http://www.researchonline.mq.edu.au/vital/access/services/Feed ${session.getAttribute("locale")} 5 http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18128 The aim of this paper is to investigate the importance of collaborative risk management in infrastructure development under public private partnerships (PPPs). When public and private sectors engage in collaborative risk management in PPPs, there is greater motivation by both partners to enhance the quality of life for the community, add value to the community and integrate the project objectives with the interest of the public. By using content analysis as the research method, this paper concludes that collaborative risk management address some of the core issues relating to PPPs, and ensure that PPPs will be successful. 2013-06-17T11:08:29.356Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19707 This paper develops two copula models for fitting the insurance claim numbers with excess zeros and time-dependence. The joint distribution of the claims in two successive periods is modeled by a copula with discrete or continuous marginal distributions. The first model fits two successive claims by a bivariate copula with discrete marginal distributions. In the second model, a copula is used to model the random effects of the conjoint numbers of successive claims with continuous marginal distributions. Zero-inflated phenomenon is taken into account in the above copula models. The maximum likelihood is applied to estimate the parameters of the discrete copula model. A two-step procedure is proposed to estimate the parameters in the second model, with the first step to estimate the marginals, followed by the second step to estimate the unobserved random effect variables and the copula parameter. Simulations are performed to assess the proposed models and methodologies. 2013-06-17T10:58:14.286Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19710 Modeling the dependence of credit ratings is an important issue for portfolio credit risk analysis. Multivariate Markov chain models are a feasible mathematical tool for modeling the dependence of credit ratings. Here we develop a flexible multivariate Markov chain model for modeling the dependence of credit ratings. The proposed model provides a parsimonious way to capture both the cross-sectional and temporal associations among ratings of individual entities. The number of model parameters is of the magnitude O(sm² + s²m), where m is the number of ratings categories and s is the number of entities in a credit portfolio. The proposed model is also easy to implement. The estimation method is formulated as a set of s linear programming problems and the estimation algorithm can be implemented easily in a Microsoft EXCEL worksheet, see Ching et al. Int J Math Educ Sci Eng 35:921-932 (2004). We illustrate the practical implementation of the proposed model using real ratings data. We evaluate risk measures, such as Value at Risk and Expected Shortfall, for a credit portfolio using the proposed model and compare the risk measures with those arising from Ching et al. IMRPreprintSeries (2007), Siu et al. Quant Finance 5:543-556 (2005). 2013-06-17T10:58:12.346Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20031 This paper examines the relative importance of different types of labour market experience in the determination of earnings across occupations. Specifically, the paper estimates the returns to general experience, firm tenure and occupational tenure for each occupation within the Australian Standard Classification of Occupations (ASCO) in 1997 and 2005. The paper finds that there is an important role for each form of labour market experience. General experience tends to dominate the other forms of labour market experience, both statistically and numerically. While not as important as general experience, wages nevertheless rise with firm tenure in most occupations. Occupational tenure is only important in a small subset of occupations, mainly for Professionals and Tradespeople. There is also evidence that the return to occupational tenure increased significantly for Tradespeople and for Intermediate Transport and Production Workers between 1997 and 2005. 2013-06-17T10:55:34.544Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20366 When environmental macroeconomic frameworks replace standard macroeconomic frameworks differences in policy outcomes ensue. The non-recognition of real environmental capacity constraints could explain the inability of standard frameworks to deliver on certain macroeconomic goals. Herein, environmental capital depreciation is internalised into analytic frameworks of factor utilisation, aggregate demand and aggregate supply. The analyses reveal that restricted income and wage domains alongside limited environmental capacity constrain economic performance. Hence, environmental capacity expansion and initiatives towards sustainability warrant specific attention. Illustrations are made with reference to the Australian economy and her response to the 2008-2010 global financial crisis. 2013-06-17T10:48:53.370Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20614 Purpose: The purpose of this paper is to explore the compatibility of Rawls's account of justice with neoclassical economic theory, upon which Rawls relies strongly. Design/methodology/approach: This question is approached via a comparison of the implicit account of society and social relations adopted in Rawl's work with that that can be perceived to underly neoclassical economic theory. The purpose of this comparison is to assess how compatible these social visions are. Findings: It is argued that neoclassical economic theory presupposes a social structure and a social reality that is radically less cooperative than that which underpins Rawls's theory of justice. Rawls presupposes a world in which cooperation is necessary - a specialised world - whereas the equilibrium requirements of neoclassical theory run into severe technical difficulties in such a context, with the result that they are assumed away via a series of theoretical contrivances, along with the role for cooperation that is central to Rawls's theory. Research limitations/implications: The paper illustrates clearly the pitfalls associated with uncritical reliance in one discipline on theoretical frameworks imported from another. Where there is debate concerning the fundamental bases of theory, a form of sensitivity analysis must be performed to ensure that the final argument does not demand too much of, or become excessively tied to, the imported framework. Originality/value: The paper provides the beginnings of such a sensitivity analysis on the Rawlsian project and its relationship to economic theory, and shows that the field is open for a reconstitution of the liberal theory of justice on grounds other than its traditional ally, the exchange paradigm as represented by neoclassical theory. 2013-06-17T10:46:49.543Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21901 This paper has developed a multidimensional model usable in assessing economic, social, political and cultural dimensions of poverty by utilizing primary data collected from 78 villages in Bangladesh using a participatory approach. Employing the developed model, a comparative analysis has been performed between microfinance-driven government (GO) and NGO (non-government organization) projects to explore their relative effectiveness in enhancing wellbeing of the poor in rural Bangladesh. It is observed that GO agencies are more effective in enhancing ‘economic wellbeing’ of the poor, whereas NGOs are contributing more in the ‘social’ aspects of wellbeing. Findings also revealed that, as whole, GO agencies perform 42% better than NGOs in improving living standards of the rural poor which contradicts with the existing literature of poverty reduction projects in developing countries. 2013-06-17T10:38:23.459Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:22508 Ownership structure is endogenous to the formation of the economic entity in China. This paper investigates the determinants of employment choice of rural migrant workers across state-owned enterprises (SOEs) and various subtypes of non-state owned enterprises (non-SOEs). Two self-selection models are adopted to comparatively identify how the unobserved factors related to the migration decision affect employment choice. Using pooled cross-section data for 1995 and 2002, results indicate that employment choice is positively selected with respect to the unobserved characteristics. Furthermore, wage and pension benefits exhibit positive relationships with the probability of employment in either type of enterprise. 2013-06-17T10:34:10.510Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:22731 A simulation approach is used to investigate how various investment strategies affect the ability of retirees to spend at a desired level up until death. Retirees are assumed to maintain all investment and longevity risk, and also have access to a government-sponsored and means-tested Age Pension to provide part of their desired expenditure. It is found that a 100% allocation to growth assets is optimal for large expenditure desires relative to initial balance levels, with allocations outside of this being sensitive to movements in initial balance and desired expenditure level, as well as interactions with the Age Pension. 2013-06-17T10:32:49.942Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23007 This paper develops models aimed at more accurate estimation of the medical cost function based on the individual cost data. In our proposed models, the cost data are assumed to be dependent on the whole clinical evolution via Markov transition probabilities, and the accumulative rate of cost in a time period (sojourn) has a semiparametric structure. The medical costs are recurrent at different time points with different states under informative censoring, and the cost incurred in a sojourn at a state is correlated with that sojourn. A copula is used to model the relationship between a sojourn and its associated cost. The multivariate local likelihood method is employed to estimate model parameters and the asymptotic properties of the estimators are established as well. Our methods can be easily extended to model the total cost and to analyze the cost-effectiveness of the model. Simulations are performed to assess the proposed models and methodology, and comparisons with certain existing models are discussed. 