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.

Oxidative stress and its haemodynamic consequences in chronic kidney disease

Chronic kidney disease (CKD) is associated with increased cardiovascular risk in comparison with the general population. This can be observed even in the early stages of CKD, and rises in proportion to the degree of renal impairment. Not only is cardiovascular disease (CVD) more prevalent in CKD, but its nature differs too, with an excess of morbidity and mortality associated with congestive cardiac failure, arrhythmia and sudden death, as well as the accelerated atherosclerosis which is also observed. Conventional cardiovascular risk factors such as hypertension, dyslipidaemia, obesity, glycaemia and smoking, are highly prevalent amongst patients with CKD, although in many of these examples the interaction between risk factor and disease differs from that which exists in normal renal function. Nevertheless, the extent of CVD cannot be fully explained by these conventional risk factors, and non-conventional factors specific to CKD are now recognised to contribute to the burden of CVD. Oxidative stress is a state characterised by excessive production of reactive oxygen species (ROS) and other radical species, a reduction in the capacity of antioxidant systems, and disturbance in normal redox homeostasis with depletion of protective vascular signalling molecules such as nitric oxide (NO). This results in oxidative damage to macromolecules such as lipids, proteins and DNA which can alter their functionality. Moreover, many enzymes are sensitive to redox regulation such that oxidative modification to cysteine thiol groups results in activation of signalling cascades which result in adverse cardiovascular effects such as vascular and endothelial dysfunction. Endothelial dysfunction and oxidative stress are present in association with many conventional cardiovascular risk factors, and can be observed even prior to the development of overt, clinical, vascular pathology, suggesting that these phenomena represent the earliest stages of CVD. In the presence of CKD, there is increased ROS production due to upregulated NADPH oxidase (NOX), increase in a circulating asymmetric dimethylarginine (ADMA), uncoupling of endothelial nitric oxide synthase (eNOS) as well as other mechanisms. There is also depletion in exogenous antioxidants such as ascorbic acid and tocopherol, and a reduction in activity of endogenous antioxidant systems regulated by the master gene regulator Nrf-2. In previous studies, circulating markers of oxidative stress have been shown to be increased in CKD, together with a reduction in endothelial function in a stepwise fashion relating to the severity of renal impairment. Not only is CVD linked to oxidative stress, but the progression of CKD itself is also in part dependent on redox sensitive mechanisms. For example, administration of the ROS scavenger tempol attenuates renal injury and reduces renal fibrosis seen on biopsy in a mouse model of CKD, whilst conversely, supplementation with the NOS inhibitor L-NAME causes proteinuria and renal impairment. Previous human studies examining the effect of antioxidant administration on vascular and renal function have been conflicting however. The work contained in this thesis therefore examines the effect of antioxidant administration on vascular and endothelial function in CKD. Firstly, 30 patients with CKD stages 3 – 5, and 20 matched hypertensive controls were recruited. Participants with CKD had lower ascorbic acid, higher TAP and ADMA, together with higher augmentation index and pulse wave velocity. There was no difference in baseline flow mediated dilatation (FMD) between groups. Intravenous ascorbic acid increased TAP and O2-, and reduced central BP and augmentation index in both groups, and lowered ADMA in the CKD group only. No effect on FMD was observed. The effects of ascorbic acid on kidney function was then investigated, however this was hindered by the inherent drawbacks of existing methods of non-invasively measuring kidney function. Arterial spin labelling MRI is an emerging imaging technique which allows measurement of renal perfusion without administration of an exogenous contrast agent. The technique relies upon application of an inversion pulse to blood within the vasculature proximal to the kidneys, which magnetically labels protons allowing measurement upon transit to the kidney. At the outset of this project local experience using ASL MRI was limited and there ensued a prolonged pre-clinical phase of testing with the aim of optimising imaging strategy. A study was then designed to investigate the repeatability of ASL MRI in a group of 12 healthy volunteers with normal renal function. The measured T1 longitudinal relaxation times and ASL MRI perfusion values were in keeping with those found in the literature; T1 time was 1376 ms in the cortex and 1491 ms in the whole kidney ROI, whilst perfusion was 321 mL/min/100g in the cortex, and 228 mL/min/100g in the whole kidney ROI. There was good reproducibility demonstrated on Bland Altman analysis, with a CVws was 9.2% for cortical perfusion and 7.1% for whole kidney perfusion. Subsequently, in a study of 17 patients with CKD and 24 healthy volunteers, the effects of ascorbic acid on renal perfusion was investigated. Although no change in renal perfusion was found following ascorbic acid, it was found that ASL MRI demonstrated significant differences between those with normal renal function and participants with CKD stages 3 – 5, with increased cortical and whole kidney T1, and reduced cortical and whole kidney perfusion. Interestingly, absolute perfusion showed a weak but significant correlation with progression of kidney disease over the preceding year. Ascorbic acid was therefore shown to have a significant effect on vascular biology both in CKD and in those with normal renal function, and to reduce ADMA only in patients with CKD. ASL MRI has shown promise as a non-invasive investigation of renal function and as a biomarker to identify individuals at high risk of progressive renal impairment.

