The demand for local bus services in England

This paper examines the demand for local bus services in England. The study is based on a dynamic model relating per capita bus patronage to bus fares, income, and service level, and is estimated using a combination of time-series and cross-section data for English counties. The results indicate that patronage is relatively fare-sensitive, with a wide variation in the elasticities

Time Varying Risk Aversion: An Application to Energy Hedging

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison

Volatility of car ownership, commutingmode and time in the UK

This paper has two objectives: to examine the volatility of travel behaviour over timeand consider the factors explaining this volatility; and to estimate the factors determiningcar ownership and commuting by car. The analysis is based on observations of individualsand households over a period of up to eleven years obtained from the British HouseholdPanel Survey (BHPS). Changes in car ownership, commuting mode and commuting timeover a period of years for the same individuals/households are examined to determine theextent to which these change from year to year. This volatility of individual behaviour is ameasure of the ease of change or adaptation. If behaviour changes easily, policy measuresare likely to have a stronger and more rapid effect than if there is more resistance tochange. The changes are ?explained? in terms of factors such as moving house, changingjob and employment status. The factors determining car ownership and commuting by carare analysed using a dynamic panel-data models

Land use and mobility

This paper analyses the effects of land use characteristics on mode choice and carownership. The study is based on a large sample of individuals from the National TravelSurvey of Great Britain for the years 1989-91 and 1999-2001. Land use characteristics aredefined as population density, size of the municipality, accessibility to public transport andlocal amenities, such as shops and services. Mode choice (shares of total travel by car,public transport and walking) and car ownership are modelled using multinomial andbinomial logit models respectively, which include a large number of socio-economicfactors (income, age, gender, household structure and employment status) as well as landuse indicators. The estimation results strongly support the importance of the land usefactors considered on mode choice and car ownership

A Utility Based Approach to Energy Hedging

A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating and applying energy market based risk aversion to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging frameworks. We find significant differences in the optimal hedge strategies based on the utility function chosen.Energy; Hedging; Risk Management; Risk Aversion; Forecasting

Effects of green manure crops on short-term nitrogen availability in organic sweet corn systems : a thesis presented in partial fulfilment of the requirements for the degree of Master of Applied Science in Soil Science

In the Gisborne Region of New Zealand (NZ) many organic sweet corn growers use a range of winter green manure crops as a means of maintaining and improving soil fertility, particularly the availability of soil N. Some debate exists as to the most suitable green manure crops and their effectiveness at improving short-term N availability for subsequent sweet corn crops. Two field trials were conducted in the Gisborne Region to assess the effectiveness of four winter green manure crops using a subsequent sweet corn crop to evaluate N availability. Two sites, Site-A at Tekaraka and Site-B at Tolaga Bay, with BIO-GROW NZ organic certification were used in this study. A Latin Square trial design was used at each site consisting of 25 plots made up of five replicates of each of the following five treatments: control (bare soil), blue lupin (Lupinus angustifolus), mustard (Brassica sp.), mustard/blue lupin mix and annual ryegrass (Lolium multiflorum). Just prior to the soil incorporation of green manure treatments (early-mid September 1997), the lupin crop had the highest N concentration and N accumulation levels of 2.1% N and 156 kg N ha-1, respectively, at Site-A and 2.1% N and 173 kg N ha-1, respectively at Site-B. Soil incorporation of green manure treatments significantly influenced soil (0-150 mm) mineral N (nitrate and ammonium) levels measured at sweet corn emergence (30 November 1997) and at 51/2 weeks post emergence. At sweet corn emergence the lupin, mustard/lupin mix, mustard, control and ryegrass treatments resulted in soil mineral N values of 68, 66, 57, 51 and 29 kg.N.ha-1, respectively, at Site-A and 118, 118, 91, 81 and 54 kg.N.ha-1, respectively, at Site B. At both sites, the lupin and mustard/lupin mix treatments resulted in soil mineral N levels significantly higher than the control treatment. In contrast, the ryegrass treatment resulted in soil mineral N levels significantly lower than the control treatment. These treatment effects were related to green manure crop N concentrations just prior to soil incorporation. On average over both sites, the lupin and mustard/lupin mix treatments, which had high DM yields (7900 kg and 6500 kg.DM.ha-1 respectively), had the highest N concentrations (2.0% and 2.1% N respectively). The ryegrass treatment, which also accumulated a high average DM yield (6200 kg.DM.ha-1), contained the lowest average N concentration of only 1.1% N. Sweet corn N accumulation at harvest was also significantly influenced by green manure treatments. At both sites, ryegrass significantly reduced sweet corn N accumulation compared with all other treatments, being 44% and 36% lower than control treatment value of 117 kg.N.ha-1. At Site-A, the lupin, mustard/lupin and mustard treatment effects on sweet corn N accumulation were not different from that of the control treatment at final harvest. However, at Site-B the lupin and mustard/lupin mix treatments did produce sweet corn N accumulation levels significantly higher than the control treatment; being 21% and 18% higher than the control value of 102 kg.N.ha-1, respectively. Compared to the control treatment sweet corn yield (17.3 t ha-1 averaged over both sites), none of the four green manure treatments improved sweet corn yield even though the lupin and mustard/lupin mix treatments both increased soil N availability and sweet corn N accumulation. Soil moisture limitations probably restricted yield potentials. However, the ryegrass treatment detrimentally affected sweet corn yields at both sites. When compared to the control treatment reductions of 64% and 48% at Site-A and Site-B, respectively, were measured. Soil mineral N (0-150 mm) tested early in the sweet corn growing season gave a better relationship with sweet corn N accumulation and yield compared with the incubation tests used. Short-term soil incubation tests, conducted under aerobic and anaerobic conditions, were not useful as indicators of net N mineralisation as they did not relate well to actual soil N mineralisation or crop response. Although both the lupin and the mustard/lupin mix treatments had similar effects on soil N availability and sweet corn N accumulation, of the two the lupin treatment achieved a higher level of estimated N fixation. On average the estimated N fixation in the lupin treatment (98 kg N ha-1 averaged over both sites) was higher than N losses in harvested sweet corn ears (77 kg N ha-1 averaged over both sites). This positive N balance would help compensate for other possible N losses from the soil-plant system (ie. ammonia volatilisation or nitrate leaching). Overall, the lupin green manure treatment appears be the best crop in terms of improving short-term N availability for the subsequent sweet corn crop and for maintaining an N balance in the soil-plant system. But ultimately, the benefit of lupin as a green manure crop will also depend on environmental conditions and management practices

