Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of financial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such imbalances, generally featured by asset-price boom-bust cycles. In this paper, we investigate the possibility of detecting asset-price booms according to alternative identification strategies and assess their robustness. We infer the probability that an asset-price boom turns into an asset-price bust. In addition, we try to disentangle costless or low-cost from costly asset-price booms. We find some evidence that house price booms are more likely to turn into costly recession than stock price booms. Resorting both to a non-parametric approach and a discrete-choice (logit) model, we analyze the ability of a set of indicators to robustly explain costly asset-price booms. According to our results, real long-term interest rates, total investment, real credit and real stock prices tend to increase the probability of a costly housing-price boom, whereas real GDP and house prices tend to increase the probability of a costly stock-price boom. Regarding the latter, credit variables tend to play a less convincing role. From this perspective, we specify the scope of macro-prudential regulation as a set of tools aiming at avoiding "costly" asset-price booms. In doing so, we try both to make the case for state-contingent macro-prudential regulations and to set out clear delineation between monetary and financial stability objectives.Early Warning Indicators , Discrete-Choice Model , Asset Price Booms and Busts , Macro-prudential Regulation , Leaning Against the Wind Policies.

Continuous Forest Fire Propagation in a Local Small World Network Model

This paper presents the development of a new continuous forest fire model implemented as a weighted local small-world network approach. This new approach was designed to simulate fire patterns in real, heterogeneous landscapes. The wildland fire spread is simulated on a square lattice in which each cell represents an area of the land's surface. The interaction between burning and non-burning cells, in the present work induced by flame radiation, may be extended well beyond nearest neighbors. It depends on local conditions of topography and vegetation types. An approach based on a solid flame model is used to predict the radiative heat flux from the flame generated by the burning of each site towards its neighbors. The weighting procedure takes into account the self-degradation of the tree and the ignition processes of a combustible cell through time. The model is tested on a field presenting a range of slopes and with data collected from a real wildfire scenario. The critical behavior of the spreading process is investigated

CHARACTERIZATION OF NEMOTIC DENTAL FIBROBLASTS

Oral Communication presented at the ";Forum des Jeunes Chercheurs";, Brest (France) 2011

Dielectric resonances of lattice animals and other fractal structures

Electrical and optical properties of binary inhomogeneous media are currently modelled by a random network of metallic bonds (conductance $\sigma_0$, concentration $p$) and dielectric bonds (conductance $\sigma_1$, concentration $1-p$). The macroscopic conductivity of this model is analytic in the complex plane of the dimensionless ratio $h=\sigma_1/\sigma_0$ of the conductances of both phases, cut along the negative real axis. This cut originates in the accumulation of the resonances of clusters with any size and shape. We demonstrate that the dielectric response of an isolated cluster, or a finite set of clusters, is characterised by a finite spectrum of resonances, occurring at well-defined negative real values of $h$, and we define the cross-section which gives a measure of the strength of each resonance. These resonances show up as narrow peaks with Lorentzian line shapes, e.g. in the weak-dissipation regime of the $RL-C$ model. The resonance frequencies and the corresponding cross-sections only depend on the underlying lattice, on the geometry of the clusters, and on their relative positions. Our approach allows an exact determination of these characteristics. It is applied to several examples of clusters drawn on the square lattice. Scaling laws are derived analytically, and checked numerically, for the resonance spectra of linear clusters, of lattice animals, and of several examples of self-similar fractals.Comment: 25 pages, plain TeX. Figures (hard copies) available upon request, to appear in the Journal of Physics

The XMM-LSS survey: the Class 1 cluster sample over the extended 11 deg2^2 and its spatial distribution

