Ashton de Silva

Multivariate Exponential Smoothing for Forecasting Tourist Arrivals

In this article, we propose a new set of multivariate stochastic models that capture time-varying seasonality within the vector innovations structural time-series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend, and damped trend VISTS models with an additive multivariate seasonal component. We evaluate the forecasting accuracy of these models against the forecasting accuracy of univariate alternatives using international tourist arrivals from 11 source countries to Australia and New Zealand. In general, the newly proposed multivariate models improve on forecast accuracy over the univariate alternatives.

The vector innovations structural time series framework: a simple approach to multivariate forecasting

The vector innovations structural time series framework is proposed as a way of modelling a set of related time series. As with all multivariate approaches, the aim is to exploit potential interseries dependencies to improve the fit and forecasts. The model is based around an unobserved vector of components representing features such as the level and slope of each time series. Equations that describe the evolution of these components through time are used to represent the inter-temporal dependencies. The approach is illustrated on a bivariate dataset comprising Australian exchange rates of the UK pound and US dollar. The forecasting accuracy of the new modelling framework is compared to other common uni- and multivariate approaches in an experiment using time series from a large macroeconomic database.

A re-appraisal of the fertility response to the Australian baby bonus

The Australian baby bonus offering parents

Do Urban House Prices Converge

3,000 on the birth of a new child was announced on 11 May 2004. The availability of five years of birth data following the introduction of the baby bonus allows for a more comprehensive analysis of the policy implications than is current in the literature. The focus of this paper is to identify if there is a positive fertility choice response to the introduction of the Australian baby bonus policy and if this response is sustained over time. To do this, 19 years of birth and macroeconomic data, beginning in 1990, is analysed using an unobservable components model. The results indicate a significant increase in birth numbers ten months following the announcement of the baby bonus, and this overall increase was sustained up to the end of the observed period. A cumulative growth in birth numbers which commenced in January 2006 slows in 2008 and 2009. It is suggested that the initial increase in births, identified in March 2005, is a direct fertility response to the introduction of the policy, and that the subsequent change in the growth of birth numbers may be the result of a delayed effect working through a number of channels. We estimate that approximately 108,000 births are attributable to the baby bonus over the period, at an approximate cost of

Equity fund performance: Can momentum be explained by the pricing of idiosyncratic volatility?

43,000 per extra child.

Fragile Politics: Weak States in the Greater Middle East

We investigate two aspects of housing market price dynamics. Firstly, whether the spatial pattern of house prices in a metropolitan housing market converge or diverge over time and secondly, whether suburbs with relatively low (high) house prices 20 years ago continue to occupy the same relative position in the house price distribution. The empirical work uses a property transaction database for Melbourne to examine the changing distribution of suburban house prices over a nearly 20-year period (1990–2009) that spans two housing cycles. We focus on convergence measures that use Melbourne submarket-based repeat sale house price indexes as a unit of measurement. We find that house prices diverge, and so the gap between low-priced submarkets and high-priced submarkets is increasing. A second key result is that low-priced submarkets typically remain at the low end of the house price distribution, because their rates of appreciation fall short of those at the upper end of the house price distribution. The geography of house price dynamics suggests that the price gradient with respect to distance from the central business district is becoming steeper.

The marginal cost of a bedroom: An Australian case study

Purpose This paper aims to investigate whether idiosyncratic volatility is priced in returns of equity funds while controlling for fund size and return momentum. Design/methodology/approach Following Fama and French (1993), an idiosyncratic volatility mimicking factor and a fund-size factor are constructed. The pricing ability of this idiosyncratic volatility mimicking factor is investigated in the context of Carhart (1997). Findings Idiosyncratic volatility is an important pricing factor even when controlling for fund size and momentum. In addition, idiosyncratic volatility is strongly and positively associated with the momentum effect. Further, when controlling for the association between the momentum effect and idiosyncratic volatility, the explanatory power of the momentum factor almost disappears, which suggests the pricing of idiosyncratic volatility mediates momentum and returns. Originality/value These findings imply that both the idiosyncratic volatility factor and the fund-size factor should not be ignored by fund managers when evaluating the performance of the equity funds.

