Browsing by Author "Daglish, Toby"

Now showing 1 - 20 of 26

Open Access
Accessibility, commuting and the car ownership decision
(Te Herenga Waka—Victoria University of Wellington, 2013) Mairead De Roiste; Daglish, Toby; Yigit Saglam; Richard Law
Rising fuel prices, costly transport infrastructure, congestion, external environmental impacts and impending peak oil difficulties highlight the importance of understanding the economic decisions behind commuting patterns. Where a person lives and works are important factors in an individual's transport decision and are key determinants for car ownership. However these spatial factors are interlinked and an individuals residential location is also determined by where they work and their transport choices among other factors. Households are also likely to compromise on their commuting, car ownership and residential choices according to the needs of multiple members of the household.
Open Access
Auctioning the Digital Dividend: a Model for Spectrum
(Te Herenga Waka—Victoria University of Wellington, 2012) Sağlam, Yiğit; Ho, Phuong; Daglish, Toby
This paper models a spectrum auction as a multi-unit auction where participantsuse the goods purchased to participate in a constrained multi-good downstream market. We use dynamic programming techniques to solve for the optimal bidding strategy for firms in a clock auction. Firms often value constraining competitor market power highly and inefficient firms will often bid aggressively to minimise competition. Regulators concerned with revenue maximisation have strong incentives to encourage this behaviour capping more efficient firms or capping entrants to the market. In contrast social welfare concerns suggest that allocating spectrum may be more efficient than using an auction.
Open Access
Can market power in the electricity spot market translate into market power in the hedge market?
(Te Herenga Waka—Victoria University of Wellington, 2012) de Braganca, Gabriel Fiuza; Daglish, Toby
Electricity is a non-storable commodity frequently traded in complex markets characterized by oligopolistic structures and uniform-price auctions. These particularities confer to electricity prices idiosyncratic patterns not addressed by the usual commodity pricing literature. This paper allows for oligopoly vertical integration and uniform-price auction and derives a linear equilibrium relationship between spot prices and state variables affecting firms' costs and demand under usual functional simplications. It applies a two-factor forward pricing model over the equilibrium spot price process and shows that forward prices can be positivelyaffected by spot market power. Thus hedge prices may be affected bymarket power as it appears in the spot market.
Open Access
Commuting and Residential Decisions in the Greater Wellington Region
(Te Herenga Waka—Victoria University of Wellington, 2015) Daglish, Toby; de Roiste, Mairead; Sağlam, Yiğit; Law, Richard
This paper studies residential, commuting and car ownership decisions in the Greater Wellington Region of New Zealand. We establish an estimation methodology that is robust to endogeneity between house prices and residential decisions. The paper also makes extensive use of Geographic Information Systems calculations, allowing us to evaluate the impact of schools, greenspaces and sunlight on decisions. The paper finds that commuting decisions are highly affected by demographic variables, that amenities are important in determining neighbourhood preferences, and that school quality, contrary to popular belief, has relatively little effect on decisions.
Open Access
Consumer Governance in Electricity Markets
(Te Herenga Waka—Victoria University of Wellington, 2015) Daglish, Toby
This paper examines switching decisions by households in the MainPower distribution area of New Zealand. The paper measures the extent to which customers switched in response to information about directors’ bonuses, marketing surrounding firm ownership, and work by the New Zealand Electricity Authority to promote switching behaviour. The first two events demonstrate the magnitude of consumer concerns about firm governance in an Electricity market. The latter provides a measure of search costs in a market where no central switching service is provided.
Open Access
E-Commerce and its effect upon the Retail Industry and Government Revenue
(Te Herenga Waka—Victoria University of Wellington, 2013) Steel, Will; Daglish, Toby; Marriott, Lisa; Gemmell, Norman; Howell, Bronwyn
This paper was written by William Steel, Toby Daglish, Lisa Marriott, Norman Gemmell, Howell, Bronwyn and presented at a seminar on 20 March 2013, info here
Open Access
The Effect of Asset Price Jumps on Consumption and Investment Decisions
(Te Herenga Waka—Victoria University of Wellington, 2008) Daglish, Toby
This paper examines the importance of jumps in asset prices for investment problems potentially incorporating consumption decisions. We present a technique for solving investment-consumption problems when asset prices jump. We also demonstrate how to quantify utility losses using an "optimal fee" approach - measuring how much a portfolio advisor could charge an investor to provide them with the new investment technology. As an application we consider empirically plausible models for the S&P 500 index. We conclude that while there are some moderate differences in optimal investment behaviour once jumps are accounted for the actual utility loss in economic terms is very low.
Open Access
Electricity Market Operation: Transitioning from a Free Market to a Single Buyer structure: An econometric analysis of the Brazilian case using a Two-State Markov Switching Model
(Te Herenga Waka—Victoria University of Wellington, 2015) Daglish, Toby; de Braganca, Gabriel; Owen, Sally; Romano, Teresa
We examine electricity market reform in Brazil: from the 1990s till 2004 the largely hydro-powered market cleared using a market mechanism, and in March 2004 reformed to a single buyer structure. We model day-ahead returns using a Two-State Markov Switching Model with dummy variable analysis, allowing water storage and natural inflows to affect returns and volatility. Our results indicate the single buyer structure decreased volatility during stable periods but worsened energy crises. Post-reform, we find a more forgiving environment for the allocation of stored energy given natural water inflows, however sub-optimal water management leads to energy crises developing.
