Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models

The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant.inflation targeting, conditional volatility, skewness and kurtosis, modelling uncertainty of inflation

The Impact of Energy Prices on Electricity Production in Egypt

The paper examines the impact of energy prices on electricity generation by different fuel sources (i.e., oil, gas, and hydropower) in Egypt by employing the Autoregressive Distributed Lag approach and bounds test. Two models are estimated where the first accounts for oil prices only whereas the second include both gas and oil prices. In the first model, oil prices negatively affect the electricity produced from oil in the short-run with no impact in the long-run. Also, hydropower is complementary for oil in electricity production only in the short-term whereas gas is a substitute for oil in both long and short terms. In the second model, both energy prices influence electricity generation from oil in both short and long runs while gas and hydropower are respectively, substitute and complementary to oil in both long and short-run.    Keywords: Energy prices, Electricity generation, Fuel, elasticity of production JEL Classifications: Q400, Q430 DOI: https://doi.org/10.32479/ijeep.796

Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models

The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant. JEL Classification: C13, E31, E37

Inflation Instability Impact on Interest Rate in Egypt: Augmented Fisher Hypothesis Test

The paper aims at examining an augmented version of Fisher hypothesis that include inflation instability. According to this hypothesis, there is a positive relation between interest rates and expected inflation. In contrast, there is a debate regarding the impact of inflation uncertainty on interest rate. According to the portfolio theory and models of asset pricing, inflation instability positively affects the interest rate. The reason is that risk-averse investors must be compensated with higher returns for higher risks. In contrast, the loanable funds theory implies a negative impact of inflation instability and interest rates since high uncertainty leads consumers to protect themselves against inflation by raising their savings which lowers consumption and interest rates. To compute inflation volatility, we applied different Autoregressive Conditional Heteroscedasticity models. The simple and augmented versions of Fisher hypothesis are examined using Markov Switch Model to account for possible regime shift in that relationship. For the original Fisher hypothesis, there is an evidence of supporting it in the first regime while that hypothesis does not hold in the second one. In the augmented version of Fisher hypothesis, portfolio theory hypothesis is verified in the first regime whereas the loanable funds hypothesis is confirmed in the second one

An Operational Framework for Inflation Targeting in Egypt

The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basically, it aimed at answering the following questions. (1) Should the central bank of Egypt shift to IT or continue with the current monetary policy framework, monetary aggregate targeting (MAT). (2) What the optimal policy horizon (OPH) should central bank choose to target inflation, (3) Does modelling inflation using models that allow for time-varying conditional variance, skewness and kurtosis helps in better understanding of inflation uncertainty? The main results of the thesis show that: (1) To answer the first question, the stability of velocity of money in circulation and money multiplier has been analysed using variance ratio tests and found unstable. Therefore, we could conclude that the current MAT framework cannot achieve its ultimate goal of price stability and it is believed that shifting to IT framework is highly recommended. (2) Concerning the OPH, the results show that the OPH is largely dependent on the nature of the shock and on a central bank’s preferences over goals. Thus, for different kinds of the shocks, even if they are generally classified of the same type, the concern of the central bank about other policy objectives affects the policy horizon. With respect to shock persistence, the results demonstrate that the horizon increases with the persistence of the shock as persistent shock distributed over many period in comparison with transitory and less persistent shocks. (3) To answer the third question, the methodology proposed by Leon, Rubio, and Serna (2005) for modelling nonconstant conditional second, third and fourth moments is applied. The results indicate that models with nonconstant second, third and fourth moments are superior to models with time invariant volatility, skewness and kurtosis

An operational framework for inflation targeting in Egypt

The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basically, it aimed at answering the following questions. (1) Should the central bank of Egypt shift to IT or continue with the current monetary policy framework, monetary aggregate targeting (MAT). (2) What the optimal policy horizon (OPH) should central bank choose to target inflation, (3) Does modelling inflation using models that allow for time-varying conditional variance, skewness and kurtosis helps in better understanding of inflation uncertainty? The main results of the thesis show that: (1) To answer the first question, the stability of velocity of money in circulation and money multiplier has been analysed using variance ratio tests and found unstable. Therefore, we could conclude that the current MAT framework cannot achieve its ultimate goal of price stability and it is believed that shifting to IT framework is highly recommended. (2) Concerning the OPH, the results show that the OPH is largely dependent on the nature of the shock and on a central bank’s preferences over goals. Thus, for different kinds of the shocks, even if they are generally classified of the same type, the concern of the central bank about other policy objectives affects the policy horizon. With respect to shock persistence, the results demonstrate that the horizon increases with the persistence of the shock as persistent shock distributed over many period in comparison with transitory and less persistent shocks. (3) To answer the third question, the methodology proposed by Leon, Rubio, and Serna (2005) for modelling nonconstant conditional second, third and fourth moments is applied. The results indicate that models with nonconstant second, third and fourth moments are superior to models with time invariant volatility, skewness and kurtosis.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Functional evaluation of patients with progressive systemic sclerosis-associated diffuse parenchymal lung disease

