An Improved Combinatorial Polynomial Algorithm for the Linear Arrow-Debreu Market

We present an improved combinatorial algorithm for the computation of equilibrium prices in the linear Arrow-Debreu model. For a market with $n$ agents and integral utilities bounded by $U$, the algorithm runs in $O(n^7 \log^3 (nU))$ time. This improves upon the previously best algorithm of Ye by a factor of \tOmega(n). The algorithm refines the algorithm described by Duan and Mehlhorn and improves it by a factor of \tOmega(n^3). The improvement comes from a better understanding of the iterative price adjustment process, the improved balanced flow computation for nondegenerate instances, and a novel perturbation technique for achieving nondegeneracy.Comment: to appear in SODA 201

Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach

We incorporate aggregation and index number theory into monetary models of exchange rate determination in a manner that is internally consistent with money market equilibrium. Divisia monetary aggregates and user-cost concepts are used for money supply and opportunity-cost variables in the monetary models. We estimate a flexible price monetary model, a sticky price monetary model, and the Hooper and Morton (1982) model for the US dollar/UK pound exchange rate. We compare forecast results using mean square error, direction of change, and Diebold-Mariano statistics. We find that models with Divisia indexes are better than the random walk assumption in explaining the exchange rate fluctuations. Our results are consistent with the relevant theory and the 'Barnett critique.'Exchange rate, forecasts, vector error correction, aggregation theory, index number theory, Divisia index number

Modelling and Forecasting the Indian Re/US Dollar Exchange Rate

This paper develops vector autoregressive and Bayesian vector autoregressive models to forecast the Indian Re/US dollar exchange rate which is governed by a managed floating exchange rate regime. It considers extensions of the monetary model that include the forward premium, capital inflows, volatility of capital flows, order flows and central bank intervention. The study finds that the monetary model generally outperforms the naïve model. It also finds that forecast accuracy can be improved by extending the monetary model to include forward premium, volatility of capital inflows and order flow. Information on intervention by the central bank also helps to improve forecasts at the longer end. The study also reports that the Bayesian vector autoregressive models generally outperform their corresponding VAR variants.exchange rate; monetary model; VAR and Bayesian VAR models

Protocol for the Foot in Juvenile Idiopathic Arthritis trial (FiJIA): a randomised controlled trial of an integrated foot care programme for foot problems in JIA

<b>Background</b>: Foot and ankle problems are a common but relatively neglected manifestation of juvenile idiopathic arthritis. Studies of medical and non-medical interventions have shown that clinical outcome measures can be improved. However existing data has been drawn from small non-randomised clinical studies of single interventions that appear to under-represent the adult population suffering from juvenile idiopathic arthritis. To date, no evidence of combined therapies or integrated care for juvenile idiopathic arthritis patients with foot and ankle problems exists. <b>Methods/design</b>: An exploratory phase II non-pharmacological randomised controlled trial where patients including young children, adolescents and adults with juvenile idiopathic arthritis and associated foot/ankle problems will be randomised to receive integrated podiatric care via a new foot care programme, or to receive standard podiatry care. Sixty patients (30 in each arm) including children, adolescents and adults diagnosed with juvenile idiopathic arthritis who satisfy the inclusion and exclusion criteria will be recruited from 2 outpatient centres of paediatric and adult rheumatology respectively. Participants will be randomised by process of minimisation using the Minim software package. The primary outcome measure is the foot related impairment measured by the Juvenile Arthritis Disability Index questionnaire's impairment domain at 6 and 12 months, with secondary outcomes including disease activity score, foot deformity score, active/limited foot joint counts, spatio-temporal and plantar-pressure gait parameters, health related quality of life and semi-quantitative ultrasonography score for inflammatory foot lesions. The new foot care programme will comprise rapid assessment and investigation, targeted treatment, with detailed outcome assessment and follow-up at minimum intervals of 3 months. Data will be collected at baseline, 6 months and 12 months from baseline. Intention to treat data analysis will be conducted. A full health economic evaluation will be conducted alongside the trial and will evaluate the cost effectiveness of the intervention. This will consider the cost per improvement in Juvenile Arthritis Disability Index, and cost per quality adjusted life year gained. In addition, a discrete choice experiment will elicit willingness to pay values and a cost benefit analysis will also be undertaken

Ascending-Price Algorithms for Unknown Markets

We design a simple ascending-price algorithm to compute a $(1+\varepsilon)$-approximate equilibrium in Arrow-Debreu exchange markets with weak gross substitute (WGS) property, which runs in time polynomial in market parameters and $\log 1/\varepsilon$. This is the first polynomial-time algorithm for most of the known tractable classes of Arrow-Debreu markets, which is easy to implement and avoids heavy machinery such as the ellipsoid method. In addition, our algorithm can be applied in unknown market setting without exact knowledge about the number of agents, their individual utilities and endowments. Instead, our algorithm only relies on queries to a global demand oracle by posting prices and receiving aggregate demand for goods as feedback. When demands are real-valued functions of prices, the oracles can only return values of bounded precision based on real utility functions. Due to this more realistic assumption, precision and representation of prices and demands become a major technical challenge, and we develop new tools and insights that may be of independent interest. Furthermore, our approach also gives the first polynomial-time algorithm to compute an exact equilibrium for markets with spending constraint utilities, a piecewise linear concave generalization of linear utilities. This resolves an open problem posed by Duan and Mehlhorn (2015).Comment: 33 page

Constructing an alternative measure of changes in reserve requirement ratios

Bank reserves

Do Financial Institutions Matter?

In standard asset pricing theory, investors are assumed to invest directly in financial markets. The role of financial institutions is ignored. The focus in corporate finance is on agency problems. How do you ensure that managers act in shareholders' interests? There is an inconsistency in assuming that when you give your money to a financial institution there is no agency problem but when you give it to a firm there is. It is argued both areas need to take proper account of the role of financial institutions and markets. Appropriate concepts for analyzing particular situations should be used.