Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Trade Liberalization and Organizational Change

We embed a simple incomplete-contracts model of organization design in a standard two-country perfectly-competitive trade model to examine how the liberalization of product and factor markets affects the ownership structure of firms.In our model, managers decide whether or not to integrate their firms, trading off the pecuniary benefits of coordinating production decisions with the private benefits of operating in their preferred ways. The price of output is a crucial determinant of this choice, since it affects the size of the pecuniary benefits. In particular, non-integration is chosen at “low” and “high” prices, while integration occurs at moderate prices. Organizational choices also depend on the terms of trade in supplier markets, which affect the division of surplus between managers. We obtain three main results. First, even when firms do not relocate across countries, the price changes triggered by liberalization of product markets can lead to significant organizational restructuring within countries. Second, the removal of barriers to factor mobility can lead to inefficient reorganization and adversely affect consumers. Third, “deep integration” — the liberalization of both product and factor markets — leads to the convergence of organizational design across countries.

Essays on Emissions Trading Markets

This dissertation is a collection of three economics essays on different aspects of carbon emission trading markets. The first essay analyzes the dynamic optimal emission control strategies of two nations. With a potential to become the largest buyer under the Kyoto Protocol, the US is assumed to be a monopsony, whereas with a large number of tradable permits on hand Russia is assumed to be a monopoly. Optimal costs of emission control programs are estimated for both the countries under four different market scenarios: non-cooperative no trade, US monopsony, Russia monopoly, and cooperative trading. The US monopsony scenario is found to be the most Pareto cost efficient. The Pareto efficient outcome, however, would require the US to make side payments to Russia, which will even out the differences in the cost savings from cooperative behavior. The second essay analyzes the price dynamics of the Chicago Climate Exchange (CCX), a voluntary emissions trading market. By examining the volatility in market returns using AR-GARCH and Markov switching models, the study associates the market price fluctuations with two different political regimes of the US government. Further, the study also identifies a high volatility in the returns few months before the market collapse. Three possible regulatory and market-based forces are identified as probable causes of market volatility and its ultimate collapse. Organizers of other voluntary markets in the US and worldwide may closely watch for these regime switching forces in order to overcome emission market crashes. The third essay compares excess skewness and kurtosis in carbon prices between CCX and EU ETS (European Union Emission Trading Scheme) Phase I and II markets, by examining the tail behavior when market expectations exceed the threshold level. Dynamic extreme value theory is used to find out the mean price exceedence of the threshold levels and estimate the risk loss. The calculated risk measures suggest that CCX and EU ETS Phase I are extremely immature markets for a risk investor, whereas EU ETS Phase II is a more stable market that could develop as a mature carbon market in future years.

Integration of a Sedimentation Module to a Hydrologic Model and its Application to a Mercury TMDL Analysis

This research is part of continued efforts to correlate the hydrology of East Fork Poplar Creek (EFPC) and Bear Creek (BC) with the long term distribution of mercury within the overland, subsurface, and river sub-domains. The main objective of this study was to add a sedimentation module (ECO Lab) capable of simulating the reactive transport mercury exchange mechanisms within sediments and porewater throughout the watershed. The enhanced model was then applied to a Total Maximum Daily Load (TMDL) mercury analysis for EFPC. That application used historical precipitation, groundwater levels, river discharges, and mercury concentrations data that were retrieved from government databases and input to the model. The model was executed to reduce computational time, predict flow discharges, total mercury concentration, flow duration and mercury mass rate curves at key monitoring stations under various hydrological and environmental conditions and scenarios. The computational results provided insight on the relationship between discharges and mercury mass rate curves at various stations throughout EFPC, which is important to best understand and support the management mercury contamination and remediation efforts within EFPC.

Mining in Northern British Columbia

The history of the settlement of the province is tied to patterns of exploration and min development. In Northern British Columbia the Cariboo goldfields provided the impetus for settlement of the region and the beginning for mining to extend into the watern and northern regions in a series of minor gold rushes. The northern half of the province has a geological diverse mineral base that supports a wide variety of mining, and a gradual improvement of exploration and mining methods due to scientific knowledge and technology provided opportunities for lode gold and base metal mines to be developed. The success of mining is based on world ore prices and competitive markets that impact the economic viability of developing a mine. Mining faces increasing pressures in the northern half of the province due to other resource values, such as tourism or protected areas, that claim and compete for a similar land base.

