Supply driven mortgage choice

Variable mortgage contracts dominate the UK mortgage market (Miles, 2004). The dominance of the variable rate mortgage contracts has important consequences for the transmission mechanism of monetary policy decisions and systemic risks (Khandani et al., 2012; Fuster and Vickery, 2013). This raises an obvious concern that a mortgage market such as that in the UK, where the major proportion of mortgage debt is either at a variable or fixed for less than two years rate (Badarinza, et al., 2013; CML, 2012), is vulnerable to alterations in the interest rate regime. Theoretically, mortgage choice is determined by demand and supply factors. So far, most of the existing literature has focused on the demand side perspective, and what is limited is consideration of supply side factors in empirical investigation on mortgage choice decisions. This paper uniquely explores whether supply side factors may partially explain observed/ex-post mortgage type decisions. Empirical results detect that lenders’ profit motives and mortgage funding/pricing issues may have assisted in preferences toward variable rate contracts. Securitisation is found to positively impact upon gross mortgage lending volumes while negatively impacting upon the share of variable lending flows. This shows that an increase in securitisation not only improves liquidity in the supply of mortgage funds, but also has the potential to shift mortgage choices toward fixed mortgage debt. The policy implications may involve a number of measures, including reconsideration of the capital requirements for the fixed, as opposed to the variable rate mortgage debt, growing securitisation and optimisation of the mortgage pricing policies

Dynamic modeling of mean-reverting spreads for statistical arbitrage

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobserved spread process can reveal temporary market inefficiencies which can then be exploited to generate excess returns. Building on previous work, we embrace the state-space framework for modeling spread processes and extend this methodology along three different directions. First, we introduce time-dependency in the model parameters, which allows for quick adaptation to changes in the data generating process. Second, we provide an on-line estimation algorithm that can be constantly run in real-time. Being computationally fast, the algorithm is particularly suitable for building aggressive trading strategies based on high-frequency data and may be used as a monitoring device for mean-reversion. Finally, our framework naturally provides informative uncertainty measures of all the estimated parameters. Experimental results based on Monte Carlo simulations and historical equity data are discussed, including a co-integration relationship involving two exchange-traded funds.Comment: 34 pages, 6 figures. Submitte

Recommendations for a core outcome set for measuring standing balance in adult populations: a consensus-based approach

Standing balance is imperative for mobility and avoiding falls. Use of an excessive number of standing balance measures has limited the synthesis of balance intervention data and hampered consistent clinical practice.To develop recommendations for a core outcome set (COS) of standing balance measures for research and practice among adults.A combination of scoping reviews, literature appraisal, anonymous voting and face-to-face meetings with fourteen invited experts from a range of disciplines with international recognition in balance measurement and falls prevention. Consensus was sought over three rounds using pre-established criteria.The scoping review identified 56 existing standing balance measures validated in adult populations with evidence of use in the past five years, and these were considered for inclusion in the COS.Fifteen measures were excluded after the first round of scoring and a further 36 after round two. Five measures were considered in round three. Two measures reached consensus for recommendation, and the expert panel recommended that at a minimum, either the Berg Balance Scale or Mini Balance Evaluation Systems Test be used when measuring standing balance in adult populations.Inclusion of two measures in the COS may increase the feasibility of potential uptake, but poses challenges for data synthesis. Adoption of the standing balance COS does not constitute a comprehensive balance assessment for any population, and users should include additional validated measures as appropriate.The absence of a gold standard for measuring standing balance has contributed to the proliferation of outcome measures. These recommendations represent an important first step towards greater standardization in the assessment and measurement of this critical skill and will inform clinical research and practice internationally

Fall risk in an active elderly population – can it be assessed?

BACKGROUND: Falls amongst elderly people are often associated with fractures. Training of balance and physical performance can reduce fall risk; however, it remains a challenge to identify individuals at increased risk of falling to whom this training should be offered. It is believed that fall risk can be assessed by testing balance performance. In this study a test battery of physiological parameters related to balance and falls was designed to address fall risk in a community dwelling elderly population. RESULTS: Ninety-four elderly males and females between 70 and 80 years of age were included in a one year follow-up study. A fall incidence of 15% was reported. The test battery scores were not different between the fallers and non-fallers. Test scores were, however, related to self-reported health. In spite of inclusion of dynamic tests, the test battery had low fall prediction rates, with a sensitivity and specificity of 50% and 43% respectively. CONCLUSION: Individuals with poor balance were identified but falls were not predicted by this test battery. Physiological balance characteristics can apparently not be used in isolation as adequate indicators of fall risk in this population of community dwelling elderly. Falling is a complex phenomenon of multifactorial origin. The crucial factor in relation to fall risk is the redundancy of balance capacity against the balance demands of the individuals levels of fall-risky lifestyle and behavior. This calls for an approach to fall risk assessment in which the physiological performance is evaluated in relation to the activity profile of the individual

