2007 Economics Seminar Series

Date & Speaker

Topic

9 August

Professor D. J. Jüttner
Macquarie University

Towards Decoding Currency Volatilities"

This study examines on the basis of economic theory the determinants of exchange rate volatilities for a large number of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several of their presumed fundamental economic determinants in the context of a portfolio balance model. The use of high-frequency data limits the choice of the explanatory economic variables that can be included in empirical estimates. The first differences of GARCH(1,1) volatilities of share and bond price indices reflect portfolio trading decisions in corresponding markets for both assets. In the same vein, first differences of the gold price volatility, as an additional determinant, are related to exchange rate volatilities of two commodity currencies in the sample. The panel data estimates produce coefficients with the expected signs and statistical significance. The results of our study enhance our understanding of high frequency currency volatility changes for 19 currencies beyond the purview of announcement effects in the event studies framework.

  23 August

Professor Russell Smyth
Monash University

Firm Compliance with Social Insurance Obligations where there is a Weak Surveillance and Enforcement Mechanism: Empirical Evidence from Shanghai

This paper draws on a unique data set collected in audits in 2001 and 2002 by the Bureau of Labour and Social Security in Shanghai to examine why firms in Shanghai comply or over-comply with social insurance obligations in a regulatory environment where the expected punishment for non-compliance is low. Drawing on Harrington (1988), we test two hypotheses. The first hypothesis is that based on the first audit, the BOLSS will segment firms into low (non-aggressive) and high (aggressive) categories and those in the high category will be more likely to be re-audited. The second hypothesis is that if the identified non-complier is re-audited, it will be more likely to comply with its social insurance obligations in order to be returned from the high (aggressive) category into the low (non aggressive) category. Our first main finding is that firms found to be in non-compliance in the first audit in 2001 were moved into a separate violation category and the probability of being reaudited in 2002 was significantly higher if the firm was in that category. Our second main result is that across the board, firms which were reaudited continued to underpay in 2002 but the extent of underpayment was significantly reduced.

 30 August 2007 Professor Kunal Sengupta
University Sydney

"Name ordering in economics publication"

6 September

Dr Dennis Sun

The Determinants of Price in Online Auctions: More Evidence from Quantile Regression

This study explores how seller reputations affect auction prices, and concludes that earlier findings may be biased due to the misspecification of seller reputation. This paper contributes to the literature by offering significant empirical evidence using Taiwanese Internet auction data. Our study reveals that the influence of seller reputations on auction prices is significant, irrespective of the assumptions of linear and non-linear relationships with price. However, failure to consider the non-linear setting of seller reputation would have led us to overestimate the impact of reputations on prices because marginal returns to an incremental increase in reputation declines rapidly for sellers who have more than 15 scores. In addition, using quantile regression, this study finds evidence of considerable differences in their impact on auction prices dependent on the distribution of price levels.

13 September

Associate Professor Pat Wilson
School of Finance
and Economics,
UTS

"Modelling Price Movements in Housing Micro-markets: Identifying Long-term Components in Local Housing Market Dynamics".

The study identifies housing sub-markets (micro-markets) that may be price leaders within local housing market areas and relates their performance to potentially relevant economic factors. This can be important as it provides both policy makers and market players with a useful barometer regarding housing market behaviour. The study attempts to find those markets that interact with each other over the long run and isolate housing sub-markets that are not influenced by housing market behaviour elsewhere in the local urban economy. The study lays the basis for research aimed at identifying whether different housing sub-markets respond to the same or to different economic stimuli. The research is likely to be of interest to policy makers (such as town planners) as well as to developers and lending institutions.

20 September

Mahmoud Ali Al-dalahmeh: An Explanatory Study on the Impact of Perceived Self-Efficacy on the Intention to Use E-Commerce

Abdusalam. F. Yahia: The Effects of the Fluctuations in Oil Prices on the Libyan Economy

4 October

Leanne van Keulen: Labour Earnings of Migrant by Visa Category in > Australia: A Comparison with the Native Born

Tim Atkin: A Conceptual Framework for an Integrative Approach to > Export Performance in Individual Firms

Ben Mowatt: Financial Volatility and Australian Economic Activity 

Doug Robson: The Working Poor in Australia

11 October

Elias Sanidas

Exploring the long term Chinese economic absorptive capacity with neighbouring countries

Abstract

This paper examines the long term dynamic tendencies of trade and GDP between China and neighbouring countries such as Korea, Japan, and Vietnam. This is a similar situation to what already happens in North America vis-à-vis the US. A hypothesis is proposed whereby it is shown theoretically and briefly econometrically that there is an inherent tendency for Korean exports to China to grow faster than Korean exports to other countries or regions with the consequence of reaching a very high percentage (even 90%). Statistics on trade and GDP show signs of this tendency already occurring. A theoretical model (use of dynamic differential equations) and some econometric results based on Canadian data are strong evidence of this hypothesis being a real possibility. Explanations of this hypothesis are also presented (for example the ‘flying geese’ argument). If this hypothesis is true then an East Asian free trade area will be possible providing political rivalries and balances are first resolved. Some recommendations or policies are formulated, such as balance of integrated sub-regions, and inclusion in the East Asia Free Trade area of the greater Pacific region.

18 October

Yumiko Meloche: Bilateral trade & investment between Australia & Japan

Surachai Chancharat: Interdependence and dynamic linkages between stock markets of Thailand and its major trading partners.

25 October

Neil Dias Karunaratne.
School of Economics
The University of Queensland

The Sustainability of Australia’s Current Account Deficits

The paper aims to revisit the policy debate and empirics of the sustainability and solvency of high current account deficits in Australia. In the recent past there was a heated controversy about the use of activist policies to reduce the high current account deficit. Today despite high current account deficit the issue of sustainability of high current account does not appear to be a matter of policy concern. The paper argues that this remarkable shift the policy concerns about the sustainability of h high current account deficits has come about because structural change in the Australian economy due to globalization. Globalisation has forced the floating of the Australian dollar and liberalisation of the capital controls. These changes have undermined the efficacy of the static Mundell-Fleming work-horse policy paradigm replaced it with a new policy paradigm based on consumption -smoothing related to intertemporal optimization. The paper will use unit root and cointegration test empirics incorporating structural breaks to shed further light on the paradigmatic shift that explains why the concerns about the high current account deficits have disappeared from the policymakers radar.