Efficient Compilation of a Class of Variational Forms

We investigate the compilation of general multilinear variational forms over affines simplices and prove a representation theorem for the representation of the element tensor (element stiffness matrix) as the contraction of a constant reference tensor and a geometry tensor that accounts for geometry and variable coefficients. Based on this representation theorem, we design an algorithm for efficient pretabulation of the reference tensor. The new algorithm has been implemented in the FEniCS Form Compiler (FFC) and improves on a previous loop-based implementation by several orders of magnitude, thus shortening compile-times and development cycles for users of FFC.Comment: ACM Transactions on Mathematical Software 33(3), 20 pages (2007

Stock and Bond Relationships in Asia

This paper analyzes the relationship between stocks and bonds in nine Asian countries. Using a bivariate stochastic volatility model, we show that there are significant volatility spillover effects between stock and bond markets in several of the countries. Furthermore, dynamic correlation patterns show that the relationship between stock and bond markets changes considerably over time in all countries. Stock-bond correlation increases during periods of turmoil in several countries, indicating that there is a cross-asset contagion effect. Therefore, if there is a flight to quality effect in Asian markets, it seems to occur across countries or regions rather than across domestic assets. The results have direct and important implications for regional policy makers as well as domestic and international investors that invest in multiple asset classes.Asia; stock markets; bond markets; stochastic volatility; Markov Chain Monte Carlo; spillover effects; dynamic correlation

Asian Sovereign Debt and Country Risk

This paper analyzes systematic risk of sovereign bonds in four East Asian countries: China, Malaysia, Philippines, and Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte Carlo simulation. The volatilities and correlation are then used to calculate the time-varying betas. The results show that country-specific systematic risk in Asian sovereign bonds varies over time. When adjusting for inherent exchange rate risk, the pattern of systematic risk is similar, even though the level is generally lower. The findings have important implications for international portfolio managers that invest in emerging sovereign bonds and those who need benchmark instruments to analyze risk in assets such as corporate bonds in the emerging Asian financial markets.Asia; sovereign bonds; systematic risk; stochastic volatility; Markov Chain Monte Carlo

CHINA'S OFFICIAL RATES AND BOND YIELDS

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in an interest rate market that differs significantly from that of the U.S. and Europe, we model Chinese bond yields using the one-year deposit rate as a state variable. We also add the difference between the one-year interest rate and the one-year deposit rate as a factor. The model is developed in an affine framework and closed-form solutions are obtained. It is tested empirically and the results show that the new model characterizes the changing shape of the yield curve well. Incorporating the benchmark rate into the model thus helps us to match Chinese bond yields.China; deposit rate; bond yields; jump process; affine model

Escaping Political Extraction: Political Participation, Institutions, and Cash Holdings in China

We study the effects of political participation on holdings of liquid assets in a transition economy. Previous research has shown that the risk of political extraction by politicians and bureaucrats in countries with weak institutions has an adverse effect on holdings of liquid assets. We propose that political participation by private entrepreneurs can function as a means to alleviate some of that risk. Our empirical results indicate that political participation is positively related to cash holdings in China, especially in regions with weak institutions proxied by lower GDP per capita, lower marketization levels, and weaker property protection. Cash holdings have a negative effect on firm value as measured by the market-to-book ratio. However, political participation, the combined effect of cash holdings and political participation, as well as the combined effect of cash holdings, political participation, and institutions are all positively associated with firm value. Political participation thus results in an improved ability for firms that function in an environment fraught with the risk of political extraction to increase their holdings of liquid assets as well as a related positive effect on firm value.Political participation; Private entrepreneurs; Cash holdings; Political extraction; China

WHAT MOVES BOND YIELDS IN CHINA?

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation rate and economic growth result in a rise in the yield curve. Similarly, an increase in the money supply causes a rise in the yield curve, albeit with a delayed effect. Finally, when official rates are raised, the long yield shows signs of a delayed decline. Overall, the long yield is more sensitive to most changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi (2003), who show that the U.S. short-term rate is more sensitive to changes in macroeconomic variables. Possible explanations for the difference include certain unique structural features in the domestic financial system and the way monetary policy is conducted in China.China; yield curve; macroeconomic factors; monetary policy

Spillover Effects among the Greater China Region Stock Markets

This paper explores the linkages between the different stock markets in the Greater China region. Cointegration tests indicate that the three markets are not cointegrated. A vector-autoregressive multivariate conditional volatility model that accounts for asymmetric volatility effects is used to model the mean and volatility processes of the different stock markets. The empirical findings indicate spillover effects in both mean and variance between the markets. Both China and Hong Kong are effected by mean spillover effects from Taiwan, while Hong Kong and Taiwan show signs of a feedback relationship in their volatility processes. The later markets also show clear signs of asymmetric volatility effects, while China's market seems to follow a symmetric volatility path. Overall, the Mainland China market is much less interdependent with the other two markets, whereas Taiwan and Hong Kong show clear bidirectional spillover effects. Furthermore, the volatility persistence is strong in all three markets, and especially so in the Mainland China stock market, where the half-life of innovations in the volatility process is close to 40 periods.Stock Markets, Greater China, Cointegration, Causality, Multivariate EGARCH

An Enhanced Perturbational Study on Spectral Properties of the Anderson Model

The infinite-$U$ single impurity Anderson model for rare earth alloys is examined with a new set of self-consistent coupled integral equations, which can be embedded in the large $N$ expansion scheme ($N$ is the local spin degeneracy). The finite temperature impurity density of states (DOS) and the spin-fluctuation spectra are calculated exactly up to the order $O(1/N^2)$. The presented conserving approximation goes well beyond the $1/N$-approximation ({\em NCA}) and maintains local Fermi-liquid properties down to very low temperatures. The position of the low lying Abrikosov-Suhl resonance (ASR) in the impurity DOS is in accordance with Friedel's sum rule. For $N=2$ its shift toward the chemical potential, compared to the {\em NCA}, can be traced back to the influence of the vertex corrections. The width and height of the ASR is governed by the universal low temperature energy scale $T_K$. Temperature and degeneracy $N$-dependence of the static magnetic susceptibility is found in excellent agreement with the Bethe-Ansatz results. Threshold exponents of the local propagators are discussed. Resonant level regime ($N=1$) and intermediate valence regime ($|\epsilon_f| <\Delta$) of the model are thoroughly investigated as a critical test of the quality of the approximation. Some applications to the Anderson lattice model are pointed out.Comment: 19 pages, ReVTeX, no figures. 17 Postscript figures available on the WWW at http://spy.fkp.physik.th-darmstadt.de/~frithjof