The impacts of exchange rate volatility on vegetable trade flows

Trade flows of commodities are generally affected by the principles of comparative advantage in a free trade. However, trade flows might be enhanced or distorted not only by various government interventions, but also by exchange rate fluctuations among others. This study applies a commodity-specific gravity model to selected vegetable trade flows among Organization for Economic Co-operation and Development (OECD) countries to determine the effects of exchange rate uncertainty on the trade flows. Using the data from 1996 to 2002, the results show that, while the exchange rate uncertainty significantly reduces trade in the majority of commodity flows, there is evidence that both short- and long-term volatility have positive effect on trade flows of specific commodities. This study also tests the regional preferential trade agreements such as the North American Free Trade Agreement (NAFTA), the Asia-Pacific Economic Cooperation (APEC) and the EU, and their different effects on commodities.

Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Food price volatility and hunger alleviation-can Cannes work

Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

Sources and composition of sub-200 nm sea spray aerosol inferred from volatility and hygroscopicity

Enrichment of marine organics in remote marine aerosols can influence their ability to act as cloud condensation nuclei (CCN), which are sites for water vapour to condense into cloud droplets. This project identified the composition and hygroscopicity of sea spray aerosol (SSA) formed at the ocean surface due to bursting of entrained air bubbles. SSA from organically enriched waters in the southwest Pacific and Southern Oceans were investigated. Results indicate that current emission schemes may not adequately predict SSA CCN, influencing the representation of cloud formation in climate modelling.

Effect of atmospheric aging on volatility and reactive oxygen species of biodiesel exhaust nano-particles

In the prospect of limited energy resources and climate change, effects of alternative biofuels on primary emissions are being extensively studied. Our two recent studies have shown that biodiesel fuel composition has a significant impact on primary particulate matter emissions. It was also shown that particulate matter caused by biodiesels was substantially different from the emissions due to petroleum diesel. Emissions appeared to have higher oxidative potential with the increase in oxygen content and decrease of carbon chain length and unsaturation levels of fuel molecules. Overall, both studies concluded that chemical composition of biodiesel is more important than its physical properties in controlling exhaust particle emissions. This suggests that the atmospheric aging processes, including secondary organic aerosol formation, of emissions from different fuels will be different as well. In this study, measurements were conducted on a modern common-rail diesel engine. To get more information on realistic properties of tested biodiesel particulate matter once they are released into the atmosphere, particulate matter was exposed to atmospheric oxidants, ozone and ultra-violet light; and the change in their properties was monitored for different biodiesel blends. Upon the exposure to oxidative agents, the chemical composition of the exhaust changes. It triggers the cascade of photochemical reactions resulting in the partitioning of semi-volatile compounds between the gas and particulate phase. In most of the cases, aging lead to the increase in volatility and oxidative potential, and the increment of change was mainly dependent on the chemical composition of fuels as the leading cause for the amount and the type of semi-volatile compounds present in the exhaust.

Volatility transmission in global financial markets

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.

Ecological dynamics of emerging bat virus spillover

Viruses that originate in bats may be the most notorious emerging zoonoses that spill over from wildlife into domestic animals and humans. Understanding how these infections filter through ecological systems to cause disease in humans is of profound importance to public health. Transmission of viruses from bats to humans requires a hierarchy of enabling conditions that connect the distribution of reservoir hosts, viral infection within these hosts, and exposure and susceptibility of recipient hosts. For many emerging bat viruses, spillover also requires viral shedding from bats, and survival of the virus in the environment. Focusing on Hendra virus, but also addressing Nipah virus, Ebola virus, Marburg virus and coronaviruses, we delineate this cross-species spillover dynamic from the within-host processes that drive virus excretion to land-use changes that increase interaction among species. We describe how land-use changes may affect co-occurrence and contact between bats and recipient hosts. Two hypotheses may explain temporal and spatial pulses of virus shedding in bat populations: episodic shedding from persistently infected bats or transient epidemics that occur as virus is transmitted among bat populations. Management of livestock also may affect the probability of exposure and disease. Interventions to decrease the probability of virus spillover can be implemented at multiple levels from targeting the reservoir host to managing recipient host exposure and susceptibility.

Ecological dynamics of emerging bat virus spillover

Viruses that originate in bats may be the most notorious emerging zoonoses that spill over from wildlife into domestic animals and humans. Understanding how these infections filter through ecological systems to cause disease in humans is of profound importance to public health. Transmission of viruses from bats to humans requires a hierarchy of enabling conditions that connect the distribution of reservoir hosts, viral infection within these hosts, and exposure and susceptibility of recipient hosts. For many emerging bat viruses, spillover also requires viral shedding from bats, and survival of the virus in the environment. Focusing on Hendra virus, but also addressing Nipah virus, Ebola virus, Marburg virus and coronaviruses, we delineate this cross-species spillover dynamic from the within-host processes that drive virus excretion to land-use changes that increase interaction among species. We describe how land-use changes may affect co-occurrence and contact between bats and recipient hosts. Two hypotheses may explain temporal and spatial pulses of virus shedding in bat populations: episodic shedding from persistently infected bats or transient epidemics that occur as virus is transmitted among bat populations. Management of livestock also may affect the probability of exposure and disease. Interventions to decrease the probability of virus spillover can be implemented at multiple levels from targeting the reservoir host to managing recipient host exposure and susceptibility.

