The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden?

There is consensus in the economic literature that the reserve requirements are a tax levied upon financial intermediation, yet the incidence of the tax remains controversial. In this paper, we test whether changes in reserve requirements in Brazil impact the stock returns of the financial system distinctly from the rest of the economy. We find evidence that Brazilian bank stock returns were affected by changes in reserve requirements on both time deposits and transaction accounts, which implies that the tax burden of required reserves was not fully passed through to banks' borrowers or clients. Stock returns of non-financial firms were also affected by these changes, suggesting that in some cases, reserve requirements on time deposits and transaction accounts served as a non-neutral instrument of monetary or fiscal policy in Brazil.

Quantum statistical correlations in thermal field theories: boundary effective theory

We show that the one-loop effective action at finite temperature for a scalar field with quartic interaction has the same renormalized expression as at zero temperature if written in terms of a certain classical field $\phi_c$, and if we trade free propagators at zero temperature for their finite-temperature counterparts. The result follows if we write the partition function as an integral over field eigenstates (boundary fields) of the density matrix element in the functional Schr\"{o}dinger field-representation, and perform a semiclassical expansion in two steps: first, we integrate around the saddle-point for fixed boundary fields, which is the classical field $\phi_c$, a functional of the boundary fields; then, we perform a saddle-point integration over the boundary fields, whose correlations characterize the thermal properties of the system. This procedure provides a dimensionally-reduced effective theory for the thermal system. We calculate the two-point correlation as an example.Comment: 13 pages, 1 figur

Continuity properties of a factor of Markov chains

Starting from a Markov chain with a finite alphabet, we consider the chain obtained when all but one symbol are undistinguishable for the practitioner. We study necessary and sufficient conditions for this chain to have continuous transition probabilities with respect to the past

Charm and longitudinal structure functions with the Kharzeev-Levin-Nardi model

We use the Kharzeev-Levin-Nardi model of the low $x$ gluon distributions to fit recent HERA data on charm and longitudinal structure functions. Having checked that this model gives a good description of the data, we use it to predict $F^c_2$ and $F_L$ to be measured in a future electron-ion collider. The results interpolate between those obtained with the de Florian-Sassot and Eskola-Paukkunen-Salgado nuclear gluon distributions. The conclusion of this exercise is that the KLN model, simple as it is, may still be used as an auxiliary tool to make estimates both for heavy ion and electron-ion collisions.Comment: 6 pages, 7 figure

Dimensional reduction of the CPT-even electromagnetic sector of the Standard Model Extension

The CPT-even abelian gauge sector of the Standard Model Extension is represented by the Maxwell term supplemented by $(K_{F})_{\mu\nu\rho\sigma}F^{\mu\nu}F^{\rho\sigma}$, where the Lorentz-violating background tensor, $(K_{F})_{\mu\nu\rho\sigma}$, possesses the symmetries of the Riemann tensor. In the present work, we examine the planar version of this theory, obtained by means of a typical dimensional reduction procedure to $(1+2)$ dimensions. The resulting planar electrodynamics is composed of a gauge sector containing six Lorentz-violating coefficients, a scalar field endowed with a noncanonical kinetic term, and a coupling term that links the scalar and gauge sectors. The dispersion relation is exactly determined, revealing that the six parameters related to the pure electromagnetic sector do not yield birefringence at any order. In this model, the birefringence may appear only as a second order effect associated with the coupling tensor linking the gauge and scalar sectors.The equations of motion are written and solved in the stationary regime. The Lorentz-violating parameters do not alter the asymptotic behavior of the fields but induce an angular dependence not observed in the Maxwell planar theory.Comment: 13 pages, revtex style, no figures, to appear in Physical Review D(2011

Particle Learning for General Mixtures

This paper develops particle learning (PL) methods for the estimation of general mixture models. The approach is distinguished from alternative particle filtering methods in two major ways. First, each iteration begins by resampling particles according to posterior predictive probability, leading to a more efficient set for propagation. Second, each particle tracks only the "essential state vector" thus leading to reduced dimensional inference. In addition, we describe how the approach will apply to more general mixture models of current interest in the literature; it is hoped that this will inspire a greater number of researchers to adopt sequential Monte Carlo methods for fitting their sophisticated mixture based models. Finally, we show that PL leads to straight forward tools for marginal likelihood calculation and posterior cluster allocation.Business Administratio