2013-06-17T10:30:46.964Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23447 The Macquarie Graduate School of Management (MGSM) is one of the leading management schools in the Asia Pacific region and is now in its 43rd year of operation. It is a provider of a range of postgraduate management programs, including its flagship MBA, as well as having a significant international presence. Their programs are highly sought after by the business community and at the moment they are undergoing a substantial review, making it timely to consider how the students feel about and their satisfaction with various aspects of the programs. From a total population of 960 students, a random sample of size 246 enrolled for a range of degrees was selected and surveyed on their personal attributes, how they viewed themselves, their fellow students and the program. Among some expected outcomes there were some surprising results that will require MGSM's close attention. 2013-06-17T10:28:02.810Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25966 This paper examines the impact of broker anonymity on bid-ask spreads in order driven markets. Previous theoretical research predicts that limit order anonymity results in deeper and more liquid markets. This paper examines this proposition using three natural experiments provided by Euronext Paris, the Tokyo Stock Exchange and the Korea Stock Exchange. Euronext Paris and the Tokyo Stock Exchange removed broker identifiers from limit orders on April 23, 2001 and June 30, 2003, respectively. In contrast, the Korea Stock Exchange introduced broker identifiers for limit order books on October 25, 1999. The results provide evidence that altering limit order anonymity has an impact on liquidity. Consistent with expectations, liquidity is enhanced by increased anonymity and adversely affected by decreased anonymity. 2013-06-12T05:21:13.521Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25942 This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of previous findings which show a stock price continuation following purchases to the close of trading. We confirm the reversals first using transaction prices, and then show that continuations follow both large purchases and sales when quote data is used. These large trades do not lead to a fundamental change in stock price volatility. We conclude that the transaction price reversal is driven by natural bid-ask bounce around large purchases and large sales. 2013-06-11T05:20:20.391Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25837 Regional management of endemic pests of trade significance typically requires a surveillance system, border controls, eradication protocols and conditions for market closure and reopening. An example is the systems for managing Queensland fruit fly (Qfly) in south east Australia where the preferred approach for intensive production areas is an Area Wide Management (AWM) scheme. An AWM, such as the Greater Sunraysia PFA (GSPFA) in northern Victoria and western New South Wales, depends for its recognition amongst trade partners on an effective and credible surveillance system that identifies outbreaks rapidly, notifies exporters of trade restrictions and initiates eradication. These ‘market rules’ are fundamental to the economics of surveillance: they define an outbreak and thus the probability of market closure, the expected time to eradication, and consequent time to market reopening. This paper uses a spatial and dynamic bioeconomic model of Qfly infestation and spread to determine the expected optimal investment in surveillance and eradication capacity of the AWM. 2013-06-04T09:11:38.094Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25501 20 pages(s) 2013-05-15T14:23:16.232Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25213 We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in terms of stochastic integral representations of the payoffs of the options involved. This formula is then applied to compute hedge ratios for common options in various models with jumps, leading to easily computable expressions. As a benchmark we take the standard Black-Scholes and Merton delta hedges. We show that in natural gas option markets minimal variance hedging with underlying consistently outperform the benchmarks by quite a margin. 2013-04-16T06:51:57.042Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:17600 Historically, the subsistence based lifestyles of small scale economies (SSEs) have avoided pushing the stock of their natural resources beyond thresholds where their resilience could be lost. However, rising frequencies of natural disasters coupled with a growing outside influence from the developed economies are increasingly putting pressure on the economic and natural resources of these societies. This paper explores the nature and role of inter-linkages between ecological and economic resilience in SSEs towards maintaining long term sustainability in the face of these external influences. It is shown that initial conditions associated with the stock of natural and physical capital could be crucial factors in determining their successful transition towards higher economic growth without depleting their natural stock. When natural hazards pose risks of loss of natural capital, the rate of capital accumulation could increase or decrease depending upon the relation of such risks with natural and physical capital stocks. 2013-04-09T06:30:45.183Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25057 We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic and environmental conditions. In particular, Markov, regime-switching, jump-diffusion models are used to describe stochastic movements of short-term interest rate and force of mortality. These models capture jumps in short rate and mortality rate and the impacts of economic and environmental fundamentals on their movements over time. Using the concept of stochastic flows, we derive an exponential affine form of the longevity bond price in the proposed joint stochastic interest rate and mortality models. In particular, a representation for the exponential affine form of the longevity bond price is obtained in terms of fundamental matrix solutions of linear, matrix-valued, ordinary differential equations. 2013-04-02T23:21:39.724Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:25058 This study investigates the incidence of over-education amongst recent Australian bachelor degree graduates and its effect on their earnings. We find that between 24% and 37% of graduates were over-educated shortly after course completion, with over-education most common amongst young females and least common amongst older females. Over-education rates vary markedly across major fields of study and appear to be associated with the relative demand for graduate labour. Overeducation was less common three years after course completion; however a nontrivial proportion of graduates remain over-educated. With regard to the effect of over-education on earnings, we find a notable age-related effect not reported in earlier studies. Young over-educated graduates were not penalised after unobserved heterogeneity had been addressed, whereas older over-educated graduates were at an earnings disadvantage relative to their well-matched peers. 2013-04-02T23:21:38.758Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:24884 In this paper, we revisit the Taylor (2000) proposition for some developing countries in order to examine the decline in their pass-through coefficients, and to find possible explanations for this. Our work is motivated by the fact that during the 1990s, some developing countries shifted their monetary policy in order to reduce the inflation. We adopt a methodology based on structural break and cointegration approaches proposed by Bai and Perron (1998), and Gregory and Hansen (1996), respectively. These techniques allow identifying the inflation decline and adopting a long-run approach which is ignored in some empirical works related to the pass-through. 2013-03-20T11:10:37.234Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:24769 The Walras–Arrow–Debreu–McKenzie model of general equilibrium forms the basis of almost all normative trade theory. In that model, a factor of production might be completely or incompletely immobile between alternative occupations. Whether it ever abandons an initial occupation depends on the cost of moving to each of the alternative occupations. It is not to be expected that, in equilibrium, a factor will receive the same reward in each occupation; non-competitive factor groups will be the rule. It is puzzling then that, in recent years, normative trade theory has developed in complete denial of non-competing groups. It is here shown that the occupational immobility of factors does not endanger any of the well-known normative propositions of the theory of international trade. 2013-03-13T09:50:50.777Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:24771 This article investigates the returns of acquirer companies in the wake of corporate takeovers. The study tests the post-takeover returns of Australian acquirer firms during the period 2001 to 2003, using two alternative benchmark models. We find evidence that acquirer companies outperform the market benchmark in the three years following the takeover. We also find that takeovers improve the share price performance of such companies relative to their pre-takeover history. 2013-03-13T09:50:46.682Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:24645 The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases. 2013-03-11T21:11:22.288Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:24514 This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information effects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information effects of sell trades. We develop a theoretical model which predicts that this difference is greater in bear markets than bull markets, consistent with the (almost counter-intuitive) proposition that buy trades are relatively more informed in bear markets. Using a sample of trades executed on the NYSE in bull and bear market periods, we find evidence consistent with our primary theoretical model. 