Effective monetary policy conservatism: A comparison of 11 OECD countries

Modern monetary economists argue that institutional aspects such as central bank independence and central bank conservatism play an important role for the performance of an economy. In order to be able to compare the effects of different institutions it is necessary to measure both central bank independence and conservatism. In this paper we propose a new methodology of uncovering the degree of effective monetary policy conservatism from observed central bank behavior. Employing a variant of the Barro-Gordon-model we derive an optimal prime rate reaction function and show that more effectively conservative monetary policy tends to react less active to shocks to the real economy. In order to illustrate the proposed methodology we then estimate a common prime rate reaction function for a sample of 11 central banks in a panel setting and allow the reaction to real disturbances to differ between countries. --

Credit ratings and credit risk

This paper investigates the information in corporate credit ratings. We examine the extent to which firms' credit ratings measure raw probability of default as opposed to systematic risk of default, a firm's tendency to default in bad times. We find that credit ratings are dominated as predictors of corporate failure by a simple model based on publicly available financial information (`failure score'), indicating that ratings are poor measures of raw default probability. However, ratings are strongly related to a straightforward measure of systematic default risk: the sensitivity of firm default probability to its common component (`failure beta'). Furthermore, this systematic risk measure is strongly related to credit default swap risk premia. Our findings can explain otherwise puzzling qualities of ratings.Credit Rating, Credit Risk, Default Probability, Forecast Accuracy, Systematic Default Risk

Structural, Superconducting and Magnetic Properties of La(3-x)R(x)Ni2B2N3 (R = Ce, Pr, Nd)

We report on structural and superconducting properties of La(3-x)R(x)Ni2B2N3 where La is substituted by the magnetic rare-earth elements Ce, Pr, Nd. The compounds Pr3Ni2B2N3 and Nd3Ni2B2N3 are characterized for the first time. Powder X-ray diffraction confirmed all samples R3Ni2B2N3 with R = La, Ce, Pr, Nd and their solid solutions to crystallize in the body centered tetragonal La3Ni2B2N3 structure type. Superconducting and magnetic properties of La(3-x)R(x)Ni2B2N3 were studied by resistivity, specific heat and susceptibility measurements. While La3Ni2B2N3 has a superconducting transition temperature Tc ~ 14 K, substitution of La by Ce, Pr, and Nd leads to magnetic pair breaking and, thus, to a gradual suppression of superconductivity. Pr3Ni2B2N3 exibits no long range magnetic order down to 2 K, Nd3Ni2B2N3 shows ferrimagnetic ordering below T_C = 17 K and a spin reorientation transition to a nearly antiferromagnetic state at 10 K.Comment: 5 pages, 4 figures, presented at 17. International Conference on Solid Compounds of Transition Elements, Annecy, France; 05.09.2010 - 10.09.201

Higher-Order Calculus of Variations on Time Scales

We prove a version of the Euler-Lagrange equations for certain problems of the calculus of variations on time scales with higher-order delta derivatives.Comment: Corrected minor typo

In Search of Distress Risk

This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.

Asymptotic properties of solutions of Riccati matrix equations and inequalities for discrete symplectic systems

In this paper we study the asymptotic properties of the distinguished solutions of Riccati matrix equations and inequalities for discrete symplectic systems. In particular, we generalize the inequalities known for symmetric solutions of Riccati matrix equations to Riccati matrix inequalities. We also justify the definition and properties of the distinguished solution and the recessive solution at minus infinity by relating them to their counterparts at plus infinity

In Searach of Distress Risk

This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.

Mean first passage time for fission potentials having structure

A schematic model of over-damped motion is presented which permits one to calculate the mean first passage time for nuclear fission. Its asymptotic value may exceed considerably the lifetime suggested by Kramers rate formula, which applies only to very special, favorable potentials and temperatures. The additional time obtained in the more general case is seen to allow for a considerable increment in the emission of light particles.Comment: 7 pages, LaTex, 7 postscript figures; Keywords: Decay rate, mean first passage tim

A case study examining how students make meaning out of using Facebook as a virtual learning community at a Midwestern university

The purpose of this qualitative case study was to explore how peer mentors make meaning out of using Facebook as a virtual learning community. With the prevalence of Facebook usage by college students, and the introduction of Facebook into academic settings by educators, program facilitators, administrators, and recruiters, researchers have begun to examine the impact of Facebook as a virtual learning community. Currently, there has been a missing voice in the research, the voice of the students involved in the use of Facebook as a virtual learning community. Facebook presents itself as an ideal vehicle for a virtual learning community, but it\u27s not known how students perceive the use of a social tool in an educational setting. The current literature is mainly quantitative in nature, focuses on how students use Facebook in a social setting, and addresses student academic performance resulting from the use of Facebook as a social tool. This case study examined how peer mentors perceive the use of their social tool in an academic setting. The current literature on virtual learning communities is beginning to examine Facebook usage, but not how the students perceive the use of Facebook as an academic tool. The participants for this case study were five peer mentors who had belonged to the virtual learning community the previous year. These peer mentors had two years of experience within virtual learning communities that were hosted as Facebook groups. The peer mentors shared their experiences of what they believed made Facebook work as a virtual learning community. One might expect that the peer mentors would recommend using Facebook in all classes, especially given that the peer mentors believed that society held a perception that students are constantly on Facebook. The peer mentors described specific settings, actions, and requirements of the program facilitator needed in order to make Facebook function as a virtual learning community. The study provided a voice to the peer mentors, and the peer mentors provided direct messages to those who might use Facebook in how they believed Facebook should be used as a virtual learning community. I proposed a model for implementing Facebook as a virtual learning community in higher education settings. The model was constructed through a careful examination of existing literature and based upon data from my case. The purpose of a case study is to lay the foundation for future research; this case study laid the foundation for future examination into the academic implications for students who use Facebook as a virtual learning community

One-body energy dissipation in fusion reaction from mean-field theory

Information on dissipation in the entrance channel of heavy-ion collisions is extracted by macroscopic reduction procedure of Time-Dependent Hartree-Fock theory. The method gives access to a fully microscopic description of the friction coefficient associated with transfer of energy from the relative motion towards intrinsic degrees of freedom. The reduced friction coefficient exhibits a universal behavior, i.e. almost independent of systems investigated, whose order of magnitude is comparable with the calculations based on linear response theory. Similarly to nucleus-nucleus potential, especially close to the Coulomb barrier, there are sizable dynamical effects on the magnitude and form factor of friction coefficient.Comment: 7 pages, 10 figure