Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?

This paper examines the forecasting qualities of Bayesian Model Averaging (BMA) over a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than the majority of the short-rate models, but marginally worse off than the best model in each dataset. We observe preference for models incorporating volatility clustering for weekly data and simpler short rate models for high frequency data. This is contrary to the popular belief that a diffusion process with volatility clustering best characterizes the short rate.Bayesian model averaging, out-of-sample forecasts

Regional Indexes of Activity: Combining the Old with the New

This paper proposes a framework to construct indexes of activity which links two strands of the index literature – the traditional business cycle analysis and the latent variable approach. To illustrate the method, we apply the framework to Australian regional data, namely to two resource-rich and two service-based states. The results reveal differences in the evolution and drivers of economic activity across the four states. We also demonstrate the value of the Index in a broader context by using a structural vector autoregression (SVAR) approach to analyse the effects of shocks from the US and from China. This Index-SVAR approach facilitates a richer analysis because the unique feature of the index method proposed here allows impulse responses to be traced back to the components.Regional economic activity, coincident indicators, dynamic latent factor model

The behaviour of U.S. public debt and deficits during the global financial crisis

In this paper we test the sustainability of U.S. public debt for the period 1916-2012 by analyzing how the primary surplus to gross domestic product (GDP) responds to changes in the debt to GDP ratio in a time-varying parameter model. Further, we determine the stationarity property of the debt/GDP ratio while accommodating possible breaks in the data caused by wars and economic crisis under both the null and alternative hypotheses of an endogenous unit root test. The results show that the U.S. public debt was sustainable until 2005 when the primary surplus to GDP reacted negatively to the debt/income ratio. This is further exacerbated during the global financial crisis when primary surpluses continued to fall with increased debt, thus jeopardizing the sustainability of fiscal policy. While the stationarity test shows that the U.S. fiscal debt/GDP ratio is sustainable, it fails to highlight the risk that its debt policy has been becoming unsustainable in recent years

2009年澳大利亚经济回顾:复苏之路

原载:THE AuSTrAlIAn ECOnOMIC rEVIEW,VOl.43,nO.1,PP.1-111.引言正如图1所示,2009年全球gdP增速急剧下降1,世界贸易也随之大幅下滑。受七国集团经济下滑影响,全球总产出下降了大概1.1%。就如多米若骨牌,美国增长率下降了2.7%

Increased detection of Plasmodium knowlesi in Sandakan division, Sabah as revealed by PlasmoNex

Background: Plasmodium knowlesi is a simian malaria parasite that is widespread in humans in Malaysian Borneo. However, little is known about the incidence and distribution of this parasite in the Sandakan division, Malaysian Borneo. Therefore, the aim of the present epidemiological study was to investigate the incidence and distribution of P. knowlesi as well as other Plasmodium species in this division based on a most recent developed hexaplex PCR system (PlasmoNex™). Methods: A total of 189 whole blood samples were collected from Telupid Health Clinic, Sabah, Malaysia, from 2008 to 2011. All patients who participated in the study were microscopically malaria positive before recruitment. Complete demographic details and haematological profiles were obtained from 85 patients (13 females and 72 males). Identification of Plasmodium species was conducted using PlasmoNex™ targeting the 18S ssu rRNA gene. Results: A total of 178 samples were positive for Plasmodium species by using PlasmoNex™. Plasmodium falciparum was identified in 68 samples (38.2%) followed by 64 cases (36.0%) of Plasmodium vivax, 42 (23.6%) cases of P. knowlesi, two (1.1%) cases of Plasmodium malariae and two (1.1%) mixed-species infections (i e, P. vivax/ P. falciparum). Thirty-five PlasmoNex™ positive P. knowlesi samples were misdiagnosed as P. malariae by microscopy. Plasmodium knowlesi was detected in all four districts of Sandakan division with the highest incidence in the Kinabatangan district. Thrombocytopaenia and anaemia showed to be the most frequent malaria-associated haematological complications in this study. Conclusions: The discovery of P. knowlesi in Sandakan division showed that prospective studies on the epidemiological risk factors and transmission dynamics of P. knowlesi in these areas are crucial in order to develop strategies for effective malaria control. The availability of advanced diagnostic tool PlasmoNex™ enhanced the accuracy and accelerated the speed in the diagnosis of malari

Destabilization of β Cell FIT2 by saturated fatty acids alter lipid droplet numbers and contribute to ER stress and diabetes