2013-03-06T08:03:33.255Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23587 The seizure by Somali pirates of the Saudi-owned VLCC, the Sirius Star, with its crew, in November 2008, captured international attention. Across the world, regular updates were given and the ransom demands discussed and debated in the press. Dramatic footage was shown on national television of the payment of the ransom by parachute and footage of the debacle which followed where some of the pirates were drowned. Until then, most of the non-shipping world thought of pirates as the romantic buccaneers aka Hollywood. However, the cost of piracy to industry and its impact on international trade cannot be ignored. There are potential geopolitical repercussions. Despite international efforts, piracy in this region threatens to put a chokehold on one of the world's busiest shipping arteries. Shipping lines are taking decisions to avoid the area, rerouting via the Cape of Good Hope. This article provides a methodology to measure the costs of piracy from the shipping company's perspective by taking a comparative voyage costing approach. 2013-01-06T23:20:10.218Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23108 This chapter outlines a conceptual framework that integrates various strands from the discussion of heritage economics and provides an interpretation of some of the major issues of concern. The chapter is structured as follows: first, the basic concept of heritage as asset is discussed, placing it clearly into the context of capital theory. This leads, in the section on sustainability, to a consideration of the parallels between heritage as cultural capital on the one hand and environmental resources as natural capital on the other. These parallels have implications for the sustainability of the cultural and natural resources involved. The central issue in heritage economics is the question of value, discussed in detail further in the section on value and valuation; the analysis here divides the value embodied in or generated by heritage assets into economic and cultural components, and considers the critical issue of measurement. In the next section, the framework is extended to the policy arena, with a discussion of the major economic instruments for the implementation of heritage policy. The final section describes a case study of the application of some of the principles of heritage economics to a cultural investment project developed in Skopje, capital of FYR Macedonia, assisted by a World Bank project. 2012-12-03T09:23:18.804Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23193 5 page(s) 2012-12-03T09:20:29.258Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:23196 14 page(s) 2012-12-03T09:20:25.197Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:1683 34 page(s) 2012-11-07T03:10:10.089Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21425 Using a sample of 186 companies in 2007, this paper investigates whether the mapping of earnings quality into intrinsic value for Malaysian companies differs as a function of ownership concentration type. It is hypothesized that compared with widely-held companies, the positive relation between earnings quality and intrinsic value is stronger (weaker) for companies dominated by the family of the Chief Executive Officer (Government-related investors). Intrinsic value is calculated from stock ratings produced by a firm of Malaysian investment consultants. Three measures of earnings quality are used: two approaches from the journal literature and sub-ratings for earnings and dividend stability produced by the firm of consultants. The results support the second hypothesis (Government-related investors) but not the first hypothesis (family-dominated companies). There is reasonable support for the theoretical predictions about the two earnings quality metrics from the journal literature. However, the consultant's sub-ratings appear to provide a more accurate measure of earnings quality of Malaysian companies. 2012-10-09T03:40:07.347Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21595 This article develops a microeconomic model-based approach to estimation of national information and communications technology expenditure that is helpful when only very short time-series are available. The model specification incorporates parameters for network effects and national e-readiness. Finally, the model allows for observed nonhomotheticity and 'noise' found in sample data, with the latter attributed to country-specific influences. 2012-09-26T12:54:56.142Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21402 Purpose – The purpose of this paper is to propose an alternative approach to the decision- and policymaking that has been practiced in most developed countries for more than a quarter of a century. Such policies followed, to a greater or lesser degree, the policies adopted in the UK and the USA since the period of the Thatcher and Reagan administrations, respectively. These policies proclaimed the supremacy of the market and downplayed government intervention in the marketplace. Design/methodology/approach – This paper draws upon earlier research by the authors as well as upon published works of other researchers. Findings – Self-interest governed the way policies are formed and through a process of extreme capitalism financial leaders took ever-increasing risks for which executives received lucrative incentive salaries. The recent crash suggests a failure in such policies and this paper proposes an alternative way of operating – the way of altruism. Selfishness and egoism are argued as endemic in economic rationalism and extreme capitalism, replacing selflessness that engenders policies more aligned to altruism. Research limitations/implications – The research is limited by the ability to examine all the research literature in the field at greater depth. However, the examination that has been possibly indicated that self-interest and greed, endemic in extreme capitalism and economic rationalism, have made significant contributions to the recent subprime and global financial crises. Practical implications – This paper provides government and corporate policymakers with an understanding of an alternative value – selflessness as aligned to altruism – than the values of selfishness and greed that are endemic in economic rationalism and extreme capitalism guiding policies that led to the global financial crisis. Originality/value – The paper fulfils an identified need and supports policymakers seeking to achieve just outcomes for all stakeholders across the globe. 2012-09-13T12:01:17.592Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21414 We study the problem of simultaneous and coherent assessment the probability of a firm's bankruptcy at various time horizons in future. In contrast with usual (one-period) formulations of the problem, such multi-period formulation better matches the nature of bankruptcy process (bankruptcy occurs in time) and allows an easier and more natural incorporation of bankruptcy (default) prognoses in valuation of risky debt and equity, optimization of corporate capital structure etc. The study uses a new mathematical apparatus—multi-alternative decision rules of statistical decision theory. We investigate a new type of predictive variables that can be extracted from the maturity schedule of a firm's long-term debt. The study develops Bayesian-type forecasting rules that use both maturity schedule factors and traditional financial ratios. These rules noticeably enhance bankruptcy prediction (compared with the familiar one-period Z-score rules of Altman) for bankruptcy within the first 1, 2 or 3 years. Predictive factors derived from schedule information enhance bankruptcy prediction at distant time horizons. 2012-09-13T12:00:49.255Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21321 This article examines the gender pay gap among full-time managers in Australia over the period 2001 to 2008. Using decompositions I explore the issue of discrimination, as well as the roles played by labour force experience and parenting. The results show that female managers earned on average about 27 per cent less than their male counterparts and the decompositions suggest that somewhere between 65 and 90 per cent of this earnings gap cannot be explained by recourse to a large range of demographic and labour market variables. A major part of the earnings gap is simply due to women managers being female. In addition, the presence of dependent children worsens the earnings gap, while the financial returns to labour force experience diminish in the latter years among female managers rather than stabilising, as they do for male managers. Despite the characteristics of male and female managers being remarkably similar, their earnings are very different, suggesting that discrimination plays an important role in this outcome. The article uses eight waves of HILDA data to fit mixed-effects models which are then used for Blinder-Oaxaca decompositions. In addition, a recent simulated change approach, developed by Olsen and Walby in the UK, is also implemented using this Australian data. 2012-09-12T18:32:40.219Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:21108 15 page(s) 2012-09-04T21:55:49.427Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20819 11 page(s) 2012-08-08T14:47:36.917Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20533 Over the last thirty years in particular, a number of papers have examined various issues concerning the Japanese accounting system. However, previous research has largely ignored the importance of Japanese contextual factors. As such, the objective of this paper is to develop a holistic theoretical contextual framework for examining the Japanized process of convergence, which aims at integrating the Japanese-specific accounting system with the Anglo-American model, thereby achieving de facto (actual) convergence. This framework includes three heterogeneous