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Essays on optimal monetary policy under rule-of-thumb behaviour by price settersPontiggia, Dario January 2009 (has links)
The aim of this thesis is to study the effects of inflation persistence due to rule-of-thumb behaviour by price setters on optimal monetary policy. We start with a canonical log-linearised New Keynesian model, which we extend by allowing a fraction of price setters to follow a rule-of-thumb when setting a new price. We consider different specifications for the rule-of-thumb. In all models, steady-state distortions are assumed to be small so to guarantee the feasibility of optimal monetary policy analysis within a linear-quadratic framework. We derive utility-based objective functions for the monetary authority and analyse a range of optimal commitment policies. We perform welfare analysis in order to rank the range of optimal commitment policies. We analytically derive the optimal steady-state inflation rates associated with each commitment policy. We show that rule-of-thumb behaviour by price setters generates an incentive for positive steady-state inflation. A type of timeless perspective commitment policy is also capable of delivering positive steady-state inflation, even in the absence of rule-of-thumb behaviour by price setters. The optimal steady-state inflation rates are directly proportional to the gap measuring the steady-state distortions and turn out to be small in magnitude. We depart from the assumption of small steady-state distortions and consider the case of a largely distorted steady state within a nonlinear medium-scale model, which adds both nominal rigidities and real rigidities to the basic New Keynesian model. We extend the model by allowing a fraction of price setters to follow a rule-of-thumb when posting a new price. We numerically characterise the optimal rate of inflation in the Ramsey steady state. We find that rule-of-thumb behaviour implies optimal positive inflation only in the absence of transactional frictions. We find that the gap reflecting steady-state distortions is only slightly larger than in the case of small steady-state distortions. Finally, we study Ramsey dynamics and the implementation of optimal monetary policy via simple interest-rate rules, which we expand to explore the importance of welfare-relevant output gaps.
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A study of competitive bidding with particular reference to the construction industryWhittaker, John Dean January 1970 (has links)
This thesis describes an operational research study applying decision theory and quantitative methods to the problems of competitive bidding. The study was provided with data and information by four English building construction companies. First a preliminary feasibility study was conducted which indicated that the potential for substantial benefits exists. Then the decision problem was formulated in a quantitative manner, which allows treatment of the variation due to estimating uncertainty, and of the constraining effect of resources. The Friedman model and some of the published variants were presented and discussed. This led to the development of i General Distribution decision model which incorporates managerial assessment of the competition into a probabilistic framework. This Model, four Friedman variants, and a feedback model were tested with data supplied by the participating companies. The sample was too small for the results to be conclusive but they did indicate that the basic Friedman Model and the General Distribution Model can equal or outperform actual company behaviour. Partial implementation of the General Distribution Model indicated that it may be practicable.
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Selection, training and career development of naval officers : a long-term follow-up using multivariate techniquesGardner, K. E. January 1971 (has links)
1. Twenty five years ago the Adminalty Board approved recommendations for a radically new procedure for selection of officer cadets for the Royal Navy. 2. Under the new procedure candidates were ranked using a judgmental measure of personality and their performance in educational examinations. The former was an interpretation of candidates' behaviour in individual and group tasks and interview, performance in psychological tests, and headmasters' reports, and has remained essentially unchanged to the present day. 3. Selected candidates were given extensive training initially in general naval matters, later in specialist subjects, to prepare them for service in Seaman, Supply and Secretariat, Engineer and Electrical branches. 4. The first 300 officers selected have not passed through the zone of promotion to Commander. Records of their performance in selection, training and subsequent career have been analysed to, identify the abilities associated with success and the effectiveness of selection and training criteria for determination of these abilities. 5. Investigations of data structure using Principal Component Analysis and Factor Analysis have revealed the inter-relationship of examination and test scores, interview board marks, biographical items, training course results, superiors' assessments, and a synthetic variable denoting career success. Vectors representing these variables have been located in a three-dimensional framework with axes defined as personality, verbal-educational ability and spatial-mechanical ability. Comparative analyses of more recent samples show that the basic structure of this framework is stable. 6. The relation is depict in the-'-three-dimensional model, together, with results of predictive studies using Discriminatory Analysis and Multiple Regression Analysis, show that success up to Commander's rank is associated with markedly different abilities in the various branches of the service and that short-term and long-tern, success are also distinct. 7. The conclusion is reached that discriminatory techniques could make a powerful contribution to present-day selection by facilitating optimum selection and placement of candidates in terms of relevant abilities.
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Optimal plan design and dynamic asset allocation of defined contribution pension plans : lessons from behavioural finance and non-expected utility theoriesZhang, Yumeng January 2009 (has links)
The question of optimal asset allocation strategy for defined contribution (DC) pension plans is addressed. A primary motivation for this study is provided by the recent literature on behavioural finance and intertemporal life-cycle investment theory. In this thesis two alternative utility forms are considered: loss aversion and Epstein-Zin recursive utility. We develop a dynamic-programming-based numerical model with uninsurable stochastic labour income and borrowing constraints. In the loss aversion case, members are assumed to be loss averse with a target replacement ratio at retirement and a series of suitably defined interim target prior to retirement. We also extend the intertemporal life-cycle saving and investment theory to the dynamic asset allocation problem of DC pension schemes. A new approach to model contribution and investment decisions with focus on the member’s desired pattern of consumption over the lifetime (based on Epstein-Zin utility preference) is proposed. The thesis draws on empirical evidence of salary scales and loss aversion parameters from UK households, with labour income progress estimated from the New Earnings Survey and loss aversion parameters estimated on the basis of face-to-face interviews with 966 randomly selected UK residents.
