PFIs). These problems have arisen primarily from the unwillingness of commercial banks to replace collapsed PFI bond financing unless new PFI contracts reduce financial risks; which, in turn, is likely to increase the cost of these projects to the public sector. Additional financial strains have arisen for the UK government from the need to bail out collapsed PFI projects. Overall we find evidence that the UK commitment to PFI has not only increased immediate fiscal pressures on the UK when these have become least palatable, but has also created fiscal vulnerabilities at local and national levels which are likely to hamper the country’s ability to launch counter-cyclical responses to the ongoing crisis.

Cross-Industry Product Diversification and Contagion in Risk and Return: The Case of Bank-Insurance and Insurance-Bank Takeovers

We investigate the impact of domestic/international bancassurance deals on the risk-return profiles of announcing and non-announcing banks and insurers within a GARCH model. Bank-insurance deals produce intra- and inter-industry contagion in both risk and return, with larger deals producing greater contagion. Bidder banks and peers experience positive abnormal returns, with the effects on insurer peers being stronger than those on bank peers. Insurance-bank deals produce insignificant excess returns for bidder and peer insurers and positive valuations for peer banks. Following the deal, the bank bidders’ idiosyncratic (systematic) risk falls (increases), while insurance bidders exhibit a lower systematic risk and maintain their idiosyncratic risk.

The Informational Value of Corporate Credit Ratings

This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.