genealogies, namely, Accounting Monism, Economic Monism, and Economic and Accounting Dualism, and four contextual dimensions, including legal, historical, political, and economic environments. The results show that because Japan has both globalized large-scale capital markets and well-organized related infrastructures, which include financial systems, governance structures, related laws, auditing standards, and standards-setting bodies, it would be futile to adopt International Financial Reporting Standards (IFRS) without reforming these and related facilities and resources. The findings also show that Economic and Accounting Dualism aims at reconciling heterogeneous concepts in accounting practices, such as future and past measurement attributes, asset-liability and revenue-expense based income, ex ante and ex post income calculation, and information providing role and reconciliation role of financial reporting. Excessive emphasis on Economic Monism and fair value disregards the fact that Japan is undergoing a prolonged, complex, and controversial process for aligning its entire accounting system with IFRS. Importantly, the partial suspension of fair value measurement and the swing-back towards historical cost measurement caused by the recent global financial crisis revealed that fair value is not unconditionally fair. We suggest that social, historical, political, and economic factors cannot be ignored in this rush towards global convergence of financial reporting. We further argue that accounting research can be enhanced by examining the contextual factors in which the uniqueness of accounting system is embedded. 2012-07-23T18:11:53.197Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:20459 We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 US industry portfolios. Using a four-factor asset pricing model we measure contagion as the excess co-movement between idiosyncratic portfolio shocks, and test for an increase in the frequency of contagion during the 2007–2009 crisis sub-sample. We find evidence of 22 instances of financial contagion during the noncrisis sample period, and 21 such occurrences during the 2007–2009 crisis period, at the 5% level. It appears that the frequency of contagion remained steady or declined during the crisis for the industries that had a relatively high frequency of contagion prior to the crisis, but increased for those industries that had relatively few such incidences. Interestingly, the financial sector exhibited the least number of contagion instances across both crisis and noncrisis periods. 2012-07-19T22:52:09.091Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:13717 Purpose – The purpose of this paper is to reveal the contribution of counter-hegemonic communications towards the origins of anti-colonialism in French India during the years 1935-1937 and thereby to illuminate the relationship between press, economics and ideology in a colonial context. Design/methodology/approach – The paper presents a qualitative study of local archives in Tamil and French, including indigenous print communications such as the workers' paper Swandanthiram. These are used as a prism for analysis of the development of a workers' public voice during major textile strikes, and assessed in the light of John Downing's definitions of advocacy journalism. Findings – Communications were directly connected to disempowerment and lack of civil, political and economic rights. The formation of legal worker organisations for the first time and a new political party provided the context in which activist leaders adopted a twofold vertical and lateral strategy in their publications, to promote their formative anti-colonial ideas. Research limitations/implications – This research illuminates the relationship between press, economics and ideology in a colonial context, demonstrating the importance of economic factors in rise of nationalist movements and the way press usage is connected to basic civil, political and economic rights. Originality/value – The paper traces a forgotten episode in the history of a neglected corner of French empire, significant for the emergence of the indigenous population – including peasant women – for the first time from the private to the public sphere as an organised force – a factor that has previously been ignored by historians. 2012-06-21T21:53:28.544Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19935 Purpose – The aim of this paper is to understand how, in tough economic times, British-owned, English language newspapers such as The Pioneer received and filtered news, especially gender-related and nationalist-related events and thinking. Design/methodology/approach – Using qualitative and quantitative methods to assess communications by and about pro-nationalist women, coverage of female activities was categorised into two groups: first, educational, social and peaceful campaigns and second, direct action such as strikes, burning of British cloth and business/land rent boycotts. Findings – Direct action provided “bad news” coverage, but it simultaneously gave a small window for publicity. Less threatening peaceful campaigns provided a bigger window – enhanced by the novelty value of female activism. Research limitations/implications – Historians need to look specifically at Indian newspapers during the struggle for independence for a counter-hegemonic discourse that reached a wide public. When evidence of women’s activism is paired with financial news, it becomes clear that women had a negative impact on British business. Furthermore, The Pioneer’s own business dilemmas made the paper part of the economic and ideological maelstrom that it reported on. Originality/value – This is the first time that the colonial press in India itself has been scrutinised in detail on the subject of the rising nationalist movement and women. Findings underline female influence on both economics and ideology – a neglected aspect of Indian gender scholarship and economic history. 2012-06-21T21:17:19.681Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19631 Both researchers and practitioners have devoted considerable attention to the potential effects of leadership on organizational performance. Despite increased research into the leadership-performance relationship, major gaps still remain in our understanding. This paper reviews the published literature and identifies these gaps, highlighting implications for future research into the leadership-performance relationship. 2012-06-07T18:16:32.127Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19636 The literature suggests that variables such as using a vision, organizational climate, and trust between leader and followers may mediate the relationship between leadership and organizational performance. Yet, existing research tends to ignore these potentially important variables. This paper addresses this gap, discusses the overlooked variables, and suggests directions for future research via 14 research propositions. 2012-06-07T18:16:15.796Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19667 The current Consumer Price Index (CPI) Is a biased estimator of the true cost of living (COL). Incorrect treatment of quality change in existing products and the introduction of new products is known to be a major source of the bias. One of the practical problems that make it hard to properly incorporate the effect of newly introduced or disappeared products into the CPI is that the price of a new product in use pre-introduction period and the price of a disappeared product in the period it disappears are unobservable. The present paper introduces an index number formula which overcomes that problem. The index number formula is exact for the constant-elasticicy-of-subsututlon (CES) preference ordering if the elasticity of substitution is known. Unlike the formula introduced by Feenstra (1994). It separates a change in the COL into three parts, namely, new, disappeared and existing products. 2012-06-07T18:13:41.568Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19669 This paper introduces a duality theorem that is useful in identifying the dual functional form to an arbitrary cost or distance function. It is shown that the distance function dual to an arbitrary cost function is the reciprocal of the cost function with its price arguments replaced by subfunctions of quantities and utility (or output) level. Similarly, the cost function dual to an arbitrary distance function is shown to be the reciprocal of the distance function with its quantity arguments replaced by subfunctions of prices and utility (or output) level. Due to duality, it is not usually necessary to identify a dual functional form implicit in a specified model. However, in certain cases one may need to identify the dual functional form. An example would be the case where Malmquist quantity indices are to be computed while the preference ordering is represented by a nonhomothetic cost function. The theorem is applied to a few popular models for illustration. 2012-06-07T18:13:32.427Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19570 While leaders are widely exhorted to espouse visions, very little is known about what characterizes “effective” visions. A research model was tested to examine relationships between seven literature-derived vision attributes (brevity, clarity, future orientation, stability, challenge, abstractness, and desirability or ability to inspire) and content (customer and staff satisfaction imageries), and the performance outcomes of customer and staff satisfaction in retail stores in Sydney, Australia. Extending previous research, literature-derived Store Manager, Staff and Organizational Factors were simultaneously taken into account. Findings endorse the importance of espousing a vision characterized by the seven attributes, while vision content rendered no significant effects. The Store Manager and Staff Factors were found to create a significant impact on store performance, whereas the Organizational Factor was not significantly related to store performance. 2012-06-04T20:42:15.769Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19595 16 page(s) 2012-06-04T20:40:18.405Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:19100 A book review of Althusser: The Detour of Theory by Gregory Elliott; Leiden: Brill, 2006. ISBN: 9004153373. 