The cyclical relations between traded property stock prices and aggregate time-series

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.

The impact of economic and financial factors on UK property performance

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. The results indicate that unexpected inflation, and the interest rate term spread have explanatory powers for the property market. However, the most significant influence on the real estate series are the lagged values of the real estate series themselves. We conclude that identifying the factors that have determined UK property returns over the past twelve years remains a difficult task.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

The Role of Collateral in Entrepreneurial Finance

Previous research has suggested collateral has the role of sorting entrepreneurs either by observed risk or by private information. In order to test these roles, this paper develops a model which incorporates a signalling process (sorting by observed risk) into the design of an incentivecompatible menu of loan contracts which works as a self-selection mechanism (sorting by private information). It then tests this Sorting by Signalling and Self-Selection Model, using the 1998 US Survey of Small Business Finances. It reports for the first time that: high type entrepreneurs are more likely to pledge collateral and pay a lower interest rate; and entrepreneurs who transfer good signals enjoy better contracts than those transferring bad signals. These findings suggest that the Sorting by Signalling and Self-Selection Model sheds more light on entrepreneurial debt finance than either the sorting-by-observed-risk or the sorting-by-private information paradigms on their own.

Higher education engagement in leadership development: using autobiographical narrative to understand potential impact

The paper explores the lived experience of leadership learning and development in a single case study of an entrepreneur participating in a major leadership development programme for owner-managers of Small and Medium Sized Enterprises (SMEs). Based on autobiographical research, it provides a rich contextual account of the nature and underlying influences of leadership learning throughout the life-course, and as a consequence of participation in the programme. Whilst the paper should interest scholars, policy makers, and those concerned with programme development, it may also resonate with entrepreneurs and help them make sense of their experience of leadership development.

Speech Assessment for the Classification of Hypokinetic Dysthria in Parkinson Disease

The aim of this thesis is to investigate computerized voice assessment methods to classify between the normal and Dysarthric speech signals. In this proposed system, computerized assessment methods equipped with signal processing and artificial intelligence techniques have been introduced. The sentences used for the measurement of inter-stress intervals (ISI) were read by each subject. These sentences were computed for comparisons between normal and impaired voice. Band pass filter has been used for the preprocessing of speech samples. Speech segmentation is performed using signal energy and spectral centroid to separate voiced and unvoiced areas in speech signal. Acoustic features are extracted from the LPC model and speech segments from each audio signal to find the anomalies. The speech features which have been assessed for classification are Energy Entropy, Zero crossing rate (ZCR), Spectral-Centroid, Mean Fundamental-Frequency (Meanf0), Jitter (RAP), Jitter (PPQ), and Shimmer (APQ). Naïve Bayes (NB) has been used for speech classification. For speech test-1 and test-2, 72% and 80% accuracies of classification between healthy and impaired speech samples have been achieved respectively using the NB. For speech test-3, 64% correct classification is achieved using the NB. The results direct the possibility of speech impairment classification in PD patients based on the clinical rating scale.

Government spending and unemployment : An empirical study on Sweden, 1994-2012

The aim of the study was to see if any relationship between government spending andunemployment could be empirically found. To test if government spending affectsunemployment, a statistical model was applied on data from Sweden. The data was quarterlydata from the year 1994 until 2012, unit-root test were conducted and the variables wheretransformed to its first-difference so ensure stationarity. This transformation changed thevariables to growth rates. This meant that the interpretation deviated a little from the originalgoal. Other studies reviewed indicate that when government spending increases and/or taxesdecreases output increases. Studies show that unemployment decreases when governmentspending/GDP ratio increases. Some studies also indicated that with an already largegovernment sector increasing the spending it could have negative effect on output. The modelwas a VAR-model with unemployment, output, interest rate, taxes and government spending.Also included in the model were a linear and three quarterly dummies. The model used 7lags. The result was not statistically significant for most lags but indicated that as governmentspending growth rate increases holding everything else constant unemployment growth rateincreases. The result for taxes was even less statistically significant and indicates norelationship with unemployment. Post-estimation test indicates that there were problems withnon-normality in the model. So the results should be interpreted with some scepticism.

Assessment of PD Speech Anomalies @ Home

Background: Voice processing in real-time is challenging. A drawback of previous work for Hypokinetic Dysarthria (HKD) recognition is the requirement of controlled settings in a laboratory environment. A personal digital assistant (PDA) has been developed for home assessment of PD patients. The PDA offers sound processing capabilities, which allow for developing a module for recognition and quantification HKD. Objective: To compose an algorithm for assessment of PD speech severity in the home environment based on a review synthesis. Methods: A two-tier review methodology is utilized. The first tier focuses on real-time problems in speech detection. In the second tier, acoustics features that are robust to medication changes in Levodopa-responsive patients are investigated for HKD recognition. Keywords such as Hypokinetic Dysarthria , and Speech recognition in real time were used in the search engines. IEEE explorer produced the most useful search hits as compared to Google Scholar, ELIN, EBRARY, PubMed and LIBRIS. Results: Vowel and consonant formants are the most relevant acoustic parameters to reflect PD medication changes. Since relevant speech segments (consonants and vowels) contains minority of speech energy, intelligibility can be improved by amplifying the voice signal using amplitude compression. Pause detection and peak to average power rate calculations for voice segmentation produce rich voice features in real time. Enhancements in voice segmentation can be done by inducing Zero-Crossing rate (ZCR). Consonants have high ZCR whereas vowels have low ZCR. Wavelet transform is found promising for voice analysis since it quantizes non-stationary voice signals over time-series using scale and translation parameters. In this way voice intelligibility in the waveforms can be analyzed in each time frame. Conclusions: This review evaluated HKD recognition algorithms to develop a tool for PD speech home-assessment using modern mobile technology. An algorithm that tackles realtime constraints in HKD recognition based on the review synthesis is proposed. We suggest that speech features may be further processed using wavelet transforms and used with a neural network for detection and quantification of speech anomalies related to PD. Based on this model, patients' speech can be automatically categorized according to UPDRS speech ratings.

Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

Testing unit root based on partially adaptive estimation

This paper proposes unit tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adptive estimation using nonparametric methods. The limiting distribution of the proposed test is a combination of standard normal and the traditional Dickey-Fuller (DF) distribution, including the traditional ADF test as a special case when using Gaussian density. Taking into a account the well documented characteristic of heavy-tail behavior in economic and financial data, we consider unit root tests coupled with a class of partially adaptive M-estimators based on the student-t distributions, wich includes te normal distribution as a limiting case. Monte Carlo Experiments indicate that, in the presence of heavy tail distributions or innovations that are contaminated by outliers, the proposed test is more powerful than the traditional ADF test. We apply the proposed test to several macroeconomic time series that have heavy-tailed distributions. The unit root hypothesis is rejected in U.S. real GNP, supporting the literature of transitory shocks in output. However, evidence against unit roots is not found in real exchange rate and nominal interest rate even haevy-tail is taken into a account.

On the consistency of arbitrary money-demand functions with the Sidrauski and the shopping-time models

This paper investigates which properties money-demand functions have to satisfy to be consistent with multidimensional extensions of Lucasí(2000) versions of the Sidrauski (1967) and the shopping-time models. We also investigate how such classes of models relate to each other regarding the rationalization of money demands. We conclude that money demand functions rationalizable by the shoppingtime model are always rationalizable by the Sidrauski model, but that the converse is not true. The log-log money demand with an interest-rate elasticity greater than or equal to one and the semi-log money demand are counterexamples.

Why foreign savings fail to cause growth

Este artigo é uma formalização da crítica à estratégia do crescimento com poupança externa que um de seus autores vem sendo fazendo nos últimos anos. Apesar dos países de renda média serem pobres de capital, os déficits em conta corrente (poupança externa), financiado seja por empréstimos ou por investimentos externos diretos, não irá aumentar a taxa de acumulação de capital ou terá pouco impacto sobre ela, uma vez que os déficits de conta corrente estarão associados taxas de câmbio apreciadas, ordenados e salários aumentados artificialmente e altos níveis de consumo. Consequentemente, a taxa de substituição da poupança externa pela interna será relativamente alta, e o país será obrigado não a investir e crescer, mas a consumir. Apenas quando há grandes oportunidades de investimento, estimuladas por uma ampla diferença entre a taxa de lucro esperada e a taxa de juros de longo prazo, a propensão marginal ao consumo diminuirá suficientemente, a ponto de o lucro adicional originário do fluxo de capital estrangeiro ser usado para investimento, ao invés de para consumo. Neste caso especial, a taxa de substituição de poupança externa pela interna tenderá a ser menor e a poupança interna contribuirá positivamente para o crescimento

Crítica do crescimento com poupança externa

O presente artigo é uma formalização da crítica à estratégia do crescimento com poupança externa. Apesar dos países de renda média serem pobres em capital, os déficits em conta corrente (poupança externa), financiados por empréstimos ou investimentos diretos externos, não necessariamente farão aumentar a taxa de acumulação de capital ou, mesmo, terão pouco impacto sobre ela, de forma que os déficits em conta serão associados a taxas de câmbio apreciadas, altos salários e ordenados reais e altos níveis de consumo. Conseqüentemente, o país se endividará para consumir, e não para investir e crescer. Apenas quando há grandes oportunidades de investimento, estimulados por uma diferença considerável entre a taxa de lucro esperada e a taxa de juros a longo prazo, o lucro adicional produzido pelo fluxo de capital estrangeiro será usado para investimento, e este trade-off entre a redução da poupança externa e interna não ocorrerá

A política monetária recente: alguns aspectos críticos

Este Artigo tem como Objetivo Apresentar uma Análise das Práticas Atuais da Política Monetária, a Política de Regras Monetárias . Discute o Contexto Histórico em que Tais Práticas Apareceram, e suas Implicações, Especialmente de que a Oferta Monetária Passa a ser é Endógena, e não Exógena, como na Visão Monetarista Tradicional. a Nova Doutrina Também Faz a Suposição Extrema de que Embora a Política Monetária Possa ser Efetiva no Curto Prazo, Ela é Neutra no Longo Prazo. esta Hipótese Bem como suas Implicações para a Política Monetária Podem ser Sujeitas a Várias Críticas que Serão Desenvolvidas neste Trabalho.

Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has four regimes. Only three of them are statistically different. The first starts at the beginning of the sample and goes until September of 1997. The second starts at October of 1997 until December of 1998. The third starts at January of 1999 and goes until the end of the sample. It is used monthly data. Models that allows for some similarities across the regimes are also estimated and tested. The models are estimated using the Generalized Reduced-Rank Regressions developed by Hansen (2003). All imposed restrictions can be tested using likelihood ratio test with standard asymptotic 1 qui-squared distribution. The results of the paper show evidence in favor of the long run implications of the expectation hypothesis for Brazil.