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.

Econometric models in foreign exchange market

According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.

Tenecteplase and alteplase in acute ischaemic stroke thrombolysis: clinical and imaging study

Introduction: Intravenous thrombolysis in acute ischaemic stroke with alteplase improves clinical outcomes, but it has limited efficacy and is associated with increased risk of intracranial haemorrhage. An improved tissue plasminogen activator, tenecteplase, was evidenced to be at least equally effective with lower risk of haemorrhage in acute myocardial infarction thrombolysis. To date, two completed phase II randomised controlled studies comparing tenecteplase and alteplase in acute ischaemic strokes showed variable results. Methods: A literature review of thrombolytic agents used in myocardial infarction and acute ischaemic stroke was performed, followed by a retrospective investigation of the bolus-to- infusion delay of alteplase administration. The main focus of this thesis is the report of our single centre phase II randomised controlled trial that compared tenecteplase (0.25mg/kg, maximum 25mg) and alteplase (0.9mg/kg, maximum 90mg, 10% as the initial bolus, following by one hour infusion with the rest of the dose) in acute ischaemic stroke thrombolysis using advanced imaging as biomarkers. Imaging comprised baseline computed tomography (CT), CT perfusion (CTP) and CT angiography (CTA), and CT+CTA at 24-48 hours. The primary end-point was penumbral salvage (CTP-defined penumbra volume minus follow-up CT infarct volume). A sub-study of coagulation and fibrinolysis analysis of the two agents was performed by comparing a group of coagulation variables measured pre-treatment, 3-12 hours, and 24±3 hours post thrombolysis. An individual patient data (IPD) meta-analysis was carried out using all three completed tenecteplase/alteplase comparison studies in stroke thrombolysis. We compared clinical outcomes including modified Rankin scale at 3 months, early neurological improvement at 24 hours, intracerebral haemorrhage rate and mortality at 3 months between all three tenecteplase doses (0.1mg/kg, 0.25 mg/kg, and 0.4mg/kg) examined and standard alteplase. Imaging outcomes including penumbra salvage, recanalisation rates were also compared using the data from the two studies that had advance imaging carried out. Results: Delay between the initial bolus and the subsequent infusion in administration of alteplase is common. This may reduce the likelihood of achieving a good functional outcome. Among the 104 patients recruited in ATTEST trial, 71 contributed to the imaging primary outcome. No significant differences were observed for penumbral salvage [68 (SD 28) % tenecteplase vs 68 (SD 23) % alteplase], mean difference 1% (95% confidence interval -10%, 12%, p=0·81) or for any secondary end-point. The SICH incidence (1/52, 2% vs 2/51, 4%, by SITS-MOST definition, p=0·55; by ECASS-2 definition, 3/52, 6% tenecteplase vs 4/51, 8% alteplase, p=0.59) did not differed significantly. There was a trend towards lower ICH risk in the tenecteplase group (8/52 tenecteplase, 15% vs 14/51 alteplase, 29%, p=0·091). Compared to baseline, alteplase caused significant hypofibrinogenaemia (p=0.002), prolonged Prothrombin Time (PT) (p=0.011), hypoplasminogenaemia (p=0.001) and lower Factor V (p=0.002) at 3-12 hours after administration with persistent hypofibrinogenaemia at 24h (p=0.011), while only minor hypoplasminogenaemia (P=0.029) was seen in the tenecteplase group. Tenecteplase consumed less plasminogen (p<0.001) and fibrinogen (p=0.002) compared with alteplase. In a pooled analysis, tenecteplase 0.25mg/kg had the greatest odds to achieve early neurological improvement (OR [95%CI] 3.3 [1.5, 7.2], p=0.093), excellent functional outcome (mRS 0-1) at three months (OR [95%CI] 1.9 [0.8, 4.4], p= 0.28), with reduced odds of ICH (OR [95%CI] 0.6 [0.2, 1.8], P=0.43) compared with alteplase. Only 19 patients were treated with tenecteplase 0.4mg/kg, which showed increased odds of SICH compared with alteplase (OR [95% CI] 6.2 [0.7, 56.3]). In the two studies where advanced imaging was performed, the imaging outcomes did not differ in the IPD analysis. Conclusion: Tenecteplase 0.25 mg/kg has the potential to be a better alternative to alteplase. It can be given as a single bolus, does not cause disruption to systemic coagulation, and is possibly safer and more effective in clot lysis. Further phase III study to compare tenecteplase and alteplase in acute ischaemic stroke is warranted.

