Inflation forecasting, relative price variability and skewness

This article presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. © 2010 Taylor & Francis.

Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic

Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is, fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP) is systematically associated with more synchronized business cycles. We also find evidence that reduced fiscal deficits increase business cycle synchronization. The Maastricht "convergence criteria," used to determine eligibility for EMU, encouraged fiscal convergence and deficit reduction. They may thus have indirectly moved Europe closer to an optimum currency area, by reducing countries’ abilities to create idiosyncratic fiscal shocks. Our empirical results are economically and statistically significant, and robust.

A fiskális divergencia és a konjunktúraciklusok együttmozgása - a felelőtlen fiskális politika az aszimmetrikus sokkok forrása (Fiscal divergence and business cycle synchronization: irresponsibility is idiosyncratic)

A világ 115 országának - köztük 21 OECD-tagország - 40 évnyi adatait vizsgálva, arra a következtetésre jutottunk, hogy a hasonló állami költségvetési pozíciójú országok konjunktúraciklusai között szorosabb együttmozgás mutatható ki. Azaz, a fiskális konvergenciát (amelyet a költségvetési egyenleg GDP-hez viszonyt arányának konvergenciájaként definiáltunk) összehangoltabb konjunktúraciklusokkal lehet összefüggésbe hozni. Kutatásaink során arra is találtunk bizonyítékot, hogy a kisebb mértékű költségvetési deficitek növelik a konjunktúraciklusok együttmozgását. A maastrichti konvergenciakritériumok - amelyek az európai monetáris unió követelményeinek való megfelelést hivatottak meghatározni - a fiskális konvergenciát és a költségvetési deficit csökkentését ösztönözték, s ezzel közvetett módon hozzásegítették Európát egy optimális valutaövezet létrehozásához azáltal, hogy csökkent az egyes országok lehetősége a felelőtlen fiskális politika által gerjesztett sokkhatások létrehozására. Az általunk feltárt empirikus eredmények gazdasági és statisztikai szempontból is szignifikánsak és robusztusak. _____ Using panels of 115 countries of world – including 21 OECD countries – and 40 years of annual data, the authors find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. Thus fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP) is systemati-cally associated with more strongly synchronized business cycles. Evidence is also found that reduced fiscal deficits increase business-cycle synchronization. The Maastricht "con-vergence criteria", used to determine eligibility for EMU, encouraged fiscal convergence and deficit reduction. So they may, indirectly, have moved Europe closer to an optimum currency area, by reducing countries abilities to create idiosyncratic fiscal shocks. The empirical results of the study are economically and statistically significant, and robust.

The Idiosyncratic Body: Contemporary Clown Theory and Practice

Drawing on historical research, personal interviews, performance analysis, and my own embodied experience as a participant-observer in several clown workshops, I explore the diverse historical influences on clown theatre as it is conceived today. I then investigate how the concept of embodied knowledge is reflected in red-nose clown pedagogy. Finally, I argue that through shared embodied knowledge spectators are able to perceive and appreciate the humor of clown theatre in performance. I propose that clown theatre represents a reaction to the eroding personal connections prompted by the so-called information age, and that humor in clown theatre is a revealing index of socio-cultural values, attitudes, dispositions, and concerns.

Idiosyncratic psychological aspects in entrepreneurship

Entrepreneurship is having the courage to transform an idea in reality and with it achieve personal, nancial and recognition satisfaction. The psychological ability to handle failure has proven essential in success. We analysed the importance of idiosyncratic psychological aspects in the success of entrepreneurs through an observational study accompanying 20 entrepreneurs from the idea presentation phase to company incorporation. During the observation period 4 distinct psychological phases of the entrepreneurs were observed, being it possible to describe them as follows: absorption of information and knowledge; application of the gathered knowledge to their speci c cases; frustration generated by criticism, namely from investors who didn’t recognise the value of their projects; realism and implementation of the project. Having passed more than 6 months after the analysis period, one can verify that the entrepreneurs who have travelled the 4 phases are today developing their projects being that the remaining ones are in a similar situation as at the end of the initial two months. Conclusion: The ability to cope with frustration and rejection is a determinant factor in the success of the entrepreneur. The ability to learn from rejection, more than resilience help the entrepreneur to proceed.