Vector Exponential Smoothing

1. Weak States in the Middle East Mehran Kamrava, CIRS, Georgetown University School of Foreign Service in Qatar 2. Yemen: Failing State or Failing Politics? Charles Schmitz, Towson University 3. Questioning Failure, Stability, and Risk in Yemen Sarah Phillips, University of Sydney 4. Interventionism and the Fear of Urban Agency in Afghanistan and Iraq Daniel Esser, American University 5. Libya After Qadhafi: Fragmentation, Hybridity, and Informality Frederic Wehrey, Carnegie Endowment for International Peace 6. Strong Actor in a Weak State: The Geopolitics of Hizbullah Shoghig Mikaelian, Concordia University; and Bassel F. Salloukh, Lebanese American University 7. Margin and Center in Sudan: On the Historicity of State Weakness Rogaia Abusharaf, Georgetown University School of Foreign Service in Qatar 8. Sudan: A Turbulent Political Marketplace Alex de Waal, Tufts University 9. Women, Work, and the Weak State: A Case Study of Pakistan and Sudan Zahra Babar, CIRS, Georgetown University School of Foreign Service in Qatar; and Dwaa Osman, CIRS, Georgetown University School of Foreign Service in Qatar 10. Whither Palestine? Weak State, Failed State, or No State at All? Glenn E. Robinson, Naval Postgraduate School 11. Diasporas and State (Re)building in the MENA Region: Potential and Constraints Laurie Brand, University of Southern California 12. State Capacity and Aid Effectiveness in Weak States in the Greater Middle East Mark McGillivray, Deakin University; Simon Feeny, RMIT University; and Ashton De Silva, RMIT University

Did Recent Tobacco Reforms Change the Cigarette Market

Abstract After a long period of decline, a slight increase in household size in Australia has been observed in recent years. This reversal, in part, is due to a noticeable change in household formation patterns. An increase in multigenerational households and group living has been coupled with policy incentives aimed at reversing the decrease in fertility. In this paper, the results of a hedonic analysis of the cost of housing additional household members using Melbourne metropolitan sales data are presented. Specifically, estimates of the marginal price of an additional bedroom are discussed. The results show that the true cost of housing additional household members has increased substantially. Further, increasing marginal costs are evident for growing households, as captured by rising shadow prices for third, fourth and fifth bedrooms.

An Australian Household's Choice: Housing Deprivation or Financial Debt ‘Betwixt the Devil and the Deep Blue Sea’?

In earlier chapters we have considered only univariate models; we now proceed to examine multi-series extensions and to compare the multi-series innovations models with other multi-series schemes. We shall refer to our approach as the vector exponential smoothing (VES) framework. The innovations framework is similar to the structural time series models advocated by Harvey (1989) in that both rely upon unobserved components, but there is a fundamental difference: in keeping with the earlier developments in this book, each time series has only one source of error. The VES models are introduced in Sect. 17.1; special cases of the general model are then discussed in Sect. 17.2. An inferential framework is then developed in Sect. 17.3 for the VES models, building upon our earlier results for the univariate schemes. The most commonly used multivariate time series models are those defined within the ARIMA framework. Interestingly, this approach also has only one source of randomness for each time series. Thus, the vector versions of the ARIMA framework (VARIMA), and special cases such as vector autoregression (VAR) and vector moving average (VMA), may be classified as innovations approaches to time series analysis (Lutkepohl 2005).We compare the VES frameworkwith existing approaches in Sect. 17.4. As in Chap. 11, when we consider equivalences between vector innovations models and the VARIMA forms, we will make the infinite start-up assumption. Finally we compare the performance of VES models to VAR and other existing state space alternatives, first in an empirical study of exchange rates (Sect. 17.5), and then across a range of different time series taken froma large macroeconomic database, in Sect. 17.6.