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Regulation and performance : evidence from the telecommunications industryMaiorano, Federica January 2009 (has links)
This thesis proposes an empirical analysis of performance in the telecommunications industry, in relation to the regulatory framework in place in the sector. We first provide an introduction and overview of the related literature on performance measurement and regulatory institutions. Chapters 1 and 2 focus on level measures of productivity components and, in particular, of technical change and efficiency. This analysis is motivated by the form of incentive regulation in force in the industry, which links future price increases allowed by the regulator to certain measures of the operators performance. Chapter 1 investigates embodied technical change in the U.S. industry relying on rm-level panel data It builds on the definition of capital as a sum of vintages of different qualities and incorporates this definition into a cost function. Estimates of embodied technical change in this sample vary depending on the specification, but do not appear large enough to affect productivity. Chapter 2 analyses the variation of efficiency over time in the same sample of U.S. operators. This is done by applying estimators that allow for (freely) time-varying efficiency to an input stochastic distance function. Estimates confirm that standard panel estimators, which are commonly used by regulators to assess relative efficiency, do not adequately capture the time-varying component of efficiency. Finally, Chapter 3 studies how cross-country differences in sector performance, measured in terms of access to mobile networks, can be explained by regulatory and country governance. In particular, using a system approach, it considers whether the impact of regulatory governance on penetration can be an indirect result of country institutions. In addition, feedback effects between access to infrastructure and income are incorporated in the analysis. The analysis is carried out on a panel of low and middle-income countries. The empirical results show that the establishment of a separate telecommunications regulator is associated to higher penetration levels, and that this is more important for low-income countries. The effect is partly related to the quality of wider country governance rather than sector specific institutions.
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Information content of insider trades, IPO lockup expiration and long-run IPO performanceHoque, Hafiz January 2010 (has links)
A number of previous studies have assessed whether insider trades convey information to the market. Whilst lots of research has been undertaken in the past three decades, the issue is still contentious and there is ongoing debate concerning the legality and profitability of insider trading. Regulators restrict insider trading before any material news announcements, so that insider cannot take advantage of private information. Motivated by the studies in individual and aggregate insider trading, the objective of this thesis is to understand the role of signals that insiders send to the financial market about their companies when they trade, in general and to assess the role of insider trading in the context of initial public offerings (IPOs), particularly under lockup restrictions and the high information asymmetries inherent in IPOs.
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Essays in microstructure analysis in the foreign exchange marketMiao, Teng January 2010 (has links)
The aim of this thesis is to investigate the effects of foreign exchange order flows on exchange rate and stock market changes, in particular to examine the forecasting power of order flows and better understand the nature of the private information conveyed in order flows in the foreign exchange market. Chapter 1 investigates the performance of foreign exchange customer order flows (six major exchange rates over 3.5 years) as an additional explanatory variable to technical analysis to forecast exchange rate changes by applying genetic algorithm non-linear methodology. Using the interval permutations technique, we suggest that the improvement of order flows to the performance of technical analysis is not consistently present. Chapter 2 examines the role daily customer GBPUSD order flows play in explaining concurrent and future stock market changes in both UK and US, and discusses the heterogeneous effects from different groups of customers. The basic hypothesis tested is that if foreign exchange order flows have days-ahead effects on future stock market changes, it suggests that at least a part of the information carried by foreign exchange order flows is relevant for stock markets. Using daily GBPUSD order flows over 3.5 years from 2002 to 2006 provided by RBS, we find that: 1) impacts of order flows from corporate customers on stock markets are positive, while impacts of order flows from unleveraged financial institutions are negative; 2) impacts of corporate order flows are longer than those of financial order flows, especially for the US stock market, suggesting that the two groups of customers may hold different types of private price-relative information. We hypothesize that corporate customers of the bank are mainly based in the UK. When the world economy is doing well, multi-national companies are selling more goods in the US and repatriate more foreign currencies back to UK, during which more GBP or EUR are converted from US Dollars. More sales of US Dollars then reflect the good future prospects of the world economy and stocks listed in both US and UK will rise in value. For unleveraged financial institutions, when the world economy is going bad, clients of those mutual funds which are based in the UK will ask for redemptions of their funds. Assuming the bank services a client base that is UK oriented, this leads to the repatriation of money from abroad back to UK. The buying of GBP or EUR in exchange for US Dollars then takes place alongside sales of US and UK stocks. Foreign exchange flows into GBP or EUR from unleveraged funds forecast poor future stock market returns globally. Chapter 3 empirically tests the effects of EURUSD order flows from different groups of counterparties on the US stock market changes at high frequencies ranging from 1-minute to 30-minute, using a unique set of tick-by-tick order flows data obtained from a leading European commercial bank. We find that: 1) Order flows from “corporates” are positively related to exchange rate changes, while order flows from “financials” are negatively signed, which contradict many well-documented papers such as Evans and Lyons (2002a) (this high frequency forecasting power partly explain the failure of the trading strategy based on our daily order flows data in chapter); 2) The effects of order flows from “financials” are negative on stock market changes, while the effects of orders from “corporates” are positive on stock market changes, which further confirms our findings in chapter 2. Similar to chapter 2, the cross market effects documented in chapter 3 also suggest that there is information content in foreign exchange order flows and that it is likely to be macroeconomic in nature, relevant for stock markets. Chapter 4 concludes and suggests some directions of refinements and further research.