Co-creating games: A co-evolutionary analysis

ABSTRACT. The phenomenon of consumer co-creation is often framed in terms of whether either economic market forces or socio-cultural non-market forces ultimately dominate. We propose an alternate model of consumer co-creation in terms of co-evolution between markets and non-markets. Our model is based on a recent ethnographic study of a massively multiplayer online game through its development, release and ultimate failure, and cast in terms of two explanatory models: multiple games and social network markets. We conclude that consumer co-creation is indeed complex, but in ways that relate to both emergent market expectations and the evolution of markets, not to the transcendence of markets.

The Kava Anxiety Depression Spectrum Study (KADSS): A randomized, placebo-controlled, cross-over trial using an aqueous extract of Piper methysticum.

Rationale: Piper methysticum (Kava) has been withdrawn in European, British, and Canadian markets due to concerns over hepatotoxic reactions. The WHO recently recommended research into “aqueous” extracts of Kava. Objective: The objective of this study was to conduct the first documented human clinical trial assessing the anxiolytic and antidepressant efficacy of an aqueous extract of Kava. Design and participants: The Kava Anxiety Depression Spectrum Study was a 3-week placebo-controlled, double-blind crossover trial that recruited 60 adult participants with 1 month or more of elevated generalized anxiety. Five Kava tablets per day were prescribed containing 250 mg of kavalactones/day. Results: The aqueous extract of Kava reduced participants' Hamilton Anxiety Scale score in the first controlled phase by −9.9 (CI = 7.1, 12.7) vs. −0.8 (CI = −2.7, 4.3) for placebo and in the second controlled phase by −10.3 (CI = 5.8, 14.7) vs. +3.3 (CI = −6.8, 0.2). The pooled effect of Kava vs. placebo across phases was highly significant (p < 0.0001), with a substantial effect size (d = 2.24, η² [sub]p[sub] = 0.428). Pooled analyses also revealed highly significant relative reductions in Beck Anxiety Inventory and Montgomery–Asberg Depression Rating Scale scores. The aqueous extract was found to be safe, with no serious adverse effects and no clinical hepatotoxicity. Conclusions: The aqueous Kava preparation produced significant anxiolytic and antidepressant activity and raised no safety concerns at the dose and duration studied. Kava appears equally effective in cases where anxiety is accompanied by depression. This should encourage further study and consideration of globally reintroducing aqueous rootstock extracts of Kava for the management of anxiety.

The impact of corporate venturing on a firm's competence modes

In this conceptual paper we investigate how corporate venturing influences an organization's competences. The impact of various types of corporate ventures on the portfolio of strategic options of a firm's competence modes (Sanchez, 2004a; Sanchez & Heene, 2002) will be assessed by distinguishing two fundamentally different dimensions of corporate venturing: technology and product (Block & MacMillan, 1993). We argue that the level of product and factor market dynamism mediates the effect of corporate venturing on a firm's competence modes. Corporate ventures that significantly increase the level of product or factor market dynamics will increase the flexibility in all five competence modes. These ventures have a direct effect on the lower-order competence modes and an indirect, lagged effect on higher-order competence modes through feedback loops. The developed framework and the propositions contribute to managing the ability of a firm to change its coordination, resource, and operating flexibility in order to sustain value creation.

Sustainable airport infrastructure : balancing infrastructures for the airport metropolis

Ongoing financial, environmental and political adjustments have shifted the role of large international airports. Many airports are expanding from a narrow concentration on operating as transportation centres to becoming economic hubs. By working together, airports and other industry sectors can contribute to and facilitate not only economic prosperity, but create social advantage for local and regional areas in new ways. This transformation of the function and orientation of airports has been termed the aerotropolis or airport metropolis, where the airport is recognised as an economic centre with land uses that link local and global markets. This chapter contends that the conversion of an airport into a sustainable airport metropolis requires more than just industry clustering and the existence of hard physical infrastructure. Attention must also be directed to the creation and on-going development of social infrastructure within proximate areas and the maximisation of connectivity flows within and between infrastructure elements. It concludes that the establishment of an interactive and interdependent infrastructure trilogy of hard, soft and social infrastructures provides the necessary balance to the airport metropolis to ensure sustainable development. This chapter provides the start of an operating framework to integrate and harness the infrastructure trilogy to enable the achievement of optimal and sustainable social and economic advantage from airport cities.

