The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis

This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. 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. Copyright @ 2011 Elsevier B.V.This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak

Modelling a flow of funds and policy simulation experiments in the financial sector for India

The objective of this thesis is to analyse policy effects on the financial sector in India by modelling a flow of funds for four sectors with six financial instruments for the period of 1951–1993 with associated simulation techniques. In the general equilibrium model, the whole financial sector is endogenised by means of demand functions for asset choice in the four sectors and each financial market is solved by the market clearing conditions. An important innovation is that the Almost Ideal Demand System (AIDS) is utilised for a system of demand function, and cointegration techniques are adapted into the econometric methodology. The policy simulation experiments are conducted with a view to analysing the delivery of loanable funds to sectors which are the most in need of poverty-reducing economic growth, at the same time, they are largely in line with the financial reforms that started in the early 1990s in India. The system-wide simulation designed in this thesis will permit us to analyse a wide spectrum of policy effects on such issues as the determinant of interest rates, financing capital formulation, the role of financial institutions, government debt and allocation of credit, as a result of interactions in the disaggregated economic sectors. The key finding is the significant role of interest rates in portfolio selection and thereby on the flow of funds for India. The policy simulations, however, reveal that the liberalisation of interest rates may be no better than the administered rates in ensuring loans to private sectors. Possible perverse outcomes from the liberalised interest rate regime are also highlighted in the stochastic simulations, as policies become sensitive or fragile in the face of uncertainty in the economy. These demonstrate the importance of a gradual de-regulation in the financial sector, rather than an indiscriminate attempt at financial decontrol

Sudden changes in volatility: The case of five central European stock markets

This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. 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. Copyright @ 2007 Elsevier B.V.This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994–2006, the time period of sudden change in variance of returns and the length of this variance shift are detected. A sudden change in volatility seems to arise from the evolution of emerging stock markets, exchange rate policy changes and financial crises. Evidence also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. It suggests that many previous studies may have overestimated the degree of volatility persistence existing in financial time series

Financial sector reforms and stochastic policy simulations: A flow of funds model for India

We apply stochastic simulation methods to a system-wide flow of funds model for India for 1951-94. We address two issues; first, the impact of financial reforms on interest rates and loanable funds, and second, the robustness of policy where there is uncertainty about the true model. We find considerable variation in policy risk depending on the policy instrument and the policy regime. Interest rate risks are greater in the controlled regime; quantity risks are greater in the decontrolled regime. Outcomes also depend on controls on intermediaries: more heavily controlled banks respond differently from other less heavily controlled financial intermediaries

A critical appraisal of McKinnon's complementarity hypothesis: Does the real rate of return on money matter for investment in developing countries?

This is the post-print version of the final paper published in World Development. The published article is available from the link below. 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. Copyright @ 2009 Elsevier B.V.McKinnon’s [McKinnon, R. I. (1973). Moneyandcapitalineconomicdevelopment. Washington, DC: The Brookings Institution] complementarity hypothesis predicts that money and investment are complementary due to self-financed investment, so that a real deposit rate is the key determinant of capital formation for developing economies. This paper critically appraises this contention by conducting a vigorous empirical approach using panel data for 107 developing countries. The long-run and dynamic estimation results based on McKinnon’s theoretical model are supportive of the hypothesis. However, when the investment model is conditioned by factors such as financial development, different income levels across developing countries, external inflows, public finance, and trade constraints, the credibility of the hypothesis is undermined

The determinants of vulnerability to currency crises: country-specific factors versus regional factors

We investigate the determinants of exchange market pressures (EMP) for some new EU member states at both the national and regional levels, where macroeconomic and financial variables are considered as potential sources. The regional common factors are extracted from these variables by using dynamic factor analysis. The linear empirical analysis, in general, highlights the importance of country-specific factors to defend themselves against vulnerability in their external sectors. Yet, given a significant impact of the common component in credit on EMP, a contagion effect is apparent through the conduit of credit market integration across these countries under investigation

What are the driving forces of bank competition across different income groups of countries?

