Simple and intuitive non-parametric methods are provided for estimating variance change points for time series data. Only slight alterations to existing open-source computer code applying CUSUM methods for estimating breakpoints are required to apply our proposed techniques. Our approach,...

Retail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the future spot rates may in part arise from thin futures and forward markets in...

A direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering fundamental questions of interest to risk managers, who might not find it...

This study aims to test the feasibility of using a data set of 90-day bank bill forward rates from the Australian market to predict spot interest rates. To achieve this goal I utilized the application of Kalman lter in a state space model with time-varying state variable. It is documented that...

Of the major shortcomings exposed during the 2008 global financial crisis, there are two aspects that have attracted much interest among academics: the under-appreciation of the complexity of new operations at large financial institutions and the inadequate oversight of basic prudential...

We present new empirical evidence on trend robustness and end-point issues, utilising the macroeconomic data set investigated in McKelvie and Hall (2012). We consider the relative merits of non-robust Hodrick-Prescott (HP) and robust loess (LOcal regrESSion) trend filtering methods, and assess...

Rational allocation of limited public resources is critical to achieve the stated aims of government programmes. Here, we focus on the regional allocation of public spending for disaster risk reduction in Bangladesh as a case study to identify the rationale that guides public funding...

The standard way in which disaster damages are measured involves examining separately the number of fatalities, of injuries, of people otherwise affected, and the financial damage that natural disasters cause. Here, we propose a novel way to aggregate measures of disaster impact, which aims to...

Why do people save? A strand of the literature has emphasized the role of ‘precautionary’ motives; i.e., private agents save in order to mitigate unexpected future income shocks. An implication is that in countries faced with more macroeconomic volatility and risk, private saving should be...

We quantify the ‘permanent’ socio-economic impacts of the Great Hanshin-Awaji (Kobe) earthquake in 1995 by employing a large-scale panel data set of 1,719 wards from Japan over three decades. In order to overcome a fundamental difficulty of identifying the counterfactual, i.e., the Kobe...