Studies of antihypertensive drug persistence and adherence in the Glasgow Blood Pressure Clinic

Hypertension (HTN) is a major risk factor for cardiovascular diseases including stroke, coronary heart disease (CHD), chronic renal failure, peripheral vascular disease, myocardial infarction, congestive heart failure and premature death. The prevalence of HTN in Scotland is very high and although a high proportion of the patients receive antihypertensive medications, blood pressure (BP) control is very low. Recommendations for starting a specific antihypertensive class have been debated between various guidelines over the years. Some guidelines and HTN studies have preferred to start with a combination of an antihypertensive class instead of using a single therapy, and they have found greater BP reductions with combination therapies than with monotherapy. However, it has been shown in several clinical trials that 20% to 35% of hypertensive patients could not achieve the target BP, even though they received more than three antihypertensive medications. Several factors were found to affect BP control. Adherence and persistence were considered as the factors contributing the most to uncontrolled hypertension. Other factors such as age, sex, body mass index (BMI), alcohol intake, baseline systolic BP (SBP), and the communication between physicians and patients have been shown to be associated with uncontrolled BP and resistant hypertension. Persistence, adherence and compliance are interchangeable terms and have been used in the literature to describe a patient’s behaviour with their antihypertensive drugs and prescriptions. The methods used to determine persistence and adherence, as well as the inclusion and exclusion criteria, vary between persistence and adherence studies. The prevalence of persistence and adherence have varied between these studies, and were determined to be high in some studies and low in others. The initiation of a specific antihypertensive class has frequently been associated with an increase or decrease in adherence and persistence. The tolerability and efficacy of the initial antihypertensive class have been the most common methods of explaining this association. There are also many factors that suggest a relationship with adherence and persistence. Some factors in previous studies, such as age, were frequently associated with adherence and persistence. On the other hand, relationships with certain factors have varied between the studies. The associations of age, sex, alcohol use, smoking, baseline systolic blood pressure (SBP) and diastolic BP (DBP), the presence of comorbidities, an increase in the number of pills and the relationship between patients and physicians with adherence and persistence have been the most commonly investigated factors. Most studies have defined persistence in terms of a patient still taking medication after a period of time. A medication possession ratio (MPR) ≥ 80 has been used to define compliance. Either of these terminologies, or both, have been used to estimate adherence. In this study, I used the same definition for persistence to identify patients who have continued with their initial treatment, and used persistence and MPR to define patients who adhered to their initial treatment. The aim of this study was to estimate the prevalence of persistence and adherence in Scotland. Also, factors that could have had an effect on persistence and adherence were studied. The number of antihypertensive drugs taken by patients during the study and factors that led to an increase in patients being on a combination therapy were also evaluated. The prevalence of resistance and BP control were determined by taking the BP after the last drug had been taken by persistent patients during five follow-up studies. The relationship of factors such as age, sex, BMI, alcohol use, smoking, estimated glomerular filtration rate (eGFR), and albumin levels with BP reductions for each antihypertensive class were determined. Information Services Division (ISD) data, which includes all antihypertensive drugs, were collected from pharmacies in Scotland and linked to the Glasgow Blood Pressure Clinic (GBPC) database. This database also includes demographic characteristics, BP readings and clinical results for all patients attending the GBPC. The case notes for patients who attended the GBPC were reviewed and all new antihypertensive drugs that were prescribed between visits, BP before and after taking drugs, and any changes in the hypertensive drugs were recorded. A total of 4,232 hypertensive patients were included in the first study. The first study showed that angiotensin converting enzyme inhibitor (ACEI) and beta-blockers (BB) were the most prescribed antihypertensive classes between 2004 and 2013. Calcium channel blockers (CCB), thiazide diuretics and angiotensin receptor blockers (ARB) followed ACEI and BB as the most prescribed drugs during the same period. The prescription trend of the antihypertensive class has changed over the years with an increase in prescriptions for ACEI and ARB and a decrease in prescriptions for BB and diuretics. I observed a difference in antihypertensive class prescriptions by age, sex, SBP and BMI. For example, CCB, thiazide diuretics and alpha-blockers were more likely to be prescribed to older patients, while ACEI, ARB or BB were more commonly prescribed for younger patients. In a second study, 4,232 and 3,149 hypertensive patients were included to investigate the prevalence of persistence in the Scottish population in 1- and 5-year studies, respectively. The prevalence of persistence in the 1-year study was 