The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration

This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the non-parametric rank tests proposed by Breitung (2001). Based upon our adoption in this study of the threshold error-correction model (TECM), we find solid evidence of an asymmetric price transmission effect, in both the short term and the long term, between lending and deposit rates. Thus, our results reveal that there are indeed such long-run non-linear cointegration relationships between the lending and deposit rates in these Eastern European countries. Furthermore, we go on to successfully capture the dynamic adjustment of the spread.lending-deposit rates, rank test, non-linearity

Buy, Sell or Rent the Farm: An Agent Based Simulation of Farm Succession and Land Valuation

The impact of widespread farm ownership by large investors in Canada could be influential and remains uncertain. In fact, there are sound financial reasons for buying farmland as an investment, including diversification benefits available to investment portfolios. Studies have found that the correlation between farmland price yield and the yields of major financial assets, such as stocks, bonds and real estate, are consistently negative. On the other hand, the prime objectives of many farm family businesses are “to maintain control and pass on a secure and sound business to the next generation” (Hay and Morris 1984, Errington 2002). In Western Canada, farmland is generally retained within the family by succession because of strong emotional and economic linkages. However, very little prior research has examined the long-term effect of interactions between these two options for Prairie farmland transition. Due to the complexity of the problem, the agent based simulation model (ABSM) is one of the few feasible ways for this issue. The simulation model developed in this study builds upon Anderson’s (2012) work simulating farming activity in Canadian Agricultural Region 1A in Saskatchewan, using the Repast© software. Two extensions or modules for the farm simulation are developed in this thesis, comprising farm succession as well as the presence of institutional investors who purchase farmland as a financial asset in order to diversify aggregate risk in their portfolio. Thirty years of farming and investing performance are simulated in four different scenarios to examine the effects of various levels of institutional investor participation. Institutional investors are found to elevate farmland prices from between 15% to 40% across different scenarios, while farmers ultimately tend to lease slightly more land to compensate and expand their farms. Meanwhile, the total number of farms in the region fall over time, while larger individual farms emerge over the simulated period, both with or without investors. Based on this simulated evidence, we conclude that the overall impact of institutional investors on future farming will be subtle, and continued farm success here is contingent on farmers being willing to rely more on rental land for farm expansion

Design of elastic metamaterials

This study focused on the design and fabrication of a double negativity and three broadband single negativity elastic metamaterials using a 3D printer. We investigated dispersion curves and dynamic material properties of the metamaterials. Negative phase velocity in the double negativity metamaterial was also demonstrated. For metamaterials with single negativity, three types of broadband metamaterials were designed from parametric studies. A comparison showed that using frame bending/stretching mode is more effective than applying beam bending mode to broaden bandgap. Furthermore, it is found that adding internal resonant components could enlarge the bandgap. The single negativity metamaterials were validated by numerical simulations of dispersion curves and attenuation factors. Moreover, an effective continuum model was derived and utilized to investigate the wave propagation in the elastic metamaterials. The effective continuum model works for long wavelength, and is able to accurately determine the band-gap region. In addition, the applications of double negativity metamaterials such as negative refraction and interface mode conversion were demonstrated using the effective continuum model. Finally, tunable characteristics of metamaterials were employed to select the propagation speed of a pulse. Potential applications such as signal delay were identified and simulated

Singing voice correction using canonical time warping

Expressive singing voice correction is an appealing but challenging problem. A robust time-warping algorithm which synchronizes two singing recordings can provide a promising solution. We thereby propose to address the problem by canonical time warping (CTW) which aligns amateur singing recordings to professional ones. A new pitch contour is generated given the alignment information, and a pitch-corrected singing is synthesized back through the vocoder. The objective evaluation shows that CTW is robust against pitch-shifting and time-stretching effects, and the subjective test demonstrates that CTW prevails the other methods including DTW and the commercial auto-tuning software. Finally, we demonstrate the applicability of the proposed method in a practical, real-world scenario

Stock Prices and Dividends in Taiwan’s Stock Market: Evidence Based on Time-Varying Present Value Model

[[abstract]]In this study, we use the newly developed momentum threshold unit root and cointegration tests advanced by Enders and Granger (1998), and Enders and Siklos (2001) to investigate if there is any asymmetric adjustment in long-run prices and dividends in Taiwan¡¦s stock market during June 1991 to February 2005. The empirical results indicate that long-run prices and dividends cointegration relationship holds for the majority of Taiwan¡¦s stock market, but that adjustment mechanism is asymmetric. The results for most industries from the M-TAR cointegration tests attest to the absence of rational bubbles in Taiwan¡¦s stock market. These results have important policy implications for investors.[[booktype]]紙