http://www.dspace.cam.ac.uk:80/handle/1810/223848 Thu, 23 May 2013 03:14:33 GMT 2013-05-23T03:14:33Z http://www.dspace.cam.ac.uk:80/handle/1810/243402 Title: Brownian motion and multidimensional decision making Authors: Lange, Rutger-Jan Abstract: This thesis consists of three self-contained parts, each with its own abstract, body, references and page numbering. Part I, "Potential theory, path integrals and the Laplacian of the indicator", finds the transition density of absorbed or reflected Brownian motion in a d-dimensional domain as a Feynman-Kac functional involving the Laplacian of the indicator, thereby relating the hitherto unrelated fields of classical potential theory and path integrals. Part II, "The problem of alternatives", considers parallel investment in alternative technologies or drugs developed over time, where there can be only one winner. Parallel investment accelerates the search for the winner, and increases the winner's expected performance, but is also costly. To determine which candidates show sufficient performance and/or promise, we find an integral equation for the boundary of the optimal continuation region. Part III, "Optimal support for renewable deployment", considers the role of government subsidies for renewable technologies. Rapidly diminishing subsidies are cheaper for taxpayers, but could prematurely kill otherwise successful technologies. By contrast, high subsidies are not only expensive but can also prop up uneconomical technologies. To analyse this trade-off we present a new model for technology learning that makes capacity expansion endogenous. There are two reasons for this standalone structure. First, the target readership is divergent. Part I concerns mathematical physics, Part II operations research, and Part III policy. Readers interested in specific parts can thus read these in isolation. Those interested in the thesis as a whole may prefer to read the three introductions first. Second, the separate parts are only partially interconnected. Each uses some theory from the preceding part, but not all of it; e.g. Part II uses only a subset of the theory from Part I. The quickest route to Part III is therefore not through the entirety of the preceding parts. Furthermore, those instances where results from previous parts are used are clearly indicated. Mon, 07 May 2012 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/243402 2012-05-07T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/240611 Title: Stochastic hub and spoke networks Authors: Hult, Edward Eric Abstract: Transportation systems such as mail, freight, passenger and even telecommunication systems most often employ a hub and spoke network structure since correctly designed they give a strong balance between high service quality and low costs resulting in an economically competitive operation. In addition, consumers are increasingly demanding fast and reliable transportation services, with services such as next day deliveries and fast business and pleasure trips becoming highly sought after. This makes finding an efficient design of a hub and spoke network of the utmost importance for any competing transportation company. However real life situations are complicated, dynamic and often require responses to many different fixed and random events. Therefore modeling the question of what is an optimal hub and spoke network structure and finding an optimal solution is very difficult. Due to this, many researchers and practitioners alike make several assumptions and simplifications on the behavior of such systems to allow mathematical models to be formulated and solved optimally or near optimally within a practical timeframe. Some assumptions and simplifications can however result in practically poor network design solutions being found. This thesis contributes to the research of hub and spoke networks by introducing new stochastic models and fast solution algorithms to help bridge the gap between theoretical solutions and designs that are useful in practice. Three main contributions are made in the thesis. First, in Chapter 2, a new formulation and solution algorithms are proposed to find exact solutions to a stochastic p-hub center problem. The stochastic p-hub center problem is about finding a network structure, where travel times on links are stochastic, which minimizes the longest path in the network to give fast delivery guarantees which will hold for some given probability. Second, in Chapter 3, the stochastic p-hub center problem is looked at using a new methodological approach which gives more realistic solutions to the network structures when applied to real life situations. In addition a new service model is proposed where volume of flow is also accounted for when considering the stochastic nature of travel times on links. Third, in Chapter 4, stochastic volume is considered to account for capacity constraints at hubs and, de facto, reduce the costs embedded in excessive hub volumes. Numerical experiments and results are conducted and reported for all models in all chapters which demonstrate the efficiency of the new proposed approaches. Mon, 10 Oct 2011 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/240611 2011-10-10T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/240608 Title: Practice, power and learning in UK recorded music companies Authors: Colbourne, Rick Abstract: This thesis adopts a practice-based approach to understanding how power, knowledge and knowing intermingle in organizations to facilitate/constrain individual access to opportunities for knowing-in-practice (learning). It explores how organizational mechanisms and technologies of regulation (re)construct and (re)produce organizational dimensions of knowledge as power/knowledge resources by which intermingling