Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets

This paper provides evidence of spillover effects from the Indian to the US financial markets. We use VAR and Kalman filter analysis to assess the influence of financial stress indicators like the LIBOR-OIS, CDS, the S&P 500 volatility and the exchange rate of the rupee against the Dollar on two indicators of financial stress in India, namely the illiquidity of stock indices and their volatility. We conduct an analysis bases on both daily and monthly frequency and use a database that consists of both aggregate and disaggregated indexes. Our results points to a signification contagion effect after the period following the Lehman Brothers collapse.Subprime crisis, Emerging Markets, VAR analysis, financial stress

Assessing Asian Exchange Rates Coordination under Regional Currency Basket System

In this paper, I examine the extent to which the Asian exchange rates are coordinated around a synthetic Asian Currency Unit (ACU) defined as a basket of the Asian currencies. Using a VAR model, the results provide some evidence of stabilization among the Asian exchange rates around the ACU. Although the US dollar remains the dominant anchor within the region, these countries have allowed for more exchange rate flexibility against the US dollar since 2006, with the aim to adopt a basket peg where the Asian currencies have gained an increasing role. The empirical results also suggest that the official adoption of an undisclosed currency basket by Chinese authorities in July 2005 has been an important factor in the decision of Asian countries to shift toward a de facto currency basket system

Les facteurs influençant le coût de la prescription médicamenteuse en Algérie

Une politique de maîtrise des dépenses de santé a été menée depuis plusieurs années. Elle a porté beaucoup plus sur la régulation de la demande. La composante offre a été quasiment occultée. Dans cet article, on s’intéresse à un des éléments de l’offre à savoir le médecin, premier ordonnateur des dépenses de santé. Notre objectif est d’analyser les déterminants du coût de la prescription médicamenteuse et les facteurs associés. Pour ce faire, une étude quantitative a été réalisée en s’appuyant sur l’exploitation d’une base de données de 3 143 ordonnances constituée au niveau d’une officine pharmaceutique privée de la ville de Batna (Algérie). Une analyse économétrique a été menée en mobilisant deux types de modélisation : des modèles linéaires par moindres carrés ordinaires et des modèles de choix discret, plus précisément des modèles logit par maximum de vraisemblance. Nos résultats montrent que le coût total des ordonnances prescrites par les spécialistes est plus élevé que celui des généralistes. Les ordonnances des malades chroniques coûtent plus chers que celles des non-chroniques. La proportion de médicaments génériques est négativement liée à la probabilité que le médecin consulté soit un spécialiste. Des éléments de contexte peuvent expliquer certains comportements de prescription à l’exemple de la liberté d’accès au spécialiste pour le patient, la liberté de prescription pour le médecin et l’influence de l’industrie pharmaceutique sur la pratique prescriptive. Mots Clés: Coût, prescription, médicament, médecin, Algérie   English Title: Factors influencing prescription drug costs in Algeria A policy of controlling health expenditure has been conducted for several years. It has focused much more on the regulation of demand. The supply component has been hidden. In this article, we are interested in one of the elements of the supply, namely the doctor, the first authorizing officer of health expenditure. Our goal is to analyze the cost of the drug prescription and associated factors. To do this, a quantitative study was conducted based on the exploitation of a database of 3 143 prescriptions constituted at the level of a private pharmacy in the city of Batna (Algeria). An econometric analysis has been conducted and revolves around two models : ordinary least squares linear models and discrete choice models, more precisely logit models by maximum likelihood. Our results show that the total cost of prescriptions prescribed by specialists is higher than that of general practitioners. The prescriptions of the chronically ill are more expensive than those of the non-chronic. The proportion of generic drugs is negatively related to the likelihood that the physician consulted will be a specialist. Contextual elements may explain certain prescribing behaviors, such as the patient's freedom of access to the specialist, the prescribing freedom of the physician and the influence of the pharmaceutical industry on prescriptive practice. Keywords: cost, prescription, drug, physician, Algeria

Business Cycles Synchronization in East Asia: A Markov-Switching Approach

This paper attempts to analyze the relationships between the ASEAN-5 countries' business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries' individual business cycles

Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly, we investigate financial integration in East Asian by analyzing the co-persistent nature of their integrated volatilities. Using recent fractional cointegration techniques, we find that volatilities of several markets converge in long-run to a common stochastic equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears between emerging markets

How do the Renminbi and other East Asian currencies co-move?