Using a design led disruptive innovation approach to develop new services : practising innovation in times of discontinuity

Organisations face increasing competition from new firms in emerging markets and their past superior products may no longer provide competitive advantage in markets based on different cost and value differentials. A shift in design practices from product solutions to health services which are accessible and affordable by all is required. This paper explores a design led approach to innovation to assist medical device companies develop new services and experiences and reshape their notions of the nature, development and deployment of health care services. This approach uses design tools and methodologies that are grounded in the authentic understandings of stakeholder experiences, to assist an organisation create a vision of likely future health care scenarios. Through this process, organisations can explore the complexities in the delivery of future health care services in new and emerging markets allowing them to tailor product and service solutions which focus on being accessible and affordable by all. The industry based case study for the design of health services in carried out in emerging economies. The contribution of this work in advancing research into design innovation and future research directions are also presented.

Exploring the process of implementing a smoking cessation intervention in pregnancy training program for midwives

The question of how to implement evidence effectively reveals a deficiency in our knowledge and understanding of the compound factors involved in such a process (Kitson, Rycroft-Malone et al. 2008). Although there is some awareness of the complexities of the process, there has been little exploration of the effectiveness of implementing evidence-based programs in health care. Despite public awareness of the dangers of smoking in pregnancy, and widespread public health measures to prevent smoking-related disease, women still continue to smoke in pregnancy (Ananth, Savitz et al. 1997; Laws and Hilder 2008). Evaluation of public health measures concludes that smoking cessation interventions during pregnancy increase quit rates among pregnant women (Melvin, Dolan-Mullen et al. 2000; Albrecht, Maloni et al. 2004; Lumley, Oliver et al. 2007). Notwithstanding the potential for improvement in health outcomes for pregnant women and their unborn babies, smoking interventions are often conducted poorly or not at all. Although midwives understand why women smoke in pregnancy and parenthood and are aware of the risks of smoking to both the pregnancy and the unborn child, they require specific knowledge and skills in the provision of support and advice on smoking for pregnant women (Bull and Whitehead 2006) . Organisational-change research demonstrates the complexity of the process of planned change in professionalised institutions such as health care (Greenhalgh, Robert et al. 2005). Some innovations and interventions are never accepted, and others are poorly supported (Greenhalgh, Robert et al. 2004). Comprehension of the change process around health promotion is crucial to the implementation of new health promotion interventions within health care (Riley, Taylor et al. 2003). This study utilised a case study approach to explore the process of implementing a smoking cessation training program for midwives in Queensland metropolitan and regional clinical areas, who attended a ‘Train-the-Trainer program’. The study draws on the organisational change work of Greenhalgh et al (2004) as the theoretical framework through which situational and structural factors are explored and examined as they inform the implementation of smoking cessation programs. The research data constituted staged interviews with midwives who instituted training programs for midwives, as well as organisational and policy documentation. Analysis of the data identified some areas that were not fully addressed in the theoretical model; these formed the basis of the Discussion and Implications for Future Research.

Alleviating poverty by engaging in microenterprise : how can INGOs in Vietnam help microenterprises overcome market constraints?