modalities of power are enacted to continuously sanction and (re)constitute individual meanings and identities. Mon, 10 Oct 2011 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/240608 2011-10-10T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/237748 Title: Institutional Public Private Partnerships for Core Health Services: Evidence from Italy. Authors: Cappellaro, Giulia; Longo, Francesco Abstract: Abstract Background Public-private partnerships (PPPs) are potential instruments to enable private collaboration in the health sector. Despite theoretical debate, empirical analyses have thus far tended to focus on the contractual or project dimension, overlooking institutional PPPs, i.e., formal legal entities run by proper corporate-governance mechanisms and jointly owned by public and private parties for the provision of public-health goods. This work aims to fill this gap by carrying out a comparative analysis of the reasons for the adoption of institutional PPPs and the governance and managerial features necessary to establish them as appropriate arrangements for public-health services provisions. Methods A qualitative analysis is carried out on experiences of institutional PPPs within the Italian National Health Service (Sistema Sanitario Nazionale, SSN). The research question is addressed through a contextual and comparative embedded case study design, assuming the entire population of PPPs (4) currently in force in one Italian region as the unit of analysis: (i) a rehabilitation hospital, (ii), an orthopaedic-centre, (iii) a primary care and ambulatory services facility, and (iv) a health- and social-care facility. Internal validity is guaranteed by the triangulation of sources in the data collection phase, which included archival and interview data. Results Four governance and managerial issues were found to be critical in determining the positive performance of the case examined: (i) a strategic market orientation to a specialised service area with sufficient potential demand, (ii) the allocation of public capital assets and the consistent financial involvement of the private partner, (iii) the adoption of private administrative procedures in a regulated setting while guaranteeing the respect of public administration principles, and (iv) clear regulation of the workforce to align the contracts with the organisational culture. Conclusions Findings suggests that institutional PPPs enable national health services to reap great benefits when introduced as a complement to the traditional public-service provisions for a defined set of services and goals. Description: RIGHTS : This article is licensed under the BioMed Central licence at http://www.biomedcentral.com/about/license which is similar to the 'Creative Commons Attribution Licence'. In brief you may : copy, distribute, and display the work; make derivative works; or make commercial use of the work - under the following conditions: the original author must be given credit; for any reuse or distribution, it must be made clear to others what the license terms of this work are. Mon, 18 Apr 2011 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/237748 2011-04-18T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/237700 Title: Building the national health information infrastructure for personal health, health care services, public health, and research Authors: Detmer, Don E Abstract: Abstract Background Improving health in our nation requires strengthening four major domains of the health care system: personal health management, health care delivery, public health, and health-related research. Many avoidable shortcomings in the health sector that result in poor quality are due to inaccessible data, information, and knowledge. A national health information infrastructure (NHII) offers the connectivity and knowledge management essential to correct these shortcomings. Better health and a better health system are within our reach. Discussion A national health information infrastructure for the United States should address the needs of personal health management, health care delivery, public health, and research. It should also address relevant global dimensions (e.g., standards for sharing data and knowledge across national boundaries). The public and private sectors will need to collaborate to build a robust national health information infrastructure, essentially a 'paperless' health care system, for the United States. The federal government should assume leadership for assuring a national health information infrastructure as recommended by the National Committee on Vital and Health Statistics and the President's Information Technology Advisory Committee. Progress is needed in the areas of funding, incentives, standards, and continued refinement of a privacy (i.e., confidentiality and security) framework to facilitate personal identification for health purposes. Particular attention should be paid to NHII leadership and change management challenges. Summary A national health information infrastructure is a necessary step for improved health in the U.S. It will require a concerted, collaborative effort by both public and private sectors. If you cannot measure it, you cannot improve it. Lord Kelvin Description: RIGHTS : This article is licensed under the BioMed Central licence at http://www.biomedcentral.com/about/license which is similar to the 'Creative Commons Attribution Licence'. In brief you may : copy, distribute, and display the work; make derivative works; or make commercial use of the work - under the following conditions: the original author must be given credit; for any reuse or distribution, it must be made clear to others what the license terms of this work are. Mon, 06 Jan 2003 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/237700 