Bank liquidity, interbank markets and monetary policy

A major lesson of the recent financial crisis is that the interbank lending market is crucial for banks facing large uncertainty regarding their liquidity needs. This paper studies the efficiency of the interbank lending market in allocating funds. We consider two different types of liquidity shocks leading to different implications for optimal policy by the central bank. We show that, when confronted with a distributional liquidity-shock crisis that causes a large disparity in the liquidity held among banks, the central bank should lower the interbank rate. This view implies that the traditional tenet prescribing the separation between prudential regulation and monetary policy should be abandoned. In addition, we show that, during an aggregate liquidity crisis, central banks should manage the aggregate volume of liquidity. Two different instruments, interest rates and liquidity injection, are therefore required to cope with the two different types of liquidity shocks. Finally, we show that failure to cut interest rates during a crisis erodes financial stability by increasing the risk of bank runs.Bank liquidity, interbank markets, central bank policy, financial fragility, bank runs.

The Fragility of Short-Term Secured Funding Markets

This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These determinants depend on the borrower’s (endogenous) balance sheet and on (exogenous) fundamentals. Systemic runs are possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the system as a whole is exposed to high short-term funding risk. The theory has policy implications for prudential regulation and lender-of-last-resort interventions

The Fragility of Short-Term Secured Funding Markets

This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These determinants depend on the borrower’s (endogenous) balance sheet and on (exogenous) fundamentals. Systemic runs are possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the system as a whole is exposed to high short-term funding risk. The theory has policy implications for prudential regulation and lender-of-last-resort interventions

Modeling, Identification and Control at Telemark University College

Master studies in process automation started in 1989 at what soon became Telemark University College, and the 20 year anniversary marks the start of our own PhD degree in Process, Energy and Automation Engineering. The paper gives an overview of research activities related to control engineering at Department of Electrical Engineering, Information Technology and Cybernetics

Constraints on Recoil Leader Properties Estimated from X-ray Emissions in Aircraft-Triggered Discharges

During Airbus aircraft campaigns flying into thunderstorms in 2014–2016, X-rays were observed during two stages of aircraft-triggered lightning: nanosecond pulses of X-rays associated with negative leader steps and bursts of X-rays during recoil events. This work will focus on the observations of X-ray bursts associated with recoils. Recoils are observed as microsecond-fast changes in the local electric field, associated with large currents passing through the aircraft, and are found to sometimes be associated with bursts of X-rays. From over 200 aircraft-triggered lightning strikes, 54 recoil events were found to be associated with microsecond bursts of X-rays. The majority of the bursts consist of 1–3 X-ray pulses, with some bursts containing as many as 29 X-ray pulses. We compare the observed superposed X-ray spectrum with modeled spectra using a GEANT4 model of the detector and aircraft, to determine the source potential needed to accelerate the electrons that produce the observed X-rays. A model of the recoil leader was made to determine the gap distance and gap potential between the recoil leader and the aircraft. From the modeling, we determine a solution space for the gap and leader lengths where the gap length is constrained by the observed minimum and maximum times between the onset of the X-ray pulses and the onset of the current pulses detected at the aircraft (1 to 93 m). We also find two constraints from the fitting of the modeled spectra to the superposed spectrum, limiting the leader length to between 1 and ∼240 m.publishedVersio

In‐Flight Observation of Positron Annihilation by ILDAS

We report a 511‐keV photon flux enhancement that was observed inside a thundercloud and is a result of positron annihilation. The observation was made with the In‐flight Lightning Damage Assessment System (ILDAS) on board of an A340 test aircraft. The aircraft was intentionally flying through a thunderstorm at 12‐km altitude over Northern Australia in January 2016. Two gamma ray detectors showed a significant count rate increase synchronously with fast electromagnetic field variations registered by an on‐board antenna. A sequence of 10 gamma ray enhancements was detected, each lasted for about 1 s. Their spectrum mainly consists of 511‐keV photons and their Compton component. The local electric activity during the emission was identified as a series of static discharges of the aircraft. A full‐scale Geant4 model of the aircraft was created to estimate the emission area. Monte Carlo simulation indicated that the positrons annihilated in direct vicinity or in the aircraft body.publishedVersio