Background Interstitial lung diseases are common features in scleroderma that seem to add to the morbidity and mortality of the disease. Other complications that may occur with scleroderma are pulmonary hypertension. Aim to evaluate the functional status of patients with progressive systemic sclerosis-associated diffuse parenchymal lung disease. Methodology A total of 44 adult patients with a confirmed diagnosis of scleroderma were included. The disease severity was assumed by using the grading of the inter-incisor distance and finger-to-palm distance. Assessment of the chest high-resolution computed tomography (HRCT) was performed, and then functional assessment in the form of arterial blood gas, spirometry, 6-min walk distance, and echocardiography was performed. Results There were no significant differences between the scleroderma with diffuse parenchymal lung disease and those with normal HRCT regarding the measured and calculated parameters, except for the pulmonary artery systolic pressure, which was significantly higher in the normal HRCT group than those with interstitial lung disease

Role of interleukin-35 in rheumatoid arthritis pathogenesis and its relation to disease activity and joint damage

Aim This study aimed to discuss the role of interleukin-35 (IL-35) in the pathogenesis of rheumatoid arthritis (RA) and its relation to disease activity and radiological severity. Patients and methods Thirty patients diagnosed with RA were selected from the outpatient clinic and inpatient unit of Physical Medicine, Rheumatology and Rehabilitation Department, Tanta University Hospitals fulfilling the American College of Rheumatology/European League Against Rheumatism 2010 criteria for the diagnosis of RA, and 20 apparently healthy individuals who were matched in age and sex participated as controls. Patients with other autoimmune diseases, malignancy, or any current infections were excluded. Disease activity score in 28 joints was assessed for all patients. Rheumatoid factor, anticyclic citrullinated peptide, complete blood count, erythrocyte sedimentation rate and C-reactive protein and serum level of IL-35 measured by enzyme-linked immunosorbent assay were evaluated. The degree of joint destruction was assessed by Larsen score. Results Of the RA patients, 73.3%showed low serum levels of IL-35 with significant difference compared with controls, and its levels showed negative association with disease activity. IL-35 serum levels were significantly correlated with hemoglobin level, erythrocyte sedimentation rate, C-reactive protein, and rheumatoid factor and not correlated with anticyclic citrullinated peptide antibodies. Also IL-35 serum levels significantly correlated with radiological disease severity were assessed by Larsen score. Conclusion IL-35 had an immunoregulatory role in RA pathogenesis as its serum level is significantly low in RA patients and correlated with different parameters of disease activity and radiological severity

SARS-CoV-2 vaccination modelling for safe surgery to save lives: data from an international prospective cohort study

Background: Preoperative SARS-CoV-2 vaccination could support safer elective surgery. Vaccine numbers are limited so this study aimed to inform their prioritization by modelling. Methods: The primary outcome was the number needed to vaccinate (NNV) to prevent one COVID-19-related death in 1 year. NNVs were based on postoperative SARS-CoV-2 rates and mortality in an international cohort study (surgical patients), and community SARS-CoV-2 incidence and case fatality data (general population). NNV estimates were stratified by age (18-49, 50-69, 70 or more years) and type of surgery. Best- and worst-case scenarios were used to describe uncertainty. Results: NNVs were more favourable in surgical patients than the general population. The most favourable NNVs were in patients aged 70 years or more needing cancer surgery (351; best case 196, worst case 816) or non-cancer surgery (733; best case 407, worst case 1664). Both exceeded the NNV in the general population (1840; best case 1196, worst case 3066). NNVs for surgical patients remained favourable at a range of SARS-CoV-2 incidence rates in sensitivity analysis modelling. Globally, prioritizing preoperative vaccination of patients needing elective surgery ahead of the general population could prevent an additional 58 687 (best case 115 007, worst case 20 177) COVID-19-related deaths in 1 year. Conclusion: As global roll out of SARS-CoV-2 vaccination proceeds, patients needing elective surgery should be prioritized ahead of the general population