Forecasting exchange rates in the presence of instabilities

Many exchange rate papers articulate the view that instabilities constitute a major impediment to exchange rate predictability. In this thesis we implement Bayesian and other techniques to account for such instabilities, and examine some of the main obstacles to exchange rate models' predictive ability. We first consider in Chapter 2 a time-varying parameter model in which fluctuations in exchange rates are related to short-term nominal interest rates ensuing from monetary policy rules, such as Taylor rules. Unlike the existing exchange rate studies, the parameters of our Taylor rules are allowed to change over time, in light of the widespread evidence of shifts in fundamentals - for example in the aftermath of the Global Financial Crisis. Focusing on quarterly data frequency from the crisis, we detect forecast improvements upon a random walk (RW) benchmark for at least half, and for as many as seven out of 10, of the currencies considered. Results are stronger when we allow the time-varying parameters of the Taylor rules to differ between countries. In Chapter 3 we look closely at the role of time-variation in parameters and other sources of uncertainty in hindering exchange rate models' predictive power. We apply a Bayesian setup that incorporates the notion that the relevant set of exchange rate determinants and their corresponding coefficients, change over time. Using statistical and economic measures of performance, we first find that predictive models which allow for sudden, rather than smooth, changes in the coefficients yield significant forecast improvements and economic gains at horizons beyond 1-month. At shorter horizons, however, our methods fail to forecast better than the RW. And we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients variability to incorporate in the models, as the main factors obstructing predictive ability. Chapter 4 focus on the problem of the time-varying predictive ability of economic fundamentals for exchange rates. It uses bootstrap-based methods to uncover the time-specific conditioning information for predicting fluctuations in exchange rates. Employing several metrics for statistical and economic evaluation of forecasting performance, we find that our approach based on pre-selecting and validating fundamentals across bootstrap replications generates more accurate forecasts than the RW. The approach, known as bumping, robustly reveals parsimonious models with out-of-sample predictive power at 1-month horizon; and outperforms alternative methods, including Bayesian, bagging, and standard forecast combinations. Chapter 5 exploits the predictive content of daily commodity prices for monthly commodity-currency exchange rates. It builds on the idea that the effect of daily commodity price fluctuations on commodity currencies is short-lived, and therefore harder to pin down at low frequencies. Using MIxed DAta Sampling (MIDAS) models, and Bayesian estimation methods to account for time-variation in predictive ability, the chapter demonstrates the usefulness of suitably exploiting such short-lived effects in improving exchange rate forecasts. It further shows that the usual low-frequency predictors, such as money supplies and interest rates differentials, typically receive little support from the data at monthly frequency, whereas MIDAS models featuring daily commodity prices are highly likely. The chapter also introduces the random walk Metropolis-Hastings technique as a new tool to estimate MIDAS regressions.

Antiplatelet therapy and clinical outcomes in cardiovascular diseases

Cardiovascular diseases (CVD) is a leading cause of death in the world. Despite effective treatment regimens for ischaemic heart disease (IHD) and ischaemic stroke, mortality and recurrence rates remain high. Antiplatelet therapy is on effective treatment and reduces the risk of recurrent heart attack and stroke. Nevertheless, there are patients who stopped or interrupted their antiplatelet therapy for certain reasons or some patients may be resistant or poor responders to antiplatelet therapy. Furthermore, there is evidence of rebound effect in platelet activity after antiplatelet cessation and this may associate with increased risk of cardiovascular event. This thesis is divided into five main chapters (chapters 3 to 7) which attempt to provide data to help resolve the uncertainty. Chapter 1 highlights the background of cardiovascular diseases and the global burden of cardiovascular and cerebrovascular diseases. The metabolism of platelets, antiplatelet therapy and current antiplatelet therapy guidelines are described, followed by discussion of the risk of cardiovascular event and changes in antiplatelet therapy. Chapter 2 describes the data source from Virtual International Stroke Trial Archive (VISTA) and National Health Service Greater Glasgow and Clyde (NHSGGC) Safe Haven, followed by definition of outcome measures. In chapter 3, Virtual International Stroke Trial Archive (VISTA) data was examined to test whether continue with the same antiplatelet therapy or changing to a new antiplatelet regimen reduces the risk of subsequent events in patients who experience a stroke whilst taking antiplatelet therapy. The findings indicate that subjects who switch to a new antiplatelet regimen after stroke did not have a lower early recurrence rate than subjects who continued with the same antiplatelet therapy. Observations on bleeding complications were similar in both groups. However, changing antiplatelet regimen after stroke was associated with more favourable functional outcome across a full scale modified Rankin Scale (mRS) at 90 days. In chapter 4, association between early or later initiation of antiplatelet with a recurrent ischaemic stroke and bleeding complications was assessed using VISTA data. The findings indicate that there was no association between a recurrent ischaemic stroke and timing of initiation of antiplatelet drug after stroke. However, early initiation was associated with increased risk of bleeding. In terms of functional outcomes, this study demonstrated that the mid-time and late initiation of antiplatelet therapy after acute stroke are associated with better functional outcomes compared with early initiation. In chapter 5, a nested case-control study was performed to explore the rate of antiplatelet cessation and interruption in a sample of patients with recent ischaemic stroke and to assess the risk of cardiovascular events associated with cessation and interruption of antiplatelet. It was found that there was no increased risk of cardiovascular event among patients who had early cessation or interrupted/stopped antiplatelet therapy within 90 days following acute ischaemic stroke. In chapter 6, the incidence and predictors of cardiovascular events after DAPT cessation were evaluated. The incidence of cardiovascular event while taking DAPT and following discontinuation of DAPT was 15.7% and 16.7% respectively. This study found that increasing age was associated with an increased risk of cardiovascular event, whereas, revascularization-treated patients and longer duration of DAPT, were each associated with a decreased risk. The duration of DAPT six months and less was associated a significantly higher risk for cardiovascular event. In chapter 7, an untargeted metabolomics analysis was performed while on DAPT (aspirin plus ticagrelor) and once they stopped ticagrelor to identify metabolite changes associated with cardiovascular events after stopping DAPT. Ten ACS patients were recruited in this study and data were analysed for seven patients. Three hundred eleven putative metabolites were identified. This study found 16 putative metabolites significantly altered following ticagrelor cessation. Of these, seven metabolites were from lipid pathway and down-regulated some up to 3-fold. On the other hand, adenosine, from nucleotide metabolism was upregulated up to 2.6-fold. It concluded that there are changes in numerous pathways following DAPT discontinuation and whether these changes differ in patients who have cardiovascular event after stopping DAPT warrant further investigation. In chapter 8, a summary of the findings of this thesis are presented as well as the future directions of research in this area.