Production of Terrestrial Gamma-Ray Flashes During the Early Stages of Lightning Flashes

Terrestrial Gamma-ray Flashes (TGFs) are short emissions of high energy photons associated with thunderstorms. It has been known since the discovery of TGFs that they are associated with lightning, and several case studies have shown that the TGFs are produced at the initial phase of the lightning flash. However, it has not been tested whether this is true in general. By using the largest TGF sample up to date, combined with ground-based radio lightning detection data, we perform a statistical study to test this. One of the TGF missions is the Atmosphere-Space Interactions Monitor (ASIM) consisting of the innovative combination of X- and gamma-ray detectors, optical photometers and cameras. This allows us to investigate the temporal relation between gamma-rays produced by TGFs and the optical signal produced by lightning discharges. Based on stacking analysis of the TGF sample and ground-based measurements of associated lightning activity, together with the high temporal resolution of the optical signal from the ASIM photometers, it is shown that TGFs are produced in the beginning of the lightning flashes. In addition, for a significant fraction of the TGFs, the lightning activity detected in radio is enhanced in an interval between 150 and 750 ms following the TGFs, and is co-located with the lightning associated with the TGFs. The enhanced lightning activity is not evident in a randomly selected sample of flashes. This indicates that the activity between 150 and 750 ms is a characteristic property of a significant fraction of flashes that start with a TGF.publishedVersio

Modeling, Identification and Control at Telemark University College

Master studies in process automation started in 1989 at what soon became Telemark University College, and the 20 year anniversary marks the start of our own PhD degree in Process, Energy and Automation Engineering. The paper gives an overview of research activities related to control engineering at Department of Electrical Engineering, Information Technology and Cybernetics

Terrestrial Gamma-Ray Flashes With Accompanying Elves Detected by ASIM

The Atmosphere-Space Interactions Monitor was designed to monitor Terrestrial Gamma-ray Flashes (TGFs) and Transient Luminous Events (TLEs) from space, enabling the study of how these phenomena are related. In this paper, we present observations of 17 TGFs with accompanying Elves. TGFs are short and highly energetic bursts of gamma photons associated with lightning discharges, whereas Elves are TLEs that are observed as concentric rings of ultraviolet (UV) and visible light at ionospheric altitudes, produced by the excitation of N2 molecules when an electromagnetic pulse hits the base of the ionosphere. Elves were identified when optical detections in the UV band could be clearly distinguished from other optical signals from lightning strokes. The TGFs they accompanied had short durations and were associated with particularly high peak current lightning. Lightning sferics associated with these events were detected by the global lightning network GLD360 and the World Wide Lightning Location Network, and they were, with the exception of one event, observed over ocean or coastal regions. It is likely that these events were associated with Energetic In-cloud Pulses. We show that short duration TGFs tend to be associated with higher peak currents than long duration TGFs.publishedVersio

Spectral Analysis of Individual Terrestrial Gamma-ray Flashes Detected by ASIM

The Atmosphere-Space Interactions Monitor (ASIM) is the first instrument in space specifically designed to observe terrestrial gamma-ray flashes (TGFs). TGFs are high energy photons associated with lightning flashes and we perform the spectral analysis of 17 TGFs detected by ASIM. The TGF sample is carefully selected by rigorous selection criteria to keep a clean sample suitable for spectral analysis, that is, suitable count statistics, low instrumental effects, and reliable source location. Monte Carlo modeling of individual TGFs has been compared to the observed energy spectra to study the possible source altitudes and beaming geometries. A careful model of the instrumental effects has been developed and validated. Several combinations of source altitudes and beaming geometries are accepted by the statistical tests for all the TGFs in the sample resulting in a large uncertainty in the estimate of the intrinsic source luminosity. The analyzed TGFs show significant variations in observed fluence independent of the distance between source and ASIM. A lower limit on the maximum photon energy produced by TGFs is estimated to be 24 MeV for the analyzed TGFs. The intrinsic limitations of TGF spectral analysis from space are also investigated and it is found that the ability to constrain the source altitude and beaming geometries of TGFs strongly depends on the distance between source and satellite. With the current generation of instruments with effective areas in the range of few hundreds cm2, it is very difficult to constrain reliably the source properties without the help of simultaneous measurements in the radio band.publishedVersio