Systemic Risks and the Macroeconomy

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4-2009Q1.

Systemic Risks and the Macroeconomy

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4- 2009Q1

Forecasting Tail Risks

This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data for the period 1972:1-2014:12. Pseudo-real-time forecasts are generated from: (a) sets of autoregressive and factor-augmented vector autoregressions (VARs), and (b) sets of autoregressive and factor-augmented quantile projections. Our key finding is that forecasts obtained with AR and factor-augmented VAR forecasts significantly underestimate tail risks, while quantile projections deliver fairly accurate forecasts and reliable early warning signals for tail real and financial risks up to a 1-year horizon

Financial Intermediation, Competition, and Risk: A General Equilibrium Exposition

We study a simple general equilibrium model in which investment in a risky technology is subject to moral hazard and banks can extract market power rents. We show that more bank competition results in lower economy-wide risk, lower bank capital ratios, more efficient production plans and Pareto-ranked real allocations. Perfect competition supports a second best allocation and optimal levels of bank risk and capitalization. These results are at variance with those obtained by a large literature that has studied a similar environment in partial equilibrium. Importantly, they are empirically relevant, and demonstrate the need of general equilibrium modeling to design financial policies aimed at attaining socially optimal levels of systemic risk in the economy

Light-Controlled Direction of Distributed Feedback Laser Emission by Photo-Mobile Polymer Films

We report on the realization of Distributed Feedback (DFB) lasing by a high-resolution reflection grating integrated in a Photomobile Polymer (PMP) film. The grating is recorded in a recently developed holographic mixture basically containing halolakanes/acrylates and a fluorescent dye molecule (Rhodamine 6G). The PMP-mixture is placed around the grating spot and a subsequent curing/photo-polymerization process is promoted by UV-irradiation. Such a process brings to the simultaneous formation of the PMP-film and the covalent link of the PMP-film to the DFB-grating area (PMP-DFB system). The PMP-DFB allows lasing action when optically pumped with a nano-pulsed green laser source. Moreover, under a low-power light-irradiation the PMP-DFB bends inducing a spatial readdressing of the DFB-laser emission. This device is the first example of a light-controlled direction of a DFB laser emission. It could represent a novel disruptive optical technology in many fields of Science, making feasible the approach to free standing and light-controllable lasers

Coppers from the Battle of Trafalgar: metallurgical analysis of structural fastenings from the French ships Fougueux (1785-1805) and Bucentaure (1804-1805)

In this paper, the characterization results of an array of copper spikes, recovered from the Camposoto site (San Fernando,Andalusia, Spain), are presented. The research of the site, developed by the Underwater Archaeology Centre (CAS) of theAndalusian Historical Heritage Institute (IAPH), allowed identifying the underwater remains as the French Navy ship Fougueux(1785-1805). This was a 74-gun ship, one of the vessels of the combined Franco-Spanish fleet, which on October 21st, 1805,fought against a British fleet in the Battle of Trafalgar. By means of Optical Microscopy (OM) and Scanning ElectronMicroscopy (SEM), information about the thermo-mechanical processes which affected the objects was obtained. In addition, thechemical composition of the materials was determined by Energy Dispersive X-ray Spectrometry (EDXRS). This data isconsidered a good indicative of the last steps of the manufacturing process and the quality of the alloys used. Aiming to performa comparative study, some samples from the site Bajo Chapitel (located in the Cadiz Bay), were analyzed. The artifacts of thissite are most likely associated with the Bucentaure (1804-1805), another French ship that fought in the mentioned battle.Fil: de Rosa, Horacio Manuel. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Ingeniería Mecánica; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Tecnologías y Ciencias de la Ingeniería "Hilario Fernández Long". Universidad de Buenos Aires. Facultad de Ingeniería. Instituto de Tecnologías y Ciencias de la Ingeniería "Hilario Fernández Long"; ArgentinaFil: Ciarlo, Nicolás Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Secretaría de Cultura de la Nación. Dirección Nacional de Cultura y Museos. Instituto Nacional de Antropología y Pensamiento Latinoamericano; Argentina. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Ingeniería Mecánica; ArgentinaFil: Lucchetta, Maria Clarisbel. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Ingeniería Mecánica; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Tecnologías y Ciencias de la Ingeniería "Hilario Fernández Long". Universidad de Buenos Aires. Facultad de Ingeniería. Instituto de Tecnologías y Ciencias de la Ingeniería "Hilario Fernández Long"; ArgentinaFil: Marino, Pablo. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Ingeniería Mecánica; Argentin

Bank Competition and Financial Stability: A General Equilibrium Exposition

Summary: We study versions of a general equilibrium banking model with moral hazard under either constant or increasing returns to scale of the intermediation technology used by banks to screen and/or monitor borrowers. If the intermediation technology exhibits increasing returns to scale, or it is relatively efficient, then perfect competition is optimal and supports the lowest feasible level of bank risk. Conversely, if the intermediation technology exhibits constant returns to scale, or is relatively inefficient, then imperfect competition and intermediate levels of bank risks are optimal. These results are empirically relevant and carry significant implications for financial policy

Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing

Building on De Nicolò and Lucchetta (2010), this paper presents a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) reduced-form stress tests as historical simulations; and (c) structural stress-tests as impulse responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of the G-7 economies in 1980Q1-2010Q2. We show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations in each country. Furthermore, reduced-form stress tests, as well as structural stress tests in which aggregate demand shocks and bank credit demand shocks are identified as the main drivers of cycles in real activity and bank lending, provide significant early warnings on the build-up of real and financial vulnerabilities

HKUST-1-Doped High-Resolution Volume Holographic Gratings

We report on transmission holographic gratings doped with metal organic frameworks (MOFs). As a first attempt, we focused on MOF-199, also known as HKUST-1, which is an efficient adsorbent of VOCs. HKUST-1 is not soluble in the pre-polymerized holographic mixture. For this reason, samples containing HKUST-1 show high light scattering. In this work, the recording of HKUST-1-doped one-dimensional transmission phase gratings is demonstrated. The optical properties of the recorded structures, such as diffraction efficiency and average refractive index changes, are reported by using angular analysis measurements. A first attempt to demonstrate the possibility of using the doped gratings as sensors is also reported