No description available.

This thesis contributes to the theoretical literature that analyses the link between international asset trade and international risk sharing. Despite the massive increase in cross-border asset trade since the 1990's, consumption risk sharing across countries remains limited. In standard international business cycle models, efficient risk sharing requires that consumption should be higher in the country where it is cheaper to consume, implying a high positive correlation between relative consumption and real exchange rate, which is strongly rejected in the data. Recent contributions show that it is possible to account for this so-called 'consumption-real exchange rate anomaly' in models with goods and financial market frictions where international asset trade is restricted to a single non-contingent bond. Chapter 1 analyses whether this class of models can account for the anomaly under a richer asset market structure where agents can trade in domestic and foreign currency bonds. Even such a small departure from the single bond economy implies too much risk sharing compared to the data although the number of assets that can be traded is less than the number of shocks affecting each economy. Introducing demand shocks alongside sector-specific productivity shocks can improve the performance of the model only under specific parameter and monetary policy settings. Chapter 2 extends this analysis to study the implications of international trade in equities, portfolio transaction costs and recursive utility. Chapter 3 studies the interaction between monetary policy and foreign currency positions in more detail. Different monetary policy regimes can lead to different foreign currency positions by changing the cyclical properties of the nominal ex- change rate. These external positions, in turn, affect the cross-border transmission of monetary policy shocks via a valuation channel. The way export prices are set has important implications for optimal foreign currency positions and the valuation channel when prices are sticky and financial markets are incomplete. Chapter 4 compares the international transmission of uncertainty shocks under alternative asset markets with an emphasis on the behaviour of net foreign assets, exchange rate and currency risk premium and shows that a model with restricted asset trade performs better than a model with complete financial integration in matching certain aspects of the data regarding the dynamics of these variables in response to increased macroeconomic uncertainty.

This thesis consists of three essays, all of which use the tools of economic theory to analyze specific situations in which multiple strategic agents interact with each other. The first chapter studies the strategic transmission of information between an informed expert and a decision maker when the latter has access to imperfect private information relevant to the decision. The main insight of the paper is that the access to private information of the decision maker hampers the incentives of the expert to communicate. Surprisingly, in a wide range of environments, the decision maker's information cannot make up for the loss of communication and the welfare of both agents diminishes. The second chapter presents a model of electoral competition between an in- cumbent and a challenger in which the voters receive more information about the quality of the incumbent. If the incumbent can manipulate the information received by the voters through costly effort, the model predicts an incumbency advantage, even though the two candidates are drawn from identical symmetric distributions, and the voters have rational expectations. It is also shown that a supermajority re-election rule improves welfare, mainly through discouraging low-quality politicians from manipulating the information. Finally the third chapter uses a mechanism design approach to characterize the class of social choice functions which cannot be profitably manipulated, when the individuals have symmetric single-peaked preferences. Our result allows for the design of social choice functions to deal with feasibility constraints.

Econometric modelling and statistical inference are considerably complicated by the possibility of correlation across data data recorded at different locations in space. A major branch of the spatial econometrics literature has focused on testing the null hypothesis of spatial independence in Spatial Autoregressions (SAR) and the asymptotic properties of standard test statistics have been widely considered. However, finite sample properties of such tests have received relatively little consideration. Indeed, spatial datasets are likely to be small or moderately-sized and thus the derivation of finite sample corrections appears to be a crucially important task in order to obtain reliable tests. In this project we consider finite sample corrections based on formal Edgeworth expansions for the cumulative distribution function of some relevant test statistics. In Chapter 1 we provide the background for the results derived in this thesis. Specifically, we describe SAR models together with some established results in first order asymptotic theory for tests for independence in such models and give a brief account on Edgeworth expansions. In Chapters 2 and 3 we present refined procedures for testing nullity of the spatial parameter in pure SAR based on ordinary least squares and Gaussian maximum likelihood, respectively. In both cases, the Edgeworth-corrected tests are compared with those obtained by a bootstrap procedure, which is supposed to have similar properties. The practical performance of new tests is assessed with Monte Carlo simulations and two empirical examples. In Chapter 4 we propose finite sample corrections for Lagrange Multiplier statistics, which are computationally particularly convenient as the estimation of the spatial parameter is not required. Monte Carlo simulations and the numerical implementation of Imhof's procedure confirm that the corrected tests outperform standard ones. In Chapter 5 the slightly more general model known as \mixed" SAR is considered. We derive suitable finite sample corrections for standard tests when the parameters are estimated by ordinary least squares and instrumental variables. A Monte Carlo study again confirms that the new tests outperform ones based on the central limit theorem approximation in small and moderately-sized samples.

