Shift Contagion in Asset Markets

The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called “shift contagion.” The methodology has three key features: (i) high- and low-variance episodes are model-determined, rather than exogenously assigned; (ii) the markets where crises originate need not be known; and (iii) the approach provides an unambiguous test of shift contagion. Applications to bivariate returns in currency markets of developed countries and bond markets of emerging-market countries suggest that shift contagion occurs among the former but not the latter.Financial markets; Econometric and statistical methods

Long-term care provision, hospital bed blocking, and discharge destination for hip fracture and stroke patients

We examine the relationship between long-term care supply (care-home beds and prices) and (i) the probability of being discharged to a care home and (ii) length of stay in hospital for patients admitted to hospital for hip fracture or stroke. Using patient level data from all English hospitals and allowing for a rich set of demographic and clinical factors, we find no association between discharge destination and long term care beds supply or prices. We do, however, find evidence of bed blocking: hospital length of stay for hip fracture patients discharged to a care home is shorter in areas with more long-term care beds and lower prices. Length of stay is over 30% shorter in areas in the highest quintile of care home beds supply compared to those in the lowest quintile

A mixed integer linear programming model for optimal sovereign debt issuance

Copyright @ 2011, Elsevier. NOTICE: this is the author’s version of a work that was accepted for publication in the European Journal of Operational Research. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version is available at the link below.Governments borrow funds to finance the excess of cash payments or interest payments over receipts, usually by issuing fixed income debt and index-linked debt. The goal of this work is to propose a stochastic optimization-based approach to determine the composition of the portfolio issued over a series of government auctions for the fixed income debt, to minimize the cost of servicing debt while controlling risk and maintaining market liquidity. We show that this debt issuance problem can be modeled as a mixed integer linear programming problem with a receding horizon. The stochastic model for the interest rates is calibrated using a Kalman filter and the future interest rates are represented using a recombining trinomial lattice for the purpose of scenario-based optimization. The use of a latent factor interest rate model and a recombining lattice provides us with a realistic, yet very tractable scenario generator and allows us to do a multi-stage stochastic optimization involving integer variables on an ordinary desktop in a matter of seconds. This, in turn, facilitates frequent re-calibration of the interest rate model and re-optimization of the issuance throughout the budgetary year allows us to respond to the changes in the interest rate environment. We successfully demonstrate the utility of our approach by out-of-sample back-testing on the UK debt issuance data

Delayed discharges and hospital type: : evidence from the English NHS

Delayed discharges of patients from hospital, commonly known as bed-blocking, is a long standing policy concern. Delays can increase the overall cost of treatment and may worsen patient outcomes. We investigate how delayed discharges vary by hospital type (Acute, Specialist, Mental Health, Teaching), and the extent to which such differences can be explained by demography, casemix, the availability of long-term care and hospital governance as reflected in whether the hospital has Foundation Trust status, which gives greater financial autonomy and flexibility in staffing and pay. We use a new panel database of delays in all English NHS hospital Trusts from 2011/12 to 2013/14. Employing count data models, we find that a greater local supply of long-term care (care home beds) is associated with fewer delays. Hospitals which are Foundation Trusts have fewer delayed discharges and might therefore be used as exemplars of good practice in managing delays. Mental Health Trusts have more delayed discharges than Acute Trusts but a smaller proportion of them are attributed to the NHS, possibly indicating a relatively greater lack of adequate community care for mental health patients

Testing the bed-blocking hypothesis : does higher supply of nursing and care homes reduce delayed hospital discharges?

Hospital bed blocking occurs when hospital patients are ready to be discharged to a nursing home but no place is available, so that hospital care acts as a more costly substitute for long-term care. We investigate the extent to which higher supply of nursing home beds or lower prices can reduce hospital bed blocking. We use new Local Authority level administrative data from England on hospital delayed discharges in 2010-13. The results suggest that delayed discharges do respond to the availability of care-home beds but the effect is modest: an increase in care-homes bed by 10% (250 additional beds per Local Authority) would reduce delayed discharges by about 4%-7%. We also find strong evidence of spillover effects across Local Authorities: higher availability of care homes or fewer patients aged over 65 in nearby Local Authorities are associated with fewer delayed discharges

Paying for health gains

Payments to healthcare providers are often based on the number of patients they treat according to their particular health condition with well-known limitations. Payment based on health outcomes, a form of pay-for-performance, has long been advocated as a possible solution. This study adopts a contract theory approach and illustrates how it can inform practical implementation of pay-for-performance schemes that reward health outcomes. We first provide a simple but general model on the design of an incentive scheme that rewards providers for improved health, as a function of key parameters related to patient health benefits and provider costs. We then calibrate the model using data from two elective procedures, hip and knee replacement, using patient reported outcome measures. The pricing rule suggests that the bonus should be set to reflect the difference between the provider’s marginal cost of a health improvement before the policy intervention and the provider’s marginal cost evaluated at the target health set by the purchaser. We provide estimates of the optimal bonus for hip and knee replacement under a range of assumptions about provider cost functions and the value of health improvements