2012-05-10T09:52:01.036Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18691 Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor models to consider the identity of systematic risk factors in the Australian equities market. Our results support the use of neither the Capital Asset Pricing Model (CAPM) nor the Fama and French model, although they provide an explanation for the empirical performance of these models. Many other model specifications are also rejected. We find that a single-factor model with an equal-weighted market index is the best model for estimating the cost of equity in the Australian context. 2012-04-17T11:50:13.565Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18536 A large proportion of consumer returns fall into the category of false failure returns, which refer to returns without functional defects. In this paper, we consider profits resulting from exerting costly effort to reduce false failure returns in a reverse supply chain. The supply chain as a whole has a strong incentive to reduce such returns for cost saving. However, retailers typically enjoy a full credit provided by suppliers for returns, so they may not have sufficient incentives to exert enough effort for supply chain profit maximization. In some scenarios retailers may even have the motivation to encourage such returns. We suggest using a coordination contract to resolve this profit conflict. We introduce a quantity discount contract which specifies a payment to the retailer with an amount exponentially decreasing in the number of returns. We present explicit forms of such contracts given different assumptions about the distribution of the number of returns. We also prove that the contract is Pareto improving. Besides, it is shown that when the contract is applied in a closed-loop supply chain, it can deter retailer's potential incentive to encourage returns. Moreover, some modifications of the contract can lead to easy allocation of supply chain profit. 2012-04-04T16:40:24.091Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18427 Recent theoretical models including the closed-form valuation model of Longstaff and Schwartz (1995) predict that credit spreads are driven by both an asset and interest rate factor. In empirical studies the credit spread may be expressed as either the difference between, or ratio of, the risky bond to a riskless bond. Using a daily sample of non-callable Australian dollar denominated Eurobonds it is found, consistent with theory, that changes in credit spreads are negatively related to both changes in the return on All Ordinaries stock Index and changes in the Government bond yield. Interestingly, the ratio measure – termed a relative credit spread – tends to be statistically more significant than the alternate measure based upon the difference – termed an actual credit spread. However, it is shown that this result is spurious and due to the way in which relative credit spreads are constructed. Noting Duffee's (1998) warning against using callable bonds, the use of only non-callable Eurobonds provides a cleaner result when compared with tests conducted by Longstaff and Schwartz (1995). 2012-03-30T01:50:15.886Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18221 More than 45% of Australians buy health insurance for private treatment in hospital. This is despite having access to universal and free public hospital treatment. Anecdotal evidence suggests that avoidance of long waits for public treatment is one possible explanation for the high rate of insurance coverage. In this study, we investigate the effect of waiting on individual decisions to buy private health insurance. Individuals are assumed to form an expectation of their own waiting time as a function of their demographics and health status. We model waiting times using administrative data on the population hospitalised for elective procedures in public hospitals and use the parameter estimates to impute the expected waiting time and the probability of a long wait for a representative sample of the population. We find that expected waiting time does not increase the probability of buying insurance but a high probability of experiencing a long wait does. On average, waiting time has no significant impact on insurance. In addition, we find that favourable selection into private insurance, measured by self-assessed health, is no longer significant once waiting time variables are included. This result suggests that a source of favourable selection may be aversion to waiting among healthier people. 2012-03-22T08:57:38.995Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:7497 For insurance risks, jump processes such as homogeneous/non-homogeneous compound Poisson processes and compound Cox processes have been used to model aggregate losses. If we consider the economic assumption of a positive interest to aggregate losses, Lévy processes have proven to be useful. Also in financial modelling, it has been observed that diffusion models are not robust enough to capture the appearance of jumps in underlying asset prices and interest rates. As a result, jump diffusion processes, which are, simply speaking, combinations of compound Poisson processes with Brownian motion, have gained popularity for modelling in insurance and finance. In this paper, considering a jump diffusion process, we obtain the explicit expression of the joint Laplace transform of the distribution of a jump diffusion process and its integrated process, assuming that jump size follows the mixture of two exponential distributions, which is a special case of phase-type distributions. Based on this Laplace transform, we derive the moments of the aggregate accumulated claim amounts of insurance risk. For a financial application, we concern non-defaultable zero-coupon bond pricing. We also provide several numerical examples for the moments of aggregate accumulated claims and default-free zero-coupon bond prices. 2012-03-22T05:47:27.062Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:743 Existing evidence on the relation between risk and return is conflicting. This evidence is extended by estimating a stochastic volatility in mean model using equity returns from a mix of ten emerging and five developed markets. Results suggest that while the relation is significantly positive for China and significantly negative for Australia, it is insignificant for the remaining markets studied. Findings also vary across subperiods related to the Asian financial crisis of 1997 to 1998. Model estimates identify some important differences across these markets in the nature of volatility in terms of its own volatility, persistence and predictability. 2012-03-19T23:15:24.299Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:18148 Book review of "Are You a Stock or a Bond? Create Your Own Pension Plan for a Secure Financial Future" by Moshe A. Milevsky. Financial Times Press, 2009, ISBN 9780137127375, 240 pages. 2012-03-19T11:36:40.131Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:2437 This study examined relationships between followers’ use of their leader’s vision and their own emotional commitment to the vision, and associated organizational performance in retail stores, exploring the rarely investigated follower role in a visionary leadership process. Findings endorse the importance of vision guiding and emotional commitment to a vision. Both were significantly associated with organizational performance, although emotional commitment was more important. 2012-03-13T01:37:50.952Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:8550 Block (or intensive) teaching is used by many management schools, but the factors that drive students to choose (or avoid) block subjects are not well understood. This study analyses the factors which predict the choices of post-graduate business students between different teaching formats, based on a survey of students with varying experience with different teaching format and with post-graduate study. The results draw on a sample of 1089 students, with a response rate of 86.7%. The results show the limitations of previous research into block teaching, which has typically analysed students’ reactions to one subject in isolation, which may present a misleading impression of student preferences under typical study conditions. The results also show a typical patter of resistance to the block format by less experienced students, and increasing preference for block teaching as students become more familiar with the format. However for one financial course, and potentially for other subjects with a similar quantitative focus, student preference for block teaching remained low. Implications for block scheduling and for actions to address perceived disadvantages of the block method are addressed. 2012-02-21T22:27:29.465Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:10759 22 page(s) 2012-02-20T23:20:43.887Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:10740 15 page(s) 2012-02-20T23:20:43.808Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:10511 Mark Ramseyer has been a leading force in bringing to bear the methods of Law and Economics to a continuing analysis of the Japanese legal and economic system. He has deliberately assumed an iconoclastic position in debunking a number of widely held beliefs about Japan. In this paper we analyse Ramseyer’s contribution and conclude that he has too frequently let ideological objectives interfere with what should be cool headed analysis. While asking many of the right questions he unfortunately has let a priori assumptions determine his answers. 