The perils of credit booms

We present a dynamic general equilibrium model of production economies with adverse selection in the financial market to study the interaction between funding liquidity and market liquidity and its impact on business cycles. Entrepreneurs can take on short-term collateralized debt and trade long-term assets to finance investment. Funding liquidity can erode market liquidity. High funding liquidity discourages firms from selling their good long-term assets since these good assets have to subsidize lemons when there is information asymmetry. This can cause a liquidity dry-up in the market for long-term assets and even a market breakdown, resulting in a financial crisis. Multiple equilibria can coexist. Credit booms combined with changes in beliefs can cause equilibrium regime shifts, leading to an economic crisis or expansion.Published versio

Reprocessed emission from warped accretion discs induced by the Bardeen-Petterson effect

The broad Balmer emission-line profiles resulting from the reprocessing of UV/X-ray radiation from a warped accretion disc induced by the Bardeen-Petterson effect are studied. We adopt a thin warped disc geometry and a central ring-like illuminating source in our model. We compute the steady-state shape of the warped disc numerically, and then use it in the calculation of the line profile. We find that, from the outer radius to the inner radius of the disc, the warp is twisted by an angle of $\sim\pi$ before being flattened efficiently into the equatorial plane. The profiles obtained depend weakly on the illuminating source radius in the range from $3r_{g}$ to $10r_g$, but depend strongly on this radius when it approaches the marginally stable orbit of an extreme Kerr black hole. Double- or triplet-peaked line profiles are present in most cases when the illuminating source radius is low. The triplet-peaked line profiles observed from the Sloan Digital Sky Survey may be a {"}signature" of a warped disc.Comment: 8 pages, 6 figures, typos corrected, matches version to appear in MNRA

Reliability-Based Progressive Collapse And Redundancy Analysis Of Bridge Systems

Highway bridges like most structural systems are usually designed on a member by member basis and little consideration is provided to the effect of a local failure on system safety. There are concerns that some systems optimized to meet code-specified member design criteria may not provide sufficient levels of structural redundancy to withstand a possible local failure. In fact, a local failure of one structural element may result in the failure of another element creating a chain reaction that might progress throughout the whole structure or a major portion of it leading to a catastrophic collapse. Several recent catastrophic structural collapses have alerted the structural engineering community to the importance of designing structures with sufficient levels of structural redundancy and robustness to make them capable of withstanding local failures and retaining some level of limited functionality. This has led several agencies to develop criteria for evaluating the robustness of structural systems. However, in a departure from LRFD-based code developments, these recently proposed criteria, which are based on deterministic concepts, do not properly account for the random material properties, the variations in the strengths of the members, or the uncertainties associated with modeling the response of structural systems. Furthermore, it is not clear if the existing criteria which were developed for office buildings are applicable to highway bridges subjected to highly stochastic live loads or whether these criteria will lead to similar safety levels for different types of structures. The object of this Dissertation is to propose a methodology to evaluate the redundancy of highway bridge systems and verify their ability to withstand progressive collapse should a local failure take place. In keeping with current code development approaches, the proposed methodology must be calibrated to provide an acceptable and consistent level of reliability for different types of structures accounting for the uncertainties in estimating the bridge behavior and material properties. A first step for achieving the objectives of this study is to define non-subjective reliability-based criteria for evaluating the performance of originally intact bridge systems, those that have been subjected to local damage, and assessing the ability of the system to survive the sudden occurrence of local damage. The development of such reliability-based criteria requires the availability of probabilistic analysis algorithms capable of handling complex structural systems with low probability of failure. The review of existing structural system reliability methods shows that a Markov-Chain simulation known as the Subset Simulation method offers many advantages over other available methods for evaluating the reliability of complex structural systems with high numbers of failure modes and low probabilities of failure. To further improve the existing subset simulation algorithm, a hybrid Markov chain Monte Carlo method referred to as RASS is proposed. The proposed improvements include: a) a more efficient advanced Markov Chain sample generation algorithm; b) a Delayed Rejection process that allows partial local adaptation of the generated candidate samples at each time step of the Markov chain; c) an Adaptive Algorithm that uses the history of the chain to update the variances of the intermediate proposal probability distribution function; d) a Regeneration process to help in reducing the correlation between the generated samples; and e) a componentwise generation of samples is used to reduce the computational effort associated with multivariate input. This study demonstrates that the proposed simulation approach is robust to dimension size and is efficient in computing small probabilities of failure for complex structural systems. In addition, this approach can be used to obtain approximate expressions for the limit state equations for the pertinent failure modes. The applicability of the proposed reliability algorithm in analyzing the system performance of bridge structures and evaluating their levels of redundancy as well as their ability to resist dynamic progressive collapse is demonstrated through several examples for typical I-girder bridges, steel box-girder bridges, and truss systems. Since involved reliability analyses are beyond the day-to-day practice of bridge engineers, this study proposes an approach to develop a deterministic progressive collapse analysis method for bridges. Following current practice in the development of structural design codes, the deterministic analysis and associated criteria are calibrated to provide adequate and consistent levels of structural reliability for different bridge topologies. The validity of the proposed approach for calibrating progressive collapse analysis criteria is illustrated using two different bridge configurations subjected to different local damage scenarios

Land Retirement Program Design and Empirical Assessments In the Presence of Crop Insurance Subsidies

The U.S. Federal Government implements environmental, biofuels and crop insurance programs that influence land use. They are not well-integrated in that cost savings from crop insurance subsidies are not acknowledged when screening land for retirement or when calculating the cost of land retirement programs. We identify and evaluate an optimal benefit index for enrollment in a land retirement program that includes a sub-index to rank land according to insurance subsidy savings. All else equal, land ranked higher in the Lorenz stochastic order should be retired first. Empirical analysis based on field level data will be provided.Agro-environmental policy, Budget, Conservation reserve program, Crop failure, Environmental benefit index, Lorenz order, Land Economics/Use, Risk and Uncertainty, Q18, Q28,

Land Use Consequences of Crop Insurance Subsidies

There have long been concerns that federal crop insurance subsidies may significantly impact land use decisions. It is well known that classical insurance market information asymmetry problems can lead to a social excess of risky land entering crop production. Our conceptual model shows that the problem will arise absent any information failures. This is because the subsidy is i) proportional to acres planted, and ii) greatest for the most production risky land. Using farm-level data, we follow this observation through to establish the implications of subsidies for the extent of crop production, with particular emphasis on U.S. regions where the cropland growth is likely to have marked adverse environmental impacts. Simulation results show that when subsidy rate decreases by 5 percentage points, then about 0.60 percent of insured cropped land will be converted to non-cropped land. When crop price decreases by 5 percent, then about 1.01 percent of insured cropped land will be converted to non-cropped land.crop insurance, land use, crop yields, yield risk measurement, Agricultural and Food Policy, Crop Production/Industries, Land Economics/Use, Q15, Q18, Q24,

Interplay between Quantum Size Effect and Strain Effect on Growth of Nanoscale Metal Thin Film

We develop a theoretical framework to investigate the interplay between quantum size effect (QSE) and strain effect on the stability of metal nanofilms. The QSE and strain effect are shown to be coupled through the concept of "quantum electronic stress. First-principles calculations reveal large quantum oscillations in the surface stress of metal nanofilms as a function of film thickness. This adds extrinsically additional strain-coupled quantum oscillations to surface energy of strained metal nanofilms. Our theory enables a quantitative estimation of the amount of strain in experimental samples, and suggests strain be an important factor contributing to the discrepancies between the existing theories and experiments