Prediction of the economic activity from the short and long-term interest rate differential: new evidences in Chile and the United States of America cases

The purpose of this work is to verify the stability of the relationship between real activity and interest rate spread. The test is based on Chen (1988) and Osorio and Galea (2006). The analysis is applied to Chile and the United States, from 1980 to 1999. In general, in both cases the relationship was statistically significant in early 80s, but a break point is found in both countries during that decades, suggesting that the relationship depends on the monetary rule follow by the Central Bank.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Appropriateness and long-term discontinuation rate of biological therapies in ulcerative colitis.

BACKGROUND: Anti-TNFα agents are commonly used for ulcerative colitis (UC) therapy in the event of non-response to conventional strategies or as colon-salvaging therapy. The objectives were to assess the appropriateness of biological therapies for UC patients and to study treatment discontinuation over time, according to appropriateness of treatment, as a measure of outcome. METHODS: We selected adult ulcerative colitis patients from the Swiss IBD cohort who had been treated with anti-TNFα agents. Appropriateness of the first-line anti-TNFα treatment was assessed using detailed criteria developed during the European Panel on the Appropriateness of Therapy for UC. Treatment discontinuation as an outcome was assessed for categories of appropriateness. RESULTS: Appropriateness of the first-line biological treatment was determined in 186 UC patients. For 64% of them, this treatment was considered appropriate. During follow-up, 37% of all patients discontinued biological treatment, 17% specifically because of failure. Time-to-failure of treatment was significantly different among patients on an appropriate biological treatment compared to those for whom the treatment was considered not appropriate (p=0.0007). Discontinuation rate after 2years was 26% compared to 54% between those two groups. Patients on inappropriate biological treatment were more likely to have severe disease, concomitant steroids and/or immunomodulators. They were also consistently more likely to suffer a failure of efficacy and to stop therapy during follow-up. CONCLUSION: Appropriateness of first-line anti-TNFα therapy results in a greater likelihood of continuing with the therapy. In situations where biological treatment is uncertain or inappropriate, physicians should consider other options instead of prescribing anti-TNFα agents.

Spread trading strategy for intraday short term interest rate futures markets

Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e venda simultânea de contratos de STIR com diferentes maturidades. Cada um dos contratos individualmente se comporta de forma aleatória e dificilmente previsível. No entanto, no longo prazo, pares de contratos podem apresentar um comportamento comum, com os desvios de curto prazo sendo corrigidos nos períodos seguintes. Se este comportamento comum for empiricamente confirmado, há a possibilidade de desenvolver uma estratégia rentável de trading. Para ser bem sucedida, esta estratégia depende da confirmação da existência de um equilíbrio de longo prazo entre os contratos e a definição do limite de spread mais adequado para a mudança de posições entre os contratos. Neste trabalho, foram estudadas amostras de 1304 observações de 5 diferentes séries de spread, coletadas a cada 10 minutos, durante um período de 1 mês. O equilíbrio de longo prazo entre os pares de contratos foi testado empiricamente por meio de modelos de cointegração. Quatro pares mostraram-se cointegrados. Para cada um destes, uma simulação permitiu a estimação de um limite que dispararia a troca de posições entre os contratos, maximizando os lucros. Uma simulação mostrou que a aplicação deste limite, levando em conta custos de comissão e risco de execução, permitiria obter um fluxo de caixa positivo e estável ao longo do tempo.

Appropriateness and long-term discontinuation rate of biological therapies in ulcerative colitis

BACKGROUND Anti-TNFα agents are commonly used for ulcerative colitis (UC) therapy in the event of non-response to conventional strategies or as colon-salvaging therapy. The objectives were to assess the appropriateness of biological therapies for UC patients and to study treatment discontinuation over time, according to appropriateness of treatment, as a measure of outcome. METHODS We selected adult ulcerative colitis patients from the Swiss IBD cohort who had been treated with anti-TNFα agents. Appropriateness of the first-line anti-TNFα treatment was assessed using detailed criteria developed during the European Panel on the Appropriateness of Therapy for UC. Treatment discontinuation as an outcome was assessed for categories of appropriateness. RESULTS Appropriateness of the first-line biological treatment was determined in 186 UC patients. For 64% of them, this treatment was considered appropriate. During follow-up, 37% of all patients discontinued biological treatment, 17% specifically because of failure. Time-to-failure of treatment was significantly different among patients on an appropriate biological treatment compared to those for whom the treatment was considered not appropriate (p=0.0007). Discontinuation rate after 2years was 26% compared to 54% between those two groups. Patients on inappropriate biological treatment were more likely to have severe disease, concomitant steroids and/or immunomodulators. They were also consistently more likely to suffer a failure of efficacy and to stop therapy during follow-up. CONCLUSION Appropriateness of first-line anti-TNFα therapy results in a greater likelihood of continuing with the therapy. In situations where biological treatment is uncertain or inappropriate, physicians should consider other options instead of prescribing anti-TNFα agents.