2012-02-20T22:56:43.704Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:2876 Meade’s concept of a “property-owning democracy” (PropDem) proved influential in the development of Rawls’s arguments for his theory of justice, eventually coming to represent the definitive non-socialist form of the Rawlsian just society. Despite this role in a seminal work of moral and political philosophy scant detail is provided by either author regarding the institutional characteristics of a PropDem. More importantly, it appears to have gone unnoticed by Rawls and those who have cited Meade approvingly that he proposed the PropDem as a response to imagined future circumstances (extensive automation of production) rather than the situation in any extant society. These imaginary characteristics of the PropDem play a crucial role in underpinning Rawls’s agnosticism on the relationship between justice and property rights over the means of production; the circumstances facing actual societies may compel consideration of the property rights question as part of the determination of the principles of justice. 2012-02-20T03:13:57.120Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:17662 5 pages(s) 2012-02-17T21:21:00.019Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:17663 8 pages(s) 2012-02-17T21:20:52.945Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:847 This paper discusses the myths related to income disparity problem in Singapore and explored the realities. To explian this, the paper considers the problem of computing income inequality with the existing published data in Singapore. Trends in earning inequality in the Singapore labour force for three decades are explianed. Other dimensions of economic inequality are explored. It is suggested that education policy is not sufficient remedy to curtail inequality. Also more emphasis is recommended on the aspect of health care financing which in the current set up adds further stress to income disparity in Singapore. 2012-02-01T23:42:02.496Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:2924 Insider-outsider theories have been advanced to explain a range of phenomena, principally the persistence of unemployment. This paper uses data from the Australian Workplace Industrial Relations Survey 1995, and regional labour force survey data, to test this model. The paper also examines how the extent of product market competition faced by a firm influences the ability of insiders to ignore outsiders in wage setting. The paper finds provisional support for the insider-outsider distinction, and for the idea that insider power is enhanced when product market competition is weak. 2012-01-24T05:25:32.126Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16376 Significant attention has been given to the improvement of environmental flows in recent years. An important factor to reduce the opportunity cost of flood creation needed for the environment is the access to storage capacity. Reallocating storage capacity from agriculture to environment, however, may have important impacts on irrigation water prices and the vitality of irrigation enterprises. In this paper, the long term impacts of storage capacity reallocation on the agricultural sector are analysed. It is shown that a reduction in storage capacity for irrigation water will reduce water prices for each level of dam content and shift the distribution of dam content to the left. As a result, the value of the irrigation sector is reduced. The impact on average water price is, however, indeterminate, implying that results from previous empirical studies may be valid only locally and that sensitivity analysis is important to show the robustness of empirical results. 2012-01-23T05:48:46.034Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:17001 Although quite a lot is known about the economics of war and conflict, rather less is known about the economics of peace. In this article we address the question: What are the major factors likely to lead countries toward peacefulness? We categorize these factors in three groups: economic, political, and socio-demographic, and test a set of hypotheses as to their influence using data for 2007 and 2008 covering more than 100 countries. Our results show that all three groups of factors play some part in contributing toward peacefulness in a country. In particular, among the economic factors we find that the most important influence is exerted by the openness of the economy. Political factors also emerge as significant, indicating that a properly constituted well-functioning democratic system of governance free of political corruption is an important requirement for the achievement of a peaceful society. 2012-01-18T11:51:15.270Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16909 We introduce a generalization of the approximate factor model for which the observable variables belong to a finite number of groups. The error terms of variables that belong to different groups are assumed to be at most weakly correlated, but the correlation between the errors of variables that belong to the same group is not restricted. We propose an approximate instrumental variables method to estimate the model, prove consistency and provide rates of convergence. Monte carlo simulations provide evidence of the performance of the approximate instrumental variables estimator relative to the principal components estimator of Stock and Watson (2002a). We find that if the grouped variable structure exists and is exploited in the construction of the estimator, then the approximate instrumental variables estimator is superior to the principal components estimator. In cases where the variables have an approximate factor structure, the approximate instrumental variables estimator has a similar performance to the principal components estimator. 2012-01-13T05:50:04.912Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16820 In Singapore, older women (and men) are likely to be 'marginalized' by the global labour market. Their higher incidence of disability, smaller savings, short work histories, and lower incomes from less commensurate qualifications and skills contribute to old age insecurity. Widowhood increases their vulnerability and high family dependency, which may not guarantee sustained welfare. Formal old age support by the State is a necessary condition for income security to lessen past inequities and life-course shortcomings. This paper analyses the economic situation of older Singapore women (and men) and focuses on appropriate income security policy, based on two and a half decades of available socio-economic data (1.980-2005). Universal suffrage and widespread education, and the Women's Charter (1961) should translate into women development, but there are gaps through inadequate social security (which is employment-based), exemplifying lack of concerted government effort amidst globalization policies manifested through labour market discrimination and segmented wage systems, unequal benefits and increasing old age disability, calling for long-term healthcare financing and management. 2012-01-11T10:41:09.000Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14890 The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases. 2012-01-10T00:28:16.570Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16643 This study examines the empirical evidence linking workplace commitment with job level and organisation-based self-esteem. Theoretical determinants of organisation-based self-esteem are compared with the observed relationships with social class measures. Comparisons are made with the observed relationships between social class measures and job involvement, work involvement, and career, affective, continuance and normative commitments. Implications for future research are noted. 2012-01-04T00:20:32.430Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16375 13 page(s) 2011-12-15T00:10:53.840Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:6727 2011-11-30T23:07:39.960Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:6726 2011-11-30T23:05:06.146Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16128 For premium calculation principles or risk measures, all existing works only consider the additivity for a finite number of comonotonic risks. As we all know, a limiting status of finite additivity is the additivity for countable risks. In this paper we investigate the countable additivity and generate new and elegant characterizations for Choquet pricing and distortion premium principles. We also study the countable exchangeability, as an extension to additivity. It leads to generalized Choquet pricing and generalized distortion premium principles. 2011-11-28T10:00:30.968Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16131 In classical Bühlmann credibility models, claims are assumed to be independent between different risks. In many practical situations, however, this assumption may be violated because there are situations that could drive possible relationship among the insured individuals. This paper aims to extend the Bühlmann and Bühlmann–Straub credibility models to account for a special type of dependence between risks induced by common stochastic effects. By means of the projection method, the corresponding credibility premiums are obtained, which generalize some well known existing results in credibility theory. 2011-11-28T10:00:23.256Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16133 The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Conventional methods, such as ladder or separation methods based on aggregated or grouped claims of the so-called “run-off triangle”, have been illustrated to have some drawbacks. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which can overcome the shortcomings of aggregated claim loss models. In this paper, we propose an alternative individual claim loss model, which has a semiparametric structure and can be used to fit flexibly the claim loss reserving. Local likelihood is employed to estimate the parametric and nonparametric components of the model, and their asymptotic properties are discussed. Then the prediction of the IBNR claim loss reserving is investigated. A simulation study is carried out to evaluate the performance of the proposed methods. 2011-11-28T10:00:21.641Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16135 This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies, and extends existing disparate approaches discussed in the literature. Analytical and computer generated illustrations are given as well as suggestions for the practical determination of aversion functions. 