Briefing Paper on Taking stock of the Tsunami recovery process

Promoting positive action towards disaster risk reduction and advising future recovery policies and practices when communities face the aftermath of a major disaster, a briefing paper has been launched on Taking stock of the Tsunami recovery process in Sri Lanka: 2004 to 2014. A conference taking stock of the Tsunami recovery in Sri Lanka was held in Colombo in December 2014 organized by GDRC at Hudderfield, UK, University of Colombo and University of Moratuwa in Sri Lanka to coincide with the tenth anniversary of the unprecedented disaster. A number of papers dealing with diverse aspects of the disaster and its aftermath were presented, followed by a panel discussion that examined the policy implications of research findings presented by various authors and the discussions that followed. While some of the papers looked at broader issues of disaster risk reduction, others embodied analyses of data collected through recent field research in different parts of the country affected by the Tsunami. This brief policy statement is based on the deliberations throughout the conference involving researchers, public officials and other participants

Estimating Actual Bid-Ask Spreads in Commodity Futures Markets

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency of electronic versus open-outcry trading. Results indicate that estimators using averages of absolute price changes perform significantly better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes.Marketing,

VOLATILITY SPILLOVERS BETWEEN FOREIGN EXCHANGE, COMMODITY AND FREIGHT FUTURES PRICES: IMPLICATIONS FOR HEDGING STRATEGIES

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly Unrelated Regression (SUR) and the multivariate GARCH (MGARCH) methodology, which takes into account time-varying variances and covariances between the cash and futures markets. Explicit modeling of the time-variation in futures hedge ratios via the MGARCH methodology, using all derivatives and taking into account dependencies between markets results in a significant reduction in price risk for grain traders. The results also confirm that the unique, but underutilized, freight futures market is a potentially useful mechanism for reducing price uncertainty for international grain traders. The research undertaken in this study provides valuable information about reducing price uncertainty for international grain traders and gives a better understanding of the linkages between closely related markets.hedging, multivariate GARCH, foreign exchange, freight and commodity futures, Financial Economics, International Relations/Trade,

PRICE AND PRICE RISK DYNAMICS IN BARGE AND OCEAN FREIGHT MARKETS AND THE EFFECTS ON COMMODITY TRADING

The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices. Results indicate that both barge and ocean price volatility influence grain prices, but barge price volatility tends to have a greater impact on grain prices than that arising from ocean price volatility. The lack of a futures contract for barge rates may be partially responsible for its significant influence on grain price levels.Barge and ocean freight prices, futures contracts, Multivariate GARCH-Models, Price volatility, International Relations/Trade,

COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using a simple derivative with a linear payoff function (a futures contract). For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform the time series model. The partial equilibrium models unpalatable assumptions of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term structures are employed.Marketing,

The electromagnetic environment in CFC structures

Extensive measurements of induced voltages and currents were made using a CFC (carbon fiber composites) horizontal stabilizer from the A320 as a test bed. The work was done to investigate the efficacy of various protection schemes to reduce the magnitudes of the induced voltages and validate a computer program INDCAL. Results indicate that a good understanding of the various induced voltage mechanisms including the long wave effect due to current redistribution was obtained

VOLATILITY SPILLOVERS BETWEEN FOREIGN EXCHANGE, COMMODITY AND FREIGHT FUTURES PRICES: IMPLICATIONS FOR HEDGING STRATEGIES

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly Unrelated Regression (SUR) and the multivariate GARCH (MGARCH) methodology, which takes into account time-varying variances and covariances between the cash and futures markets. Explicit modeling of the time-variation in futures hedge ratios via the MGARCH methodology, using all derivatives and taking into account dependencies between markets results in a significant reduction in price risk for grain traders. The results also confirm that the unique, but underutilized, freight futures market is a potentially useful mechanism for reducing price uncertainty for international grain traders. The research undertaken in this study provides valuable information about reducing price uncertainty for international grain traders and gives a better understanding of the linkages between closely related markets.hedging, multivariate GARCH, foreign exchange, freight and commodity futures, Marketing, F3, C3, G1,

Consistency of the casagrande liquid limit test

The liquid limit test is one of the most widely used tests in soil mechanics, with the value obtained being correlated against a variety of soil properties such as soil strength. The percussion test for liquid limit originally described by Casagrande (1932) is the standard test for liquid limit in much of the world. The apparatus to be used is described in many design codes including ASTM D4318-10e1. While it is well known that two classes of these devices exist, those with hard and soft bases, the true picture is more complex; International design codes contain a great variety of specifications for the devices, some much more prescriptive than others. This paper uses the analysis described by Haigh (2012) to investigate the effects of base hardness and resilience on specific strength at liquid limit. A survey of devices in use worldwide was also carried out, indicating that both the variability in national design standards and potential degradation of bases over time leads to a large variability in the specific strength observed at liquid limit when different devices are used. The paper demonstrates that both base hardness and resilience must be regularly monitored in order to achieve consistency of liquid limit test results and that international standards should be more closely aligned if measured values are to be used within regressions based on liquid limit tests carried out with apparatus based on a different standard.This is the author accepted manuscript. The final version is available from ASTM via http://dx.doi.org/10.1520/GTJ2015009

Solar Irradiance Variability and Climate

The brightness of the Sun varies on all time scales on which it has been observed, and there is increasing evidence that it has an influence on climate. The amplitudes of such variations depend on the wavelength and possibly on the time scale. Although many aspects of this variability are well established, the exact magnitude of secular variations (going beyond a solar cycle) and the spectral dependence of variations are under discussion. The main drivers of solar variability are thought to be magnetic features at the solar surface. The climate reponse can be, on a global scale, largely accounted for by simple energetic considerations, but understanding the regional climate effects is more difficult. Promising mechanisms for such a driving have been identified, including through the influence of UV irradiance on the stratosphere and dynamical coupling to the surface. Here we provide an overview of the current state of our knowledge, as well as of the main open questions