The reforming appeal of distributed leadership

With a systematic literature review, this article examines the significance of distributed leadership in healthcare, assessing the extent to which it reflects a consistent set of values, meanings, practices and outcomes. It identifies key mediating factors and their importance in enabling or constraining distributive leadership processes. The findings indicate that clinicians without formal leadership titles are inspiring change and driving improvements, although countervailing pressures are limiting this in practice. Distributed leadership is evident in the way that clinical teams function, and more could be made of this for the modernisation of healthcare. At present, this potential tends to be constrained, and subject to competing interpretations that reflect distinct occupational identities. Greater attention could be given to educational and developmental programmes that claim space for distributed influence among current and aspiring leaders, and for enabling arrangements that can help ‘ordinary leaders’ to feel less vulnerable and more confident about this aspect of their practice. Established approaches to leader development could be usefully refocused to prioritise collective processes and refine relational abilities, ideally with more inclusive, joint venture initiatives that bring formal and informal leaders together for mutual learning and effective engagement

Vulnerability of inflation in the new EU Member States to country-specific and global factors

This empirical paper uses a GMM-System panel estimator to assess the vulnerability of inflation in the new EU Member States to country-specific and global factors over the period 1998 to 2007, including an assessment of the more recent 2002 to 2007 period. Using a large dataset of macroeconomic, financial and structural reform indicators, the results suggest that country-specific factors such as exchange rate movements, productivity growth, government consumption expenditure, capital growth, the current account balance, and reforms on price liberalisation have strong effects on inflation. Global factors that have a notable effect include energy prices, and particularly in the more recent period, food prices. Furthermore, inflationary effects of EU accession are apparent in the 2002 to 2007 analysis. The magnitudes of the coefficients suggest that country-specific effects dominate global influences on inflation in the CEEs.

Exchange Rate Pass-through in Central and Eastern European Member States

This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses. JEL Classification: E31, F31central and eastern Europe, Exchange Rate Pass-Through, inflation

Interest and exchange rate risk and stock returns: A multivariate GARCH-M modelling approach

In this paper we examine the sensitivity of stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16 countries, including various European economies, the US and Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four-variate GARCH-in-mean model, which incorporates long-and short-term interest rates in turn. We find in most cases a positive effect of stock market returns on mean returns in each sector; by contrast, interest rates and exchange rates have a significant effect only in a few cases, respectively negative and without a clear sign pattern. As for the three types of risk, these are found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from market return to sectoral returns in the insurance and banking sector in European economies, though there are also some instances of interest rate and exchange rate spillovers, both in Europe and the US

Is the real exchange rate stationary? - a similar sized test approach for the univariate panel cases

In this article we show that mean-adjusting Panel and Time Series unit root tests yields similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is that it holds on average

Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis, and this may be related to its greater direct access to a broader range of counterparties and its acceptance of a broader range of eligible collateral. The main implication is that, in crisis times, a sufficiently flexible operational framework for monetary policy implementation produces the most timely response to market tensions

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis, and this may be related to its greater direct access to a broader range of counterparties and its acceptance of a broader range of eligible collateral. The main implication is that, in crisis times, a sufficiently flexible operational framework for monetary policy implementation produces the most timely response to market tensions.overnight interest rate spread, liquidity risk, credit risk, stochastic volatility

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis, and this may be related to its greater direct access to a broader range of counterparties and its acceptance of a broader range of eligible collateral. The main implication is that, in crisis times, a sufficiently flexible operational framework for monetary policy implementation produces the most timely response to market tensions.Overnight Interest Rate Spread, Liquidity Risk, Credit Risk, Stochastic Volatility

International exchange rate dynamics and purchasing power parity

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis provides evidence in favour of the long-run validity of Purchasing Power Parity (PPP) using primarily a linear error correction framework. Through an examination of PPP where proportionality and symmetry are implicitly imposed, it is shown that a selection of twelve EU real exchange rates is stationary on a univariate basis. The contribution here is based on the reconciliation of unit root test outcomes across univariate and panel tests. Following this analysis, the Johansen cointegration procedure is employed to examine whether long-run equilibrium relationships can be identified in systems of real exchange rates. The implications of results found are set out in terms of regional exchange rate policy co-ordination, exchange rate regime appropriateness, and monetary integration. By focussing on interdependent regions that were affected by a major financial shock (Europe: EMS crisis; Latin America: Mexican crisis; South East Asia: 1997 crisis), the real exchange rate dynamics are compared in pre- and post-crisis scenarios.This thesis also presents evidence in favour of PPP by examining the less restrictive scenario where neither proportionality nor symmetry is imposed. Given the fact that most developed economies have highly integrated goods and capital markets and liberalised capital accounts, the failure to find evidence for PPP in previous studies may be due to the exclusion of factors that might reflect the behaviour of capital markets and their influence on the exchange rate. To test this, the traditional nominal exchange rate and domestic/foreign price based system is augmented with an interest rate component. In a tripolar specification, the joint test of PPP and Uncovered Interest Parity (UIP) is found to hold in a system comprising Germany, Denmark and the UK, suggesting well-integrated goods and capital markets and the long-run convergence evident suggests that Denmark and the UK might be suitable for membership of the euro area. This convergence appears to be stronger when short-term interest rates are used as opposed to long-term rates (perhaps since they are not subject to distortions such as taxation and maturity levels). Furthermore, long-rates have been associated recently with an inversion of the yield curve, while evidence to support the yield curve in non-crisis times is mixed. Finally, multivariate and panel cointegration procedures are employed to provide evidence for the suitability of potential future euro area entrants from Central and Eastern Europe in tri-variate systems comprising the euro nominal exchange rate and two price series