Diagnostic Related Groups (drgs): Resourceful tools for financial crisis times?

This document is intended to be read by the Colombian Ministry of Social Protection (former MoH) and includes some recommendations that could be implemented on the aim to increase allocative efficiency, thus improving macroeconomic performance of the Colombian Health System (CHS). It will be conducted as follows: first it will briefly review the background and actual context of the CHS, after this, will mention some related issues that justify a policy intervention on strategic purchasing to promote long run sustainability and hopefully the future attainment of major goals such as universal coverage and quality improvement. After prioritizing the main financial threats to the system, based on findings from literature review from countries that have successfully implemented similar policies, this paper will make some policy recommendations on regards especially to inpatient health care services in Colombia.

Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Effects of innovative teaching methods on students??? academic performance : an empirical study on financial accounting

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A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

Assessment of wheat cultivars for drought tolerance via osmotic stress imposed at early seedling growth stages

A study was conducted in the Department of Plant Breeding and Genetics,Sindh Agriculture University, Tandojam, Pakistan during the year 2009. Sixteen spring wheat cultivars (Triticum aestivum L.) were screened under osmotic stress with three treatments i.e. control-no PEG (polyethylene glycol), 15 percent and 25 percent PEG-6000 solution. The analysis of variance indicated significant differences among treatments for all seedling traits except seed germination percentage. Varieties also differed significantly in germination percentage, coleoptile length, shoot root length, shoot weight, root/shoot ratio and seed vigour index. However, shoot and root weights were non-significant. Significant interactions revealed that cultivars responded variably to osmotic stress treatments; hence provided better opportunity to select drought tolerant cultivars at seedling growth stages. The relative decrease over averages due to osmotic stress was 0.8 percent in seed germination, 53 percent in coleoptile length 62.9 percent in shoot length, 74.4 percent in root length, 50.6 percent in shoot weight, 45.1 percent in root weight, 30.2 percent in root/shoot ratio and 68.5 percent in seed vigour index. However, relative decrease of individual variety for various seedling traits could be more meaningful which indicated that cultivar TD-1 showed no reduction in coleoptile length, while minimum decline was noted in Anmol. For shoot length, cultivar Sarsabz expressed minimum reduction followed by Anmol. However, cultivars Anmol, Moomal, Inqalab-91, and Pavan gave almost equally lower reductions for root length suggesting their higher stress tolerance. In other words, cultivars Anmol, Moomal, Inqalab-91, Sarsabz, TD-1, ZA-77 and Pavan had relatively longer coleoptiles, shoots and roots, and were regarded as drought tolerant. Correlation coefficients among seedlings traits were significant and positive for all traits except germination percentage which had no significant correlation with any of other trait. The results indicated that increase in one trait may cause simultaneous increase in other traits; hence selection for any of these seedling attributes will lead to develop drought tolerant wheat cultivars.

Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. It is argued that traditional tests, which assume that the underlying data generating process is constant, might be prone to overstate the lead-lag relationship. Using a new test for lead-lag relationships based on cross correlations and cross bicorrelations it is found that, contrary to results from using the traditional methodology, periods where the futures market leads the cash market are few and far between and when any lead-lag relationship is detected, it does not last long. Overall, the results are consistent with the prediction of the standard cost-of-carry model and market efficiency.

Is there a gold social seal? The financial effects of additions to and deletions from social stock indices

This study investigates the financial effects of additions to and deletions from the most well-known social stock index: the MSCI KLD 400. Our study makes use of the unique setting that index reconstitution provides and allows us to bypass possible issues of endogeneity that commonly plague empirical studies of the link between corporate social and financial performance. By examining not only short-term returns but also trading activity, earnings per share, and long-term performance of stocks that are involved in these events, we bring forward evidence of a ‘social index effect’ where unethical transgressions are penalized more heavily than responsibility is rewarded. We find that the addition of a stock to the index does not lead to material changes in its market price, whereas deletions are accompanied by negative cumulative abnormal returns. Trading volumes for deleted stocks are significantly increased on the event date, while the operational performances of the respective firms deteriorate after their deletion from the social index.

The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Effect of high temperature and water stress on groundnuts under field conditions

Groundnuts cultivated in the semiarid tropics are often exposed to water stress (mid-season and end season) and high temperature (> 34 °C) during the critical stages of flowering and pod development. This study evaluated the effects of both water stress and high temperature under field conditions at ICRISAT, India. Treatments included two irrigations (full irrigation, 100 % of crop evapotranspiration; and water stress, 40 % of crop evapotranspiration), four temperature treatments from a combination of two sowing dates and heat tunnels with mean temperatures from sowing to maturity of 26.3° (T1), 27.3° (T2), 29.0° (T3) and 29.7 °C (T4) and two genotypes TMV2 and ICGS 11. The heat tunnels were capable of raising the day temperature by > 10 °C compared to ambient. During the 20-day high-temperature treatment at flowering, mean temperatures were 33.8° (T1), 41.6° (T2), 38.7° (T3) and 43.5°C (T4). The effects of water stress and high temperature were additive and temporary for both vegetative and pod yield, and disappeared as soon as high-temperature stress was removed. Water use efficiency was significantly affected by the main effects of temperature and cultivar and not by water stress treatments. Genotypic differences for tolerance to high temperature can be attributed to differences in flowering pattern, flower number, peg-set and harvest index. It can be inferred from this study that genotypes that are tolerant to water stress are also tolerant to high temperature under field conditions. In addition, genotypes with an ability to establish greater biomass and with a significantly greater partitioning of biomass to pod yield would be suitable for sustaining higher yields in semiarid tropics with high temperature and water stress.

Homocysteine Thiolactone Induces Cardiac Dysfunction: Role of Oxidative Stress

This study investigates the cardiac functioning in male Wistar rats after treatments with methionine and homocysteine thiolactone (HcyT). The rats were distributed into 3 groups and treated for 8 weeks. Group I was the control (CO) group, given water, group II was treated with methionine, and group III with HcyT (100 mg/kg). Morphometric and functional cardiac parameters were evaluated by echocardiography. Superoxide dismutase (SOD), catalase, and glutathione S-transferase activities, chemiluminescence, thiobarbituric acid reactive substances, and immunocontent were measured in the myocardium. Hyperhomocysteinemia was observed in rats submitted to the both treatments. The results showed diastolic function was compromised in HcyT group, seen by the increase of E/A (peak velocity of early (E) and late (A) diastolic filling) ratio, decrease in deceleration time of E wave and left ventricular isovolumic relaxation time. Myocardial performance index was increased in HcyT group and was found associated with increased SOD immunocontent. HcyT group demonstrated an increase in SOD, catalase, and glutatione S-transferase activity, and chemiluminescence and thiobarbituric acid reactive substances. Overall, these results indicated that HcyT induces a cardiac dysfunction and could be associated with oxidative stress increase in the myocardium.