The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?

This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to forecast out-of-sample four major US dollar exchange rates using various economic criteria of model evaluation. The analysis shows that the model provides economic value to a risk-averse investor, delivering substantial utility gains when switching from a portfolio strategy based on the random walk benchmark to one that conditions on cyclical external imbalances.foreign exchange; predictability; global imbalances; fundamentals.

The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000a) in two directions: (i) we implement statistical tests designed to increase test power in this context; (ii) more importantly, we assess the economic value of departures from the EH based on criteria of profitability and economic significance in the context of a simple trading strategy. The EH is rejected throughout the term structure examined on the basis of the statistical tests. However, the results of our economic analysis are favorable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant.Interest rates

The use of ultrasound in clinical setting for children affected by NAFLD. is it safe and accurate?

Non-alcoholic fatty liver disease (NAFLD) has become over the last decade the most common form of chronic liver disease in children and adults. Thus, establishing the diagnosis of NAFLD is of utmost importance and represents a major challenge as the disease is generally silent and the current gold standard for diagnosis is an invasive liver biopsy, a procedure that is not suitable for screening purposes. Many non-invasive diagnostic tools have been evaluated so far. Recently the utility of ultrasonography for non-invasive diagnosis and estimation of hepatic steatosis has been demonstrated in a large prospective pediatric study

Currency premia and global imbalances

© 2016 The Author 2016. Published by Oxford University Press on behalf of The Society for Financial Studies. We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate theory based on capital flows in imperfect financial markets. We also find that the global imbalance factor is priced in cross-sections of other major asset markets

Paediatric non-alcoholic fatty liver disease: impact on patients and mothers' quality of life

Background: Non-alcoholic fatty liver disease (NAFLD) is one of the causes of fatty liver in adults and is currently the primary form of chronic liver disease in children and adolescents. However, the psychological outcome (i.e. the behavioural problems that can in turn be related to psychiatric conditions, like anxiety and mood disorders, or lower quality of life) in children and adolescents suffering of NAFLD has not been extensively explored in the literature. Objectives: The present study aims at evaluating the emotional and behavioural profile in children suffering from NAFLD and the quality of life in their mothers. Patients and Methods: A total of 57 children (18 females/39 males) with NAFLD were compared to 39 age-matched control children (25 females/14 males). All participants were submitted to the following psychological tools to assess behavior, mood, and anxiety: the Multidimensional Anxiety Scale for Children (MASC), the Child Behavior Checklist (CBCL), and the Children's Depression Inventory (CDI). Moreover, the mothers of 40 NAFLD and 39 control children completed the World Health Organization Quality of Life-BREF (WHOQOL-BREF) questionnaire. Results: NAFLD children scored significantly higher as compared to control children in MASC (P = 0.001) and CDI total (P < 0.001) scales. The CBCL also revealed significantly higher scores for NAFLD children in total problems (P = 0.046), internalizing symptoms (P = 0.000) and somatic complaints (P < 0.001). The WHOQOL-BREF revealed significantly lower scores for the mothers of NAFLD children in the overall perception of the quality of life (P < 0.001), and in the "relationships" domain (P = 0.023). Conclusions: Increased emotional and behavioural problems were detected in children with NAFLD as compared to healthy control children, together with an overall decrease in their mothers' quality of life. These results support the idea that these patients may benefit from a psychological intervention, ideally involving both children and parents, whose quality of life is likely negatively affected by this disease

Volatility risk premia and exchange rate predictability

© 2016. We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility risk premia for currency returns. The volatility risk premium-the difference between expected realized volatility and model-free implied volatility-reflects the costs of insuring against currency volatility fluctuations. The strategy sells high insurance-cost currencies and buys low insurance-cost currencies. A distinctive feature of the strategy's returns is that they are mainly generated by movements in spot exchange rates instead of interest rate differentials. We explore explanations for the profitability of the strategy, which cannot be understood using traditional risk factors

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000a) in two directions: (i) we implement statistical tests designed to increase test power in this context; (ii) more importantly, we assess the economic value of departures from the EH based on criteria of profitability and economic significance in the context of a simple trading strategy. The EH is rejected throughout the term structure examined on the basis of the statistical tests. However, the results of our economic analysis are favorable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant

CXCR4 pos circulating progenitor cells coexpressing monocytic and endothelial markers correlating with fibrotic clinical features are present in the peripheral blood of patients affected by systemic sclerosis

There is still controversy regarding the role of circulating endothelial and progenitor cells (CECs/CEPs) in the pathogenesis of systemic sclerosis (SSc). Using a sequential Boolean gating strategy based on a 4-color flow cytometric protocol, an increased number of CD31(pos)/CD184(pos)(CXCR4)/CD34(pos)/CD45(pos) and CD31(pos)/CD117(pos) (c-kit-R) /CD34(pos)/ CD45(pos) hematopoietic circulating progenitor cells (HCPCs) was detected in SSc patients compared with healthy subjects. In SSc, no circulating mature and progenitor endothelial cells were observed, while an enhanced generation of erythroid progenitor cells was found to be correlated with the presence of CD117+ HCPCs. The presence of freshly detected CXCR4posHCPC was correlated either to the in vitro cultured spindle-shaped endothelial like cells (SELC) with an endo/myelomonocytic profile or to SDF-1 and VEGF serum level. These data are related to more fibrotic clinical features of the disease, thus supporting a possible role of these cells in fibrosis

Exchange Rates and Sovereign Risk

We empirically investigate the relation between currency excess returns and sovereign risk, as measured by credit default swap (CDS) spreads. An increase in a country’s CDS spread is accompanied by a contemporaneous depreciation of its exchange rate as well as an increase of its currency volatility and crash risk. The link between currency excess returns and sovereign risk is mainly driven by exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. Sovereign risk forecasts excess returns to trading exchange rates, volatility and skewness, and is strongly priced in the cross-section of currencies. Moreover, we find that sovereign risk accounts for a large share of carry trade returns, and that carry and momentum strategies generate high (low) returns across countries with high (low) sovereign risk

Exchange rates and sovereign risk

An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks, and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor.Christian Wagner acknowledges support from the Center for Financial Frictions (FRIC), grant no. DNRF10