Theoretical and empirical aspects of financial market volatility : herding, contagion and intervention

This thesis examines the theoretical and empirical aspects of financial market volatility. Financial markets are essentially volatile. However, excess volatility may impair the smooth functioning of the financial system and economic performance. Volatility that was evident in financial markets during the recent financial crisis, and, even more recently, during the European debt crisis, has attracted renewed interest in studying volatility. The most prominent feature of this crisis was its widespread effects on the financial markets of developed countries, while leaving emerging markets as the success story. The main objectives of this thesis are twofold. The first is to quantify and investigate the nature of the factors behind the transmission of volatility on and among financial markets during the crisis of 2007-2011, with a special focus on developed countries. Both analytical and empirical modeling approaches are used. The analytical approach in Chapter 2 is built up on the herd behavior of international investors, using the role of carry traders' as a conduit. Particular attention is given to modeling the way in which private signals on margin requirements lead some investors to change their decisions, and how their strategic behavior transmits shocks across countries. Chapter 3 adopts an empirical approach using a latent factor methodology, and aims to explore the transmission mechanisms of the crisis through equity and bond markets over different phases of the crisis of 2007-2011. The factor model in particular specifies contagion channels through cross-country and cross-market contagion linkages, after controlling for other forms of fundamentals through the factor structure. The second objective of the thesis is to examine whether and how successfully emerging market central banks attempt to shield their domestic currency market from externally sourced financial market volatility through foreign exchange intervention. Two empirical approaches, the generalized autoregressive heteroskedasticity approach in Chapter 4 and the latent factor approach in Chapter 5, are used to explore the significance and effectiveness of foreign exchange intervention using a unique data set of daily intervention obtained from the Central Bank of Sri Lanka. Overall, this thesis finds strong evidence for the transmission of asset market volatility across developed countries during the crisis of 2007-2011. Through herd behavior and the feedback effects in asset prices and exchange rates, financial markets can be destabilized during crises. Financial market contagion is another significant channel through which the stability in the financial system can be compromised, and several channels of contagion are identified and estimated for different phases of the crisis. However, the relative importance of each contagion channel varies depending on the source asset market and the phase of the crisis. Turning to emerging market responses to periods of global volatility, foreign exchange intervention is found to be an effective policy instrument for shielding against external shocks, as is evident for Sri Lanka. Intervention is aimed to "lean against the wind" to reduce volatility and to accumulate international reserves. The central bank responds to global movements in currency markets when intervening, rather than movements specific to the domestic currency market

Human Antibodies that Slow Erythrocyte Invasion Potentiate Malaria-Neutralizing Antibodies.

The Plasmodium falciparum reticulocyte-binding protein homolog 5 (PfRH5) is the leading target for next-generation vaccines against the disease-causing blood-stage of malaria. However, little is known about how human antibodies confer functional immunity against this antigen. We isolated a panel of human monoclonal antibodies (mAbs) against PfRH5 from peripheral blood B cells from vaccinees in the first clinical trial of a PfRH5-based vaccine. We identified a subset of mAbs with neutralizing activity that bind to three distinct sites and another subset of mAbs that are non-functional, or even antagonistic to neutralizing antibodies. We also identify the epitope of a novel group of non-neutralizing antibodies that significantly reduce the speed of red blood cell invasion by the merozoite, thereby potentiating the effect of all neutralizing PfRH5 antibodies as well as synergizing with antibodies targeting other malaria invasion proteins. Our results provide a roadmap for structure-guided vaccine development to maximize antibody efficacy against blood-stage malaria. Copyright © 2019 The Author(s). Published by Elsevier Inc. All rights reserved

Wild bonobos host geographically restricted malaria parasites including a putative new <i>Laverania</i> species

Malaria parasites, though widespread among wild chimpanzees and gorillas, have not been detected in bonobos. Here, we show that wild-living bonobos are endemically Plasmodium infected in the eastern-most part of their range. Testing 1556 faecal samples from 11 field sites, we identify high prevalence Laverania infections in the Tshuapa-Lomami-Lualaba (TL2) area, but not at other locations across the Congo. TL2 bonobos harbour P. gaboni, formerly only found in chimpanzees, as well as a potential new species, Plasmodium lomamiensis sp. nov. Rare co-infections with non-Laverania parasites were also observed. Phylogenetic relationships among Laverania species are consistent with co-divergence with their gorilla, chimpanzee and bonobo hosts, suggesting a timescale for their evolution. The absence of Plasmodium from most field sites could not be explained by parasite seasonality, nor by bonobo population structure, diet or gut microbiota. Thus, the geographic restriction of bonobo Plasmodium reflects still unidentified factors that likely influence parasite transmission

Genomes of cryptic chimpanzee Plasmodium species reveal key evolutionary events leading to human malaria

African apes harbour at least six Plasmodium species of the subgenus Laverania, one of which gave rise to human Plasmodium falciparum. Here we use a selective amplification strategy to sequence the genome of chimpanzee parasites classified as Plasmodium reichenowi and Plasmodium gaboni based on the subgenomic fragments. Genome-wide analyses show that these parasites indeed represent distinct species, with no evidence of cross-species mating. Both P. reichenowi and P. gaboni are 10-fold more diverse than P. falciparum, indicating a very recent origin of the human parasite. We also find a remarkable Laverania-specific expansion of a multigene family involved in erythrocyte remodelling, and show that a short region on chromosome 4, which encodes two essential invasion genes, was horizontally transferred into a recent P. falciparum ancestor. Our results validate the selective amplification strategy for characterizing cryptic pathogen species, and reveal evolutionary events that likely predisposed the precursor of P. falciparum to colonize humans