Identifying the knowledge management structures in enterprise systems projects

Enterprise System (ES) implementation and management are knowledge intensive tasks that inevitably draw upon the experience of a wide range of people with diverse knowledge capabilities. Knowledge Management (KM) has been identified as a critical success factor in ES projects. Despite the recognized importance of managing knowledge for ES benefits realization, systematic attempts to conceptualize KM-structures have been few. Where the adequacy of KM-structures is assessed, the process and measures are typically idiosyncratic and lack credibility. Using the ‘KM-process’, itself based in sociology of knowledge, this paper conceptualizes four main constructs to measure the adequacy of KM-structures. The SEM model is tested using 310 responses gathered from 27 ES installations that had implemented SAP R/3. The findings reveal six constructs for KM-structure. Furthermore, the paper demonstrates the application of KM-structures in the context of ES using the Adaptive Structuration Theory. The results demonstrate that having adequate KM-structures in place, while necessary, is not sufficient. These rules and resources must be appropriated to have greater positive influence on the Enterprise System. Furthermore, the study provides empirical support for knowledge-based theory by illustrating the importance of knowledge use/re-use (vs. knowledge creation) as the most important driver in the process of KM.

Classification of Airborne LIDAR Intensity Data Using Statistical Analysis and Hough Transform with Application to Power Line Corridors

Light Detection and Ranging (LIDAR) has great potential to assist vegetation management in power line corridors by providing more accurate geometric information of the power line assets and vegetation along the corridors. However, the development of algorithms for the automatic processing of LIDAR point cloud data, in particular for feature extraction and classification of raw point cloud data, is in still in its infancy. In this paper, we take advantage of LIDAR intensity and try to classify ground and non-ground points by statistically analyzing the skewness and kurtosis of the intensity data. Moreover, the Hough transform is employed to detected power lines from the filtered object points. The experimental results show the effectiveness of our methods and indicate that better results were obtained by using LIDAR intensity data than elevation data.

Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Modelling Spikes in Electricity Prices

uring periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at forecasting price spikes. Variables capturing demand and weather patterns are used to drive the transition probabilities. Unlike traditional Markov-switching models that assume normality of the prices in each state, the model presented here uses a generalised beta distribution to allow for the skewness in the distribution of electricity prices during high-price episodes.

Conditional coskewness and asset pricing

We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional market skewness is positive investors are willing to sacrifice 7.87% annually per unit of gamma (a standardized measure of coskewness risk) while they only demand a premium of 1.80% when the market is negatively skewed. A similar picture emerges from the coskewness factor of Harvey and Siddique (Harvey, C., Siddique, A., 2000a. Conditional skewness in asset pricing models tests. Journal of Finance 65, 1263–1295.) (a portfolio that is long stocks with small coskewness with the market and short high coskewness stocks) which earns 5.00% annually when the market is positively skewed but only 2.81% when the market is negatively skewed. The conditional two-moment CAPM and a conditional Fama and French (Fama, E., French, K., 1992. The cross-section of expected returns. Journal of Finance 47,427465.) three-factor model are rejected, but a model which includes coskewness is not rejected by the data. The model also passes a structural break test which many existing asset pricing models fail.

The impact of outcomes-driven curriculum reform on teacher perspectives of professional practice