2011-11-28T10:00:17.966Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:16136 Appeared as an iFirst online article on 13 March 2009. Just as friendly arguments based on an ignorance of facts eventually led to the creation of the definitive Guinness Book of World Records, any argument about university rankings has seemingly been a problem without a solution. To state the obvious, alternative rankings methodologies can and do lead to different rankings. This article evaluates the robustness of rankings of Australian and New Zealand economics teaching departments for 1988 to 2002 and 1996 to 2002 using alternative rankings methodologies, and compares the results with the rankings obtained by Macri and Sinha (2006). In the overall mean rankings for both 1988 to 2006 and 1996 to 2002, the University of Melbourne is ranked first, followed by UWA and ANU. 2011-11-28T10:00:13.497Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14947 This paper examines the relationship between consumer confidence and consumption expenditures in the US for the period 1970:1-2007:4. Consumer confidence surveys are widely reported in the business and economics media and play an important role in the direction of business decisions and equity market movements. Despite the widely cited importance and popularity of consumer confidence indices, empirical studies attempting to establish a causal relationship between consumer confidence indices and consumption expenditures are mixed. This paper employs disaggregated consumer expenditures on services, nondurable and durable goods. The consumption functions for the three categories were obtained from the well-established Fair (2009) Macro-econometric model of the US economy. The results of our regression estimation and cointegration analysis, for both the short and long-run, suggests that consumer confidence is a determining factor for expenditures on consumer durable goods only. This finding supports the work of Blanchard (1993) and Hall (1993). 2011-10-26T03:40:06.940Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:9219 The interplay of socio-cultural and economic forces produces important institutional features within the economy. Institutionalist labour economists have established one of these key features to be internal labour markets (ILMs). This paper discusses the origins and development of the concept of ILMs in the institutionalist labour economics tradition. Recently personnel economics has emerged as an important new branch of the neoclassical school of labour economics and has turned its analytical attention to ILMs. This paper describes the emergence of personnel economics and then critically examines the personnel economics approach to the empirical study of ILMs. It is argued that personnel economics has a limited understanding of the concept of ILMs and has adopted an inadequate methodology, overly reliant on quantitative techniques, for studying them. Finally, the paper makes the case for an approach to studying ILMs, which takes seriously the consciousness of economic agents and the important role played by social forces in creating and maintaining ILMs. 2011-10-14T14:04:16.660Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15216 We investigate the long-term covered interest parity (CIP) relationship between the US dollar and the Japanese yen. We find that the CIP relation tends to be one way and favours those with the ability to borrow US dollars. Regression analysis reveals that negative changes in spot exchange rates, positive changes in US interest rates and negative changes in yen interest rates generally affect the deviation from parity. Evidence of declining deviations from equilibrium over the sample period is consistent with a more efficient trading environment. 2011-10-05T13:11:34.054Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15242 We consider the pricing of both fixed rate and floating rate risky debts when the value of a firm is governed by a Markov-modulated generalized jump-diffusion model with the jump component described by a completely random measure process with a Markov-switching compensator; that is, the compensator switches over time according to the states of an economy modelled by a continuous-time Markov chain. We shall employ the well-known tool in actuarial science, namely, the Esscher transform, to determine the price of the risky debts. We shall investigate consequences for the prices of the risky debts of various parametric specifications of the jump component. Sensitivity analysis for the prices of the risky debts with respect to various model parameters will be conducted. We also compare the pricing results obtained from our model with those from the celebrated Merton jump-diffusion model to illustrate the effect of correlated jump times and sizes on the prices of the debts. 2011-10-05T13:10:39.172Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15249 7 page(s) 2011-10-05T13:10:21.309Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15120 This paper examines the principal determinants of an organization's susceptibility to theft and fraud in the context of a rational economic framework in which the level of protection is determined by the minimization of cost. The empirical study shows that, adjusting for differences in organizational type and industrial sector, both organizational susceptibility and the size of a typical theft or fraud increase with organizational size. Access to resources and the manner in which the theft or fraud is perpetrated are also important determinants of the money lost. However, they are unaffected by management controls or the nature of their violation. 2011-09-29T06:51:27.698Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15140 In this paper, we first introduce the use of an interactive hidden Markov model (IHMM) for modeling and analyzing default data in a sector. Under the IHMM, transitions of the hidden risk states of the sector depend on the observed number of bonds in the sector that default in the current time period. This incorporates the feedback effect of the number of defaults on the transitions of the hidden risk states. This feature seems to be more realistic and does not enjoy by the traditional HMMs. We then develop a “dynamic” version of the binomial expansion technique (BET) modulated by the IHMM for modeling the occurrence of defaults of bonds issued by firms in the same sector. Under the BET modulated by the IHMM, the number of bonds defaulting in each time period follows a Markov-modulated binomial distribution with the probability of defaulting of each bond depending on the states of the IHMM, which represent the hidden risk states of the sector. Efficient method will be presented for estimating the model parameters in the BET modulated by the IHMM. We shall compare the hidden risk state process extracted from the IHMM-modulated BET with that extracted from the BET modulated by HMM in order to illustrate the significance of the feedback effect using real data. We shall also present the estimation results for the BET modulated by the IHMM and compare them with those for the BET modulated by the HMM. 2011-09-29T06:50:43.166Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15141 We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is governed by either a compound Poisson process or its diffusion approximation. The company can also transfer a certain proportion of the insurance risk to a reinsurance company by purchasing reinsurance. The optimal investment–reinsurance problems with model uncertainty are formulated as two-player, zero-sum, stochastic differential games between the insurance company and the market. We provide verification theorems for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) solutions to the optimal investment–reinsurance problems and derive closed-form solutions to the problems. 2011-09-29T06:50:42.205Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15032 This article re-examines the evidence that cay, the residual from a cointegrating regression of consumption on labour income and household wealth, is a useful predictor of excess stock returns in Australian data. In recursive samples beginning in 1976:q4 and ending from 1990:q1 to 2003:q1, cay is a strong predictor of excess returns. In samples that end thereafter, cay loses its predictive power for returns. This is due to a break-down in the cointegrating relation among consumption, labour income and household wealth following recent developments in the housing and stock markets. 2011-09-23T14:20:45.040Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15034 In this paper, we consider a game theoretic approach to option valuation under Markovian regime-switching models, namely, a Markovian regime-switching geometric Brownian motion (GBM) and a Markovian regime-switching jump-diffusion model. In particular, we consider a stochastic differential game with two players, namely, the representative agent and the market. The representative agent has a power utility function and the market is a “fictitious” player of the game. We also explore and strengthen the connection between an equivalent martingale measure for option valuation selected by an equilibrium state of the stochastic differential game and that arising from a regime switching version of the Esscher transform. When the stock price process is governed by a Markovian regime-switching GBM, the pricing measures chosen by the two approaches coincide. When the stock price process is governed by a Markovian regime-switching jump-diffusion model, we identify the condition under which the pricing measures selected by the two approaches are identical. 2011-09-23T14:20:41.746Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:15036 In this paper, we develop an option valuation model when the price dynamics of the underlying risky asset is governed by the exponential of a pure jump process specified by a shifted kernel-biased completely random measure. The class of kernel-biased completely random measures is a rich class of jump-type processes introduced in [James, L.F., 2005. Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages. Ann. Statist. 33, 1771–1799; James, L.F., 2006. Poisson calculus for spatial neutral to the right processes. Ann. Statist. 