Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market

The primary objectives and the strategies of a national electricity market are the efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests. Therefore, the objective of this study is to explore whether electricity prices across the six Australian States display instability. Such instability is closely associated with the presence of structural breaks in relevance to policy events on Australian carbon policies. The study makes use of weekly Australian wholesale electricity prices spanning the period from June 8th, 2008 to March 30th, 2014 along with linear and non-linear unit root testing methodologies. The results provide supportive evidence that the Australian electricity market can be described as a less stable electricity market, which implies that a high degree of market power is exercised by generators across regional markets. These findings are expected to have substantial consequences for the effectiveness of carbon dioxide mitigating policies, especially, when there is uncertainty as to whether the planned environmental policy is put in place for the lifespan of undertaken investments

How Deviations from FOMC's Monetary Policy Decisions from a Benchmark Policy Rule Affect Bank Profitability: Evidence from U.S. Banks

Purpose: This paper aims to provide fresh empirical evidence on how Federal Open Market Committee (FOMC) monetary policy decisions from a benchmark monetary policy rule affect the profitability of US banking institutions. Design/methodology/approach: It thereby provides a link between the literature on central bank monetary policy implementation through monetary rules and banks’ profitability. It uses a novel data set from 11,894 US banks, spanning the period 1990 to 2013. Findings: The empirical findings show that deviations of FOMC monetary policy decisions from a number of benchmark linear and non-linear monetary (Taylor type) rules exert a negative and statistically significant impact on banks’ profitability. Originality/value: The results are expected to have substantial implications for the capacity of banking institutions to more readily interpret monetary policy information and accordingly to reshape and hedge their lending behaviour. This would make the monetary policy decision process less noisy and, thus, enhance their capability to attach the correct weight to this information

Scale effects in tests on footings

This dissertation presents an investigation of the effects of stress, and of absolute and relative particle size, in tests on vertically loaded footings. Two granular materials, namely, a silica rock flour and a Chatelet flint grit, which differed in nominal diameter by a factor of 50 but were otherwise practically similar in all other grain characteristics were used in this work. A comprehensive series of triaxial tests under a wide range of cell pressures was carried out to quantify the stress and absolute particle size effects. Model footing tests were also performed by pushing a rigid circular punch axisymmetrically into the flat surface of a cylindrical soil model either under 1-g (gravity) with surcharge or under elevated g in a centrifuge. The 1-g and centrifuge test series were used to study the scale effects on the surcharge term Ng and the self-weight term Nγ of the Terzaghi bearing capacity equation, respectively. Parameters varied were punch diameter, particle size and surcharge or g level. Two theoretical analyses were attempted based on the finite element method and the method of characteristics. Using the Schofield Soil Model, the finite element analysis can give a reasonable order of magnitude prediction for the settlement of the footing under working load conditions. When the effect of reducing angle of shearing with increasing stress was taken into account together with the change of geometry due to footing penetration, the angles of shearing inferred from the method of characteristics fall within ±20 of those measured in triaxial compression tests. Distortion due to violating the scaling law by not conserving the ratio of particle size to model dimension was not considered to be significant. Distortion due to violating the constitutive soil behaviour by varying the absolute particle size was found to be significant due to differences in grain crushing, but this can be accounted for effectively by the new style of calculations developed in the thesis.Croucher Foundation, the Committee of Vice-Chancellors and Principals of the Universities of the United Kingdom, and the Cambridge University Engineering Departmen

How do weather risks in Canada and the United States affect global commodity prices? Implications for the decarbonisation process

Given that the probability of extreme weather has been dramatically increasing, this study contributes to the existing literature by bridging the relation between weather risks and global commodity prices with a secondary dataset (e.g., weather risks of Canada and the United States, agricultural raw materials price, gold price, and crude oil price). The results from the vector autoregression model and impulse response functions show that rising weather risks increase the price of agricultural raw materials and gold. However, the negative impact of weather risks on the crude oil price is found. Finally, the paper discusses the findings' potential implications (e.g., developing decarbonised supply chains) for decreasing weather risks' effects on commodity market uncertainties