Western-type diets are linked to obesity and diabetes partly because of their high–saturated fatty acid (SFA) content. We found that SFAs, but not unsaturated fatty acids (USFAs), reduced lipid droplets (LDs) within pancreatic β cells. Mechanistically, SFAs, but not USFAs, reduced LD formation by inducing S-acylation and proteasomal, mediated degradation of fat storage–inducing transmembrane protein 2 (FIT2), an endoplasmic reticulum (ER) resident protein important for LD formation. Targeted ablation of FIT2 reduced β cell LD numbers, lowered β cell ATP levels, reduced Ca(2+) signaling, dampened vesicle exocytosis, down-regulated β cell transcription factors, up-regulated unfolded protein response genes, and finally, exacerbated diet-induced diabetes in mice. Subsequent mass spectrometry studies revealed increased C16:0 ceramide accumulation in islets of diet-induced diabetes mice lacking β cell FIT2. Inhibition of ceramide synthases ameliorated the enhanced ER stress and improved insulin secretion. FIT2 was reduced in mouse diabetic islets, and separately, overexpression of FIT2 increased the number of intracellular LDs and rescued SFA-induced ER stress and apoptosis, thereby highlighting the protective role of FIT2 and LDs against β cell lipotoxicity

Global patient outcomes after elective surgery: prospective cohort study in 27 low-, middle- and high-income countries.

BACKGROUND: As global initiatives increase patient access to surgical treatments, there remains a need to understand the adverse effects of surgery and define appropriate levels of perioperative care. METHODS: We designed a prospective international 7-day cohort study of outcomes following elective adult inpatient surgery in 27 countries. The primary outcome was in-hospital complications. Secondary outcomes were death following a complication (failure to rescue) and death in hospital. Process measures were admission to critical care immediately after surgery or to treat a complication and duration of hospital stay. A single definition of critical care was used for all countries. RESULTS: A total of 474 hospitals in 19 high-, 7 middle- and 1 low-income country were included in the primary analysis. Data included 44 814 patients with a median hospital stay of 4 (range 2-7) days. A total of 7508 patients (16.8%) developed one or more postoperative complication and 207 died (0.5%). The overall mortality among patients who developed complications was 2.8%. Mortality following complications ranged from 2.4% for pulmonary embolism to 43.9% for cardiac arrest. A total of 4360 (9.7%) patients were admitted to a critical care unit as routine immediately after surgery, of whom 2198 (50.4%) developed a complication, with 105 (2.4%) deaths. A total of 1233 patients (16.4%) were admitted to a critical care unit to treat complications, with 119 (9.7%) deaths. Despite lower baseline risk, outcomes were similar in low- and middle-income compared with high-income countries. CONCLUSIONS: Poor patient outcomes are common after inpatient surgery. Global initiatives to increase access to surgical treatments should also address the need for safe perioperative care. STUDY REGISTRATION: ISRCTN5181700

On the Pernicious Effects of Oil Price Uncertainty on U.S. Real Economic Activities

The last five decades have witnessed dramatic changes in crude oil price dynamics. We identify the influence of extreme oil shocks and changing oil price uncertainty dynamics associated with economic and political events. Neglecting these features of the data can lead to model misspecification that gives rise to: firstly, an explosive volatility process for oil price uncertainty; and secondly, erroneous output growth dynamic responses to oil shocks. Unlike past studies, our results show that the sharp increase in oil price uncertainty after mid-1985 has a pernicious e¤ect on output growth. Output growth responds symmetrically (asymmetrically) to positive and negative shocks in the period when oil price uncertainty is lower (higher) and more (less) persistent before (after) mid- 1985. These contrasting results from Elder and Serletis (2010) highlight the importance of accounting for outliers and volatility breaks in oil price and output growth, and the need to better understand the response of economic activity to oil shocks in the presence of oil price uncertainty

Do Petrol Prices Increase Faster than They Fall in Market Disequilibria?

This paper tests the idea that petrol prices respond more quickly to price increases than to decreases. We show that the results previously documented in the literature for Australia are spurious due to failure to establish the stationarity property of the price series, and the cointegration relationship between retail and wholesale prices when neglecting to account for a regime shift in the data. Using a robust approach involving a threshold error correction model, we find little evidence to support the contention that retail petrol price reverts asymmetrically to long-run equilibrium. Asymmetric adjustments in retail prices are found only in four of the twenty-eight retail gas stations in Queensland. These results cast doubt on the previously reported pervasiveness of this asymmetric price response phenomenon in Australia. We further caution on erroneous inference with the use of weekly rather than daily data, and when failing to account for a regime shift in the data

Markov-switching mean reversion in short-term interest rates: Evidence from East Asian economies

This paper employs a Markov-switching approach to model the dynamics of East Asian short rates. Regime changes are incorporated in standard unit root test to reveal periodic changes in the stationarity property of interest rates. There is evidence that three of the five short rates follow a random walk process in tranquil and low rates episodes but mean-revert in periods when rates are high and volatile. Singapore short rates are characterised by a random walk process, whereas the Philippines rates behave as a mean-reverting process in both regimes. Factors such as exchange rates, monetary policy and interest rate differentials vis-à-vis US interest rates influence the likelihood of short rates being in a volatile state. The regime switching dynamics of interest rates carry important implications for policy-makers