34, 416–440] and it provides a great deal of flexibility to incorporate both finite and infinite jump activities. It includes a general class of processes, namely, the generalized Gamma process, which in its turn includes the stable process, the Gamma process and the inverse Gaussian process as particular cases. The kernel-biased representation is a nice representation form and can describe different types of finite and infinite jump activities by choosing different mixing kernel functions. We employ a dynamic version of the Esscher transform, which resembles an exponential change of measures or a disintegration formula based on the Laplace functional used by James, to determine an equivalent martingale measure in the incomplete market. Closed-form option pricing formulae are obtained in some parametric cases, which provide practitioners with a convenient way to evaluate option prices. 2011-09-23T14:20:38.180Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14948 We study, using two data series, namely GDP and the index of industrial production, the relationship between output variability and the growth rate of output for Mexico. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Therefore, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability for Mexico has a negative but insignificant effect on the growth rate of output. 2011-09-16T07:30:44.528Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14960 5 page(s) 2011-09-16T07:30:26.366Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14964 6 page(s) 2011-09-16T07:30:18.211Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14918 This paper is the first attempt to investigate: (i) is the crude oil (WTI) price significantly related to the regional ethylene prices in the Naphtha intensive ethylene markets of the Far East, North West Europe, and the Mediterranean? (ii) What drives the regional ethylene prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between crude oil and ethylene prices. Our findings, based on the long-run structural modelling approach of Pesaran and Shin, and subject to the limitations of the study, tend to suggest: (i) crude oil (WTI) price is cointegrated with the regional ethylene prices (ii) our within-sample error-correction model results tend to indicate that although the ethylene prices in North West Europe and the Mediterranean were weakly endogenous, the Far East ethylene price was weakly exogenous both in the short and long term. These results are consistent, during most of the period under review (2000.1–2006.4) with the surge in demand for ethylene throughout the Far East, particularly in China and South Korea. However, during the post-sample forecast period as evidenced in our variance decompositions analysis, the emergence of WTI as a leading player as well, is consistent with the recent surge in WTI price (fuelled mainly, among others, by the strong hedging activities in the WTI futures/options and refining tightness) reflecting the growing importance of input cost in determining the dynamic interactions of input and product prices. 2011-09-13T19:20:42.002Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14860 Estimating and forecasting the unobservable states of an economy are important and practically relevant topics in economics. Central bankers and regulators can use information about the market expectations on the hidden states of the economy as a reference for decision and policy makings, for instance, deciding monetary policies. Spot interest rates and credit ratings of bonds contain important information about the hidden sequence of the states of the economy. In this paper, we develop double higher-order hidden Markov chain models (DHHMMs) for extracting information about the hidden sequence of the states of an economy from the spot interest rates and credit ratings of bonds. We consider a discrete-state model described by DHHMMs and focus on the qualitative aspect of the unobservable states of the economy. The observable spot interest rates and credit ratings of bonds depend on the hidden states of the economy which are modelled by DHHMMs. The DHHMMs can incorporate the persistent phenomena of the time series of spot interest rates and the credit ratings. We employ the maximum likelihood method and the EM algorithm, namely Viterbi's algorithm, to uncover the optimal hidden sequence of the states of the economy which can be interpreted the “best” estimate of the sequence of the underlying economic states generating the spot interest rates and credit ratings of the bonds. Then, we develop an efficient maximum likelihood estimation method to estimate the unknown parameters in our model. Numerical experiment will be conducted to illustrate the implementation of the model. 2011-09-08T20:20:35.239Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14861 This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the first stochastic volatility component driven by a lognormal diffusion process and the second independent stochastic volatility component driven by a continuous-time finite-state Markov chain model. The states of the Markov chain can be interpreted as the states of an economy. We employ the regime-switching Esscher transform to determine a martingale pricing measure for valuing currency options under the incomplete market setting. We consider the valuation of the European-style and American-style currency options. In the case of American options, we provide a decomposition result for the American option price into the sum of its European counterpart and the early exercise premium. Numerical results are included. 2011-09-08T20:20:34.276Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14866 We consider the fair valuation of a participating life insurance policy with surrender options when the market values of the asset are modelled by Markov-modulated Geometric Brownian Motion (GBM). We reduce the dimension of the optimal stopping problem for the policy by changing probability measures. We also provide a decomposition result for the value of the policy. The Barone–Adesi–Whaley approximation has been employed to approximate the solution of the free boundary problem for the policy by second-order piecewise linear ordinary differential equations (ODEs). The fair valuation of participating perpetual American contracts are also considered. 2011-09-08T20:20:22.216Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14829 How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity, real stock returns, real oil prices and oil price volatility. Our main aim is to capture the effects of crude oil prices on the Korean economy thoroughly covering the period of the Asian Financial Crisis of 1997, which heavily affected the country, and the oil price hikes in the early 1990s after the Gulf War. South Korea was the country most hit by the financial crisis together with Indonesia and Thailand. Results indicate the dominance of oil price volatility on real stock returns and emphasize how this has increased over time. Oil price volatility can have profound effect on the time horizon of investment and firms need adjust their risk management procedures accordingly. This increase in dependency has been found in other net oil importing emerging equity markets. We test the relationship between oil price movements and economic activity by using modern time series techniques in a cointegrating framework. We expand the standard error correction model by examining the dynamics of out of sample causality through the generalized variance decomposition and impulse response function techniques. The evidence from persistence profiles also gives important guidelines based on how fast the entire system adjusts back to equilibrium. In addition, we find the cointegrating relationship to be stable and find that the linear error correction model to be more favorable than an asymmetric 2 period Markov switching model. 2011-09-07T04:00:27.770Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14641 This article looks at technology adoption in agriculture that is specifically targeted against invasive species. The analysis involves predicting the long-term distribution of technology choices when technology can be adopted and is adopted based on current and expected agricultural profits influenced by pest infestation. The theoretical analysis is based on an extension of two authors' findings in 1993 and incorporates the possibility that psychological factors, such as complacency, have a significant impact on technology adoption and hence disease establishment. An empirical application is performed for soybean rust. 2011-08-26T04:32:06.624Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14652 The relevance and implications of the environmental Kuznets hypothesis are examined in the presence of stock effects and non-linearities associated with pollution generation. Stock effects lead to hysteresis and irreversibilities in environmental quality that are overlooked when emphasis is placed on the flow effects of pollutants only. It is demonstrated here that an optimal growth plan in the presence of stock effects shifts the focus away from prescribing economic growth as a panacea for environmental ills. Implications for currently industrializing economies are discussed. 2011-08-26T04:31:51.992Z ]]> http://www.researchonline.mq.edu.au/vital/access/manager/Repository/mq:14668 Evaluation of value of irrigation water is essential for supporting policy decision making relating to investments in the irrigation sector, efficient allocation of irrigation water and water pricing and for crafting policies to compare the variable impacts of water reform within and across sectors of the economy. This paper asks the question of how much an established irrigator would pay for water and at what price farmers planning to expand the area they have under irrigation would consider paying for the right to access water. An analytical framework is developed to estimate the net present value of both annual and perennial agricultural activities in the Murrumbidgee catchment. Using these estimates the total value of water used in Murrumbidgee catchment is estimated. An aggregate water supply curve is derived for the catchment from where water may be acquired from irrigators for environmental flows. 2011-08-26T04:31:03.454Z ]]>