964 research outputs found
Water is not a Dynamic Polydisperse Branched Polymer
The contributed paper by Naserifar and Goddard reports that their RexPoN
water model under ambient conditions simulates liquid water as a dynamic
polydisperse branched polymer, which they speculate explains the existence of
the liquid-liquid critical point (LLCP) in the supercooled region. Our work
addresses several serious factual errors and needless speculation in their
paper about their interpretation of their model and its implication for the
LLCP in supercooled water.Comment: Lette
Quoted spreads and trade imbalance dynamics in the European treasury bond market
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell) rders tend to prevail. Risk-averse market-makers, with inventory-depletion risk being their main concern, tend to quote wider narrower) spreads when they think bond appreciation is more (less) likely to occur. It is also found that the probability of being in a specific regime is related to observable bond market characteristics, tock market volatility, macroeconomic
releases and liquidity management operations of the monetary authorities
Inflation and inflation uncertainty in the Euro area
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to exogenous shocks. A sequential dummy procedure provides further evidence of a structural break coinciding with the introduction of the euro and resulting in lower long-run uncertainty. It also appears that the direction of causality has been reversed, and that in the euro period the Friedman-Ball link is empirically supported, implying that the ECB can achieve lower inflation uncertainty by lowering the inflation rate
Fiscal shocks, public debt, and long-term interest rate dynamics
Public Finances worldwide have been severely hit by the 2008-2009 Great Recession, stimulating the debate on the consequences of growing fiscal imbalances. Building on Paesani et al. (2006), this paper focuses on the USA, Germany and Italy over the 1983-2009 period and studies the effects of fiscal shocks and government debt accumulation on long-term interest rates, both nationally and across borders. Based on a atheoretical framework, the empirical analysis disentangles permanent and transitory components of interest rates dynamics finding that sustained debt accumulation leads, at least temporarily, to higher long-term interest rates. The is particularly true for the Italian case. There is also evidence of significant cross-country linkages, mainly between Italy and the USA.Public debt; long-term interest rates; cointegration; common trends.
Public debt and long-term interest rates: the case of Germany, Italy and the USA
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the accumulation of government debt affects long-term interest rates, both nationally and across borders. The analysis is based on a small, multivariate econometric model, which allows us to disentangle the more permanent and transitory components of interest rate developments. Empirical evidence shows that in all cases a more sustained debt accumulation leads at least temporarily to higher long-term interest rates. This transitory impact also spills-over into other countries, mainly from the US to the two European countries. JEL Classification: E6, H63cointegration, Common Trends, long-term interest rates, public debt
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