Macro explanatory factors of Turkish tourism companies’ stock returns

This study examines whether the stock prices of Turkish tourism companies respond to growth in eight macro-economic variables namely, consumer price index, imports, exchange rate, consumer confidence index, oil price, money supply, foreign tourist arrivals, and monthly stock market return. By applying the Granger causality procedure, we find that growth in the consumer confidence index and imports could Granger cause tourism companies’ stock returns among eight macro factors in Turkey during the 2005 to 2013 period. After considering the structural break that occurred in 2007, the pre-break results indicate that the consumer confidence index, exchange rate, and foreign tourist arrivals could Granger cause tourism stock returns. However, the results in the post-structural break period reveal that only growths in oil prices and imports are significant

Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment

This paper examines the predictive ability of housing-related sentiment on housing market volatility for 50 states, District of Columbia, and the aggregate US economy, based on quarterly data covering 1975:3 and 2017:3. Given that existing studies have already shown housing sentiment to predict movements in aggregate and state-level housing returns, we use a k-th order causality-in-quantiles test for our purpose, since this methodology allows us to test for predictability for both housing returns and volatility simultaneously. In addition, this test being a data-driven approach accommodates the existing nonlinearity (as detected by formal tests) between volatility and sentiment, besides providing causality over the entire conditional distribution of (returns and) volatility. Our results show that barring 5 states (Connecticut, Georgia, Indiana, Iowa, and Nebraska), housing sentiment is observed to predict volatility barring the extreme ends of the conditional distribution. As far as returns are concerned, except for California, predictability is observed for all of the remaining 51 cases

The relationships between shop floor management and QCCs to support Kaizen

Purpose - The purpose of this study is to develop and redefine the ‘classic’ roles of shop floor management and Quality Control Cycles (QCCs) in Kaizen. In specific, it aims to examine the linkage between shop floor management and QCCs, and test the relationships among shop floor management, QCCs and long-term Kaizen improvement outcomes. Design/methodology/approach – This study employs qualitative method by using a questionnaire to obtain data from 371 respondents in nine Sino-Japanese automotive joint-ventures. The data are analysed with the method of canonical correlation approach. Findings – The study identifies important factors to assist the adoption of shop floor management and QCCs for Kaizen. The analysis on the survey indicates that not all the shop floor management tools could help to identify improvement opportunities. QCCs are effective in addressing large problems and challenging current policies in companies, however, they have low impacts on individual learning. Research limitations/implications – The data of this study comes from nine Sino- Japanese automotive joint ventures. Therefore, the sample selection is limited in these companies. The findings are able to be applied for improving the similar problems which identified in this study. Practical implications – The study has the following practical implications, include the first one which is small shop floor problems can be identified and rapid solved continuously at source by shop floor management. The second one is QCCs, or other similar group-based improvement approaches take long to be fully addressed and implemented. Thirdly, practical solutions can be achieved from small and gradual changes, and they can prevent the results backsliding to the pre-improvement stage. Finally, QCCs are hardly to achieve a better improvement alone. It requires other Kaizen approaches to support. Originality/value – This study is probably the first to explore and investigate the implementation of the four building block tools of shop floor management in real business practise, and more specific the first to discuss the relationship among shop floor management, QCCs and long-term improvement outcomes based on empirical data from Sino-Japanese automotive joint-ventures

The impact of digital governance on tourism development

This paper examines the impact of digital governance on inbound tourism using the panel dataset from 151 countries from 2000 to 2019. Fixed-effects and System Generalised Method of Moments estimations show that the internet shutdown capacity and practice decrease inbound tourism. Social media monitoring with strict rules also hinders inbound tourism. It is found that governance capacity and practical censorship implications negatively affect tourism activities. Several policy implications for the proper control of digital communications are also discussed

Macro Explanatory Factors of Turkish Tourism Companies' Stock Returns

This study examines whether the stock prices of Turkish tourism companies respond to growth in eight macro-economic variables namely, consumer price index, imports, exchange rate, consumer confidence index, oil price, money supply, foreign tourist arrivals, and monthly stock market return. By applying the Granger causality procedure, we find that growth in the consumer confidence index and imports could Granger cause tourism companies’ stock returns among eight macro factors in Turkey during the 2005 to 2013 period. After considering the structural break that occurred in 2007, the pre-break results indicate that the consumer confidence index, exchange rate, and foreign tourist arrivals could Granger cause tourism stock returns. However, the results in the post-structural break period reveal that only growths in oil prices and imports are significant