72.9%, while it was only 62.8% in the 5-year study. Those patients taking ARB and ACEI showed high rates of persistence and those taking diuretics and alpha blockers had low rates of persistence. The association of persistence with clinical characteristics was also investigated. Younger patients were more likely to totally stop their treatment before restarting their treatment with other antihypertensive drugs. Furthermore, patients who had high SBP tended to be non-persistent. In a third study, 3,085 and 1,979 patients who persisted with their treatment were included. In the first part of the study, MPR was calculated, and patients with an MPR ≥ 80 were considered as adherent. Adherence rates were 29.9% and 23.4% in the 1- and 5-year studies, respectively. Patients who initiated the study with ACEI were more likely to adhere to their treatments. However, patients who initiated the study with thiazide diuretics were less likely to adhere to their treatments. Sex, age and BMI were different between the adherence and non-adherence groups. Age was an independent factor affecting adherence rates during both the 1- and 5-year studies with older patients being more likely to be adherent. In the second part of the study, pharmacy databases were checked with patients' case notes to compare antihypertensive drugs that were collected from the pharmacy with the antihypertensive prescription given during the patient’s clinical visit. While 78.6% of the antihypertensive drugs were collected between clinical visits, 21.4% were not collected. Patients who had more days to see the doctor in the subsequent visit were more likely to not collect their prescriptions. In a fourth study, 3,085 and 1,979 persistent patients were included to calculate the number of antihypertensive classes that were added to the initial drug during the 1-year and 5-year studies, respectively. Patients who continued with treatment as a monotherapy and who needed a combination therapy were investigated during the 1- and 5-year studies. In all, 55.8% used antihypertensive drugs as a monotherapy and 44.2% used them as a combination therapy during the 1-year study. While 28.2% of patients continued with treatment without the required additional therapy, 71.8% of the patients needed additional therapy. In all, 20.8% and 46.5% of patients required three different antihypertensive classes or more during the 1-year and 5-year studies, respectively. Patients who started with ACEI, ARB and BB were more likely to continue as monotherapy and less likely to need two more antihypertensive drugs compared with those who started with alpha-blockers, non-thiazide diuretics and CCB. Older ages, high BMI levels, high SBP and high alcohol intake were independent factors that led to an increase in the probability of patients taking combination therapies. In the first part of the final study, BPs were recorded after the last drug had been taken during the 5 year study. There were 815 persistent patients who were assigned for this purpose. Of these, 39% had taken one, two or three antihypertensive classes and had controlled BP (controlled hypertension [HTN]), 29% of them took one or two antihypertensive classes and had uncontrolled BP (uncontrolled HTN), and 32% of the patients took three antihypertensive classes or more and had uncontrolled BP (resistant HTN). The initiation of an antihypertensive drug and the factors affecting BP pressure were compared between the resistant and controlled HTN groups. Patients who initiated the study with ACEI were less likely to be resistant compared with those who started with alpha blockers and non-thiazide diuretics. Older patients, and high BMI tended to result in resistant HTN. In the second part of study, BP responses for patients who initiated the study with ACEI, ARB, BB, CCB and thiazide diuretics were compared. After adjusting for risk factors, patients who initiated the study with ACEI and ARB were more respondent than those who took CCB and thiazide diuretics. In the last part of this study, the association between BP reductions and factors affecting BP were tested for each antihypertensive drug. Older patients responded better to alpha blockers. Younger patients responded better to ACEI and ARB. An increase in BMI led to a decreased reduction in patients on ACEI and diuretics (thiazide and non-thiazide). An increase in albumin levels and a decrease in eGFR led to decreases in BP reductions in patients on thiazide diuretics. An increase in eGFR decreased the BP response with ACEI. In conclusion, although a high percentage of hypertensive patients in Scotland persisted with their initial drug prescription, low adherence rates were found with these patients. Approximately half of these patients required three different antihypertensive classes during the 5 years, and 32% of them had resistant HTN. Although this study was observational in nature, the large sample size in this study represented a real HTN population, and the large pharmacy data represented a real antihypertensive population, which were collected through the support of prescription data from the GBPC database. My findings suggest that ACEI, ARB and BB are less likely to require additional therapy. However, ACEI and ARB were better tolerated than BB in that they were more likely to be persistent than BB. In addition, users of ACEI, and ARB have good BP response and low resistant HTN. Linkage patients who participated in these studies with their morbidity and mortality will provide valuable information concerning the effect of adherence on morbidity and mortality and the potential benefits of using ACEI or ARB over other drugs.