2003-01-06T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/236114 Title: Cojumping: Evidence from the US Treasury Bond and Futures Market Authors: Dungey, Mardi; Hvozdyk, Lyudmyla Abstract: The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot and futures prices in high frequency US Treasury data. Cojumping occurs most frequently at shorter maturities and higher samling frequencies. We find that the presence of an anticipated macroeconomic news announcement is sufficient to change the probability of observing cojumps. Moreover, news surprises in non-farm payrolls, CPI, GDP and retail sales play a leading role in changing the probabilities of cojumps. However, surprises in non-farm payrolls also increase the probability of the cojumping tests being unable to determine whether jumps in spots and futures occur contemporaneously. On these occasions the market does not clearly signal its short term pricing behavior. Tue, 01 Feb 2011 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/236114 2011-02-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/236113 Title: The Term Premium and The UK Economy 1980-2007 Authors: Dungey, Mardi; Vehbi, M Tugrul Abstract: The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated negative term premia for 1980-2007 is decomposed into its contributing shocks, where the role of inflation and monetary policy shocks are shown to be dominant in the evolution of the term premium. Projecting into the 2007-2008 crisis period reveals the extent of the shocks to the UK economy, and also shows the similarities in term premia behaviour with those experienced during the 1998 Russian crisis, likely reflecting the flight to cash experienced in both crises. Fri, 01 Jan 2010 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/236113 2010-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/236112 Title: An empirical analysis of subprime consumer credit demand Authors: Alan, Sule; Lóránth, Gyöngyi Abstract: We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest rate experiment conducted by the lender between October 2006 and January 2007. We find that individuals who tend to utilize their credit limits fully do not reduce their demand for credit when subject to increases in interest rates as high as 3 percentage points. This finding is naturally interpreted as evidence of binding liquidity contraints. We also demonstrate the importance of truly exogenous variation in interest rates when estimating credit demand elasticities. We show that estimating a standard credit demand equation with nonexperimental variation leads to seriously biased estimates even when conditioning on a rich set of controls and individual fixed effects. In particular, this procedure results in a large and statistically significant 3-month elasticity of credit card debt with respect to interest rates even though the experimental estimate of the same elasticity is neither economically nor statistically different from zero. Fri, 01 Jan 2010 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/236112 2010-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/229514 Title: Morale: definitions, dimensions and measurement Authors: Hardy, Ben Abstract: Morale is a commonly used term both in business and society but the concept of morale is relatively poorly defined and understood. In a recent paper Liefooghe et al. (2004) expressed surprise that ‘…when reviewing the literature, no strong theory to explain morale as such is in evidence, nor are there many empirical studies that offer solid ground to advise organisations…’(p 1). This thesis aims to provide these theories and this empirical evidence in order to produce a better understanding of morale. This research identifies a number of deficiencies in the current understanding of morale. These range from elision with other concepts to disagreement about whether it is an individual or group phenomenon. In this study, four principal domains are examined: (i) what morale is; (ii) how it differs from other concepts; (iii) the antecedents of morale and (iv) its consequences. A mixed methods approach was adopted combining idiographic and nomothetic research. The idiographic phase of the research adopted a Straussian (1998) grounded theory approach, involving data collection from seven different organisations. The data was accrued from a combination of site visits, informal contacts, external research, and 203 semi-structured interviews which were supplemented with psychometric instruments. The data were then coded and analysed. Morale could be readily differentiated from other concepts and emerged as a phenomenon with three dimensions: affective, future/goal and interpersonal. It was also viewed as a single phenomenon which was generalisable across situations and rooted in the individual although perceived members of the group exerted considerable influence. The antecedents of morale impacted on the three dimensions outlined above. Its consequences were the zeal with which tasks are undertaken, creativity and engagement. The nomothetic element of the research developed a number of measurement scales, grounded in the qualitative phase. These allowed morale to be differentiated from other phenomena and offered insights into individual and group perceptions of morale and the influence of personality variables. Further quantitative research confirmed the three dimensional structure of the concept. The results of these two phases were then integrated to provide a picture of the phenomenon of morale, differentiate it from other concepts and elucidate its antecedents and consequences. An appraisal of the limitations of the research is also made. Finally the implications of this research for both academic researchers and practitioners are discussed along with