The theory of econometrics,

Mode of access: Internet.

Toward a geography of price; a study in geo-econometrics.

Mode of access: Internet.

An introduction to econometrics /

Includes bibliographical references and index.

Econometrics of yield spreads in the money market:a note

The literature on bond markets and interest rates has focused largely on the term structure of interest rates, specifically, on the so-called expectations hypothesis. At the same time, little is known about the nature of the spread of the interest rates in the money market beyond the fact that such spreads are generally unstable. However, with the evolution of complex financial instruments, it has become imperative to identify the time series process that can help one accurately forecast such spreads into the future. This article explores the nature of the time series process underlying the spread between three-month and one-year US rates, and concludes that the movements in this spread over time is best captured by a GARCH(1,1) process. It also suggests the use of a relatively long term measure of interest rate volatility as an explanatory variable. This exercise has gained added importance in view of the revelation that GARCH based estimates of option prices consistently outperform the corresponding estimates based on the stylized Black-Scholes algorithm.

Three essays in labor economics and applied econometrics

Méthodologie:Cadre conceptuel: Principal-agent

Three essays in applied multivariate econometrics

Doutoramento em Economia.

Guest editors' introduction : special issue of Journal of Banking and Finance on recent developments in financial econometrics and applications

Introduction to the special supplementary issue of Journal of Banking and Finance on recent developments in financial econometrics and applications.

Determinants of listed property trust bond ratings : Australian evidence

Using artificial neural networks (ANN) and ordinal regression (OR) as alternative methods to predict LPT bond ratings, we examine the role that various financial and industry variables have on Listed Property Trust (LPT) bond ratings issued by Standard and Poor’s from 1999-2006. Our study shows that both OR and ANN provide robust alternatives to rating LPT bonds and that there are no significant differences in results between the two full models. OR results show that of the financial variables used in our models, debt coverage and financial leverage ratios have the most profound effect on LPT bond ratings. Further, ANN results show that 73.0% of LPT bond rating is attributable to financial variables and 23.0% to industry-based variables with office LPT sector accounting for 2.6%, retail LPT 10.9% and stapled management structure 13.5%.

A comparison of farmland returns in Australia, Canada, New Zealand and United States

Rural land is still a major property asset class and rural commodity production is an important domestic and export market in all economies. This paper carries out a comprehensive analysis of both rural production and land prices in four major rural production countries. The study compares rural property values in Unites States, Canada, Australia and New Zealand over a period 1990 to 2005 and analyzes and compares the capital return and total return performance for rural land in these four countries. The analysis allows a comparison of farm land returns for both a subsidised and non-subsidised farming policy to determine if levels of farm support result in variations in farm profitability and therefore farm land values.

Developing a rural land investment performance index for New Zealand

Agricultural production is one of the major industries in New Zealand and accounts for over 60% of all export trade. The farming industry comprises 70,000 entities ranging in size from small individual run farms to large corporate operations. The reliance of the New Zealand economy to the international rural sector has seen considerable volatility in the rural land markets over the past four decades, with significant shifts in rural land prices based on location, land use and underlying international rural commodity prices. With the increasing attention being paid to the rural sector, especially in relation to food production and bio-fuels, there has been an increasing corporate interest in rural land ownership in relatively low subsidised agricultural producing countries such as New Zealand and Australia. A factor that has limited this participation of institutional investors previously has been a lack of reliable and up-to-date investment performance data for this asset class. This paper is the initial starting phase in the development of a New Zealand South Island rural land investment performance index and covers the period 1990-2007. The research in this paper analyses all rural sales transactions in the South Island and develops a capital return index for rural property based on major rural property land use. Additional work on this index will cover both total return performance and geographic location.