Does Full Wound Rupture following Median Pilonidal Closure Alter Long-Term Recurrence Rate?

OBJECTIVE The purpose of this study was to examine the recurrence rate of wound rupture in primary pilonidal sinus disease (PSD) after median closure. SUBJECTS AND METHODS A total of 583 patients from the German military cohort were interviewed. We compared the choice of surgical therapy, wound dehiscence (if present) and long-term recurrence-free survival for patients with primary open treatment, marsupialization and primary median treatment (closed vs. secondary open, respectively). Actuarial recurrence rate was determined using the Kaplan-Meier calculation with a follow-up of up to 20 years after primary PSD surgery. RESULTS Patients with excision followed by primary open wound treatment showed a significantly lower 5- than 10-year recurrence rate (8.3 vs. 11.2%) compared to the patients with primary midline closure (17.4 vs. 20.5%, p = 0.03). The 20-year recurrence rate was 28% in primary open wound treatment versus 44% in primary midline closure without wound rupture. In contrast to these findings, long-term recurrence rates following secondary open wound treatment (12.2% at 5 years vs. 17.1% at 10 years) tended to be higher (although not significantly, p = 0.57) compared to primary open treatment (8.3% at 5 years vs. 11.2% at 10 years). There was no statistical difference in long-term recurrence rates between secondary open and primary midline closure (p = 0.7). Hence, despite only a short wound closure time experienced before wound rupture, the patient does not fully benefit from an open wound treatment in terms of recurrence rate. CONCLUSION The postoperative pilonidal sinus wound rupture of primary midline closures did not significantly increase the 5- and 10-year long-term recurrence rates compared to uneventfully healing primary midline closures.

Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials. CEPS Working Document No. 416/January 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates followed a global downward trend prior to as well as during the financial crisis. Comparing interest rate developments in the US and the eurozone, it is difficult to detect a distinct impact of the first round of the Fed’s quantitative easing programme (QE1) on US interest rates for which the global environment – the global downward trend in interest rates – does not account. Motivated by these findings, we analyse the impact of the Fed’s QE1 programme on the stability of the US-euro long-term interest rate relationship by using a CVAR (cointegrated vector autoregressive) model and, in particular, recursive estimation methods. Using data gathered between 2002 and 2014, we find limited evidence that QE1 caused the break-up or destabilised the transatlantic interest rate relationship. Taking global interest rate developments into account, we thus find no significant evidence that QE had any independent, distinct impact on US interest rates.

Is the supply of long-term debt independent of the term premia? Evidence from Portugal

An important assumption in the statistical analysis of the financial market effects of the central bank’s large scale asset purchase program is that the "long-term debt stock variables were exogenous to term premia". We test this assumption for a small open economy in a currency union over the period 2000M3 to 2015M10, via the determinants of short- term financing relative to long-term financing. Empirical estimations indicate that the maturity composition of debt does not respond to the level of interest rate or to the term structure. These findings suggest a lower adherence to the cost minimization mandate of debt management. However, we find that volatility and relative market size respectively decrease and increase short-term financing relative to long-term financing, while it decreases with an increase in government indebtedness.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

Recurrence-free survival, but not surgical therapy per se, determines 583 patients' long-term satisfaction following primary pilonidal sinus surgery.

PURPOSE With pilonidal sinus disease (PSD) incidence increasing and patients freely choosing their surgeon, patients' interest issues have been brought forward estimating patient satisfaction following pilonidal sinus surgery. The influence of wound healing time and long-term recurrence rate on patient satisfaction in primary PSD surgery has not been investigated yet. METHODS Five hundred eighty-three patients (German military cohort) were interviewed, compiling wound healing time, aesthetic satisfaction, long-term recurrence-free survival and patient satisfaction having undergone primary open (PO) treatment, marsupialization (MARS) or primary midline closure (PMC) treatment. Recurrence rate was determined by Kaplan-Meier calculation following up to 20 years after primary PSD surgery. RESULTS Patient satisfaction ranking from 1 to 10 (10 = max. satisfied) showed an average satisfaction of 8.2 (range 0-10; 95% confidence interval (CI) 7891-8250). In-hospital stay time was significantly longer in primary open (PO) and marsupialization (MARS) group as compared to primary midline closure (PMC; p < 0.0001, Kruskal-Wallis test). Satisfaction was comparable between treatment groups, and was neither linked to in-hospital stay time nor to longer outpatient wound care period or total treatment time. Recurrence-free survival, as seen in the PO and PMC treatment group, revealed a highly significant difference for all patients. Improvement in MARS patients with versus without recurrence was low, as satisfaction with primary treatment was lower as the other groups. CONCLUSIONS Neither choice of surgical treatment nor treatment duration within hospital or after hospital influences patient satisfaction, as long as recurrence-free survival can be provided. Marsupialization was ranked lower in both groups (with or without recurrence), and should be abandoned, as patients are significantly less satisfied with either results, independent of recurrence.

