Quantity Rationing of Credit

Quantity rationing of credit, when ?firms are denied loans, has greater potential to explain macroeconomics ?fluctuations than borrowing costs. This paper develops a DSGE model with both types of financial frictions. A deterioration in credit market con?fidence leads to a temporary change in the interest rate, but a persistent change in the fraction of ?firms receiving ?financing, which leads to a persistent fall in real activity. Empirical evidence confi?rms that credit market con?fidence, measured by the survey of loan officers, is a signi?cant leading indicator for capacity utilization and output, while borrowing costs, measured by interest rate spreads, is not.Quantity Rationing, Credit, VAR

Quantity Rationing of Credit and the Phillips Curve

Quantity rationing of credit, when some ?firms are denied loans, has macroeconomics effects not fully captured by measures of borrowing costs. This paper develops a monetary DSGE model with quantity rationing and derives a Phillips Curve relation where in?flation dynamics depend on cyclical unemployment, a risk premium and the fraction of fi?rms receiving ?financing. Unemployment arising from disruptions in credit ?flows is defi?ned to be cyclical. GMM estimates using data from a survey of bank managers con?firms the importance of these variables for in?flation dynamics.Quantity Rationing, Phillips Curve, Cyclical Unemployment, GMM

Endogenous Rational Bubbles

Tests on simulated data from an asset pricing model with heterogeneous forecasts show excess variance in the price and ARCH effects in the returns, features not explained by the strong version of the efficient markets hypothesis. An evolutionary game theory dynamic describes how agents switch between a fundamental forecast, a rational bubble forecast and the reflective forecast, which is a weighted average of the former two. Conditions determining the frequency and duration of episodes where a significant fraction of agents adopt the rational bubble forecast leading to large deviations in the price-dividend ratio are discussed.return predictability, excess variance, ARCH, evolutionary game theory, rational bubble

Quantity rationing of credit

Quantity rationing of credit, when firms are denied loans, has greater potential to explain macroeconomic fluctuations than borrowing costs. This paper develops a DSGE model with both types of financial frictions. A deterioration in credit market confidence leads to a temporary change in the interest rate, but a persistent change in the fraction of firms receiving financing, which leads to a persistent fall in real activity. Empirical evidence confirms that credit market confidence, measured by the survey of loan officers, is a significant leading indicator for capacity utilization and output, while borrowing costs, measured by interest rate spreads, is not.quantity rationing; credit; VAR

Mental Imagery and Chunks: Empirical and Computational Findings

To investigate experts’ imagery in chess, players were required to recall briefly-presented positions in which the pieces were placed on the intersections between squares (intersection positions). Position types ranged from game positions to positions where both the piece distribution and location were randomized. Simulations were run with the CHREST model (Gobet & Simon, 2000). The simulations assumed that pieces had to be centered back one by one to the middle of the squares in the mind’s eye before chunks could be recognized. Consistent with CHREST’s predictions, chess players (N = 36), ranging from weak amateurs to grandmasters, exhibited much poorer recall on intersection positions than on standard positions (pieces placed on centers of squares). On the intersection positions, the skill difference in recall was larger on game positions than on the randomized positions. Participants recalled bishops better than knights, suggesting that Stroop-like interference impairs recall of the latter. The data supported both the time parameter in CHREST for shifting pieces in the mind’s eye (125 ms per piece) and the seriality assumption. In general, the study reinforces the plausibility of CHREST as a model of cognition

Computational Modelling of Mental Imagery in Chess: A Sensitivity Analysis

An important aim of cognitive science is to build computational models that account for a large number of phenomena but have few free parameters, and to obtain more veridical values for the models’ parameters by successive approximations. A good example of this approach is the CHREST model (Gobet & Simon, 2000), which has simulated numerous phenomena on chess expertise and in other domains. In this paper, we are interested in the parameter the model uses for shifting chess pieces in its mind’s eye (125 ms per piece), a parameter that had been estimated based on relatively sparse experimental evidence. Recently, Waters and Gobet (2008) tested the validity of this parameter in a memory experiment that required players to recall briefly presented positions in which the pieces were placed on the intersections between squares. Position types ranged from game positions to positions where both the piece distribution and location were randomised. CHREST, which assumed that pieces must be centred back to the middle of the squares in the mind’s eye before chunks can be recognized, simulated the data fairly well using the default parameter for shifting pieces. The sensitivity analysis presented in the current paper shows that the fit was nearly optimal for all groups of players except the grandmaster group for which, counterintuitively, a slower shifting time gave a better fit. The implications for theory development are discussed

