MACROECONOMIC SYNCHRONIZATION BETWEEN G3 COUNTRIES

This paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices, and interest rates in the three main world economies: Germany, Japan and the U.S. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates that, in the last four decades, these comovements are clearly significant in all the variables, with the possible exception of short-term interest rates, and they are stronger for long-term interest rates; nevertheless, they are rather unstable over time. Este artículo estudia la existencia de un ciclo económico mundial mediante elexamen de movimientos comunes en la producción, los precios y los tipos de interés enlas tres mayores economías mundiales: Alemania, Japón y los Estados Unidos. Deacuerdo con estudios anteriores, las relaciones contemporáneas dominan claramente alas relaciones dinámicas a corto plazo. La evidencia indica que, en las últimas cuatrodécadas, estos movimientos comunes son claramente significativos para todas lasvariables, con la posible excepción de los tipos de interés a corto plazo, y de mayorintensidad para los tipos de interés a largo plazo; sin embargo, son bastante inestables alo largo del tiempo.ciclo económico mundial, movimiento común, sincronización. comovement; synchronization; world business cycle.

Coupled fermion-kink system in Jackiw-Rebbi model

In this paper we study Jackiw-Rebbi model, in which a massless fermion is coupled to the kink of $\lambda \phi^4$ theory through a Yukawa interaction. In the original Jackiw-Rebbi model the soliton is prescribed. However, we are interested in the back-reaction of the fermion on the soliton besides the effect of the soliton on the fermion. Also, as a particular example, we consider a minimal supersymmetric kink model, $\mathcal{N}=1$, in ($1+1$) dimensions. In this case, the bosonic self-coupling, $\lambda$, and the Yukawa coupling between fermion and soliton, $g$, have specific relation, $g=\sqrt{\lambda/2}$. As the set of coupled equations of motion of the system is not analytically solvable, we use a numerical method to solve it self-consistently. We obtain the bound energy spectrum, bound states of the system and the corresponding shape of the soliton using a relaxation method, except for the zero mode fermionic state and threshold energies which are analytically solvable. With the aid of these results we are able to show how the soliton is affected in general and supersymmetric cases. The results we obtain are consistent with the ones in the literature, considering the soliton as background.Comment: 14 pages, 9 figure

SKEWNESS IN INDIVIDUAL STOCKS AT DIFFERENT FREQUENCIES

This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely at lower frequencies. The explanation for this fact lies in the convergence to normality that takes place when frequency decreases. These features allow one to question several financial models; in particular, they question the preference for positive skewness as a factor for investments in stock markets. Este artículo examina la (a)simetría de las rentabilidades de veinticuatro valores individuales para diferentes frecuencias: diaria, semanal y mensual. Aunque se observan algunas asimetrías en las rentabilidades diarias, éstas desaparecen casi completamente en frecuencias menores. La explicación a este fenómeno reside en la convergencia a la normalidad que se produce al disminuir la frecuencia. Estos hechos cuestionan varios modelos financieros; en concreto cuestionan la preferencia por la asimetría positiva como un factor de inversión en los mercados de acciones.Diversificación, simetría. Diversification, skewness, symmetry.

Pion correlation from Skyrmion-AntiSkyrmion annihilation

We study two pion correlations from Skyrmion and antiSkyrmion collision, using the product ansatz and an approximate random grooming method for nucleon projection. The spatial-isospin coupling inherent in the Skyrme model, along with empirical averages, leads to correlations not only among pions of like charges but also among unlike charge types.Comment: uuencoded files of REVTeX and postscript, 18 pages including 2 figures, submitted to Phys.Rev.

Smith e Keynes sobre as unidades de salário [Smith and Keynes on wage units]

The paper analyses Adam Smith's labour commanded value theory and proceeds with a comparison between this theory and Keynes' wage units approach, demonstrating that both authors were mainly concerned with a nominal anchor to the measure of value. This similarity in both theories is observed in the economic literature in several occasions However, there are no detailed analyses of the elements that originate the differences between those authors as for the monetary theory and which are in a way or another associated to the use of nominal wages as an anchor for the measurement of value.Keynes, Smith, wage units

Modelling Volatility by Variance Decomposition

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between regimes over time is smooth. The main focus is on the multiplicative decom- position that decomposes the variance into an unconditional and conditional component. A modelling strategy for the time-varying GARCH model based on the multiplicative decomposition of the variance is developed. It is heavily dependent on Lagrange multiplier type misspeci.cation tests. Finite-sample properties of the strategy and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns illustrate the functioning and properties of our modelling strategy in practice. The results show that the long memory type behaviour of the sample autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance.Conditional heteroskedasticity; Structural change; Lagrange multiplier test; Misspecification test; Nonlinear time series; Time-varying parameter model.

Efimov Effect Revisited with Inclusion of Distortions

An elementary proof of the 3-body Efimov effect is provided in the case of a separable 2-body potential which binds at zero energy a light particle to a heavy one. The proof proceeds by two steps, namely {\it i)} a projection of the Hamiltonian in a subspace and the observation that the projected Hamiltonian generates an arbitrarily large number of bound states, and {\it ii)} a use of the Hylleraas-Undheim theorem to recover the unprojected Hamiltonian. The definition of the projectors we use can include mean field distortions.Comment: 17 pages, TeX Email contact= [email protected]

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time by incorporating a nonstationary component in the variance equations. The modelling technique to determine the parametric structure of this time-varying component is based on a sequence of specification Lagrange multiplier-type tests derived in Amado and Teräsvirta (2011). The variance equations combine the long-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange. The results suggest that accounting for deterministic changes in the unconditional variances considerably improves the fit of the multivariate Conditional Correlation GARCH models to the data. The effect of careful specification of the variance equations on the estimated correlations is variable: in some cases rather small, in others more discernible. As a by-product, we generalize news impact surfaces to the situation in which both the GARCH equations and the conditional correlations contain a deterministic component that is a function of time.Multivariate GARCH model; Time-varying unconditional variance; Lagrange multiplier test; Modelling cycle; Nonlinear time series.

Production of a chaotic squeezed state from a ``pion liquid" and overbunching of identical pion correlations

It is shown that a one to one correspondence between quantum fields in two different "phases" as might be realized for pions produced from a "hadron liquid" leads to squeezed states. The single and double inclusive cross sections for at chaotic superposition of such states are calculated. The correlation of identical pions is overbunched in comparison with canonical Bose-Einstein correlations.Comment: Latex File, 6 page