This paper presents 52 X-ray bright galaxy clusters selected within the 11 deg$^2$ XMM-LSS survey. 51 of them have spectroscopic redshifts ($0.05<z<1.06$), one is identified at $z_{\rm phot}=1.9$, and all together make the high-purity "Class 1" (C1) cluster sample of the XMM-LSS, the highest density sample of X-ray selected clusters with a monitored selection function. Their X-ray fluxes, averaged gas temperatures (median $T_X=2$ keV), luminosities (median $L_{X,500}=5\times10^{43}$ ergs/s) and total mass estimates (median $5\times10^{13} h^{-1} M_{\odot}$) are measured, adapting to the specific signal-to-noise regime of XMM-LSS observations. The redshift distribution of clusters shows a deficit of sources when compared to the cosmological expectations, regardless of whether WMAP-9 or Planck-2013 CMB parameters are assumed. This lack of sources is particularly noticeable at $0.4 \lesssim z \lesssim 0.9$. However, after quantifying uncertainties due to small number statistics and sample variance we are not able to put firm (i.e. $>3 \sigma$) constraints on the presence of a large void in the cluster distribution. We work out alternative hypotheses and demonstrate that a negative redshift evolution in the normalization of the $L_{X}-T_X$ relation (with respect to a self-similar evolution) is a plausible explanation for the observed deficit. We confirm this evolutionary trend by directly studying how C1 clusters populate the $L_{X}-T_X-z$ space, properly accounting for selection biases. We point out that a systematically evolving, unresolved, central component in clusters and groups (AGN contamination or cool core) can impact the classification as extended sources and be partly responsible for the observed redshift distribution.[abridged]Comment: 33 pages, 21 figures, 3 tables ; accepted for publication in MNRA

Mesoscale simulations of surfactant dissolution and mesophase formation

The evolution of the contact zone between pure surfactant and solvent has been studied by mesoscale simulation. It is found that mesophase formation becomes diffusion controlled and follows the equilibrium phase diagram adiabatically almost as soon as individual mesophases can be identified, corresponding to times in real systems of order 10 microseconds.Comment: 4 pages, 2 figures, ReVTeX

Theory of impedance networks: The two-point impedance and LC resonances

We present a formulation of the determination of the impedance between any two nodes in an impedance network. An impedance network is described by its Laplacian matrix L which has generally complex matrix elements. We show that by solving the equation L u_a = lambda_a u_a^* with orthonormal vectors u_a, the effective impedance between nodes p and q of the network is Z = Sum_a [u_{a,p} - u_{a,q}]^2/lambda_a where the summation is over all lambda_a not identically equal to zero and u_{a,p} is the p-th component of u_a. For networks consisting of inductances (L) and capacitances (C), the formulation leads to the occurrence of resonances at frequencies associated with the vanishing of lambda_a. This curious result suggests the possibility of practical applications to resonant circuits. Our formulation is illustrated by explicit examples.Comment: 21 pages, 3 figures; v4: typesetting corrected; v5: Eq. (63) correcte

BASEL III: Long-term impact on economic performance and fluctuations

We assess the long-term economic impact of the new regulatory standards (the Basel III reform), answering the following questions. (1) What is the impact of the reform on long-term economic performance? (2) What is the impact of the reform on economic fluctuations? (3) What is the impact of the adoption of countercyclical capital buffers on economic fluctuations? The main results are the following. (1) Each percentage point increase in the capital ratio causes a median 0.09 percent decline in the level of steady state output, relative to the baseline. The impact of the new liquidity regulation is of a similar order of magnitude, at 0.08 percent. This paper does not estimate the benefits of the new regulation in terms of reduced frequency and severity of financial crisis, analysed in Basel Committee on Banking Supervision (BCBS, 2010b). (2) The reform should dampen output volatility; the magnitude of the effect is heterogeneous across models; the median effect is modest. (3) The adoption of countercyclical capital buffers could have a more sizeable dampening effect on output volatility. These conclusions are fully consistent with those of the reports by the Long-term Economic Impact group (BCBS, 2010b) and Macro Assessment Group (MAG, 2010b).Basel III, countercyclical capital buffers, financial (in)stability, procyclicality, macroprudential policy.