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Non parametric estimation of high-frequency volatility and correlation dynamicsMattiussi, Vanessa January 2010 (has links)
This thesis addresses the problem of quantitatively evaluating the temporal dynamics that characterized financial time series. In particular, we perform an accurate analysis of the Fourier estimator, a newly proposed nonparametric methodology to measure ex-post volatility and cross-volatilities as functions of time, when financial assets are observed at different highfrequency levels over the day. The estimator has the peculiar feature to employ the observed data in their original form, therefore exploiting all the available information in the sample. We first show how to considerably improve the numerical performance of the Fourier method making possible the analysis of large sets of data, as it is usually the case with high-frequency series. Secondly, we use Monte Carlo simulation methods to study the behavior of three driving parameters in the estimation procedure, when the effects of both irregular sampling and microstructure noise are taken into account. The estimator is showed to be particularly sensitive to one of these quantities, which is in turn used to control the contribution of the above effects. Integrated financial correlation is also analyzed within two distinct comparative studies that involve other multivariate measures. The analysis is then extended to consider the entire evolution of the underlying correlation process. Finally, we propose a new class of nonparametric spot volatility estimators, which is showed to include the Fourier method as a particular case. The full limit theory under infill asymptotics in the pure diffusive settings of the class is derived. Empirical evidence in support of our conclusions is also provided.
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University research and industry involvement : three essays on the effects and determinants of industry collaboration and commercialisation in academiaMeissner, Cornelia January 2010 (has links)
This thesis investigates the factors influencing an academics involvement with industry and how these collaborations a¤ect research outputs in terms of publications and patents. It employs a longitudinal dataset that comprises more than 4000 engineering academics over 20 years and a smaller subsample of 479 academics over 12 years and uses robust econometric approaches to address issues of unobserved heterogeneity and endogeneity. Collaboration with industry is measured through two funding modes: (1) funding received from industry directly and (2) funding from the research council that involves business partners. The thesis is unique in its ability to measure two distinct types of funding over a long time period and compare these to commercialisation efforts of academics. It analyses the relationship between both activities and relates it to academics publication numbers. Considering all three activities jointly allows some new insights into their complementarities as well as identifying possible substitution effects.
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Open market share repurchases in Europe : a cross country analysisAndriosopoulos, Dimitrios January 2010 (has links)
This thesis addresses the topic of open market share repurchases in Europe over the period 1997 to 2006. This thesis strives to document and clarify the managerial motives as well as the market perception and respective reaction to open market share repurchases, in a cross country framework. Therefore this thesis delves into the hypotheses that have been developed in the literature for interpreting these issues. The theories and hypotheses investigated in this thesis are mainly the information asymmetry and signalling for undervaluation, the tax hypothesis, the dividend substitution, the capital structure adjustment, and agency costs hypotheses under varying regulatory and institutional frameworks. Consistent with the U.S. evidence, share repurchases are popular in the U.K., but I find that the market does not have the same level of reaction as in the U.S. For Germany and France, share repurchase activity has been a more recent phenomenon, but not common. Nevertheless due to recent regulatory changes, this trend seems to be changing in favour of share repurchases. The empirical evidence in this thesis shows that market reaction to the announcement of intention to repurchase shares in the open market varies significantly among countries, and that the market becomes more accustomed to subsequent announcements made by the same firms. Furthermore, I find that ownership concentration, firm size, leverage, and in some cases past share price performance, have a significant impact on the market reaction, as well as on the managerial motives for announcing an open market share repurchase programme. Moreover, the evidence shows that not all the managerial motives and drivers of the market reaction have a uniform impact throughout the varying markets. Rather, it is only a number of firm characteristics that consistently influence the likelihood of an open market share repurchase in all three countries. Furthermore, I find that firms on average repurchase approximately three quarters of the shares targeted at the time of the announcement, suggesting that on average, firms repurchase a substantial portion but not the intended amount. In addition, I find that managers repurchase shares in order to provide price support. Finally, this thesis provides evidence that it is the actual trades and their respective reporting, and not the repurchase announcement itself that convey risk related information to the market. Therefore, the reporting of the actual repurchase trades sends positive signals to the market, which are reflected on the reduction of firms’ systematic risk.
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