Be Star Disk Models in Consistent Vertical Hydrostatic Equilibrium

A popular model for the circumstellar disks of Be stars is that of a geometrically thin disk with a density in the equatorial plane that drops as a power law of distance from the star. It is usually assumed that the vertical structure of such a disk (in the direction parallel to the stellar rotation axis) is governed by the hydrostatic equilibrium set by the vertical component of the star's gravitational acceleration. Previous radiative equilibrium models for such disks have usually been computed assuming a fixed density structure. This introduces an inconsistency as the gas density is not allowed to respond to temperature changes and the resultant disk model is not in vertical, hydrostatic equilibrium. In this work, we modify the {\sc bedisk} code of \citet{sig07} so that it enforces a hydrostatic equilibrium consistent with the temperature solution. We compare the disk densities, temperatures, H$\alpha$ line profiles, and near-IR excesses predicted by such models with those computed from models with a fixed density structure. We find that the fixed models can differ substantially from the consistent hydrostatic models when the disk density is high enough that the circumstellar disk develops a cool ($T\lesssim10,000$K) equatorial region close to the parent star. Based on these new hydrostatic disks, we also predict an approximate relation between the (global) density-averaged disk temperature and the $T_{\rm eff}$ of the central star, covering the full range of central Be star spectral types.Comment: 25 pages; 11 figure

Low Cost Quality of Service Multicast Routing in High Speed Networks

Many of the services envisaged for high speed networks, such as B-ISDN/ATM, will support real-time applications with large numbers of users. Examples of these types of application range from those used by closed groups, such as private video meetings or conferences, where all participants must be known to the sender, to applications used by open groups, such as video lectures, where partcipants need not be known by the sender. These types of application will require high volumes of network resources in addition to the real-time delay constraints on data delivery. For these reasons, several multicast routing heuristics have been proposed to support both interactive and distribution multimedia services, in high speed networks. The objective of such heuristics is to minimise the multicast tree cost while maintaining a real-time bound on delay. Previous evaluation work has compared the relative average performance of some of these heuristics and concludes that they are generally efficient, although some perform better for small multicast groups and others perform better for larger groups. Firstly, we present a detailed analysis and evaluation of some of these heuristics which illustrates that in some situations their average performance is reversed; a heuristic that in general produces efficient solutions for small multicasts may sometimes produce a more efficient solution for a particular large multicast, in a specific network. Also, in a limited number of cases using Dijkstra's algorithm produces the best result. We conclude that the efficiency of a heuristic solution depends on the topology of both the network and the multicast, and that it is difficult to predict. Because of this unpredictability we propose the integration of two heuristics with Dijkstra's shortest path tree algorithm to produce a hybrid that consistently generates efficient multicast solutions for all possible multicast groups in any network. These heuristics are based on Dijkstra's algorithm which maintains acceptable time complexity for the hybrid, and they rarely produce inefficient solutions for the same network/multicast. The resulting performance attained is generally good and in the rare worst cases is that of the shortest path tree. The performance of our hybrid is supported by our evaluation results. Secondly, we examine the stability of multicast trees where multicast group membership is dynamic. We conclude that, in general, the more efficient the solution of a heuristic is, the less stable the multicast tree will be as multicast group membership changes. For this reason, while the hybrid solution we propose might be suitable for use with closed user group multicasts, which are likely to be stable, we need a different approach for open user group multicasting, where group membership may be highly volatile. We propose an extension to an existing heuristic that ensures multicast tree stability where multicast group membership is dynamic. Although this extension decreases the efficiency of the heuristics solutions, its performance is significantly better than that of the worst case, a shortest path tree. Finally, we consider how we might apply the hybrid and the extended heuristic in current and future multicast routing protocols for the Internet and for ATM Networks.

UML Deficiencies from the perspective of Automatic Performance Model Generation

A discussion surrounding the use of UML for distributed system design

Visuo-spatial abilities in chess players

The extent to which the acquisition of expertise in knowledge-rich domains, such as chess, can be influenced by general individual characteristics, such as intelligence, has remained unclear. Some previous studies with children have documented significant correlations between chess skill and performance on some psychometric tests, such as performance IQ (Frydman & Lynn, 1992). However, we found no evidence for a correlation between chess skill and visual memory ability in a group of adult chess players (n=36, age = 28.4). This finding, together with other data in the literature, suggests that there is surprisingly little evidence that chess skill and visuo-spatial ability are associated in adults. Thus, visual memory ability, and perhaps visuo-spatial intelligence, may be relatively unimportant factors in the long-term acquisition of chess skill