Hedging Effectiveness under Conditions of Asymmetry

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry reduces in-sample hedging performance and that there are significant differences in hedging performance between short and long hedgers. Thus, tail specific performance metrics should be applied in evaluating hedging effectiveness. We also find that the Ordinary Least Squares (OLS) model provides consistently good performance across different measures of hedging effectiveness and estimation methods irrespective of the characteristics of the underlying distribution.Hedging Performance; Asymmetry; Downside Risk; Value at Risk, Conditional Value at Risk. JEL classification: G10, G12, G15. ____________________________________________________________________ John Cotter, Director of Centre for Financial Markets, Department of Banking and Finance, University College Dublin, Blackrock, Co. Dublin, Ireland, tel 353 1 716 8900, e-mail [email protected]. Jim Hanly, School of Accounting and Finance, Dublin Institute of Technology, tel 353 1 402 3180, e-mail [email protected]. The authors would like to thank the participants at the Global Finance Annual Conference for their constructive comments.

Re-evaluating Hedging Performance

Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short and long hedgers. These results are observed both in-sample and out-of-sample.Hedging Performance; Lower Partial Moments; Downside Risk; Variance; Semi- Variance; Value at Risk, Conditional Value at Risk

Hedging Effectiveness under Conditions of Asymmetry

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry reduces in-sample hedging performance and that there are significant differences in hedging performance between short and long hedgers. Thus, tail specific performance metrics should be applied in evaluating hedging effectiveness. We also find that the Ordinary Least Squares (OLS) model provides consistently good performance across different measures of hedging effectiveness and estimation methods irrespective of the characteristics of the underlying distribution.Hedging Performance; Asymmetry; Lower Partial Moments, Value at Risk, Conditional Value at Risk.

Linear Beamforming for the Spatially Correlated MISO broadcast channel

A spatially correlated broadcast setting with M antennas at the base station and M users (each with a single antenna) is considered. We assume that the users have perfect channel information about their links and the base station has only statistical information about each user's link. The base station employs a linear beamforming strategy with one spatial eigen-mode allocated to each user. The goal of this work is to understand the structure of the beamforming vectors that maximize the ergodic sum-rate achieved by treating interference as noise. In the M = 2 case, we first fix the beamforming vectors and compute the ergodic sum-rate in closed-form as a function of the channel statistics. We then show that the optimal beamforming vectors are the dominant generalized eigenvectors of the covariance matrices of the two links. It is difficult to obtain intuition on the structure of the optimal beamforming vectors for M > 2 due to the complicated nature of the sum-rate expression. Nevertheless, in the case of asymptotic M, we show that the optimal beamforming vectors have to satisfy a set of fixed-point equations.Comment: Published in IEEE ISIT 2010, 5 page