Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems

This paper studies testing for the presence of smooth transition nonlinearity in adjustment parameters of the vector error correction model. We specify the generalized model with multiple cointegrating vectors and different transition functions across equations. Given that the nonlinear model is highly complex, this paper proposes an optimal LM test based only on estimation of the linear model. The null asymptotic distribution is derived using empirical process theory and since the transition parameters of the model cannot be identified under the null hypothesis bootstrap procedures are used to approximate the limit. Monte Carlo simulations indicate a good performance of the test.Nonlinearity ; Cointegration ; Empirical process theory ; Bootstrap

Determinants of the Dinar-Euro Nominal Exchange Rate

This paper studies drivers of daily dynamics of the nominal dinar-euro exchange rate from September 2006 to June 2010. Using a novel semiparametric approach we are able to incorporate the evidence of nonlinearities under very weak assumptions on the underlying data generating process. We identify several factors influencing daily exchange rate returns whose importance varies over time. In the period preceeding the financial crisis, information in past returns, changes in households’ foreign currency savings and banks' net purchases of foreign currency are the most significant factors. From September 2008 onwards other factors related to changes in country's risk and the information processing in the market gain importance. NBS interventions are found to be effective with a time delay.Foreign exchange market, Partially linear model, Kernel estimation

Testing for smooth transition nonlinearity in adjustments of cointegrating systems

This paper studies testing for the presence of smooth transition nonlinearity in adjustment parameters of the vector error correction model. We specify the generalized model with multiple cointegrating vectors and different transition functions across equations. Given that the nonlinear model is highly complex, this paper proposes an optimal LM test based only on estimation of the linear model. The null asymptotic distribution is derived using empirical process theory and since the transition parameters of the model cannot be identified under the null hypothesis bootstrap procedures are used to approximate the limit. Monte Carlo simulations indicate a good performance of the test

How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times along with short-term global economic prospects. But the importance of common factors rose steadily to exceptional levels from the outbreak of the Subprime Crisis to past the rescue of Bear Stearns, reflecting a diffuse sense that funding and credit risk was increasing. Following the failure of Lehman Brothers, the interdependencies briefly increased to a new high, before they fell back to the pre-Lehman elevated levels – but now they more clearly reflected heightened funding and counterparty risk. After Lehman's failure, the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected.

Adherence to the 4S-AF Scheme in the Balkan region:insights from the BALKAN-AF survey

BackgroundThe 4S-AF scheme includes stroke risk, symptoms, severity of burden, and substrate severity domain.AimWe aimed to assess the adherence to the 4S-AF scheme in patients classified according to stroke risk in post hoc analysis of the BALKAN-AF dataset.MethodsA 14-week prospective enrolment of consecutive patients with electrocardiographically documented atrial fibrillation (AF) was performed in seven Balkan countries from 2014 to 2015.ResultsLow stroke risk (CHA2DS2-VASc score, 0 in males or 1 in females) was present in 162 (6.0%) patients. 2 099 (77.4%) patients had CHA2DS2-VASc score ≥3 in females or ≥2 in males (high stroke risk), and 613 (22.6%) had CHA2DS2-VASc score ConclusionsOAC overuse was observed in patients with low stroke risk, whilst OAC underuse was evident in those with high risk of stroke. The percentage of highly symptomatic patients with high risk of stroke who were offered a rhythm control strategy was low

Comparison of exercise, dobutamine-atropine and dipyridamole-atropine stress echocardiography in detecting coronary artery disease

BACKGROUND: Dipyridamole and dobutamine stress echocardiography testing are most widely utilized, but their sensitivity remained suboptimal in comparison to routine exercise stress echocardiography. The aim of our study is to compare, head-to-head, exercise, dobutamine and dipyridamole stress echocardiography tests, performed with state-of-the-art protocols in a large scale prospective group of patients. METHODS: Dipyridamole-atropine (Dipatro: 0.84 mg/kg over 10 min i.v. dipyridamole with addition of up to 1 mg of atropine), dobutamine-atropine (Dobatro: up to 40 mcg/kg/min i.v. dobutamine with addition of up to 1 mg of atropine) and exercise (Ex, Bruce) were performed in 166 pts. Of them, 117 pts without resting wall motion abnormalities were enrolled in study (91 male; mean age 54 ± 10 years; previous non-transmural myocardial infarction in 32 pts, angina pectoris in 69 pts and atypical chest pain in 16 pts). Tests were performed in random sequence, in 3 different days, within 5 day period under identical therapy. All patients underwent coronary angiography. RESULTS: Significant coronary artery disease (CAD; ≥50% diameter stenosis) was present in 69 pts (57 pts 1-vessel CAD, 12 multivessel CAD) and absent in 48 pts. Sensitivity (Sn) was 96%, 93% and 90%, whereas specificity (Sp) was 92%, 92% and 87% for Dobatro, Dipatro and Ex, respectively (p = ns). Concomitant beta blocker therapy did not influence peak rate-pressure product and Sn of Dobatro and Dipatro (p = ns). CONCLUSION: When state-of-the-art protocols are used, dipyridamole and dobutamine stress echocardiography have comparable and high diagnostic accuracy, similar to maximal post-exercise treadmill stress echocardiography

