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This thesis examines the relationship between food prices, oil prices, carbon emission prices, exchange rates and global risk perception. To obtain the effects of these variables on the food prices, Toda and Yamamoto procedure is employed for 5-day week daily time series covering the period February 27, 2008 and March 21, 2011. The empirical results indicate that only volatility index Granger causes food prices. Furthermore, according to results of generalized impulse response plots food prices respond to all variables in the short run.

In the first part of this thesis the prices of six non-ferrous metals (aluminum, copper, lead, nickel, tin, and zinc) are used to assess the forecasting performance of GARCH models. We find that the forecasting performances of GARCH, EGARCH, and TGARCH models are similar. However, we suggest the use of the GARCH model because it is more parsimonious and has a slightly better statistical performance than the other two. In the second part, the prices of six non-ferrous metals and the price of crude oil are used to examine the dynamic links between oil and metal returns by using the BEKK specification of the multivariate GARCH model and the Granger causality-in-variance tests. Results of our study agree with the previous studies in that the crude oil market volatility leads all non-ferrous metal markets. In order to move as far away from the effects of 9/11, daily data for the period December 12, 2003 &ndash / December 15, 2008 is used for the data analysis part of the thesis.

This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm’s financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy. / text

It is widely accepted that land supply plays an important role in restricting housing supply and adjusting housing price level. This study aims to explore the dynamic relationship and causality between land supply and housing price with the cases of Hong Kong and Guangzhou, which are two close relative Chinese cities under the framework of ‘One country, two systems’. This study employs the vector auto-regression (VAR), Vector Error Correction Model (VECM) and Granger Causality test to disentangle the complicated relationship, long-run and short-run, between land supply and housing price. Besides, the dynamic analysis of VAR and VECM are conducted using innovation accounting methods such as impulse response function (IRF) and variance decomposition (VDC). The empirical results show that the land supply and housing price are co-integrated in Hong Kong during the sample period between 2001 and 2011, and a long-run unilateral causality is confirmed from housing price to land supply for Hong Kong. Regarding Guangzhou, although there is no co-integration between land supply and housing price during 2001 and 2011, Granger causality from land supply to housing price shows a time lag of 10 quarters. These findings imply the relative efficient market economy in the Hong Kong housing market compared to Guangzhou, which is also consistent with the differences in land leasing systems and housing markets in Hong Kong and Guangzhou. This study not only sheds light on the discrepancies of land leasing systems and housing market mechanism between capitalism and socialism, but also provides implications for policy makers in formulating strategy to improve housing affordability. / published_or_final_version / Real Estate and Construction / Master / Master of Philosophy

published_or_final_version / Statistics / Master / Master of Social Sciences

The closure of the US border to Canadian live cattle and beef products after the confirmation of a single Canadian BSE case in May, 2003 seriously jeopardized the Canadian beef cattle industry, which had relied heavily on exports. The inventory of cattle rapidly increased and farmers were paid record low prices for live cattle. But at the same time, the cattle slaughtering industry experienced a substantial increase in profits. The enlarged price spread between the value of live cattle and beef steak raised concerns about oligopsony market power in the live cattle market. This thesis investigates the hypothesis that the Canadian slaughtering industry exercised this market power in the months following the discovery of BSE. Two models, the conjectural variation model from the New Empirical Industrial Organization and an asymmetric price transmission model were used and the results from both models do not support the hypothesis of oligopsony market power.

This thesis explores factors that determine the price for Australian art sold at auction. Using a large data set that comprises over 20,000 sale observations of Australian paintings sold between 1995 and 2003 characteristics associated with the artist, the work and auction are included in a series of hedonic models. In addition to modelling the overall market, differences within defined market segments for Indigenous and Non-indigenous art are explored. The role of artist identity and critical acclaim, the period in which art works are created and the event of an artist death are areas of specific focus within the analysis along with an investigation of the risks and returns associated with Australian art investment. It is found that artist identity is a crucial factor that drives price. Further, the most highly valued Non-indigenous art works are found to be created prior to 1900, although the market for Contemporary art produced post 1980 is associated with relatively high prices also. Distinctions emerge between Indigenous and Non-indigenous art as we consider the period in which works are created and the influence this has upon price. Almost 90 per cent of Indigenous art sold at auction has been created since 1970 and it is works from the 1970s that command the highest prices for Indigenous art sold at auction. This is not unexpected given the rise of Indigenous art in the early 1970s coinciding with the emergence of the Papunya Tula art movement. The death of an artist also proves to have a different influence upon price when we compared Indigenous and Non-indigenous art. For Non-indigenous art there is clear evidence of a death effect upon art prices, where prices typically rise around the time of an artists death before falling back somewhat with the passing of time. For Indigenous art the influence of a living artist's conditional life expectancy upon price proves to be of greater relevance in explaining price where as the artist ages and the term of their life expectancy reduces prices tend to rise. The analysis within this thesis finishes with the construction of a number of short term art price indices where it is found that returns to investment in Indigenous art are generally higher and less risky compared to Non-indigenous art. Australian art generally and Indigenous art in particular is found to have a relatively weak correlation with the stock market suggesting that Australian art has a role to play in a balanced investment portfolio especially taking into account the aesthetic utility that can also be derived as a result of holding art. The research contributes to understanding how the auction market for Australian art operates with emphasis paid to the distinctions and similarities observed within the sub-markets for Indigenous and Non-indigenous art. Insights from this research have the potential to inform public policy on a number of issues including the effect of resale royalties upon the operation of the auction market, and how indigenous economic development may be facilitated through a strong market for Indigenous art.

Thesis (MComm (Mathematics))--University of Stellenbosch, 2007. / The word numéraire refers to the unit of measurement used to value a portfolio of assets. The change of numéraire technique involves converting from one measurement to another. The foreign exchange markets are natural settings for interpreting this technique (but are by no means the only examples). This dissertation includes elementary facts about the change of numeraire technique. It also discusses the mathematical soundness of the technique in the abstract setting of Delbaen and Schachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricing problems. The right choice of numéraire could be an elegant approach to solving a pricing problem or could simplify computation and modelling.

A great deal of research has been carried out on residential property values and numerous factors have been identified as having an effect on residential property values. The physical characteristics of properties of properties are the primary factors that determine the market value of residential property. However, factors concerning location are also thought to influence the value of residential properties. These locational factors include, among others, accessibility to highways, airports, schools, parks and public transportation centres. This study examines the effect of another locational factor, namely proximity to a newly built shopping centre. Shopping centres have been increasing in numbers throughout South Africa over the past few decades. These shopping centres are usually situated in close proximity to residential properties. As such, shopping centres that are in close proximity to residential properties can influence property prices. This study makes use of the hedonic price model to assess the price impact of the newly constructed Baywest Mall on the residential properties in the western suburbs of Nelson Mandela, namely Sherwood, Rowallan Park and Kunune Park. On 21 March 2012, the construction of the Baywest Mall was officially announced. This announcement created an area of interest as to whether its construction and completion would have an impact on the prices of residential properties situated in close proximity to the mall. The study period for this study was from 2004 – 2015. This time period is thought to be sufficient to assess the effect of the Baywest Shopping Mall on the residential property prices before and after the announcement of the construction of the mall. As the study period ranged from 2004 – 2015 it was necessary to adjust the sales prices over the years to constant 2015 prices. As such, the ABSA house price index was used in order to eliminate any inflationary effects on the property values over the study period. The results of the study revealed that the newly built Baywest Mall has a statistically significant positive effect on properties in close proximity to the shopping mall. This result enhances the scientific understanding of the effect of commercial land uses, such as, shopping centres, on the value of adjacent residential properties.