10,079 research outputs found

    Essays on monetary policy and financial stability

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    Doutoramento em EconomiaBy focusing on the relationship between financial stability and monetary policy for the cases of Chile, Colombia, Japan, Portugal and the UK, this thesis aims to add to the existing literature on the fundamental issue of the relationship between financial stability and monetary policy, a traditional topic that gained importance in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. As the zero-lower bound loomed and the reach of traditional monetary policy narrowed, policy makers realised that alternative frameworks were needed and hence, macroprudential policy measures aimed at targeting the financial system as a whole were introduced. The second chapter looks at the relationship between monetary policy and financial stability, which has gained importance in recent years as Central Bank policy rates neared the zero-lower bound. We use an SVAR model to study the impact of monetary policy shocks on three proxies for financial stability as well as a proxy for economic growth. Monetary policy is represented by policy rates for the EMEs and shadow rates for the AEs in our chapter. Our main results show that monetary policy may be used to correct asset mispricing, to control fluctuations in the real business cycle and also to tame credit cycles in the majority of cases. Our results also show that for the majority of cases, in line with theory, local currencies appreciate following a positive monetary policy shock. Monetary policy intervention may indeed be successful in contributing to or achieving financial stability. However, the results show that monetary policy may not have the ability to maintain or re-establish financial stability in all cases. Alternative policy choices such as macroprudential policy tool frameworks which are aimed at targeting the financial system as a whole may be implemented as a means of fortifying the economy. The third chapter looks at the institutional setting of the countries in question, the independence of the Central Bank, the political environment and the impact of these factors on financial Abstract stability. I substantiate the literature review discussion with a brief empirical analysis of the effect of Central Bank Independence on credit growth using an existing database created by Romelli (2018). The empirical results show that there is a positive relationship between credit growth and the level of Central Bank Independence (CBI) due to the positive and statistically significant coefficient on the interaction term between growth in domestic credit to the private sector and the level of CBI. When considering domestic credit by deposit money banks and other financial institutions, the interaction term is positive and statistically significant for the case of the UK for the third regression equation. A number of robustness checks show that the coefficient is positive and statistically significant for a number of cases when implementing a variety of estimation methods. Fluctuations in credit growth are larger for higher levels of CBI and hence, in periods of financial instability or ultimately financial crises, CBI would be reined back in an effort to re-establish financial stability. Based on the empirical results, and in an effort to slow down surging credit supply and to maintain financial stability, policy makers and governmental authorities should attempt to decrease the level of CBI when the economy shows signs of overheating and credit supply continues to increase. The fourth chapter looks at the interaction between macroprudential policy and financial stability. The unexpected interconnectedness of the global economy and the economic blight that occurred as a result of this, recapitulated the need to implement an alternative policy framework aimed at targeting the financial system as a whole and hence, targeting the maintenance of financial stability. In this chapter, an index of domestic macroprudential policy tools is constructed and the effectiveness of these tools in controlling credit growth, managing GDP growth and stabilising inflation growth is studied using a dynamic panel data model for the period between 2000 and 2017. The empirical analysis includes two panels namely an EU panel of 27 countries and a Latin American panel of 7 countries, the chapter also looks at a case study of Japan, Portugal and the UK. Our main results find that a tighter macroprudential policy tool stance leads to a decrease in both credit growth and GDP growth while, a tighter macroprudential policy tool stance results in higher inflation in the majority of cases. Further, we find that capital openness plays a more important role in the case of Latin America, this may be due to the region’s dependence on foreign capital flows and exchange rate movements. Lastly, we find that, in times of higher perceived market volatility, GDP growth tends to be higher and inflation growth tends to be lower in the EU. In the other cases, higher levels of perceived market volatility result in higher inflation, higher credit growth and lower GDP Abstract growth. This is in line with expectations as an increase in perceived market volatility is met with an increased flow of assets into safer markets such as the EU. This thesis establishes a relationship between financial stability and monetary policy by studying the response of Chile, Colombia, Japan, Portugal and the UK in the aftermath of the GFC as Central Banks lowered policy rates in an effort to rescue their economies. In short, the results of the work conducted in this thesis may be summarised as follows. Our results show that monetary policy contributes to the achievement of financial stability. Still, monetary policy alone is not sufficient and should be reinforced by less traditional policy choices such as macroprudential policy tools. Secondly, we find that the level of CBI should be reined in in times of surging credit supply in an effort to maintain financial stability. Finally, we conclude that macroprudential policy tools play an important role in the achievement of financial stability. These tools should complement traditional monetary policy frameworks and should be adapted for each region.info:eu-repo/semantics/publishedVersio