Low-dose adenosine stress echocardiography: Detection of myocardial viability

OBJECTIVE: The aim of this study was to evaluate the diagnostic potential of low-dose adenosine stress echocardiography in detection of myocardial viability. BACKGROUND: Vasodilation through low dose dipyridamole infusion may recruit contractile reserve by increasing coronary flow or by increasing levels of endogenous adenosine. METHODS: Forty-three patients with resting dyssynergy, due to previous myocardial infarction, underwent low-dose adenosine (80, 100, 110 mcg/kg/min in 3 minutes intervals) echocardiography test. Gold standard for myocardial viability was improvement in systolic thickening of dyssinergic segments of ≥ 1 grade at follow-up. Coronary angiography was done in 41 pts. Twenty-seven patients were revascularized and 16 were medically treated. Echocardiographic follow up data (12 ± 2 months) were available in 24 revascularized patients. RESULTS: Wall motion score index improved from rest 1.55 ± 0.30 to 1.33 ± 0.26 at low-dose adenosine (p < 0.001). Of the 257 segments with baseline dyssynergy, adenosine echocardiography identified 122 segments as positive for viability, and 135 as necrotic since no improvement of systolic thickening was observed. Follow-up wall motion score index was 1.31 ± 0.30 (p < 0.001 vs. rest). The sensitivity of adenosine echo test for identification of viable segments was 87%, while specificity was 95%, and diagnostic accuracy 90%. Positive and negative predictive values were 97% and 80%, respectively. CONCLUSION: Low-dose adenosine stress echocardiography test has high diagnostic potential for detection of myocardial viability in the group of patients with left ventricle dysfunction due to previous myocardial infarction. Low dose adenosine stress echocardiography may be adequate alternative to low-dose dobutamine test for evaluation of myocardial viability

How the Subprime Crisis went global: Evidence from bank credit default swap spreads

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times along with short-term global economic prospects. But the importance of common factors rose steadily to exceptional levels from the outbreak of the Subprime Crisis to past the rescue of Bear Stearns, reflecting a diffuse sense that funding and credit risk was increasing. Following the failure of Lehman Brothers, the interdependencies briefly increased to a new high, before they fell back to the pre-Lehman elevated levels - but now they more clearly reflected heightened funding and counterparty risk. After Lehman's failure, the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected

Two decades of forest-related legislation changes in European countries analysed from a property rights perspective

In the last two decades, attention on forests and ownership rights has increased in different domains of international policy, particularly in relation to achieving the global sustainable development goals. This paper looks at the changes in forest-specific legislation applicable to regular productive forests, across 28 European countries. We compare the legal framework applicable in the mid-1990s with that applicable in 2015, using the Property Rights Index in Forestry (PRIF) to measure changes across time and space. The paper shows that forest owners in most western European countries already had high decision-making power in the mid-1990s, following deregulation trends from the 1980s; and for the next two decades, distribution of rights remained largely stable. For these countries, the content and direction of changes indicate that the main pressure on forest-focused legislation comes from environmental discourses (e.g. biodiversity and climate change policies). In contrast, former socialist countries in the mid-1990s gave lower decision-making powers to forest owners than in any of the Western Europe countries; over the next 20 years these show remarkable changes in management, exclusion and withdrawal rights. As a result of these changes, there is no longer a clear line between western and former socialist countries with respect to the national governance systems used to address private forest ownership. Nevertheless, with the exception of Baltic countries which have moved towards the western forest governance system, most of the former socialist countries still maintain a state-centred approach in private forest management. Overall, most of the changes we identified in the last two decades across Europe were recorded in the categories of management rights and exclusion rights. These changes reflect the general trend in European forest policies to expand and reinforce the landowners' individual rights, while preserving minimal rights for other categories of forest users; and to promote the use of financial instruments when targeting policy goals related to the environmental discourse