This article has been made available through the Brunel Open Access Publishing Fund.This paper rigorously investigates the determinants of bank competition for 146 countries over the sample period 1999–2011. The results employing both the Lerner index and the Boone indicator, reveal the distinctive characteristics of the competition drivers across different income groups of countries. Amongst other things, a concentrated banking system jeopardises competitiveness in developing economies, however, such a causal nexus is absent for advanced and emerging economies. Contestability and institutional development seem to boost competition in less-developed banking systems, whereas inter-industry competition and financial freedom are beneficial to advanced banking systems. These findings survive robustness tests

Search for dark matter produced in association with bottom or top quarks in √s = 13 TeV pp collisions with the ATLAS detector

A search for weakly interacting massive particle dark matter produced in association with bottom or top quarks is presented. Final states containing third-generation quarks and miss- ing transverse momentum are considered. The analysis uses 36.1 fb−1 of proton–proton collision data recorded by the ATLAS experiment at √s = 13 TeV in 2015 and 2016. No significant excess of events above the estimated backgrounds is observed. The results are in- terpreted in the framework of simplified models of spin-0 dark-matter mediators. For colour- neutral spin-0 mediators produced in association with top quarks and decaying into a pair of dark-matter particles, mediator masses below 50 GeV are excluded assuming a dark-matter candidate mass of 1 GeV and unitary couplings. For scalar and pseudoscalar mediators produced in association with bottom quarks, the search sets limits on the production cross- section of 300 times the predicted rate for mediators with masses between 10 and 50 GeV and assuming a dark-matter mass of 1 GeV and unitary coupling. Constraints on colour- charged scalar simplified models are also presented. Assuming a dark-matter particle mass of 35 GeV, mediator particles with mass below 1.1 TeV are excluded for couplings yielding a dark-matter relic density consistent with measurements

31st Annual Meeting and Associated Programs of the Society for Immunotherapy of Cancer (SITC 2016) : part two

Background The immunological escape of tumors represents one of the main ob- stacles to the treatment of malignancies. The blockade of PD-1 or CTLA-4 receptors represented a milestone in the history of immunotherapy. However, immune checkpoint inhibitors seem to be effective in specific cohorts of patients. It has been proposed that their efficacy relies on the presence of an immunological response. Thus, we hypothesized that disruption of the PD-L1/PD-1 axis would synergize with our oncolytic vaccine platform PeptiCRAd. Methods We used murine B16OVA in vivo tumor models and flow cytometry analysis to investigate the immunological background. Results First, we found that high-burden B16OVA tumors were refractory to combination immunotherapy. However, with a more aggressive schedule, tumors with a lower burden were more susceptible to the combination of PeptiCRAd and PD-L1 blockade. The therapy signifi- cantly increased the median survival of mice (Fig. 7). Interestingly, the reduced growth of contralaterally injected B16F10 cells sug- gested the presence of a long lasting immunological memory also against non-targeted antigens. Concerning the functional state of tumor infiltrating lymphocytes (TILs), we found that all the immune therapies would enhance the percentage of activated (PD-1pos TIM- 3neg) T lymphocytes and reduce the amount of exhausted (PD-1pos TIM-3pos) cells compared to placebo. As expected, we found that PeptiCRAd monotherapy could increase the number of antigen spe- cific CD8+ T cells compared to other treatments. However, only the combination with PD-L1 blockade could significantly increase the ra- tio between activated and exhausted pentamer positive cells (p= 0.0058), suggesting that by disrupting the PD-1/PD-L1 axis we could decrease the amount of dysfunctional antigen specific T cells. We ob- served that the anatomical location deeply influenced the state of CD4+ and CD8+ T lymphocytes. In fact, TIM-3 expression was in- creased by 2 fold on TILs compared to splenic and lymphoid T cells. In the CD8+ compartment, the expression of PD-1 on the surface seemed to be restricted to the tumor micro-environment, while CD4 + T cells had a high expression of PD-1 also in lymphoid organs. Interestingly, we found that the levels of PD-1 were significantly higher on CD8+ T cells than on CD4+ T cells into the tumor micro- environment (p < 0.0001). Conclusions In conclusion, we demonstrated that the efficacy of immune check- point inhibitors might be strongly enhanced by their combination with cancer vaccines. PeptiCRAd was able to increase the number of antigen-specific T cells and PD-L1 blockade prevented their exhaus- tion, resulting in long-lasting immunological memory and increased median survival