State-narco networks and the ‘War on Drugs’ in post-transition Bolivia, with special reference to 1989-1993

This thesis examines the development of state-narco networks in post-transition Bolivia. Mainstream discourses of drugs tend to undertheorise such relationships, holding illicit economies, weak states and violence as synergistic phenomena. Such assumptions fail to capture the nuanced relations that emerge between the state and the drug trade in different contexts, their underlying logics and diverse effects. As an understudied case, Bolivia offers novel insights into these dynamics. Bolivian military authoritarian governments (1964-1982), for example, integrated drug rents into clientelistic systems of governance, helping to establish factional coalitions and reinforce regime authority. Following democratic transition in 1982 and the escalation of US counterdrug efforts, these stable modes of exchange between the state and the coca-cocaine economy fragmented. Bolivia, though, continued to experience lower levels of drug-related violence than its Andean neighbours, and sustained democratisation despite being a major drug producer. Focusing on the introduction of the Andean Initiative (1989-1993), I explore state-narco interactions during this period of flux: from authoritarianism to (formal) democracy, and from Cold War to Drug War. As such, the thesis transcends the conventional analyses of the drugs literature and orthodox readings of Latin American narco-violence, providing insights into the relationship between illicit economies and democratic transition, the regional role of the US, and the (unintended) consequences of drug policy interventions. I utilise a mixed methods approach to offer discrete perspectives on the object of study. Drawing on documentary and secondary sources, I argue that state-narco networks were interwoven with Bolivia’s post-transition political settlement. Uneven democratisation ensured pockets of informalism, as clientelistic and authoritarian practices continued. This included police and military autonomy, and tolerance of drug corruption within both institutions. Non-enforcement of democratic norms of accountability and transparency was linked to the maintenance of fragile political equilibrium. Interviews with key US and Bolivian elite actors also revealed differing interpretations of state-narco interactions. These exposed competing agendas, and were folded into alternative paradigms and narratives of the ‘war on drugs’. The extension of US Drug War goals and the targeting of ‘corrupt’ local power structures, clashed with local ambivalence towards the drug trade, opposition to destabilising, ‘Colombianised’ policies and the claimed ‘democratising mission’ of the Bolivian government. In contrasting these US and Bolivian accounts, the thesis shows how real and perceived state-narco webs were understood and navigated by different actors in distinct ways. ‘Drug corruption’ held significance beyond simple economic transaction or institutional failure. Contestation around state-narco interactions was enmeshed in US-Bolivian relations of power and control.