Open Access
An Exploration of School Quality, House Prices and Geographical Location in Wellington, New Zealand
(Te Herenga Waka—Victoria University of Wellington, 2014) Daglish, Toby; De Roiste, Mairead
ISCR and Victoria University of Wellington undertook a project with Sarah Crilly, a Higher Diploma of Data Science and Analytics student at the Cork Institute of Technology, Ireland in a project investigating school quality measures and house prices in Wellington, New Zealand. This project was presented at the Central Statistics Office, the Irish equivalent to Statistics New Zealand, at a Data Science seminar on the 31st of April 2014. This project investigates available school measures, their use as measures of school quality and explores whether school quality is associated with house prices in Wellington, New Zealand. Geographical Information Science and Systems (GIS) is used as a descriptive and analytic tool in tandem with multiple linear regression and k-means clustering. It is found that a socioeconomic measure known as school decile, student ethnicity and assessment results are likely school quality measures. The association between school quality measures and house prices is found to be statistically significant but not strong.
Restricted
FINA305: Finance: Investments
(Victoria University of Wellington, 2011) Daglish, Toby
Open Access
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?
(Te Herenga Waka—Victoria University of Wellington, 2008) Daglish, Toby; Maheu, John; McCurdy, Tom
This paper proposes a fully-specified equilibrium approach which provides both financial and utility metrics for comparing alternative beliefs about the conditional distribution of a stock price. In this paper we focus on differences in volatility dynamics which are inputs to investors' assessments of a derivative security. We construct equilibria in which different investors (models) trade a derivative that is sensitive to the volatility of the underlying asset. Our approach can be used to assess the economic importance of parameter uncertainty and model misspecification. Examples using simulated data demonstrate that informed investors (investors with better models) make money and utility gains against uninformed investors. Parameter uncertainty and model uncertainty in general both lead to lower profits. Using historical data we find that GARCH models make significant gains against constant and exponentially weighted moving average specifications of volatility.
Open Access
Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US
(Te Herenga Waka—Victoria University of Wellington, 2011) Patel, Nimesh; Daglish, Toby
We examine the decision to prepay a fixed rate mortgage in the UK Canada Ireland Australia and New Zealand. These countries are characterised by having substantial fees which are associated with breaking a fixed rate mortgage. We develop a model which allows for fluctuations both in banks' wholesale rates and credit spreads. We find that households can achieve economically significant benefits both from following an optimal prepayment strategy contingent on the break fee used by their bank and also by selection of fixed interest rate term and (where available) break fee structure.
Open Access
How to get from Avalon to Berhampore: commuting and car ownership decisions in Wellington, NZ' presented by Toby Daglish on 15 May 2013
(Te Herenga Waka—Victoria University of Wellington, 2013) Daglish, Toby
Commuting decisions have major implications for government departments, city and regional councils, car dealers, petrol stations, and household pocket books. We use the NZ Household Travel Survey to explore the decisions made by households in Wellington regarding commuting mode (busing, training, driving, cycling or walking) and intensity of car ownership. Who are the people sitting bumper to bumper on the motorway, and who are the coves in sneakers walking down the hills each morning?
Open Access
Lattice methods for no-arbitrage pricing of interest rate securities
(Te Herenga Waka—Victoria University of Wellington, 2010) Daglish, Toby
We explore calibration of single factor no-arbitrage short rate models to yield and volatility information. We note that the calculation of Arrow-Debreu prices for interest rate securities is analogous to solving the Kolmogorov Forward Equation. This insight allows us to implement implicit methods which exhibit more rapid convergence than explicit methods. We develop an algorithm for calibrating a model to match both yield and volatility curves which is general across single factor short rate models and also across finite difference techniques. Numerical examples confirm that our approach vastly improves computation times for derivative pricing.
Open Access
Living with Mortgage Break Fees
(Te Herenga Waka—Victoria University of Wellington, 2010) Patel, Nimesh; Daglish, Toby
Toby Daglish and Nimesh Patel discuss the rationale behind banks charging break-fees to recoup their losses as a result of customers prepaying loans. Next they chart the historical levels of these for New Zealand. Lastly they develop a model which allows for fluctuations both in banks' wholesale rates and also credit spreads. They find that households can achieve economically significant benefits from both following an optimal prepayment strategy contingent on the break fee used by their bank and also by selection of fixed interest rate term and break fee structure.
Restricted
MOFI305: Money and Finance: Investments
(Victoria University of Wellington, 2008) Daglish, Toby
Restricted
MOFI305: Money and Finance: Investments
(Victoria University of Wellington, 2009) Daglish, Toby
Restricted
MOFI305: Money and Finance: Investments
(Victoria University of Wellington, 2010) Daglish, Toby
Restricted
MOFI306: Money and Finance: Special Topic: Financial Economics
(Victoria University of Wellington, 2008) Daglish, Toby
Open Access
Optimal discrete hedging in the Heston Stochastic Volatility Model
(Te Herenga Waka—Victoria University of Wellington, 2008) Daglish, Toby; Neely, Chris
We present a closed form solution for the optimal hedging strategy in discrete time of an option whose underlying security follows the Heston Stochastic Volatility process. Our Monte Carlo simulations indicate that this significantly improves hedging performance at weekly and longer hedging intervals when compared to continuous time hedging procedures.