Imports into New Zealand are tax-free if the duty and GST payable is less than $60. This has resulted in an effective value threshold of between $226 and $399, significantly higher than many of our trading partners. We examine other nations’ thresholds and border practices with a view to...

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,...

This paper examines the selection of data source and econometric technique for studies of banking efficiency using translog cost functions. We examine the use of Seemingly Unrelated Regression estimation for a cost function, as against estimation using Ordinary Least Squares. Choice of cost data...

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...

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...

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...

It is common practise in industry for traders to use copula models combined with observed market prices to calculate implied correlations for firm defaults. The actual feasibility of this calculation depends on the assumption that there is a one-to-one mapping between values of CDO tranches and...

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...

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...

Toby Daglish's presentation at the Reserve Bank of NZ, May 2012.