The thesis focuses on valuation and hedging problems when the market is incomplete. The Örst essay considers the quadratic hedging strategy. We propose a generalized quadratic hedging strategy which can balance a short-term risk (additional cost) with a long-term risk (hedging errors). The traditional quadratic hedging strategies, i.e. self-Önancing strategy and risk-minimization strategy, can be seen as special cases of the generalized quadratic hedging strategy. This is applied to the insurance derivatives market. The second essay compares parametric and nonparametric measure-changing techniques. The essay discusses three pricing approaches: pricing via Esscher measure, via calibration and via nonparametric risk-neutral density; and empirically compares the performance of the three approaches in the metal futures markets. The last essay establishes the concept of stochastic volatility of volatility and proposes several estimation methods.

This dissertation is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is shown that these partial sum processes share certain invariance properties; estimation risk does not affect their weak convergence results and they are also robust to asymmetries in the error process in linear regression models. There is also an application of the methods developed here to a four factor Capital Asset Pricing model where it is shown via the methods developed in Chapter 3 that manager stock selection abilities vary over time.

This thesis addresses some of the current gaps in the literature on unifractal and multifractal processes in finance, through a combination of empirical and theoretical contributions spanning the key problems of estimation, forecasting and inference. In Chapter 2 a new method is proposed for producing density forecasts for daily financial returns from high-frequency intraday data, under the assumption that the return process possesses distributional scaling properties consistent with that of a unifractal process. In contrast to previous methods using intraday data to estimate and forecast daily return densities, the approach presented preserves information about both the sign and magnitude of the intraday returns and allows nonparametric specifications to be employed for the distribution of daily returns. The density forecasting performance of the method is shown to be competitive with existing methods based on intraday and daily returns for exchange rate and equity index data, particularly for shorter in-sample periods and during periods of high return volatility. However, as expected the performance of the method is stronger for return series with distributional scaling properties close to the unifractal scaling required by the method and poorer, though still competitive, for time series that exhibit larger deviations from unifractality. In response to the apparent limitations of the method proposed in Chapter 2, Chapter 3 develops an equivalent density forecasting method under the assumption that the return process belongs to the more general class of multifractal processes, thus permitting more flexible scaling behaviour than in Chapter 2. Whilst these distributional scaling laws are more problematic to apply in practice than those of Chapter 2, both the daily return variance and kurtosis can be estimated from the intraday data, providing additional flexibility over existing realised volatility based methods. The predictive ability of this alternative multifractal density forecasting approach is found to be competitive with existing density forecasting methods for both exchange rate and equity index data, but is outperformed by the unifractal approach of Chapter 2 for equity index data. Finally in Chapter 4, a formal testing framework is developed for determining whether a given sample of data is most consistent with a unifractal or multifractal data generating process. The testing methodology begins by proposing a set of possible statistics for testing the null hypothesis of unifractality against the alternative of multifractality, but due to the specific characteristics of the testing environment the distributions of the proposed test statistics are non-standard and the relevant rates of convergence are unknown. It is then shown that these difficulties can be overcome and test statistic distributions obtained using an appropriate model-based bootstrap resampling scheme. A series of Monte Carlo exercises demonstrate that the testing procedure possesses good empirical size and power properties in wide range of situations, being robust against various forms of multifractality under the alternative. Good performance for sample sizes that would be considered as small in the multifractality literature also confirms the suitability of the methodology for the study of both local and global scaling properties. This is demonstrated in an empirical exercise in which the testing methodology is applied to study the local scaling properties of the intraday dataset used in previous chapters.

