Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India's NSE-50 index, at the 95% and 99% levels. We employ a two-stage model selection procedure. In the first stage we test a class of models for statistical accuracy. If multiple models survive rejection with the tests, we perform a second stage filtering of the surviving models using subjective loss functions. This two-stage model selection procedure does prove to be useful in choosing a VaR model, while only incompletely addressing the problem. These case studies give us some evidence about the strengths and limitations of present knowledge on estimation and testing for VaR. Copyright © 2003 John Wiley & Sons, Ltd.

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In the Helpman et al. model (HMY), costs of transportation shape the decisions of firms about serving foreign customers by exporting or by doing FDI. The analysis of FDI in IT‐related services presents a challenge given the low cost of transportation through telecom networks. This study extends the HMY model by considering uncertainty in product quality. This reverses the ordering of the firms that do FDI. These predictions are tested using Indian data in two industries: chemicals and software. Chemicals represents a conventional setting, and we find that the most productive firms invest abroad. However, in the case of the software industry, where there is uncertainty about product quality and the transportation cost is low, the results are consistent with the predictions of the extended model: less productive firms invest abroad.

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Traditional explanations for trade misinvoicing --high custom duties and weak domestic economies -are less persuasive in a world of high growth emerging markets who have low trade barriers. We construct a 35-country data set over a 26 year span, covering both industrialised and developing countries, to study the phenomena of export and import misinvoicing. Capital account openness, differentials in interest rates, political stability, corruption, indebtedness and the exchange rate regime are identified as factors related to misinvoicing. Trade misinvoicing should be seen as one element of de facto capital account openness.

BackgroundStringent glycemic control by using insulin as a replacement or in addition to oral hypoglycemic agents (OHAs) has been recommended for people with tuberculosis and diabetes mellitus (TB-DM). This systematic review (PROSPERO 2016:CRD42016039101) analyses whether this improves TB treatment outcomes.ObjectivesAmong people with drug-susceptible TB and DM on anti-TB treatment, to determine the effect of i) glycemic control (stringent or less stringent) compared to poor glycemic control and ii) insulin (only or with OHAs) compared to ‘OHAs only’ on unsuccessful TB treatment outcome(s). We looked for unfavourable TB treatment outcomes at the end of intensive phase and/or end of TB treatment (minimum six months and maximum 12 months follow up). Secondary outcomes were development of MDR-TB during the course of treatment, recurrence after 6 months and/or after 1 year post successful treatment completion and development of adverse events related to glucose lowering treatment (including hypoglycemic episodes).MethodsAll interventional studies (with comparison arm) and cohort studies on people with TB-DM on anti-TB treatment reporting glycemic control, DM treatment details and TB treatment outcomes were eligible. We searched electronic databases (EMBASE, PubMed, Google Scholar) and grey literature between 1996 and April 2017. Screening, data extraction and risk of bias assessment were done independently by two investigators and recourse to a third investigator, for resolution of differences.ResultsAfter removal of duplicates from 2326 identified articles, 2054 underwent title and abstract screening. Following full text screening of 56 articles, nine cohort studies were included. Considering high methodological and clinical heterogeneity, we decided to report the results qualitatively and not perform a meta-analysis. Eight studies dealt with glycemic control, of which only two were free of the risk of bias (with confounder-adjusted measures of effect). An Indian study reported 30% fewer unsuccessful treatment outcomes (aOR (0.95 CI): 0.72 (0.64−0.81)) and 2.8 times higher odds of ‘no recurrence’ (aOR (0.95 CI): 2.83 (2.60−2.92)) among patients with optimal glycemic control at baseline. A Peruvian study reported faster culture conversion among those with glycemic control (aHR (0.95 CI): 2.2 (1.1,4)). Two poor quality studies reported the effect of insulin on TB treatment outcomes.ConclusionWe identified few studies that were free of the risk of bias. There were limited data and inconsistent findings among available studies. We recommend robustly designed and analyzed studies including randomized controlled trials on the effect of glucose lowering treatment options on TB treatment outcomes.

Prior to the Asian financial crisis, most Asian exchange rates were de facto pegged to the US Dollar. During the crisis, many economies experienced a brief period of extreme flexibility. A 'fear of floating' gave reduced flexibility when the crisis subsided, but flexibility after the crisis was greater than that seen prior to the crisis. Contrary to the idea of a durable Bretton Woods II arrangement, Asia then went on to slowly raise flexibility and reduce the role for the US dollar. When the period from April 2008 to December 2009 is compared against periods of high inflexibility, from January 1991 to November 1991 and October 1995 to March 1997, the increase in flexibility is economically and statistically significant. This paper proposes a new measure of dollar pegging, the "Bretton Woods II Score". We find that Asia has been slowly moving away from a Bretton Woods II arrangement.© 2010 Elsevier Inc. All rights reserved. JEL classification: F31 F33Keywords: Exchange rate regime Asia Bretton Woods II hypothesis The exchange rate regime in AsiaQuestions connected with the exchange rate regime have been an important part of understanding macroeconomic policies and outcomes in Asia. In the period leading up to the Asian crisis of 1997, many Asian economies had highly inflexible exchange rates. In the aftermath of the Asian crisis, while many economies announced reforms of the exchange rate regime, Calvo and Reinhart (2002) pointed out that there was a substantial difference between the de jure and de facto exchange rate regime, and that many economies had gone back to a high degree of exchange rate inflexibility after the crisis.A substantial research effort tried to understand the sources of this 'fear of floating'. Some hypotheses that have been offered include, the desire to reduce the currency risk faced by corporations with currency mismatches and incomplete financial markets, and the desire to stabilise domestic inflation in a small open economy with substantial exchange rate pass-through. 1 Dooley, Folkerts-Landau, and Garber (2003) have hypothesised the emergence of an Asian-led 'Bretton Woods II' regime motivated by exchange rate mercantilism. Some economists have argued that central bank actions aimed at exchange rate undervaluation should be an integral part of the optimal growth strategy in developing economies (Rodrik, 2008). Other researchers have argued that there is little evidence about a causal impact of exchange rate undervaluation on growth in the long run (Woodford, 2009).The macroeconomic policy framework in some Asian countries has involved a certain interlocking set of features: exchange rate inflexibility, large current account surpluses, and the accumulation of large foreign exchange reserves. This has led to concerns about global imbalances. The resolution of these imbalances may be critically linked to modifying the exchange rate regime in some Asian economies (Lane & Milesi-Ferretti, 2004).In parallel, there has been interest in questions about the role of the US Dollar (USD) in Asi...