Best practice full-stop: Anticipating the spillover effects of enterprise education

This paper considers the potential flow-on benefits that may arise from the increasing provision of enterprise education. The issue of vulnerability is proposed to be a factor associated with superior learning outcomes. Therefore, this paper aims to highlight the use of student and facilitator vulnerability to increase the capacity for learning in Higher Education. It is argued that students benefit from having to struggle to find their identity within a learning environment. That group work can assist the development of confidence through which improved learning behaviours are adopted. Also, the development of good learning practices in the domain of enterprise education have the potential to aid student learning outcomes in other areas of study. This paper provides another means of valuing the potential gains to be received from enterprise education.

Flying-Fox Roost Disturbance and Hendra Virus Spillover Risk

Bats of the genus Pteropus (flying-foxes) are the natural host of Hendra virus (HeV) which periodically causes fatal disease in horses and humans in Australia. The increased urban presence of flying-foxes often provokes negative community sentiments because of reduced social amenity and concerns of HeV exposure risk, and has resulted in calls for the dispersal of urban flying-fox roosts. However, it has been hypothesised that disturbance of urban roosts may result in a stress-mediated increase in HeV infection in flying-foxes, and an increased spillover risk. We sought to examine the impact of roost modification and dispersal on HeV infection dynamics and cortisol concentration dynamics in flying-foxes. The data were analysed in generalised linear mixed models using restricted maximum likelihood (REML). The difference in mean HeV prevalence in samples collected before (4.9%), during (4.7%) and after (3.4%) roost disturbance was small and non-significant (P = 0.440). Similarly, the difference in mean urine specific gravity-corrected urinary cortisol concentrations was small and non-significant (before = 22.71 ng/mL, during = 27.17, after = 18.39) (P= 0.550). We did find an underlying association between cortisol concentration and season, and cortisol concentration and region, suggesting that other (plausibly biological or environmental) variables play a role in cortisol concentration dynamics. The effect of roost disturbance on cortisol concentration approached statistical significance for region, suggesting that the relationship is not fixed, and plausibly reflecting the nature and timing of disturbance. We also found a small positive statistical association between HeV excretion status and urinary cortisol concentration. Finally, we found that the level of flying-fox distress associated with roost disturbance reflected the nature and timing of the activity, highlighting the need for a ‘best practice’ approach to dispersal or roost modification activities. The findings usefully inform public discussion and policy development in relation to Hendra virus and flying-fox management.

Routes of Hendra Virus Excretion in Naturally-Infected Flying-Foxes: Implications for Viral Transmission and Spillover Risk

Pteropid bats or flying-foxes (Chiroptera: Pteropodidae) are the natural host of Hendra virus (HeV) which sporadically causes fatal disease in horses and humans in eastern Australia. While there is strong evidence that urine is an important infectious medium that likely drives bat to bat transmission and bat to horse transmission, there is uncertainty about the relative importance of alternative routes of excretion such as nasal and oral secretions, and faeces. Identifying the potential routes of HeV excretion in flying-foxes is important to effectively mitigate equine exposure risk at the bat-horse interface, and in determining transmission rates in host-pathogen models. The aim of this study was to identify the major routes of HeV excretion in naturally infected flying-foxes, and secondarily, to identify between-species variation in excretion prevalence. A total of 2840 flying-foxes from three of the four Australian mainland species (Pteropus alecto, P. poliocephalus and P. scapulatus) were captured and sampled at multiple roost locations in the eastern states of Queensland and New South Wales between 2012 and 2014. A range of biological samples (urine and serum, and urogenital, nasal, oral and rectal swabs) were collected from anaesthetized bats, and tested for HeV RNA using a qRT-PCR assay targeting the M gene. Forty-two P. alecto (n = 1410) had HeV RNA detected in at least one sample, and yielded a total of 78 positive samples, at an overall detection rate of 1.76% across all samples tested in this species (78/4436). The rate of detection, and the amount of viral RNA, was highest in urine samples (>serum, packed haemocytes >faecal >nasal >oral), identifying urine as the most plausible source of infection for flying-foxes and for horses. Detection in a urine sample was more efficient than detection in urogenital swabs, identifying the former as the preferred diagnostic sample. The detection of HeV RNA in serum is consistent with haematogenous spread, and with hypothesised latency and recrudesence in flying-foxes. There were no detections in P. poliocephalus (n = 1168 animals; n = 2958 samples) or P. scapulatus (n = 262 animals; n = 985 samples), suggesting (consistent with other recent studies) that these species are epidemiologically less important than P. alecto in HeV infection dynamics. The study is unprecedented in terms of the individual animal approach, the large sample size, and the use of a molecular assay to directly determine infection status. These features provide a high level of confidence in the veracity of our findings, and a sound basis from which to more precisely target equine risk mitigation strategies.

A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.