suggestions for future research. Mon, 12 Apr 2010 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/229514 2010-04-12T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225215 Title: On strategic default and liquidity risk Authors: Tambakis, Demosthenes N Abstract: How does the uncertain provision of external finance affect investment projects' default probability and liquidity risk? In this paper, I study the strategic interaction between many creditors and a single borrower in the context of a two-period investment project requiring external credit. Loans mature in one period but the project requires two periods to complete. The key working assumptions are that creditors are risk-averse and that any uncertainty is common knowledge: information about the fundamentals can be incomplete but not asymmetric. Mixed and perfect Bayesian strategies are used to compute the equilibrium probabilities of default and early liquidation. The impact of the maturity structure on default and liquidity risk is a function of the underlying structural and stochastic parameters and investors' beliefs about the state of fundamentals. The implications for banking regulation are assessed under fixed and variable loan rates. An open range of fundamentals is derived outside of which default and liquidity risk are either zero or one. The cyclical properties of default and liquidity risk are shown to depend sensitively on the relative cost of early liquidation to the borrower and the creditors, hence also on the regulatory policy stance. Tue, 01 Jan 2002 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225215 2002-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225214 Title: The supervisory approach: a critique Authors: Ward, Jonathan Abstract: Rules suffer from two serious defects. The world is complex, and so the creation and application of rules is difficult; and it changes, so that rules become obsolete. In recent years, the conventional wisdom on financial regulation has shifted away from reliance on rules and back towards a ‘supervisory approach’, in which regulators rely more on banks’ own estimates of risk, and focus more on banks’ risk management systems and controls than on their compliance with crude rules. The Basel Committee’s proposals for a new Capital Accord (‘Basel 2’) follow this approach. In this paper I identify four problems with this approach. First, relying on banks’ estimates is not a solution to the problems caused by externalities. Secondly, for supervision to be effective, supervisors must have the skills, incentives and legal powers to change banks’ behaviour. It is difficult and costly to design a regime in which supervisors have desirable incentives. The supervisory approach appears ill-suited to the circumstances of developing countries, at least. Thirdly, the supervisory approach is based on qualitative standards and general principles. This delegates a great deal of discretion to bureaucrats, which is legally and politically difficult in many countries. Fourthly, the implementation of standards is essentially unobservable. As a result, the international regime will shift significantly towards decentralisation. An alternative approach would be to retain an emphasis on quantitative rules, and to improve the process for interpreting, enforcing and revising them. Tue, 01 Jan 2002 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225214 2002-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225213 Title: Depreciation bias, financial-sector fragility and currency risk Authors: Tambakis, Demosthenes N Abstract: Do expected future exchange rate fluctuations affect current social welfare? In the third-generation approach to currency crises, financial fragility can trigger devaluation and default. Expected future depreciation is costly if it raises ex ante real interest rates. Given the strong violation of uncovered interest parity, expected future outcomes' current cost/benefit depends on the currency risk premium. I extend the static one-period Barro-Gordon welfare loss function to include expected future depreciation and show that, when foreign investors are risk-averse, depreciation bias is higher than the static case if aggregate demand is a function of ex ante real rates. If demand depends on the ex post real interest rate, average depreciation can be zero if current welfare is sufficiently sensitive to the state of the financial sector. In this stylised framework, depreciation bias can be mitigated even in the presence of time-inconsistency, and expected welfare may be higher. Tue, 01 Jan 2002 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225213 2002-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225212 Title: The new Basel accord and developing countries: problems and alternatives Authors: Ward, Jonathan Abstract: The new Basel Accord framework relies on markets and supervisors to discipline banks. Yet both markets and supervisors fail, and more so in developing countries than in high-income countries. Therefore, the new Accord is not, as its designers claim, suitable for wide application. Nevertheless, developing country policymakers have little choice but to implement it in part or in whole. Hence there are problems of governance in international regulation. I offer seven general principles for the design of a prudential regime more robust to government and market failure. Four alternative capital regimes are evaluated in the light of these principles. Simpler and harsher regimes are likely to achieve greater safety with a given level of resources. Tue, 01 Jan 2002 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225212 2002-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225211 Title: The World Trade Organization and financial stability: the balance between