Executive Function and Falls in Older Adults: New Findings from a Five-Year Prospective Study Link Fall Risk to Cognition

Background: Recent findings suggest that executive function (EF) plays a critical role in the regulation of gait in older adults, especially under complex and challenging conditions, and that EF deficits may, therefore, contribute to fall risk. The objective of this study was to evaluate if reduced EF is a risk factor for future falls over the course of 5 years of follow-up. Secondary objectives were to assess whether single and dual task walking abilities, an alternative window into EF, were associated with fall risk. Methodology/Main Results We longitudinally followed 256 community-living older adults (age: 76.4±4.5 yrs; 61% women) who were dementia free and had good mobility upon entrance into the study. At baseline, a computerized cognitive battery generated an index of EF, attention, a closely related construct, and other cognitive domains. Gait was assessed during single and dual task conditions. Falls data were collected prospectively using monthly calendars. Negative binomial regression quantified risk ratios (RR). After adjusting for age, gender and the number of falls in the year prior to the study, only the EF index (RR: .85; CI: .74–.98, p = .021), the attention index (RR: .84; CI: .75–.94, p = .002) and dual tasking gait variability (RR: 1.11; CI: 1.01–1.23; p = .027) were associated with future fall risk. Other cognitive function measures were not related to falls. Survival analyses indicated that subjects with the lowest EF scores were more likely to fall sooner and more likely to experience multiple falls during the 66 months of follow-up (p<0.02). Conclusions/Significance: These findings demonstrate that among community-living older adults, the risk of future falls was predicted by performance on EF and attention tests conducted 5 years earlier. The present results link falls among older adults to cognition, indicating that screening EF will likely enhance fall risk assessment, and that treatment of EF may reduce fall risk

Three-dimensional kinematic motion analysis of a daily activity drinking from a glass: a pilot study

BACKGROUND: Development of reliable and objective evaluation methods is required, particularly for natural and goal-oriented upper-extremity tasks. Three-dimensional imaging measurement techniques have turned out to be a powerful tool for a quantitative and qualitative assessment of multijoint movements. The purpose of this study was to develop and test a method of three-dimensional motion analysis for the activity "drinking from a glass" and describe the drinking task with kinematic variables in control subjects. METHODS: A protocol was developed for the drinking activity including the set-up of cameras and positions of the markers and the subject. The drinking task included reaching, forward transport with glass, drinking, back transport and returning the hand to the initial position. An optoelectronic system was used for the three-dimensional kinematic motion capture. Movement times, velocities, joint angles and interjoint coordination for shoulder and elbow were computed and analyzed for twenty control subjects. Test-retest consistency was evaluated for six subjects. RESULTS: The test protocol showed good consistency in test-retest. Phase definitions for the drinking task were defined and verified. Descriptive kinematic variables were obtained for movement times, positions, velocities and joint angles for shoulder and elbow joint. Interjoint coordination between shoulder and elbow joint in reaching phase showed a high correlation. CONCLUSION: This study provides a detailed description of the three-dimensional kinematic analysis of the drinking task. Our approach to investigate and analyze a goal-oriented daily activity has a great clinical potential. Consequently, the next step is to use and test this protocol on persons with impairments and disabilities from upper extremities

A randomised controlled trial investigating motor skill training as a function of attentional focus in old age

BACKGROUND: Motor learning research has had little impact on clinical applications and rarely extended to research about how older adults learn motor skills. There is consistent evidence that motor skill performance and learning can be enhanced by giving learners instructions that direct their attention. The aim of this study was to test whether elderly individuals that receive an external focus instruction during training of dynamic balance skills would learn in a different manner compared to individuals that received an internal focus instruction. METHODS: This randomised trial included 26 older persons (81 +/- 6 years) that were training functional balance twice a week for the duration of 5 weeks. Learning outcomes were recorded after every training session. Weight shifting score and dynamic balance parameters (Biodex Balance System), components of the Extended Timed-Get-Up-and-Go test, five chair rises, and falls efficacy (FES-I) was assessed at baseline and post-intervention. RESULTS: Participation for training sessions was 94%. No differences between groups were found following 5 weeks of training for weight shifting score, dynamic balance index and dynamic balance time (p < 0.95, p = 0.16, p < 0.50), implying no learning differences between training groups. Extended Timed-Get-Up-and-Go components Sit-to-stand, p = .036; Gait initiation, p = .039; Slow down, stop, turnaround, and sit down, p = 0.011 and the Fes-I (p = 0.014) showed improvements for the total group, indicating that function improved compared to baseline. CONCLUSION: A 5-week balance training improved weight shifting scores and dynamic balance parameters as well as functional abilities. The observed improvements were independent from the type of attentional focus instructions. The findings provide support for the proposition of different motor learning principles in older adults compared to younger adults