ABSTRACT In this thesis, the researcher investigates the implicit and other motivations for Saudi outbound tourism. The Saudi Arabian outbound tourism market is recognised as one of the biggest tourism expenditure. Despite this, research relating to the motivations for Saudi outbound tourism, especially the implicit motives is sparse. It is in response to this that the researcher carried out this study and additionally, examined the influence of Saudi culture, demographic variables and tourists motivations on destination selection. This study employs a model entitled “Integration Model of Explicit and Implicit Motives” of Push and Pull Factors developed by the researcher to examine the explicit and implicit motives of Saudi outbound tourism. Data was collected from 486 Saudi outbound tourists (81% of the total sample) who travelled to three destinations (Bahrain, Egypt and France). Factor analyses were conducted to identify tourism motivation and cultural factors of Saudi society. Pearson correlation was used to find the relationship between push and pull factors of tourism motivation (explicit and implicit) and the relationship between Saudi culture and push and pull factors of tourism motivation (explicit and implicit). A series of ANOVA and T-tests were employed to examine the influence of demographic variables on tourism motivations. Logistic regression and multinomial logistic regression were used to find out the influence of tourism motivations, cultural factors and demographic variables on destination selection. The results of the factor analyses of explicit motives in this study identified seven push factors and four pull factors. The six push factors (intrinsic desire) extracted were: 'escape', 'prestige', 'social and sport', 'experience and excitement', 'enjoying natural resources', 'knowledge' and 'relaxation'. The four pull factors (attributes of destination) identified as underlying dimensions were 'expenditure', 'outdoor activities', 'natural and historical' and 'weather and environment'. In relation to the implicit motives, the factor analysis identified two push factors and three pull factors. The push factors were 'alcohol and sex desires' and 'fun and freedom desires'. On the other hand, the pull factors were 'alcohol and sex attractions', 'drugs attraction' and 'fun and freedom attractions'. The factor analysis of cultural items resulted in seven underlying domains, that include 'uncertainty avoidance', 'individualism', 'differences of groups in society (power distance)', 'social interdependence (collectivism)', 'helping others (collectivism)', 'inequalities and hierarchy (power distance)' and 'family relationship (collectivism)'. The Pearson's correlation analyses found significant correlations between the majority of push and pull dimensions in both explicit and implicit motives in all destinations. Moreover, the Pearson's correlation revealed a significant correlation between tourism motivations (push and pull factors), in both explicit and implicit motives, with cultural factors in all destinations under study (Bahrain, Egypt and France). The results of ANOVA and T-tests indicate significant differences in tourist's motivations according to the differences in demographic variables of tourists (age, income education, gender and martial statues). In other words, the demographic variables have an influence on tourism motivations. The findings of logistic regression and multinomial logistic regression indicate that the tourism motivations, cultural factors and demographic variables have an influence on destination selection. Moreover, the researcher carried out 25 interviewees This was in order to validate the results that were obtained from the quantitative approach regarding to tourism motivation of Saudi outbound tourists (explicit and implicit), cultural factors that describe the Saudi society, and to confirm the usefulness of using the third person technique to investigate sensitive issues. The results obtained from the interviews are similar to the results obtained from the questionnaires (quantitative approach). In relation to the usefulness of using the third person technique in investigating sensitive issues, the result of the interviews revealed that the third person technique has proved as one of the acceptable technique to get information about sensitive issues especially with countries that have values grounded on their religious heritage.

A two sector multi-equation macro-econometric model of Scottish manufacturing industry was constructed and distinctive characteristics of the home and foreign sectors explored. In addition dynamic simulations were carried out to elucidate the policy implications of alternative scenarios.

This PhD dissertation studies the effects of some types of asymmetries in the context of international markets. It pursues two main targets: the first one is to implement an efficiency analysis of different degrees of production factors integration; the second one is to shed further light on the determinants of Pricing-to-Market in order to close the gap on the Purchasing Power Parity. The first part of the work aims at evaluating whether a full integration of countries or regions is always welfare-improving or not. In case it is not, it tries to establish in which cases and to which extent the mobility of production factors should be constrained in order to yield welfare-improvements. Finally, it turns to the point of view of individual markets, by looking at which one gains and which one loses after integration with other markets. Thus, a static general equilibrium framework is provided. It features (many) heterogeneous monopolistic firms, that are aggregated according to a nested CES function. Two different theoretical scenarios are developed: in the first one, all the production factors in the model (i.e. capital and labour) are assumed to be free mobile across markets; in the second one, one of the inputs, namely labour, is restricted at the individual market level. It turns out that, as long as cross-market demand elasticities are homogeneous, the integrated economy always produces an efficient outcome. However, if markups differ across markets, then full integration yields an inefficient level of production due to misallocation of production factors. In this case, a welfare-superior result can be reached for some exogenous restrictions of labour mobility. The second part of the thesis addresses the Purchasing Power Parity puzzle by focusing on the determinants of Pricing-to-Market. Thus, in order to understand the reasons why firms price their goods differently across national borders, the model by Atkeson and Burstein (American Economic Review, 2008) is directly extended in two different ways. More specifically, the original framework explains Pricing-to-Market through both imperfect competition with variable markups and international trade costs. However, it is not able to completely match the actual extent of Pricing-to-Market reported in some countries and, particularly, in the United States; therefore, the main goal is to improve that result. The first extension developed consists in adding fixed costs of production and heterogeneity in country level demand preferences to the reference setting. Evidence of cross-country asymmetry in total household expenditure shares on different goods is provided such as of home bias. The second extension, instead, consists in including heterogeneity in international trade costs. Even in this case, evidence of asymmetry in costs to export is shown. According to numerical results, both the extensions are able to improve the reference work: the extent of Pricing-to-Market predicted is closer to the actual value; furthermore, both the ratio of exports to gross output in manufacturing sectors and the share of manufacturing plants that export in the US market are matched.