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.

An island based hybrid evolutionary algorithm for optimization

This is a post-print version of the article - Copyright @ 2008 Springer-VerlagEvolutionary computation has become an important problem solving methodology among the set of search and optimization techniques. Recently, more and more different evolutionary techniques have been developed, especially hybrid evolutionary algorithms. This paper proposes an island based hybrid evolutionary algorithm (IHEA) for optimization, which is based on Particle swarm optimization (PSO), Fast Evolutionary Programming (FEP), and Estimation of Distribution Algorithm (EDA). Within IHEA, an island model is designed to cooperatively search for the global optima in search space. By combining the strengths of the three component algorithms, IHEA greatly improves the optimization performance of the three basic algorithms. Experimental results demonstrate that IHEA outperforms all the three component algorithms on the test problems.This work was supported by the Engineering and Physical Sciences Research Council (EPSRC) of UK under Grant EP/E060722/1

Multiple scattering investigation of the 1T-TaS2 surface termination

Abstract.: Multiple scattering theory based on a cluster model is used to simulate full hemispherical X-ray photoelectron diffraction measurements on a 1T-TaS2(0001) surface. Key points to determine the surface termination are discussed. As the commonly applied single scattering simulations do not give satisfying results, a multiple scattering approach has to be used to accurately simulate the full hemispherical photoelectron diffraction patterns. Differences and similarities between calculations of Ta and S terminated surfaces are presented along with experimental results at room temperature using both, the single and the multiple scattering approaches. We find that the surface is S terminated and that the quantitative difference between the calculations for both terminations permits to show the limits of the single scattering approach for solving surface termination problems. Moreover, by generalizing the results obtained using the multiple scattering approach, we discuss the application of this method to other similar system

Zig-zag instability of an Ising wall in liquid crystals

We present a theoretical explanation for the interfacial zigzag instability that appears in anisotropic systems. Such an instability has been experimentally highlighted for an Ising wall formed in a nematic liquid crystal cell under homeotropic anchoring conditions. From an envelope equation, relevant close to the Freedericksz transition, we have derived an asymptotic equation describing the interface dynamics in the vicinity of its bifurcation. The asymptotic limit used accounts for a strong difference between two of the elastic constants. The model is characterized by a conservative order parameter which satisfies a Cahn-Hilliard equation. It provides a good qualitative understanding of the experiments.Comment: 4 pagess, 4 figures, lette

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.

Spontaneous exciton condensation in 1T-TiSe2: a BCS-like approach

Recently strong evidence has been found in favor of a BCS-like condensation of excitons in 1\textit{T}-TiSe$_2$. Theoretical photoemission intensity maps have been generated by the spectral function calculated within the excitonic condensate phase model and set against experimental angle-resolved photoemission spectroscopy data. Here, the calculations in the framework of this model are presented in detail. They represent an extension of the original excitonic insulator phase model of J\'erome \textit{et al.} [Phys. Rev. {\bf 158}, 462 (1967)] to three dimensional and anisotropic band dispersions. A detailed analysis of its properties and further comparison with experiment are also discussedComment: Submitted to PRB, 11 pages, 7 figure

The XXL Survey X: K-band luminosity - weak-lensing mass relation for groups and clusters of galaxies

We present the K-band luminosity-halo mass relation, $L_{K,500}-M_{500,WL}$, for a subsample of 20 of the 100 brightest clusters in the XXL Survey observed with WIRCam at the Canada-France-Hawaii Telescope (CFHT). For the first time, we have measured this relation via weak-lensing analysis down to $M_{500,WL} =3.5 \times 10^{13}\,M_\odot$. This allows us to investigate whether the slope of the $L_K-M$ relation is different for groups and clusters, as seen in other works. The clusters in our sample span a wide range in mass, $M_{500,WL} =0.35-12.10 \times 10^{14}\,M_\odot$, at $0<z<0.6$. The K-band luminosity scales as $\log_{10}(L_{K,500}/10^{12}L_\odot) \propto \beta log_{10}(M_{500,WL}/10^{14}M_\odot)$ with $\beta = 0.85^{+0.35}_{-0.27}$ and an intrinsic scatter of $\sigma_{lnL_K|M} =0.37^{+0.19}_{-0.17}$. Combining our sample with some clusters in the Local Cluster Substructure Survey (LoCuSS) present in the literature, we obtain a slope of $1.05^{+0.16}_{-0.14}$ and an intrinsic scatter of $0.14^{+0.09}_{-0.07}$. The flattening in the $L_K-M$ seen in previous works is not seen here and might be a result of a bias in the mass measurement due to assumptions on the dynamical state of the systems. We also study the richness-mass relation and find that group-sized halos have more galaxies per unit halo mass than massive clusters. However, the brightest cluster galaxy (BCG) in low-mass systems contributes a greater fraction to the total cluster light than BCGs do in massive clusters; the luminosity gap between the two brightest galaxies is more prominent for group-sized halos. This result is a natural outcome of the hierarchical growth of structures, where massive galaxies form and gain mass within low-mass groups and are ultimately accreted into more massive clusters to become either part of the BCG or one of the brighter galaxies. [Abridged]Comment: A&A, in pres

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

Vanishing Loss Effect on the Effective ac Conductivity behavior for 2D Composite Metal-Dielectric Films At The Percolation Threshold

We study the imaginary part of the effective $ac$ conductivity as well as its distribution probability for vanishing losses in 2D composites. This investigation showed that the effective medium theory provides only informations about the average conductivity, while its fluctuations which correspond to the field energy in this limit are neglected by this theory.Comment: 6 pages, 2 figures, submitted to Phys.Rev.

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