This paper investigates the degree and the nature of exchange rate co-movements between the Renminbi and a set of seven East Asian currencies by estimating Markov switching models with regime-dependent correlations and time-varying transition probabilities. These models have several advantages. First, exchange rate co-movements can vary across different depreciation and appreciation regimes. Second, the Renminbi can act as a transition variable that provides information regarding how the exchange rates evolve over time. After controlling for global effects and exchange market pressures, the results yield robust evidence of the Renminbi's rising role in East Asia as a significant factor in currency fluctuations. A key result is that regional currencies tend to overreact when the Renminbi depreciates and underreact when it appreciates, suggesting that East Asian economies are not willing to allow their currencies to substantially appreciate against the Chinese currency. Finally, trade transactions and competition as well as financial flows demonstrate significant explanatory power regarding currency movements against the Renminbi -- particularly during episodes of smaller exchange rate fluctuations

Distribution of large-spored Alternaria species associated with early blight of potato and tomato in Algeria

Potato and tomato are important crops in Algerian agriculture, and both are threatened by abiotic and biotic stresses, and early blight is a major disease affecting both crops. Surveys carried out from 2012 to 2015 in 12 major growing regions for these crops yielded a total of 247 Alternaria isolates having morphological and cultural characteristics of sections Alternaria and Porri. Since early blight symptoms and morphological characteristics of the isolates did not allow sharp distinction between the different large-spored species of Alternaria, the isolates in section Porri, often considered primary causes of the diseases, were selected for molecular characterization by diagnostic PCR using specific primers. This allowed species identification of 147 Alternaria isolates as A. solani, A. protenta, A. grandis or A. linariae. These species were present on potato and tomato crops at varying frequencies, depending on the hosts and on bioclimatic locations. Pathogenicity tests for the four species, on detached leaflets and whole seedlings, showed that all were pathogenic to potato and tomato, with varying virulence. These results suggest that parasitic specialization of these Alternaria species on solanaceous plants should be reconsidered

South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates

We study the long-run relationship of real exchanges rates (RERs) among the ASEAN-5 countries by testing the theory of Generalized Purchasing Power Parity (G-PPP) from the new perspective of fractional cointegration. The long-run co-movements of the RERs are examined by applying a recent estimator of fractional cointegration that consists of a frequency Whittle approximation of the cointegrating system's likelihood function. The contribution of the fractional cointegration study is justified by identifying several weak fractional cointegration relationships that signal that deviations of RERs from their long-run equilibrium are highly persistent. These findings contrast with all previous studies that restrict their investigation to the traditional I(1)/I(0) cointegration. Our results support further monetary integration among different sub-groups of the ASEAN-5 countries as they share long-run comovements with each others. However, a full-fledged monetary union embracing all ASEAN-5 members is still limited from the perspective of the G-PPP theory

Quatre essais sur l'intégration monétaire et financière en Asie

Dans cette thèse, nous proposons quatre contributions originales à l'étude de l'intégration monétaire et financière des pays asiatiques.Dans le premier chapitre nous déterminons la sensibilité relative des devises asiatiques (ASEAN-5, Corée du Sud) face aux chocs simulés sur le dollar, l'euro et l'ACU. Nous mettons en évidence la volonté de ces pays de se détourner d'une politique de change exclusivement centrée sur le dollar vers une politique plus flexible, où le poids de l'ACU semble avoir gagné en importance.Le deuxième chapitre met l'accent sur la synchronisation entre les cycles des affaires de l'ASEAN-5. Nous montrons que la corrélation entre les cycles est plus forte durant les phases de contraction mais que la dynamique d'ajustement est propre à chaque pays. Par ailleurs, certains cycles des affaires de l'ASEAN-5 contiennent des informations pertinentes pour prédire les changements de régime des autres pays.Le troisième chapitre examine le co-mouvement entre les taux de change réels de l'ASEAN-5 du point de vue de la parité de pouvoir d'achat généralisé (Enders and Hurns, 1994, 1997). Nous montrons que les taux de change réels sont liés par un processus à mémoire longue, ce qui soutient l'idée d'une intégration monétaire plus poussée entre différents sous-groupes de pays. Enfin dans le dernier chapitre, nous examinons le degré d'intégration des marchés boursiers en Asie (ASEAN-5, Hong Kong, Japon). Nos résultats montrent que la volatilité des marchés boursiers internationaux partagent une tendance stochastique commune. En revanche, les marchés boursiers des pays émergents apparaissent encore segmentés tant au niveau global que régional.This thesis proposes four contributions to the study of Asian monetary and financial integration.The first chapter examines to what extent the East Asian exchange rates (ASEAN-5, South Korea) are sensitive to shocks simulated on the US dollar, the euro and the ACU. We show that these countries have moved from a US dollar-based pegging system to a more flexible exchange rate policy, where the weight of the ACU has increased over the last years. The second chapter attempts to analyze the correlation among the ASEAN-5 business cycles. Estimates reveal that correlations are higher during downturns but the process of adjustment to shocks displays idiosyncratic features. We also provide evidence that the signals contained in some leading ASEAN-5 business cycles help predict regime switching in other countries. The third chapter examines the co-movement among the ASEAN-5 real exchange rates through the generalized purchasing power parity (Enders and Hurns, 1994, 1997). We find that real exchange rates are tied through a long memory process, supporting further monetary integration among different sub-groups of the ASEAN-5.In the last chapter, we investigate to what extent the stock markets in Asia (Hong Kong, Japan, ASEAN-5) are integrated. Our results reveal that the stock market volatilities in developed countries share a common stochastic trend. Conversely, emerging markets appear to be segmented from both each other and global markets