MIC Seminars – Autumn 2018
The full autumn programme is currently in development but we will be posting further details shortly. For further details on the programme please contact Dr Fangya Xu.
Wednesday 5th December 2018, Dr James Reade (Reading University) – Evaluating Strange Forecasts,16:00-17:30, Cookworthy Building 404
Abstract: There is no single accepted measure of forecast performance, particularly when the notion of forecast success is multi-dimensional. We compare multiple forecasts of particular events, football scorelines, made by forecasters participating in different competitions evaluated by different forecasting metrics. These events, scorelines, are low-probability, high-variance events that have a second, more predictable sub-outcome that is of interest and hence are multi-dimensional, complicating evaluation. We apply a range of evaluation metrics to all forecasts, and try to draw conclusions. We find suggestions that players playing by different rules behave in a matter consistent with their rules.
Wednesday 28 November 2018 – Dr Vineet Upreti (Swansea University) – Price of Credit Risk – Has the contribution of credit default swap (CDS) and bond markets changed? – 16:00–17:30, Cookworthy Building 404.
Authors: Vineet Upreti, Mike Buckle and Aimee Collins
Abstract: Using a mix of time-series and panel-data analysis, this paper shows that the theoretically expected cointegration relation between CDS and bond spread measures of credit risk is susceptible to structural change resulting from the move to exchange based trading with central clearing over a short-term horizon. We find that the cointegration relation between CDS and bond spreads of European companies is significantly weakened on the introduction of central clearing. While both markets contribute to the price discovery process, before as well as after the move to central clearing, but the contribution of CDS market diminishes and the contribution of the bond market increases after the move. Our results also show that both spreads react differently to changes in both the spot interest rates and the term structure of interest rates before and after the start of central clearing. We conclude that our findings could be indicating inefficiencies in the pricing of credit risk by the two markets, which may be important for policymakers and market makers.
Wednesday 31 October 2018 – Dr Ioannis Litsios (Plymouth Business School) – The role of national debts in the determination of the yen-dollar exchange rate – 16:00–17:30, Cookworthy Building 404.
An intertemporal optimization model is developed to examine the determinants of the long-run nominal yen-dollar exchange rate in the presence of national debts. The model is tested empirically using data from Japan and the USA. The proposed theoretical specification is well supported by the data and shows that relative national debts as well as monetary and financial factors may play a significant role in the determination of the long-run nominal exchange rate between the yen and the dollar.
Wednesday 17 October 2018 –
Dr Panagiotis Tziogkidis (Plymouth Business School) – Evaluating countries’ innovation potential: an international perspective – 16:00–17:30, Cookworthy Building 404.
The paper proposes a novel two-step approach that evaluates countries’ innovation efficiency and their responsiveness to expansions in their innovation inputs, while addressing shortcomings associated with composite indicators. Based on our evaluations, we propose innovation policies tailored to take into account the diverse economic environments of the many countries in our study. Applying multidirectional efficiency analysis (MEA) on data from the Global Innovation Index, we obtain separate efficiency scores for each innovation input and output. We then estimate different sensitivities for each country, by applying partial least squares on explanatory and response matrices which are determined by the nearest neighbours of the country under consideration. The findings reveal substantial asymmetries with respect to innovation efficiencies and sensitivities, which is indicative of the diversity of national innovation systems. Considering these two dimensions in combination, we outline three policy directions that can be followed, offering a platform for better-informed decision-making.