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- PublicationFrom Income Poverty to Multidimensional Quality of Life(Economic and Social Studies, 2019-12-16)In this paper we provide an overview of the movement in Ireland from a focus on income poverty to the incorporation of deprivation indicators in a multidimensional approach to the measurement of poverty. We then seek to place this approach, involving a restricted incorporation of deprivation dimensions, in the context of a broader multidimensional approach to the understanding of poverty in Ireland. We proceed to extend our consideration to multidimensional approaches to quality of life which have involved macro and micro approaches to developing aggregate measures that go well beyond the normal concerns of poverty research. In so doing, we will seek to show that while all of these approaches must face key judgements relating to choices of dimensions, thresholds, weighting and aggregation, there is significant variation in the challenges posed in relation to the scale of aggregation, the degree of multidimensionality aspired to and the availability of data sources that match such ambitions. Given these issues, the superiority of a multidimensional approach and of a focus more broadly on quality of life must be demonstrated rather than assumed.
- PublicationOn the term structure of liquidity in the European sovereign bond market(Elsevier, 2020-05)The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of Europe’s leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to trade on shorter-term benchmarks during liquidity dry-ups. We provide evidence of significant commonalities in spread and depth liquidity proxies which are weaker during the crisis period for both core and periphery economies although periphery countries display higher commonality than core countries during the crisis. We show that illiquidity of the periphery countries plays an important role in market dynamics and Granger causes illiquidity, volatility, returns, and CDS spreads across the maturity spectrum in both calm and crisis periods. Liquidity is priced both as a characteristic and as a risk factor even when controlling for credit risk, pointing to liquidity’s systematic dimension and importance.
- PublicationSovereign bond return prediction with realized higher moments(Elsevier, 2019-09)This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and across core and periphery markets at the index and country level. We provide fresh evidence that realized kurtosis is the dominant predictor of subsequent returns among higher moments and other predictors such as CDS spreads, short-term interest rates and implied stock market volatility. Our findings further underline that sovereign bond return predictability is stronger during crisis periods and more pronounced for bonds of lower credit ratings.
228Scopus© Citations 16
- PublicationIreland’s National Asset Management Agency (NAMA) and the British property market: Disposing of crisis(Smith Institute, 2016-05)A watershed year for the global economic system, the year 2008 also marked the demise of what had been broadly heralded as the ‘Celtic Tiger’ economic miracle as a triple crisis (financial, fiscal and banking) took hold in Ireland. Through the early 2000’s, much of the ‘growth’ sustained by a speculative property bubble facilitated in part by generous mortgage relief . The easy availability of credit coupled with low interest rates and fiscal incentives for property development, that had long run their course, fuelled the construction boom: in Ireland, at its peak, the number of houses completed was somewhere between 33-50% the number of homes being built in the UK. Whelan has calculated that “the total stock of mortgage loans in Ireland exploded from €16 billion in 2003:Q1 to a peak of €106 billion in 2008:Q3, about 60 percent of that year’s GDP” . A growing dependence on consumption-based taxes, became apparent with property-based taxes accounting for 20% of all Irish tax revenue in 2006. By the late 2000’s, property supply ‘overshot’ what was required, the market stagnated, and credit was closed off. Rather than relying on deposits, banks had engaged in high-risk practices borrowing short from the international money markets to lend to long-term projects, leaving the sector exposed when the global financial crisis and credit crunch hit in 2008. In response, the Irish government in September 2008 issued a blanket guarantee of the Irish domestic banking system in an effort to stem the withdrawal of large deposits and help facilitate capital raising. In early 2009, Anglo-Irish Bank was nationalised and three other banks recapitalised. Nonetheless the scale of their exposure was such that while loans made to property developers remained on their books, domestic banks could not raise funding nor stem capital outflows. In an effort to address the critical uncertainty regarding the banks’ exposure to property related loans, and facilitate the recovery of the sector, the Government announced the establishment of the National Asset Management Agency (NAMA) in an emergency budget in April 2009.
- PublicationLand Valuations, Market Practices, Pregnancy, Insanity: There's a Jury for That(UCD, 2017-11-27)Contemporary legal practitioners and academics are familiar with the use of juries in criminal trials. To a lesser extent, the use of juries in civil actions, although a rarity in 21st century Ireland, is recognised as having been the norm in the past, and continues to be an essential part of the administration of justice in other common law systems, notably the United States. Juries also continue to be used at coroners’ inquests, delivering verdicts on the causes of death. What might be less widely appreciated, however, was that in the past, juries were used in a much wider range of situations, ranging from the determination of pregnancy or insanity, to the regulation of market practices and the conducting of land valuations. The term ‘jury’ in these scenarios is to be given a wide interpretation, generally meaning a panel of laypersons with no judicial or other specialised training. In this paper, I propose to explore some of these ways in which panels of laypersons were used in 18th and 19th century Ireland as an essential aspect of law, order and the regulation of society. Why were juries used in such diverse contexts? What were the advantages or disadvantages of doing so? Were there alternatives?