The daily market for funds in Europe: Mathematical appendix

This paper includes the derivations of the main expressions in the paper ``The Daily Market for Funds in Europe: Has Something Changed With the EMU?'' by G. Pérez Quirós and H. Rodríguez Mendizábal.Overnight rates, reserve demand, martingale hypothesis

Is the European Central Bank (and the United States Federal Reserve) predictable?

The objective of this paper is to examine the predictability of the monetary policy decisions of the Governing Council of the ECB and the transmission of the unexpected component of the monetary policy decisions to the yield curve. We find, using new methodologies, that markets do not fully predict the ECB decisions but the lack of perfect predictability is comparable with the results found for the United States Federal Reserve. We also find that the impact of monetary policy shocks on bond yields declines with the maturity of the bonds, and that this impact is significantly lower when the shock stems from a monetary policy meeting of the ECB. Using implicit rates instead of bond yields, we find evidence that the market views the ECB as credible. JEL Classification: C22, E52

The daily market for funds in Europe: Has something changed with the EMU?

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of Stage III of the EMU. The analysis of the German experience is useful because it allows us to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.Overnight rates, reserve demand, Martingale hypothesis

This is what the US leading indicators lead

We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, nonparametric models and conclude that a combination of the switching regimes and nonparametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real-time analysis. JEL Classification: C32, C53leading indicators, optimal forecasting rule, turning points

Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.Monetary policy implementation; standing facilities; overnight interest rates; fine-tuning operations.

The effect of oil price on industrial production and on stock returns

This paper analyzes the relationship between oil price shocks and the industrial production and between oil price shocks and the stock returns. The objective is to study which relationship is stronger or which variables reacts more rapidly to changes in oil price. We develop a Markov switching model assuming that there exits a latent variable (the state of the economy) which determines the mean of industrial production and the volatility of stock returns. The results show that raises in oil price affects in a negative and statistically significant way to stock returns and to industrial production, but the effect on stock returns is stronger than on industrial production.oil price, Markov switching models.

The Daily Market for Funds in Europe: What Has Changed with the EMU?

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of the EMU. The analysis of the German experience is useful because it allows to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.Overnight Rates; Reserve Demand; Martingale Hypothesis;

Hypoxic Cell Waves around Necrotic Cores in Glioblastoma: A Biomathematical Model and its Therapeutic Implications

Glioblastoma is a rapidly evolving high-grade astrocytoma that is distinguished pathologically from lower grade gliomas by the presence of necrosis and microvascular hiperplasia. Necrotic areas are typically surrounded by hypercellular regions known as "pseudopalisades" originated by local tumor vessel occlusions that induce collective cellular migration events. This leads to the formation of waves of tumor cells actively migrating away from central hypoxia. We present a mathematical model that incorporates the interplay among two tumor cell phenotypes, a necrotic core and the oxygen distribution. Our simulations reveal the formation of a traveling wave of tumor cells that reproduces the observed histologic patterns of pseudopalisades. Additional simulations of the model equations show that preventing the collapse of tumor microvessels leads to slower glioma invasion, a fact that might be exploited for therapeutic purposes.Comment: 29 pages, 9 figure