liberalisation and regulation in the GATs Authors: Alexander, Kern Abstract: The WTO General Agreement on Trade in Services and its Annex on Financial Services provide the international legal framework for the regulation of cross-border trade in financial services. This paper analyses some of the main provisions of the GATS and the Annex on Financial Services to determine its impact on domestic financial regulation and whether the GATS framework can achieve its objectives of liberalising international trade in financial services while allowing states to maintain adequate domestic regulatory institutions. The paper argues that the GATS provides a flexible framework for states to negotiate liberalisation commitments while allowing sufficient domestic regulatory authority to achieve financial stability objectives. The extent to which states can depart from their GATS obligations to achieve regulatory objectives has become the source of academic debate and policy interest. Although the WTO has played little or no role in the financial regulation debate, the GATS contains certain disciplines that could potentially have significant implications for limiting regulatory discretion over financial markets. The paper suggests that the Doha Development Agenda should address some of these issues as they relate to the regulation of cross-border trade in financial services. The role of the WTO in this area raises important issues regarding the institutional design of financial regulation and related issues of global financial governance. Wed, 01 Jan 2003 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225211 2003-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225210 Title: Economic slowdown in the US, rehabilitation of fiscal policy and the case for a co-ordinated global reflation Authors: Izurieta, Alex Wed, 01 Jan 2003 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225210 2003-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225209 Title: Establishing a European securities regulator: is the European Union an optimal economic area for a single securities regulator? Authors: Alexander, Kern Abstract: The paper’s purpose is to address the economic, institutional, and legal issues confronting the establishment of a more centralised approach to EU securities regulation and to suggest that the theory of optimum currency areas can be used as a model to assess the economic benefits and costs of further centralisation of securities regulation in the European Union. The European Union’s Financial Services Action Plan seeks to achieve an integrated market in financial services in order to accomplish the economic and political objectives of the Treaty of Rome. The FSAP is premised on the notion that the adoption of legal and regulatory measures to achieve liberalisation in cross-border trade in financial services will also achieve integration of EU financial markets. This paper argues that liberalisation of financial markets does not necessarily lead to integration of financial markets. Furthermore, it argues that the institutional design and scope of financial regulation should be based, in part, on the extent of integration in the financial market. That is, the domain of the regulator should be the same as the domain of the market. European capital and financial markets remain fragmented and segmented. This paper argues therefore that, until EU financial markets become more integrated, a single EU securities regulator would not be an efficient or effective institutional model for EU securities markets. In other words, at present, the EU is not an optimal economic area for a single securities regulator. Tue, 01 Jan 2002 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225209 2002-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225208 Title: Empirical modelling of contagion: a review of methodologies Authors: Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L Abstract: The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivariate testing, endogenous issues and structural breaks. Tue, 30 Sep 2003 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225208 2003-09-30T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225207 Title: International financial contagion: what do we know? Authors: Dungey, Mardi; Tambakis, Demosthenes N Abstract: This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial research progress towards this goal. On the empirical front, determining when returns are ‘excessive’ is a pre-condition for designing effective policy response to crises. At the theoretical level, tracing the observed herding behavior to market participants’ uncertain beliefs and information asymmetries is a key element for understanding how contagious effects arise. It is argued that the recent focus on better understanding of high-frequency financial returns data and decision making at the market microstructure level are promising avenues for understanding the transmission of shocks across markets and countries. Mon, 30 Jun 2003 23:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225207 2003-06-30T23:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225206 Title: Two-country stock-flow-consistent macroeconomics using a closed model within a dollar exchange regime Authors: Godley, Wynne; Lavoie, Marc Wed, 01 Jan 2003 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225206 2003-01-01T00:00:00Z http://www.dspace.cam.ac.uk:80/handle/1810/225205 Title: Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation Authors: Smith, L Vanessa; Tambakis, Demosthenes N Abstract: We extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a significant change in persistence from I(0) to I(1) in the late 1990s. Fri, 01 Jan 2010 00:00:00 GMT http://www.dspace.cam.ac.uk:80/handle/1810/225205 2010-01-01T00:00:00Z