Perineal stapled prolapse resection for external rectal prolapse: is it worthwhile in the long-term?

BACKGROUND: Perineal stapled prolapse (PSP) resection is a novel operation for treating external rectal prolapse. However, no long-term results have been reported in the literature. This study analyses the long-term recurrence rate, functional outcome, and morbidity associated with PSP resection. METHODS: Nine consecutive patients undergoing PSP resection between 2007 and 2011 were prospectively followed. Surgery was performed by the same surgeons in a standardised technique. Recurrence rate, functional outcome, and complication grade were prospectively assessed. RESULTS: All 9 patients undergoing PSP resection were investigated. The median age was 72 years (range 25-88 years). No intraoperative complications occurred. Faecal incontinence, preoperatively present in 2 patients, worsened postoperatively in one patient (Vaizey 18-22). One patient developed new-onset faecal incontinence (Vaizey 18). The median obstructive defecation syndrome score decreased postoperatively significantly from 11 (median; range 8-13) to 5 (median; range 4-8) (p < 0.005). At a median follow-up of 40 months (range 14-58 months), the prolapse recurrence rate was 44 % (4/9 patients). CONCLUSIONS: The PSP resection is a fast and safe procedure associated with low morbidity. However, the poor long-term functional outcome and the recurrence rate of 44 % warrant a cautious patient selection.

Long-Term Safety of Canakinumab in Patients with Gouty Arthritis.

Background/Purpose: Gouty arthritis (GA) is a chronic inflammatory disease. Targeting the inflammatory pathway through IL-1_ inhibition with canakinumab (CAN) may provide significant long-term benefits. CAN safety versus triamcinolone acetonide (TA) over initial 24 weeks (blinded study) for patients (pts) with history of frequent attacks (_3 in year before baseline) was reported earlier from core (_-RELIEVED [_-REL] and _-REL-II) and first extension (E1) studies1. Herein we present full 18-month long-term CAN safety data, including open-label second extension (E2) studies. Methods: GA pts completing _-REL E1 and _-REL-II E1 studies1 were enrolled in these 1-year, open-label, E2 studies. All pts entering E2, whether randomized to CAN or TA, received CAN 150 mg sc on demand upon new attack. Data are presented only for pts randomized to CAN, and are reported cumulatively, i.e. including corresponding data from previously reported core and E1 studies. Long-term safety outcomes and safety upon re-treatment are presented as incidence rate per 100 patient-years (pyr) of study participation for AEs and SAEs. Deaths are reported for all pts (randomized to CAN or TA). Selected predefined notable laboratory abnormalities are shown (neutrophils, platelets, liver and renal function tests). Long-term attack rate per year is also provided. Results: In total, 69/115 (60%) and 72/112 (64.3%) of the pts randomized to CAN in the two core studies entered the two E2 studies, of which 68 and 64 pts, respectively completed the E2 studies. The 2 study populations had differing baseline comorbidity and geographic origin. Lab data (not time adjusted) for neutropenia appears worse after retreatment in _-REL E2, and deterioration of creatinine clearance appears worse after retreatment (Table 1). The time-adjusted incidence rates for AEs were 302.4/100 pyr and 360/100 pyr, and for SAEs were 27.9/100 pyr and 13.9/100 pyr in _-REL E2 and _-REL-II E2 respectively (Table 1). The time-adjusted incidence rates of any AEs, infection AEs, any SAEs, and selected SAEs before and after re-treatment are presented in Table 1. Incidence rates for AEs and SAEs declined after re-treatment, with the exception of SAEs in _-REL-II E2, which increased from 2.9/100 pyr to 10.9/100 pyr (no infection SAEs after retreatment in _-REL-II E2, and other SAEs fit no special pattern). In the total safety population (N_454, core and all extensions), there were 4 deaths, 2 in the core studies previously reported1 and 2 during the _-REL E2 study (one patient in the CAN group died from pneumonia; one patient in the TA group who never received CAN died of pneumococcal sepsis). None of the deaths was suspected by investigators to be study drug related. The mean rates of new attacks per year on CAN were 1.21 and 1.18 in _-REL E2 and in _-REL-II E2. Conclusion: The clinical safety profile of CAN upon re-treatment was maintained long-term with no new infection concerns

Vasicek interest rate model

Tässä tutkielmassa estimoidaan korkomallin parametrit Maximum likelihood metodilla sekä näytetään kuinka mallintaa lyhyen koron evoluutiota ja korkokäyrän rakennetta.