The real effects of financial stress in the Euro zone

Using two identification strategies based on a Bayesian Structural VAR and a Sign-Restriction VAR, we examine the real effects of financial stress in the Eurozone. In particular, we assess the macroeconomic impact of: (i) a monetary policy shock; and (ii ) a financial stress shock. We find that a monetary policy contraction strongly deteriorates financial stress conditions. In addition, unexpected variation in the Financial Stress Index (FSI) plays an important role in explaining output fluctuations, and also demands an aggressive response by the monetary authority to stabilise output indicating a preference shift from targeting inflation as it is currently happening in major economies. Therefore, our paper reveals the importance of adopting a vigilant posture towards financial stress conditions, as well as the urgency of macro-prudential risk management.monetary policy, financial stress, Bayesian Structural VAR, Sign-Restrictions, Euro-zone.

Inhomogeneous discrete-time exclusion processes

We study discrete time Markov processes with periodic or open boundary conditions and with inhomogeneous rates in the bulk. The Markov matrices are given by the inhomogeneous transfer matrices introduced previously to prove the integrability of quantum spin chains. We show that these processes have a simple graphical interpretation and correspond to a sequential update. We compute their stationary state using a matrix ansatz and express their normalization factors as Schur polynomials. A connection between Bethe roots and Lee-Yang zeros is also pointed out.Comment: 30 pages, 10 figures; a short paragraph at the end to justify the form of the sequential update has been added; the justification of the transfer matrix degree is detaile

Interacting quantum walkers: Two-body bosonic and fermionic bound states

We investigate the dynamics of bound states of two interacting particles, either bosons or fermions, performing a continuous-time quantum walk on a one-dimensional lattice. We consider the situation where the distance between both particles has a hard bound, and the richer situation where the particles are bound by a smooth confining potential. The main emphasis is on the velocity characterizing the ballistic spreading of these bound states, and on the structure of the asymptotic distribution profile of their center-of-mass coordinate. The latter profile generically exhibits many internal fronts.Comment: 31 pages, 14 figure

Survival of classical and quantum particles in the presence of traps

We present a detailed comparison of the motion of a classical and of a quantum particle in the presence of trapping sites, within the framework of continuous-time classical and quantum random walk. The main emphasis is on the qualitative differences in the temporal behavior of the survival probabilities of both kinds of particles. As a general rule, static traps are far less efficient to absorb quantum particles than classical ones. Several lattice geometries are successively considered: an infinite chain with a single trap, a finite ring with a single trap, a finite ring with several traps, and an infinite chain and a higher-dimensional lattice with a random distribution of traps with a given density. For the latter disordered systems, the classical and the quantum survival probabilities obey a stretched exponential asymptotic decay, albeit with different exponents. These results confirm earlier predictions, and the corresponding amplitudes are evaluated. In the one-dimensional geometry of the infinite chain, we obtain a full analytical prediction for the amplitude of the quantum problem, including its dependence on the trap density and strength.Comment: 35 pages, 10 figures, 2 tables. Minor update

Investigating international new product diffusion speed: A semiparametric approach

Global marketing managers are interested in understanding the speed of the new product diffusion process and how the speed has changed in our ever more technologically advanced and global marketplace. Understanding the process allows firms to forecast the expected rate of return on their new products and develop effective marketing strategies. The most recent major study on this topic [Marketing Science 21 (2002) 97--114] investigated new product diffusions in the United States. We expand upon that study in three important ways. (1) Van den Bulte notes that a similar study is needed in the international context, especially in developing countries. Our study covers four new product diffusions across 31 developed and developing nations from 1980--2004. Our sample accounts for about 80% of the global economic output and 60% of the global population, allowing us to examine more general phenomena. (2) His model contains the implicit assumption that the diffusion speed parameter is constant throughout the diffusion life cycle of a product. Recognizing the likely effects on the speed parameter of recent changes in the marketplace, we model the parameter as a semiparametric function, allowing it the flexibility to change over time. (3) We perform a variable selection to determine that the number of internet users and the consumer price index are strongly associated with the speed of diffusion.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS519 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Open two-species exclusion processes with integrable boundaries

We give a complete classification of integrable Markovian boundary conditions for the asymmetric simple exclusion process with two species (or classes) of particles. Some of these boundary conditions lead to non-vanishing particle currents for each species. We explain how the stationary state of all these models can be expressed in a matrix product form, starting from two key components, the Zamolodchikov-Faddeev and Ghoshal-Zamolodchikov relations. This statement is illustrated by studying in detail a specific example, for which the matrix Ansatz (involving 9 generators) is explicitly constructed and physical observables (such as currents, densities) calculated.Comment: 19 pages; typos corrected, more details on the Matrix Ansatz algebr

Return probability of NN fermions released from a 1D confining potential

We consider $N$ non-interacting fermions prepared in the ground state of a 1D confining potential and submitted to an instantaneous quench consisting in releasing the trapping potential. We show that the quantum return probability of finding the fermions in their initial state at a later time falls off as a power law in the long-time regime, with a universal exponent depending only on $N$ and on whether the free fermions expand over the full line or over a half-line. In both geometries the amplitudes of this power-law decay are expressed in terms of finite determinants of moments of the one-body bound-state wavefunctions in the potential. These amplitudes are worked out explicitly for the harmonic and square-well potentials. At large fermion numbers they obey scaling laws involving the Fermi energy of the initial state. The use of the Selberg-Mehta integrals stemming from random matrix theory has been instrumental in the derivation of these results.Comment: 24 pages, 1 tabl