Microenterprise programs (MEPs) that aim to help poor communities engage in micro businesses have contributed significantly to poverty reduction in developing countries. However, a review of the literature suggests that the current approach adopted by MEPs has mainly provided services to microenterprises (MEs) based on what MEPs can supply rather than on what MEs actually need and what the market demands. Therefore, MEPs’ approaches are more likely to be supply driven. Yet when there are market constraints, such as high competition or low demand, this approach has been linked to the failure of MEs in their infancy. The alternative is a demand driven approach, in which MEPs provide MEs with support based on what MEs need, and what markets demand. However, research examining the application of this approach is limited. In order to gain an understanding of the approaches of MEPs, to identify whether these approaches are demand or supply driven, and to discover how these approaches are used to help MEs operate under market constraints, this study examined the operation of International Non-Government Organisations (INGOs) operating in Vietnam. This exploratory study involved in-depth interviews with senior executives from 10 INGOs. Thematic analysis was used to analyse data collected from the in-depth interviews. The results were further verified with publicly available data from the INGOs. The findings of this research indicate that the demand driven approach is dominant in most approaches of INGOs in Vietnam, and has become a key approach in helping MEs deal with market constraints. Further, rather than explaining the demand and supply driven dichotomy, the findings highlight that MEPs’ approaches can be viewed in two dimensions: a participant-demand driven approach focusing on the basic needs and capabilities of the extremely poor, irrespective of market demands; and a market-demand driven approach focusing on the capabilities of poor communities, while also accommodating market demands. This research provides contemporary and practical insights into the DD and SD approaches, and a better understanding of MEPs’ approaches to MED in Vietnam.

Professional identity of management accountants : leadership in changing environments

The professional identity of management accountants (MAs) is evolving. According to 8,727 descriptors expressed by 1,158 participants, a range of characteristics of MAs are competing in shaping the identity of future MAs. Respondents strongly valued qualities such as professional principles, hard work, intelligence, analytical and forward thinking in MAs. Further, more innovative, dynamic and people-oriented qualities were strongly suggested for future MAs, with roles relating to multi-skilled business integrator, business partner/advisor, leader, change agent, and decision enabler/maker. Cultivating leadership qualities in the management accounting profession is critical according to participants. Projecting a positive image of the profession and CIMA, and innovative training in management and leadership skills can further support MAs to meet future challenges. Most of all, understanding business and continued personal development by individual MAs is highly valued in shaping the future leadership identity of MAs. Our quantitative data show positive relationships between the professional identification, image and reputation, and leadership qualities of MAs. This suggests that the more one identifies with the profession, the more one is likely to report higher levels of leadership qualities that support members to internalise the desired meaning of their profession and to create a positive image and reputation. After the financial crisis of 2008–2009, the image of financial professions has been tarnished and unpredictable markets and unstable employment opportunities have challenged the profession across all sectors. Many respondents, especially CIMA members, suggested that the turmoil of the financial crisis did not impact negatively but rather elevated the pivotal role of MAs in contributing to cost efficiency and value creation.

Using scenarios to explore the social aspects of design led innovations

Emerging technologies have redefined the way people go about everyday life. An increasing array of online and on-the-go solutions supporting remote work, entertainment on demand, information sharing, social communication, telehealth and beyond, are now available at the touch of a screen. This paper discusses concept of scenarios as a design tool that can be successfully employed by organisations as an innovative design led approach to: (i) understand people’s everyday practices in current social contexts in order to identify opportunities and emerging markets, and (ii) reveal stakeholder relationships existing in the provision of services within current everyday practices. To illustrate this approach, two case studies will be presented: the first focusing on a real industry project exploring opportunities for the development of future health care services, the second focusing on people’s access to services as part of a transport journey experience. This paper aims to demonstrate the use of scenarios as part of a design led innovation approach to understand the social aspects and their complexities of new designs in an increasing everyday technological driven context.

Risks of Carbon Fraud

Carbon credit markets are in the early stages of development and media headlines such as these illustrate emerging levels of concern and foreboding over the potential for fraudulent crime within these markets. Australian companies are continuing to venture into the largely unregulated voluntary carbon credit market to offset their emissions and / or give their customers the opportunity to be ‘carbon neutral’. Accordingly, the voluntary market has seen a proliferation of carbon brokers that offer tailored offset carbon products according to need and taste. With the instigation of the Australian compliance market and with pressure increasing for political responses to combat climate change, we would expect Australian companies to experience greater exposure to carbon products in both compliance and voluntary markets. This paper examines the risks of carbon fraud in these markets by reviewing cases of actual fraud and analysing and identifying contexts where risks of carbon fraud are most likely.