Exploring redox-driven self-assembly of mixed metal polyoxometalates

How can we control the experimental conditions towards the isolation of specific structures? Why do particular architectures form? These are some challenging questions that synthetic chemists try to answer, specifically within polyoxometalate (POM) chemistry, where there is still much unknown regarding the synthesis of novel molecular structures in a controlled and predictive manner. This work covers a wide range of POM chemistry, exploring the redox self-assembly of polyoxometalate clusters, using both “one-pot”, flow and hydrothermal conditions. For this purpose, different vanadium, molybdenum and tungsten reagents, heteroatoms, inorganic salts and reducing agents have been used. The template effect of lone-pair containing pyramidal heteroatoms has been investigated. Efforts to synthesize new POM clusters displaying pyramidal heteroanions (XO32-, where X= S, Se, Te, P) are reported. The reaction of molybdenum with vanadium in the presence of XO32- heteroatoms is explored, showing how via the cation and experimental control it is possible to direct the self-assembly process and to isolate isostructural compounds. A series of four isostructural (two new, namely {Mo11V7P} and {Mo11V7Te} and two already known, namely {Mo11V7Se} and {Mo11V7S} disordered egg-shaped Polyoxometalates have been reported. The compounds were characterized by X-ray structural analysis, TGA, UV-Vis, FT-IR, Elemental and Flame Atomic Absorption Spectroscopy (FAAS) analysis and Inductively Coupled Plasma Optical Emission Spectroscopy (ICP-OES). Cyclic Voltammetry measurements have been carried out in all four compounds showing the effect of the ionic density of the heteroatom on the potential. High-Resolution ESI-MS studies have revealed that the structures retain their integrity in solution. Efforts to synthesize new mixed-metal compounds led to isolation, structural, and electronic characterization of the theoretically predicted, but experimentally elusive δ-isomer of the Keggin polyoxometalate cluster anion, {H2W4V9O33(C6H13NO3)}, by the reaction of tungstate(VI) and vanadium(V) with triethanolammonium ions (TEAH), acting as a tripodal ligand grafted to the surface of the cluster. Control experiments (in the absence of the organic compound) have proven that the tripodal ligand plays crucial role on the formation of the isomer. The six vanadium metal centres, which consist the upper part of the cluster, are bonded to the “capping” TEA tripodal ligand. This metal-ligand bonding directs and stabilises the formation of the final product. The δ-Keggin species was characterized by single-crystal X-ray diffraction, FT-IR, UV-vis, NMR and ESI-MS spectrometry. Electronic structure and structure-stability correlations were evaluated by means of DFT calculations. The compounds exhibited photochromic properties by undergoing single-crystal-to-single-crystal (SC-SC) transformations and changing colour under light. Non-conventional synthetic approaches are also used for the synthesis of the POM clusters comparing the classical “one-pot” reaction conditions and exploring the synthetic parameters of the synthesis of POM compounds. Reactions under hydrothermal and flow conditions, where single crystals that depend on the solubility of the minerals under hot water and high pressure can be synthesized, resulted in the isolation of two isostructural compounds, namely, {Mo12V3Te5}. The compound isolated from a continuous processing method, crystallizes in a hexagonal crystal system, forming a 2D porous plane net, while the compound isolated using hard experimental conditions (high temperature and pressure) crystallizes in monoclinic system, resulting in a different packing configuration. Utilizing these alternative synthetic approaches, the most kinetically and thermodynamically compounds would possibly be isolated. These compounds were characterised by single-crystal X-ray diffraction, FT-IR and UV-vis spectroscopy. Finally, the redox-controlled driven oscillatory template exchange between phosphate (P) and vanadate (V) anions enclosed in an {M18O54(XO4)2} cluster is further investigated using UV-vis spectroscopy as a function of reaction time, showed that more than six complete oscillations interconverting the capsule species present in solution from {P2M18} to {V2M18} were possible, provided that a sufficient concentration of the TEA reducing agent was present in solution. In an effort to investigate the periodicity of the exchange of the phosphate and vanadate anions, time dependent Uv-vis measurements were performed for a period at a range of 170-550 hours. Different experimental conditions were also applied in order to investigate the role of the reducing agent, as well as the effect of other experimental variables on the oscillatory system.