    Hydrodynamic scales of integrable many-particle systems

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    1. Introduction, 2. Dynamics of the classical Toda lattice, 3. Static properties, 4. Dyson Brownian motion. , 5. Hydrodynamics for hard rods, 6. Equations of generalized hydrodynamics, 7. Linearized hydrodynamics and GGE dynamical correlations, 8. Domain wall initial states, 9. Toda fluid, 10. Hydrodynamics of soliton gases, 11. Calogero models, 12. Discretized nonlinear Schr\"odinger equation , 13. Hydrodynamics for the Lieb-Liniger δ\delta-Bose gas, 14. Quantum Toda lattice, 15. Beyond the Euler time scaleComment: 178 pages, 12 Figures. This a much enlarged and substantially improved version of arXiv:2101.0652

    Traversing the FFT Computation Tree for Dimension-Independent Sparse Fourier Transforms

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    We consider the well-studied Sparse Fourier transform problem, where one aims to quickly recover an approximately Fourier kk-sparse vector x^Cnd\widehat{x} \in \mathbb{C}^{n^d} from observing its time domain representation xx. In the exact kk-sparse case the best known dimension-independent algorithm runs in near cubic time in kk and it is unclear whether a faster algorithm like in low dimensions is possible. Beyond that, all known approaches either suffer from an exponential dependence on the dimension dd or can only tolerate a trivial amount of noise. This is in sharp contrast with the classical FFT of Cooley and Tukey, which is stable and completely insensitive to the dimension of the input vector: its runtime is O(NlogN)O(N\log N) in any dimension dd for N=ndN=n^d. Our work aims to address the above issues. First, we provide a translation/reduction of the exactly kk-sparse FT problem to a concrete tree exploration task which asks to recover kk leaves in a full binary tree under certain exploration rules. Subsequently, we provide (a) an almost quadratic in kk time algorithm for this task, and (b) evidence that a strongly subquadratic time for Sparse FT via this approach is likely impossible. We achieve the latter by proving a conditional quadratic time lower bound on sparse polynomial multipoint evaluation (the classical non-equispaced sparse FT) which is a core routine in the aforementioned translation. Thus, our results combined can be viewed as an almost complete understanding of this approach, which is the only known approach that yields sublinear time dimension-independent Sparse FT algorithms. Subsequently, we provide a robustification of our algorithm, yielding a robust cubic time algorithm under bounded 2\ell_2 noise. This requires proving new structural properties of the recently introduced adaptive aliasing filters combined with a variety of new techniques and ideas

    Quantum Mechanics Lecture Notes. Selected Chapters

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    These are extended lecture notes of the quantum mechanics course which I am teaching in the Weizmann Institute of Science graduate physics program. They cover the topics listed below. The first four chapter are posted here. Their content is detailed on the next page. The other chapters are planned to be added in the coming months. 1. Motion in External Electromagnetic Field. Gauge Fields in Quantum Mechanics. 2. Quantum Mechanics of Electromagnetic Field 3. Photon-Matter Interactions 4. Quantization of the Schr\"odinger Field (The Second Quantization) 5. Open Systems. Density Matrix 6. Adiabatic Theory. The Berry Phase. The Born-Oppenheimer Approximation 7. Mean Field Approaches for Many Body Systems -- Fermions and Boson

