Banking crisis in Asia and Latin America – A single pattern for emerging market economies?

Most extant work on prediction of banking crises has utilised global samples, which are in turn dominated by observations from middle-income countries, and rely on a single estimator, while a range of specifications is desirable to check robustness. However, economic and financial structure as well as the pattern of shocks may differ substantially across regions. Accordingly, in this paper we test the implicit pooling assumption in earlier work on Early Warning Systems using the widest range of models, by estimating logit, signal extraction and binary recursive tree specifications separately for crises in Asia and Latin America, as well as the pooled sample. Results suggest markedly different crisis determinants across regions, implying global samples are inappropriate

Integrity bases for local invariants of composite quantum systems

Unitary group branchings appropriate to the calculation of local invariants of density matrices of composite quantum systems are formulated using the method of $S$-function plethysms. From this, the generating function for the number of invariants at each degree in the density matrix can be computed. For the case of two two-level systems the generating function is $F(q) = 1 + q + 4q^{2} + 6 q^{3} + 16 q^{4} + 23 q^{5} + 52 q^{6} + 77 q^{7} + 150 q^{8} + 224 q^{9} + 396 q^{10} + 583 q^{11}+ O(q^{12})$. Factorisation of such series leads in principle to the identification of an integrity basis of algebraically independent invariants. This note replaces Appendix B of our paper\cite{us} J Phys {\bf A33} (2000) 1895-1914 (\texttt{quant-ph/0001076}) which is incorrect.Comment: Latex, 4 pages, correcting Appendix B of quant-ph/0001076 Error in $F(q)$ corrected and conclusions modified accordingl

Off-balance sheet exposures and banking crises in OECD countries

Against the background of the acknowledged importance of off-balance-sheet exposures in the sub prime crisis, we seek to investigate whether this was a new phenomenon or common to earlier crises. Using a logit approach to predicting banking crises in 14 OECD countries we find a significant impact of a proxy for the ratio of banks‟ off-balance-sheet activity to total (off and on balance sheet) activity, as well as capital and liquidity ratios, the current account balance and GDP growth. These results are robust to the exclusion of the most crisis prone countries in our model. For early warning purposes we show that real house price growth is a good proxy for off balance sheet activity prior to the sub-prime episode. Variables capturing off-balance sheet activity have been neglected in most early warning models to date. We consider it essential that regulators take into account the results for crisis prediction in regulating banks and their off-balance sheet exposures, and thus controlling their contribution to systemic risk

Bank regulation, property prices and early warning systems for banking crises in OECD countries

Early warning systems (EWS) for banking crises generally omit bank capital, bank liquidity and property prices. Most work on EWS has been for global samples dominated by emerging market crises where time series data on bank capital adequacy and property prices are typically absent. We estimate logit crisis models for OECD countries, finding strong effects from capital adequacy and liquidity ratios as well as property prices, and can exclude traditional variables. Higher capital adequacy and liquidity ratios have a marked effect on the crisis probabilities, implying long run benefits to offset some of the costs that such regulations may impose

How idiosyncratic are banking crises in OECD countries?

Low levels of bank capital and liquidity in combination with ongoing crises in other countries are shown to increase the probability of banking crises in OECD countries. Hence global coordination of regulatory reform is vital for reducing crisis risks.Funding was received from the ESRC for this work

Vacuum Decay on a Brane World

The bubble nucleation rate for a first order phase transition occurring on a brane world is calculated. Both the Coleman-de Luccia thin wall instanton and the Hawking-Moss instanton are considered. The results are compared with the corresponding nucleation rates for standard four-dimensional gravity.Comment: 5 page

The Quantum Cosmological Wavefunction at Very Early Times for a Quadratic Gravity Theory

The quantum cosmological wavefunction for a quadratic gravity theory derived from the heterotic string effective action is obtained near the inflationary epoch and during the initial Planck era. Neglecting derivatives with respect to the scalar field, the wavefunction would satisfy a third-order differential equation near the inflationary epoch which has a solution that is singular in the scale factor limit $a(t)\to 0$. When scalar field derivatives are included, a sixth-order differential equation is obtained for the wavefunction and the solution by Mellin transform is regular in the $a\to 0$ limit. It follows that inclusion of the scalar field in the quadratic gravity action is necessary for consistency of the quantum cosmology of the theory at very early times.Comment: Tex, 13 page

Sewing sound quantum flesh onto classical bones

Semiclassical transformation theory implies an integral representation for stationary-state wave functions $\psi_m(q)$ in terms of angle-action variables ($\theta,J$). It is a particular solution of Schr\"{o}dinger's time-independent equation when terms of order $\hbar^2$ and higher are omitted, but the pre-exponential factor $A(q,\theta)$ in the integrand of this integral representation does not possess the correct dependence on $q$. The origin of the problem is identified: the standard unitarity condition invoked in semiclassical transformation theory does not fix adequately in $A(q,\theta)$ a factor which is a function of the action $J$ written in terms of $q$ and $\theta$. A prescription for an improved choice of this factor, based on succesfully reproducing the leading behaviour of wave functions in the vicinity of potential minima, is outlined. Exact evaluation of the modified integral representation via the Residue Theorem is possible. It yields wave functions which are not, in general, orthogonal. However, closed-form results obtained after Gram-Schmidt orthogonalization bear a striking resemblance to the exact analytical expressions for the stationary-state wave functions of the various potential models considered (namely, a P\"{o}schl-Teller oscillator and the Morse oscillator).Comment: RevTeX4, 6 page