This thesis is the result of an investigation of a Queensland example of curriculum reform based on outcomes, a type of reform common to many parts of the world during the last decade. The purpose of the investigation was to determine the impact of outcomes on teacher perspectives of professional practice. The focus was chosen to permit investigation not only of changes in behaviour resulting from the reform but also of teachers' attitudes and beliefs developed during implementation. The study is based on qualitative methodology, chosen because of its suitability for the investigation of attitudes and perspectives. The study exploits the researcher's opportunities for prolonged, direct contact with groups of teachers through the selection of an over-arching ethnography approach, an approach designed to capture the holistic nature of the reform and to contextualise the data within a broad perspective. The selection of grounded theory as a basis for data analysis reflects the open nature of this inquiry and demonstrates the study's constructivist assumptions about the production of knowledge. The study also constitutes a multi-site case study by virtue of the choice of three individual school sites as objects to be studied and to form the basis of the report. Three primary school sites administered by Brisbane Catholic Education were chosen as the focus of data collection. Data were collected from three school sites as teachers engaged in the first year of implementation of Student Performance Standards, the Queensland version of English outcomes based on the current English syllabus. Teachers' experience of outcomes-driven curriculum reform was studied by means of group interviews conducted at individual school sites over a period of fourteen months, researcher observations and the collection of artefacts such as report cards. Analysis of data followed grounded theory guidelines based on a system of coding. Though classification systems were not generated prior to data analysis, the labelling of categories called on standard, non-idiosyncratic terminology and analytic frames and concepts from existing literature wherever practicable in order to permit possible comparisons with other related research. Data from school sites were examined individually and then combined to determine teacher understandings of the reform, changes that have been made to practice and teacher responses to these changes in terms of their perspectives of professionalism. Teachers in the study understood the reform as primarily an accountability mechanism. Though teachers demonstrated some acceptance of the intentions of the reform, their responses to its conceptualisation, supporting documentation and implications for changing work practices were generally characterised by reduced confidence, anger and frustration. Though the impact of outcomes-based curriculum reform must be interpreted through the inter-relationships of a broad range of elements which comprise teachers' work and their attitudes towards their work, it is proposed that the substantive findings of the study can be understood in terms of four broad themes. First, when the conceptual design of outcomes did not serve teachers' accountability requirements and outcomes were perceived to be expressed in unfamiliar technical language, most teachers in the study lost faith in the value of the reform and lost confidence in their own abilities to understand or implement it. Second, this reduction of confidence was intensified when the scope of outcomes was outside the scope of the teachers' existing curriculum and assessment planning and teachers were confronted with the necessity to include aspects of syllabuses or school programs which they had previously omitted because of a lack of understanding or appreciation. The corollary was that outcomes promoted greater syllabus fidelity when frameworks were closely aligned. Third, other benefits the teachers associated with outcomes included the development of whole school curriculum resources and greater opportunity for teacher collaboration, particularly among schools. The teachers, however, considered a wide range of factors when determining the overall impact of the reform, and perceived a number of them in terms of the costs of implementation. These included the emergence of ethical dilemmas concerning relationships with students, colleagues and parents, reduced individual autonomy, particularly with regard to the selection of valued curriculum content and intensification of workload with the capacity to erode the relationships with students which teachers strongly associated with the rewards of their profession. Finally, in banding together at the school level to resist aspects of implementation, some teachers showed growing awareness of a collective authority capable of being exercised in response to top-down reform. These findings imply that Student Performance Standards require review and, additional implementation resourcing to support teachers through times of reduced confidence in their own abilities. Outcomes prove an effective means of high-fidelity syllabus implementation, and, provided they are expressed in an accessible way and aligned with syllabus frameworks and terminology, should be considered for inclusion in future syllabuses across a range of learning areas. The study also identifies a range of unintended consequences of outcomes-based curriculum and acknowledges the complexity of relationships among all the aspects of teachers' work. It also notes that the impact of reform on teacher perspectives of professional practice may alter teacher-teacher and school-system relationships in ways that have the potential to influence the effectiveness of future curriculum reform.

Betting on the underdog : bricolage as an engine of resource advantage

Resource-based theory posits that firms achieve high performance by controlling resources that are rare, valuable and costly for others to duplicate or work around. Yet scholars have been less successful understanding processes and behaviours by which firms develop such resources. We draw on the behavioral theory of bricolage from the entrepreneurship literature to suggest one such mechanism by which firms may develop such resource-based advantages. The core of our argument is that idiosyncratic bundling processes synonymous with bricolage behavior may create advantageous resource positions by (i) allowing resource constrained firms to allocate more of their limited resources to activities that they view as more strategically important, and (ii) increasing the difficulties other firms face in trying to imitate these advantages. Based on this reasoning we develop several hypotheses which we test in the context of several samples from a large, longitudinal, Australian study of new firm development. The results support our arguments that bricolage will improve a firms’ overall resource positions while generating more areas of strong resource advantage and fewer areas of strong resource disadvantage. We find little support, however, for our arguments that bricolage will make a firms’ key resource advantages more difficult for other firms to imitate. We find some support for our argument that the role of bricolage in creating resource advantages will be enhanced by the quality of the opportunity with which a firm is engaged.