4,317 research outputs found
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
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
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
Return probability of fermions released from a 1D confining potential
We consider 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
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
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