Identification of common and idiosyncratic shocks in real equity prices: Australia 1982 to 2002

A structural vector autoregressive (SVAR) model of real equity prices in Australia is specified to contain common shocks in international equity markets and domestic shocks in Australian financial and goods markets. Common shocks are identified through the long-run comovements of international equity markets, resulting in the model being characterized as having more shocks than variables. The empirical results show that the dot-com crisis of 2000 causes Australian real equity values to depreciate significantly below a precrisis baseline forecast, while contagion from the Asian financial crisis of 1997–1998 is found to have a much smaller negative impact

Financial contagion and asset pricing

Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlation. These channels include the transmission of shocks operating through changes in the higher order comoments of asset returns, including changes in coskewness arising from changes in the interaction between volatility and average returns across asset markets. These additional contagion channels have nontrivial implications for the pricing of options through changes in the payoff probability structure and more generally, in the management of financial risks. The effects of incorrectly pricing risk has proved to be significant during many financial crises, including the subprime crisis from mid 2007 to mid 2008, the Great Recession beginning 2008 and the European debt crisis from 2010. Using an exchange options model, the effects of changes in the comoments of asset returns across asset markets are investigated with special emphasis given to understanding the effects on hedging risk during financial crises. The results reveal that by not correctly pricing the risks arising from higher order moments during financial crises, there is significant mispricing of options, while hedged portfolios during noncrisis periods become exposed to price movements in times of crises.The authors gratefully acknowledge Australian Research Council Grant DP0985783

Joint Tests of Contagion with Applications to Financial Crises

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily Eurozone equity returns from 2005 to 2014 shows that contagion operates through higher order moment channels during the GFC and the European debt crisis, which are not necessarily detected by traditional tests based on correlations.The authors gratefully acknowledge ARC Discovery Project DP160102350 and DP0985783 funding

Molecular confirmation of the causes of inherited visual impairment in Northern Pakistan

Families with inherited visual impairment were identified and examined from January 2000 to December 2005 and given a clinical diagnosis. Known genes and loci were screened for mutations or linkage at Institute of Ophthalmology and Neurosciences, University of Leeds, in order to provide molecular confirmation. Inherited retinal disease was the most common cause of inherited visual impairment in 38 of 57 families (66.6%) with Leber\u27s congenital amaurosis, rod-cone dystrophy and cone-rod dystrophy being the most common diagnoses in 22, 8 and 3 families respectively. Anterior segment dysgenesis was diagnosed in 8 families (14%). Mutations in known genes or linkage to known loci were identified in 23 of 57 families (40%). All families had molecular confirmation of autosomal recessive inheritance or a pedigree consistent with this mode of inheritance, with evidence of first-cousin marriage. Knowledge of carrier status and genetic counseling may allow families to make an informed decision regarding marriage, and thus begin to plan a way of reducing the incidence of inherited visual impairment

Are financial crises alike?

This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998, Brazil in early 1999, dot-com in 2000, Argentina in 2001-2005, and the recent U.S. subprime mortgage and credit crisis in 2007. Using daily stock and bond returns on emerging and developed markets from 1998 to 2007, the empirical results show that financial crises are indeed alike, as all linkages are statistically important across all crises. However, the strength of these linkages does vary across crises. Contagion channels are widespread during the Russian/LTCM crisis, are less important during subsequent crises until the subprime crisis, where again the transmission of contagion becomes rampant

Emissions trading, capital flows and the Kyoto Protocol

We use an econometrically estimated multi-region, multi-sector general equilibrium model of the world economy to examine the effects of the tradable emissions permit system proposed in the 1997 Kyoto protocol, under various assumptions about that extent of international permit trading. We focus, in particular, on the effects of the system on international trade and capital flows. Our results suggest that consideration of these flows significantly affects estimates of the domestic effects of the emissions mitigation policy, compared with analyses that ignore international capital flows

Global and regional financial integration in East Asia and the ASEAN

Financial integration is East Asia and the ASEAN nations is investigated using a new approach based on entropy theory. An important advantage of the proposed framework is that it takes into account changes in integration arising from higher order moments including coskewness and cokurtosis as well as more traditional measures based on second order moments. The analysis focusses on the role of the U.S. in understanding changes in global integration over time, as well as changes in regional integration arising from China. Using daily stock returns from 1997 to 2016, the empirical results show an overall trend to improvements in financial integration over time with deviations from the trend occurring during periods of financial crises in Asia in 1997–98, the U.S. in 2007–10 and the recent European debt crisis. The influence of the Chinese economy mainly through its trading linkages is found to be an important determinant of financial integration over time both regionally as well as globally.The authors gratefully acknowledge ARC Discovery Project funding DP0985783 and DP120103443, and Macau University of Science and Technology Faculty Research Grant FRG 17-019-MSB

Identification of a novel splice-site mutation in the Lebercilin (LCA5) gene causing Leber congenital amaurosis

Purpose: Leber congenital amaurosis (LCA) is one of the most common causes of hereditary blindness in infants. To date, mutations in 13 known genes and at two other loci have been implicated in LCA causation. An examination of the known genes highlights several processes which, when defective, cause LCA, including photoreceptor development and maintenance, phototransduction, vitamin A metabolism, and protein trafficking. In addition, it has been known for some time that defects in sensory cilia can cause syndromes involving hereditary blindness. More recently evidence has come to light that non-syndromic LCA can also be a “ciliopathy.” Methods: Here we present a homozygosity mapping analysis in a consanguineous sibship that led to the identification of a mutation in the recently discovered LCA5 gene. Homozygosity mapping was done using Affymetrix 10K Xba I Gene Chip and a 24.5cM region on chromosome 6 (6q12- q16.3) was identified to be significantly homozygous. The LCA5 gene on this region was sequenced and cDNA sequencing also done to characterize the mutation. Results: A c.955G>A missense mutation in the last base of exon 6 causing disruption of the splice donor site was identified in both the affected sibs. Since there is a second consensus splice donor sequence 5 bp into the adjacent intron, this mutation results in a transcript with a 5 bp insertion of intronic sequence, leading to a frameshift and premature truncation. Conclusions: We report a missense mutation functionally altering the splice donor site and leading to a truncated protein. This is the second report of LCA5 mutations causing LCA. It may also be significant that one affected child died at eleven months of age due to asphyxia during sleep. To date the only phenotype unambiguously associated with mutations in this gene is LCA. However the LCA5 gene is known to be expressed in nasopharynx, trachea and lungs and was originally identified in the proteome of bronchial epithelium ciliary axonemes. The cause of death in this child may therefore imply that LCA5 mutations can in fact cause a wider spectrum of phenotypes including respiratory disease