1,360 research outputs found
Banking system stability: A cross-atlantic perspective
Paper prepared for the NBER project on “Risks of Financial Institutions”. We benefited from suggestions
and criticism by many participants in the NBER project on “Risks of financial institutions”, in particular by
the organizers Mark Carey (also involving Dean Amel and Allen Berger) and Rene Stulz, by our discussant
Tony Saunders and by Patrick de Fontnouvelle, Gary Gorton, Andy Lo, Jim O’Brien and Eric Rosengren.
Furthermore, we are grateful for comments we received at the 2004 European Finance Association Meetings
in Maastricht, in particular by our discussant Marco da Rin and by Christian Upper, at the 2004 Ottobeuren
seminar in economics, notably the thoughts of our discussant Ernst Baltensberger, of Friedrich Heinemann
and of Gerhard Illing, as well as at seminars of the Max Planck Institute for Research on Collective Goods,
the Federal Reserve Bank of St. Louis, the ECB and the University of Frankfurt. Gabe de Bondt and David
Marques Ibanez supported us enormously in finding yield spread data, Lieven Baele and Richard Stehle
kindly made us aware of pitfalls in Datastream equity data. Very helpful research assistance by Sandrine
Corvoisier, Peter Galos and Marco Lo Duca as well as editorial support by Sabine Wiedemann are gratefully
acknowledged. Any views expressed only reflect those of the authors and should not be interpreted as the
ones of the ECB or the Eurosystem. The views expressed herein are those of the author(s) and do not
necessarily reflect the views of the National Bureau of Economic Research.
This paper derives indicators of the severity and structure of banking system risk from asymptotic
interdependencies between banks’ equity prices. We use new tools available from multivariate
extreme value theory to estimate individual banks’ exposure to each other (“contagion risk”) and to
systematic risk. Moreover, by applying structural break tests to those measures we study whether
capital markets indicate changes in the importance of systemic risk over time. Using data for the
United States and the euro area, we can also compare banking system stability between the two
largest economies in the world. Finally, for Europe we assess the relative importance of cross-border
bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic
risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in
Europe. On both sides of the Atlantic systemic risk has increased during the 1990s
Fundamentals and joint currency crises
It is by now well known that Þnancial returns exhibit heavy tails and
are thus nonnormally distributed. This implies that extreme market
conditions tend to happen more frequently than expected on the basis
of the normal distribution, which is used so often in standard asset pricing approaches. From the point of view of international Þnan-
cial stability and portfolio diversiÞcation, the strength of asset linkages
during crisis periods matters even more, as the linkages determine the
stability of the system as a whole. Several papers talk about increased
correlation between Þnancial assets or markets during crisis periods. As
has been argued before, the use of correlation analysis is not without
problems though. Since the correlation concept is just an intermediary
step in calculating probabilities, we prefer to deÞne market linkages in
terms of conditional probabilities and the expected number of market
crashes
Electronic Quantum Coherence in Glycine Molecules Probed with Ultrashort X-ray Pulses in Real Time
Structural changes in nature and technology are driven by charge carrier
motion. A process such as charge-directed reactivity that can be operational in
radiobiology is more efficient, if energy transfer and charge motion proceeds
along well-defined quantum mechanical pathways keeping the coherence and
minimizing dissipation. The open question is: do long-lived electronic quantum
coherences exist in complex molecules? Here, we use x-rays to create and
monitor electronic wave packets in the amino acid glycine. The outgoing
photoelectron wave leaves behind a positive charge formed by a superposition of
quantum mechanical eigenstates. Delayed x-ray pulses track the induced
electronic coherence through the photoelectron emission from the sequential
double photoionization processes. The observed sinusoidal modulation of the
detected electron yield as a function of time clearly demonstrates that
electronic quantum coherence is preserved for at least 25 femtoseconds in this
molecule of biological relevance. The surviving coherence is detected via the
dominant sequential double ionization channel, which is found to exhibit a
phase shift as a function of the photoelectron energy. The experimental results
agree with advanced ab-initio simulations.Comment: 54 pages, 11 figure
Petrology of dioritic, tonalitic and trondhjemitic gneisses from Encantadas Complex, Santana da Boa Vista, southernmost Brazil: paleoproterozoic continental-arc magmatism
Measurement of the cosmic ray spectrum above eV using inclined events detected with the Pierre Auger Observatory
A measurement of the cosmic-ray spectrum for energies exceeding
eV is presented, which is based on the analysis of showers
with zenith angles greater than detected with the Pierre Auger
Observatory between 1 January 2004 and 31 December 2013. The measured spectrum
confirms a flux suppression at the highest energies. Above
eV, the "ankle", the flux can be described by a power law with
index followed by
a smooth suppression region. For the energy () at which the
spectral flux has fallen to one-half of its extrapolated value in the absence
of suppression, we find
eV.Comment: Replaced with published version. Added journal reference and DO
Energy Estimation of Cosmic Rays with the Engineering Radio Array of the Pierre Auger Observatory
The Auger Engineering Radio Array (AERA) is part of the Pierre Auger
Observatory and is used to detect the radio emission of cosmic-ray air showers.
These observations are compared to the data of the surface detector stations of
the Observatory, which provide well-calibrated information on the cosmic-ray
energies and arrival directions. The response of the radio stations in the 30
to 80 MHz regime has been thoroughly calibrated to enable the reconstruction of
the incoming electric field. For the latter, the energy deposit per area is
determined from the radio pulses at each observer position and is interpolated
using a two-dimensional function that takes into account signal asymmetries due
to interference between the geomagnetic and charge-excess emission components.
The spatial integral over the signal distribution gives a direct measurement of
the energy transferred from the primary cosmic ray into radio emission in the
AERA frequency range. We measure 15.8 MeV of radiation energy for a 1 EeV air
shower arriving perpendicularly to the geomagnetic field. This radiation energy
-- corrected for geometrical effects -- is used as a cosmic-ray energy
estimator. Performing an absolute energy calibration against the
surface-detector information, we observe that this radio-energy estimator
scales quadratically with the cosmic-ray energy as expected for coherent
emission. We find an energy resolution of the radio reconstruction of 22% for
the data set and 17% for a high-quality subset containing only events with at
least five radio stations with signal.Comment: Replaced with published version. Added journal reference and DO
Measurement of the Radiation Energy in the Radio Signal of Extensive Air Showers as a Universal Estimator of Cosmic-Ray Energy
We measure the energy emitted by extensive air showers in the form of radio
emission in the frequency range from 30 to 80 MHz. Exploiting the accurate
energy scale of the Pierre Auger Observatory, we obtain a radiation energy of
15.8 \pm 0.7 (stat) \pm 6.7 (sys) MeV for cosmic rays with an energy of 1 EeV
arriving perpendicularly to a geomagnetic field of 0.24 G, scaling
quadratically with the cosmic-ray energy. A comparison with predictions from
state-of-the-art first-principle calculations shows agreement with our
measurement. The radiation energy provides direct access to the calorimetric
energy in the electromagnetic cascade of extensive air showers. Comparison with
our result thus allows the direct calibration of any cosmic-ray radio detector
against the well-established energy scale of the Pierre Auger Observatory.Comment: Replaced with published version. Added journal reference and DOI.
Supplemental material in the ancillary file
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