Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of financial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such imbalances, generally featured by asset-price boom-bust cycles. In this paper, we investigate the possibility of detecting asset-price booms according to alternative identification strategies and assess their robustness. We infer the probability that an asset-price boom turns into an asset-price bust. In addition, we try to disentangle costless or low-cost from costly asset-price booms. We find some evidence that house price booms are more likely to turn into costly recession than stock price booms. Resorting both to a non-parametric approach and a discrete-choice (logit) model, we analyze the ability of a set of indicators to robustly explain costly asset-price booms. According to our results, real long-term interest rates, total investment, real credit and real stock prices tend to increase the probability of a costly housing-price boom, whereas real GDP and house prices tend to increase the probability of a costly stock-price boom. Regarding the latter, credit variables tend to play a less convincing role. From this perspective, we specify the scope of macro-prudential regulation as a set of tools aiming at avoiding "costly" asset-price booms. In doing so, we try both to make the case for state-contingent macro-prudential regulations and to set out clear delineation between monetary and financial stability objectives.Early Warning Indicators , Discrete-Choice Model , Asset Price Booms and Busts , Macro-prudential Regulation , Leaning Against the Wind Policies.

The ADMA/DDAH Pathway Regulates VEGF-Mediated Angiogenesis

Objectives— Asymmetrical dimethylarginine (ADMA) is a nitric oxide synthase (NOS) inhibitor and cardiovascular risk factor associated with angiogenic disorders. Enzymes metabolising ADMA, dimethylarginine dimethylaminohydrolases (DDAH) promote angiogenesis, but the mechanisms are not clear. We hypothesized that ADMA/DDAH modifies endothelial responses to vascular endothelial growth factor (VEGF) by affecting activity of Rho GTPases, regulators of actin polymerization, and focal adhesion dynamics. Methods and Results— The effects of ADMA on VEGF-induced endothelial cell motility, focal adhesion turnover, and angiogenesis were studied in human umbilical vein endothelial cells (HUVECs) and DDAH I heterozygous knockout mice. ADMA inhibited VEGF-induced chemotaxis in vitro and angiogenesis in vitro and in vivo in an NO-dependent way. ADMA effects were prevented by overexpression of DDAH but were not associated with decreased proliferation, increased apoptosis, or changes in VEGFR-2 activity or expression. ADMA inhibited endothelial cell polarization, protrusion formation, and decreased focal adhesion dynamics, resulting from Rac1 inhibition after decrease in phosphorylation of vasodilator stimulated phosphoprotein (VASP). Constitutively active Rac1, and to a lesser extent dominant negative RhoA, abrogated ADMA effects in vitro and in vivo. Conclusion— The ADMA/DDAH pathway regulates VEGF-induced angiogenesis in an NO- and Rac1-dependent manner

Explicit Evidence Systems with Common Knowledge

Justification logics are epistemic logics that explicitly include justifications for the agents' knowledge. We develop a multi-agent justification logic with evidence terms for individual agents as well as for common knowledge. We define a Kripke-style semantics that is similar to Fitting's semantics for the Logic of Proofs LP. We show the soundness, completeness, and finite model property of our multi-agent justification logic with respect to this Kripke-style semantics. We demonstrate that our logic is a conservative extension of Yavorskaya's minimal bimodal explicit evidence logic, which is a two-agent version of LP. We discuss the relationship of our logic to the multi-agent modal logic S4 with common knowledge. Finally, we give a brief analysis of the coordinated attack problem in the newly developed language of our logic

On the Second Law of thermodynamics and the piston problem

The piston problem is investigated in the case where the length of the cylinder is infinite (on both sides) and the ratio $m/M$ is a very small parameter, where $m$ is the mass of one particle of the gaz and $M$ is the mass of the piston. Introducing initial conditions such that the stochastic motion of the piston remains in the average at the origin (no drift), it is shown that the time evolution of the fluids, analytically derived from Liouville equation, agrees with the Second Law of thermodynamics. We thus have a non equilibrium microscopical model whose evolution can be explicitly shown to obey the two laws of thermodynamics.Comment: 29 pages, 9 figures submitted to Journal of Statistical Physics (2003

Single-vortex-induced voltage steps in Josephson-junction arrays

We have numerically and analytically studied ac+dc driven Josephson-junction arrays with a single vortex or with a single vortex-antivortex pair present. We find single-vortex steps in the voltage versus current characteristics (I-V) of the array. They correspond microscopically to a single vortex phase-locked to move a fixed number of plaquettes per period of the ac driving current. In underdamped arrays we find vortex motion period doubling on the steps. We observe subharmonic steps in both underdamped and overdamped arrays. We successfully compare these results with a phenomenological model of vortex motion with a nonlinear viscosity. The I-V of an array with a vortex-antivortex pair displays fractional voltage steps. A possible connection of these results to present day experiments is also discussed.Comment: 10 pages double sided with figures included in the text. To appear in Journal of Physics, Condensed Matte

Casimir-Polder forces: A non-perturbative approach

Within the frame of macroscopic QED in linear, causal media, we study the radiation force of Casimir-Polder type acting on an atom which is positioned near dispersing and absorbing magnetodielectric bodies and initially prepared in an arbitrary electronic state. It is shown that minimal and multipolar coupling lead to essentially the same lowest-order perturbative result for the force acting on an atom in an energy eigenstate. To go beyond perturbation theory, the calculations are based on the exact center-of-mass equation of motion. For a nondriven atom in the weak-coupling regime, the force as a function of time is a superposition of force components that are related to the electronic density-matrix elements at a chosen time. Even the force component associated with the ground state is not derivable from a potential in the ususal way, because of the position dependence of the atomic polarizability. Further, when the atom is initially prepared in a coherent superposition of energy eigenstates, then temporally oscillating force components are observed, which are due to the interaction of the atom with both electric and magnetic fields.Comment: 23 pages, 3 figures, additional misprints correcte

Voltage rectification by a SQUID ratchet

We argue that the phase across an asymmetric dc SQUID threaded by a magnetic flux can experience an effective ratchet (periodic and asymmetric) potential. Under an external ac current, a rocking ratchet mechanism operates whereby one sign of the time derivative of the phase is favored. We show that there exists a range of parameters in which a fixed sign (and, in a narrower range, even a fixed value) of the average voltage across the ring occurs, regardless of the sign of the external current dc component.Comment: 4 pages, 4 EPS figures, uses psfig.sty. Revised version, to appear in Physical Review Letters (26 August 1996