    Topics in Applied Labour Economics

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    This thesis contributes to applied labour economics, spanning gender and spousal partnership. The first chapter shows that partnered women who work more hours than their spouse report lower life satisfaction. The data, collected from a sample of Australian women, suggest that this decrease in well-being is primarily interpreted as women’s non-compliance with traditional gender roles. This effect is more prevalent among women with less education, older women, and women living in regions with more traditional values. However, a decomposition analysis reveals that the impact of these well-being losses on female labour supply is minor and only plays a supplementary role in explaining the slow convergence of gender in the labour market.The second chapter investigates the wage dynamics of partners with similar careers by analysing a sample of Australian couples using a quasi-experimental design. The findings suggest that women experience significant positive wage effects when they have an occupational association with their partner, while men do not see significant effects. These positive wage effects are particularly pronounced among women who work part-time while their partner works full-time and among women whose partner switches into their occupation. These effects are also stronger for partners with a university degree, and partners' wages increase progressively with the number of years they remain work-related.The third chapter examines the effect of flexible working time arrangements on the gender gap in working hours among women using data from the German Socio-Economic Panel (SOEP). The study finds that flexibility has a positive impact on reducing the gender gap in hours worked among women who choose flexible contracts, especially among full-time working women and women after childbirth. These results indicate that flexibility allows women to better balance work and family responsibilities during periods of increased family duties and highlights the importance of flexible working time arrangements in promoting gender equality in employment

    Representative set statements for delta-matroids and the Mader delta-matroid

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    We present representative sets-style statements for linear delta-matroids, which are set systems that generalize matroids, with important connections to matching theory and graph embeddings. Furthermore, our proof uses a new approach of sieving polynomial families, which generalizes the linear algebra approach of the representative sets lemma to a setting of bounded-degree polynomials. The representative sets statements for linear delta-matroids then follow by analyzing the Pfaffian of the skew-symmetric matrix representing the delta-matroid. Applying the same framework to the determinant instead of the Pfaffian recovers the representative sets lemma for linear matroids. Altogether, this significantly extends the toolbox available for kernelization. As an application, we show an exact sparsification result for Mader networks: Let G=(V,E)G=(V,E) be a graph and T\mathcal{T} a partition of a set of terminals TV(G)T \subseteq V(G), T=k|T|=k. A T\mathcal{T}-path in GG is a path with endpoints in distinct parts of T\mathcal{T} and internal vertices disjoint from TT. In polynomial time, we can derive a graph G=(V,E)G'=(V',E') with TV(G)T \subseteq V(G'), such that for every subset STS \subseteq T there is a packing of T\mathcal{T}-paths with endpoints SS in GG if and only if there is one in GG', and V(G)=O(k3)|V(G')|=O(k^3). This generalizes the (undirected version of the) cut-covering lemma, which corresponds to the case that T\mathcal{T} contains only two blocks. To prove the Mader network sparsification result, we furthermore define the class of Mader delta-matroids, and show that they have linear representations. This should be of independent interest

    Hierarchical Quadratic Random Forest Classifier

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    In this paper, we proposed a hierarchical quadratic random forest classifier for classifying multiresolution samples extracted from multichannel data. This forest incorporated a penalized multivariate linear discriminant in each of its decision nodes and processed squared features to realize quadratic decision boundaries in the original feature space. The penalized discriminant was based on a multiclass sparse discriminant analysis and the penalization was based on a group Lasso regularizer which was an intermediate between the Lasso and the ridge regularizer. The classification probabilities estimated by this forest and the features learned by its decision nodes could be used standalone or foster graph-based classifiers

    Proceedings of FORM 2022. Construction The Formation of Living Environment

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    This study examines the integration of building information modelling (BIM) technologies in operation & maintenance stage in the system of managing real estate that helps to reduce transaction costs. The approach and method are based on Digital Twin technology and Model Based System Engineering (MBSE) approach. The results of the development of a service for digital facility management and digital expertise are presented. The connection between physical and digital objects is conceptualized
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