Morphological design control for large-scale city development: A new proposal

Whereas many good examples can be found of the study of urban morphology informing the design of new residential areas in Europe, it is much more difficult to find examples relating to other land uses and outside of Europe. This paper addresses a particular issue, the control and coordination of large and complex development schemes within cities, and, in doing so, considers commercial and mixed-use schemes outside of Europe. It is argued that urban morphology has much to offer for both the design of such development and its implementation over time. Firstly, lessons are drawn from the work of Krier and Rossi in Berlin, the form-based guidance developed in Chelmsford, UK, and the redesign and coordination of the Melrose Arch project in Johannesburg, SA. A recent development at Boggo Road in Brisbane, Australia, is then subjected to a more detailed examination. It is argued that the scheme has been unsatisfactory in terms of both design and implementation. An alternative framework based on historical morphological studies is proposed that would overcome these deficiencies. It is proposed that this points the way to a general approach that could be incorporated within the planning process internationally

Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector

This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure-based cash-flow-at-risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve liquidity risk management through the provision of additional risk exposure information. Using data for the period 1997–2010, we provide evidence that there is variable funding pressure across the UK banking industry, which is forecasted to be slightly illiquid with a small amount of expected cash outflow (i.e. £0.06 billion) in 2011. In our sample of the six biggest UK banks, only the HSBC maintains positive CFaR with 95% confidence, which means that there is only a 5% chance that HSBC's cash flow will drop below £0.67 billion by the end of 2011. RBS is expected to face the largest liquidity risk with a 5% chance that the bank will face a cash outflow that year in excess of £40.29 billion. Our estimates also suggest Lloyds TSB's cash flow is the most volatile of the six biggest UK banks, because it has the biggest deviation between its downside cash flow (i.e. CFaR) and expected cash flow

Heart of Darkness: Modeling Public-Private Funding Interactions Inside the R&D Black Box

This paper is a first step toward closing the analytical gap in the extensive literature on the results of interactions between public and private R&D expenditures, and their joint effects on the economy. Earlier studies frequently report contradictory estimates of the response of company financed R&D to changes in the level and nature of public R&D expenditure. A major cause of "inconsistencies" in the empirical literature is the failure to recognize key differences among the various policy "experiments" being considered depending upon the economy in which they are embedded, and the type of public sector R&D spending that is contemplated. Using a simple, stylized structural model, we identify the main channels of impact of public R&D and characterize the various effects, distinguishing between short-run and long-run impacts that would show up in simple regression analyses of nominal public and private R&D expenditure variables. We offer interpretations that shed light on recent cross-section and panel data findings at both high (i.e. national) and low (specific technology area) levels of aggregation.

Heart of Darkness: Modeling Public-Private Funding Interactions Inside the R&D Black Box

This paper is a first step toward closing the analytical gap in the extensive literature on the results of interactions between public and private R&D expenditures, and their joint effects on the economy. Econometric studies in this area report a plethora of sometimes confusing and frequently contradictory estimates of the response of company financed R&D to changes in the level and nature of public R&D expenditure, but the necessary theoretical framework within which the empirical results can be interpreted is seldom provided. A major cause of inconsistencies' in the empirical literature is the failure to recognize key differences among the various policy experiments' being considered depending upon the economy in which they are embedded, and the type of public sector R&D spending that is contemplated. Using a simple, stylized structural model, we identify the main channels of impact of public R&D. We thus can characterize the various effects, distinguishing between short-run and long-run impacts that would show up in simple regression analyses of nominal public and private R&D expenditure variables. Within the context of our simple model it is possible to offer interpretations that shed light on recent cross-section and panel data findings at both high (i.e. national) and low (specific technology area) levels of aggregation.

Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits

This paper analyzes the random walk behaviour of futures prices when the exchange regulated by price limits. Using a model analogous to exchange rate target zone models, the study tests for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This phenomenon reflects the adjustment in traders' expectations even when limits are not actually hit. The approach is illustrated for five agricultural futures contracts traded at the Chicago Board of Trade. There is some evidence of nonlinearity in quiet periods. In cases of fundamental realignments, that is volatile periods, this non-liearity disappears.price limits; target zones; gravitation; mean reversion

Migration of Price Discovery With Constrained Futures Markets

This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity derivatives markets regulate prices of all derivatives on a particular commodity simultaneously. NYBOT has taken an almost unique position by imposing daily price limits on their futures contracts while leaving the options prices on these futures contracts unconstrained. The study takes a particular interest in the volatility and futures prices of the options-implied risk neutral density when the underlying futures contract is locked limit.option implied density; price limits

Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector

This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the Exposure-Based Cash-Flow-at-Risk (CFaR) model, which not only measures a bank's liquidity risk tolerance, but also helps to improve liquidity risk management through the provision of additional risk exposure information. Using data for the period 1997-2010, we provide evidence that there is variable funding pressure across the UK banking industry, which is forecasted to be slightly illiquid with a small amount of expected cash outflow (i.e. £0.06 billion) in 2011. In our sample of the six biggest UK banks, only the HSBC maintains positive CFaR with 95% confidence, which means that there is only a 5% chance that HSBC's cash flow will drop below £0.67 billion by the end of 2011. RBS is expected to face the largest liquidity risk with a 5% chance that the bank will face a cash outflow that year in excess of £40.29 billion. Our estimates also suggest Lloyds TSB's cash flow is the most volatile of the six biggest UK banks, because it has the biggest deviation between its downside cash flow (i.e. CFaR) and expected cash flow.Liquidity risk, Exposure-based CFaR, Risk Management, Funding Pressure

A Cost-Benefit Analysis of Basel III: Some Evidence from the UK

This paper provides a long-term cost-benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will have a significant net positive long-term effect on the United Kingdom economy. The estimated optimal tangible common equity capital ratio is 10% of risk-weighted assets, which is larger than the Basel III target of 7%. We also estimate the maximum net benefit when banks meet the Basel III longterm liquidity requirements. Our estimated permanent net benefit is larger than the average estimates of the BCBS. This significant marginal benenfit suggests that UK banks need to increase their reliance on common equity in their capital base beyond the level required by Basel III as well as boosting customer deposits as a funding source.Basel III, Cost-Benefit analysis, Tangible Common Equity Capital, Liquidity