Agency Costs and Investment Behaviour. ENEPRI Working Paper, No. 47, 3 February 2007

How do differences in the credit channel affect investment behavior in the U.S. and the Euro area? To analyze this question, we calibrate an agency cost model of business cycles. We focus on two key components of the lending channel, the default premium associated with bank loans and bankruptcy rates, to identify the differences in the U.S. and European financial sectors. Our results indicate that the differences in financial structures affect quantitatively the cyclical behavior in the two areas: the magnitude of the credit channel effects is amplified by the differences in the financial structures. We further demonstrate that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in price of capital, bankruptcy rate and risk premium. The effects imply that the Euro Area's supply elasticities for capital are less elastic than the U.S

Risk Shocks and Housing Markets

This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for the business cycle. Also, we demonstrate that bankruptcy costs act as an endogenous markup factor in housing prices; as a consequence, the volatility of housing prices is greater than that of output, as observed in the data. The model can also account for the observed countercyclical behavior of risk premia on loans to the housing sector.Agency costs, credit channel, time-varying uncertainty, residential investment, housing production, calibration

Time-Varying Uncertainty and the Credit Channel

We extend the Carlstrom and Fuerst (1997) agency cost model of business cycles by including time varying uncertainty in the technology shocks that affect capital production. We first demonstrate that standard linearization methods can be used to solve the model yet second moment effects still influence equilibrium characteristics. The effects of the persistence of uncertainty are then analyzed. Our primary findings fall into three broad categories. First, it is demonstrated that uncertainty affects the level of the steady-state of the economy so that welfare analyses of uncertainty that focus entirely on the variability of output (consumption) will understate the true costs of uncertainty. A second key result is that time varying uncertainty results in countercyclical bankruptcy rates – a finding which is consistent with the data and opposite the result in Carlstrom and Fuerst. Third, we show that persistence of uncertainty affects both quantitatively and qualitatively the behavior of the economy.Agency costs, Credit channel, Time-varying uncertainty

Agency Costs and Investment Behavior

How do differences in the credit channel affect investment behavior in the U.S. and the Euro area? To analyze this question, we calibrate an agency cost model of business cycles. We focus on two key components of the lending channel, the default premium associated with bank loans and bankruptcy rates, to identify the differences in the U.S. and European financial sectors. Our results indicate that the differences in financial structures affect quantitatively the cyclical behavior in the two areas: the magnitude of the credit channel effects is amplified by the differences in the financial structures. We further demonstrate that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in price of capital, bankruptcy rate and risk premium. The effects imply that the Euro Area's supply elasticities for capital are less elastic than the U.S.Agency costs, Credit channel, Investment behavior, E.U. Area

Search for top squark production in fully hadronic final states in proton-proton collisions at root s=13 TeV

A search for production of the supersymmetric partners of the top quark, top squarks, is presented. The search is based on proton-proton collision events containing multiple jets, no leptons, and large transverse momentum imbalance. The data were collected with the CMS detector at the CERN LHC at a center-of-mass energy of 13 TeV, and correspond to an integrated luminosity of 137 fb(-1). The targeted signal production scenarios are direct and gluino-mediated top squark production, including scenarios in which the top squark and neutralino masses are nearly degenerate. The search utilizes novel algorithms based on deep neural networks that identify hadronically decaying top quarks and W bosons, which are expected in many of the targeted signal models. No statistically significant excess of events is observed relative to the expectation from the standard model, and limits on the top squark production cross section are obtained in the context of simplified supersymmetric models for various production and decay modes. Exclusion limits as high as 1310 GeVare established at the 95% confidence level on the mass of the top squark for direct top squark production models, and as high as 2260 GeV on the mass of the gluino for gluino-mediated top squark production models. These results represent a significant improvement over the results of previous searches for supersymmetry by CMS in the same final state.Peer reviewe

Development and validation of HERWIG 7 tunes from CMS underlying-event measurements

This paper presents new sets of parameters (“tunes”) for the underlying-event model of the HERWIG7 event generator. These parameters control the description of multiple-parton interactions (MPI) and colour reconnection in HERWIG7, and are obtained from a fit to minimum-bias data collected by the CMS experiment at s=0.9, 7, and 13Te. The tunes are based on the NNPDF 3.1 next-to-next-to-leading-order parton distribution function (PDF) set for the parton shower, and either a leading-order or next-to-next-to-leading-order PDF set for the simulation of MPI and the beam remnants. Predictions utilizing the tunes are produced for event shape observables in electron-positron collisions, and for minimum-bias, inclusive jet, top quark pair, and Z and W boson events in proton-proton collisions, and are compared with data. Each of the new tunes describes the data at a reasonable level, and the tunes using a leading-order PDF for the simulation of MPI provide the best description of the dat

Measurement of the W gamma Production Cross Section in Proton-Proton Collisions at root s=13 TeV and Constraints on Effective Field Theory Coefficients

A fiducial cross section for W gamma production in proton-proton collisions is measured at a center-of-mass energy of 13 TeV in 137 fb(-1) of data collected using the CMS detector at the LHC. The W -> e nu and mu nu decay modes are used in a maximum-likelihood fit to the lepton-photon invariant mass distribution to extract the combined cross section. The measured cross section is compared with theoretical expectations at next-to-leading order in quantum chromodynamics. In addition, 95% confidence level intervals are reported for anomalous triple-gauge couplings within the framework of effective field theory.Peer reviewe