11,284 research outputs found
FUNDAMENTALS OF THE US AND THE UK INTEREST RATES UNDER THE RATIONAL EXPECTATION SCHEME
This paper presents a macro-econometric model for medium- and long-term nominal interest rates and the empirical results obtained with US and UK data. The explanatory equation for nominal interest rates is derived from the equilibrium condition of the savings market and takes real, financial and foreign aspects into account. Expected values of the inflation rate appear as regressors and, assuming rational expectations, two alternative models are obtained and estimated by the generalized method of moments. The empirical results for the US support: a) the strong influence of the inflation rate on the nominal interest rate (although the Fisher hypothesis is not completely fulfilled), b) the importance of the growth rate of the real GDP in the interest-rate determination, and c) the fulfilment of the Ricardian hypothesis. The UK nominal interest rate follows the US nominal interest rate.rational expectations, gmm estimation
Debt refinancing and credit risk
Many firms choose to refinance their debt. We investigate the long run effects of this extended practice on credit ratings and credit spreads. We find that debt refinancing generates systematic rating downgrades unless a minimum firm value growth is observed. Deviations from this growth path imply asymmetric results: A lower value growth generates downgrades and a higher value growth upgrades as expected. However, downgrades will tend to be higher in absolute terms. On the other hand, credit spreads will be independent of the risk free interest rate in the short run, but positively correlated with this rate in the long run
Credit spreads: theory and evidence about the information content of stocks, bonds and cdss
This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets
Social security and the search behaviour of workers approaching retirement
This paper explores the links between unemployment, retirement and their associated public insurance programs. It is a contribution to a growing body of literature focused on a better understanding of the labor behavior of advanced—age workers, which has gained importance as the pension crisis looms. The analysis combines the development of a new theoretical model and a detailed exploration of the empirical regularities using the Spanish Muestra Continua de Vidas Laborales (MCVL) dataset. The model is a extension of the standard search model, designed to reproduce the non—stationary environment faced by workers approaching retirement and to explore the interaction of unemployment benefits and retirement pensions. Via calibrated simulations we show that the basic empirical reemployment and retirement patterns can be rationalized as the optimal responses to both the labor market conditions and the institutional incentives. Generous Unemployment Benefits (for durations of up to two years) together with very significant early retirement penalties, make optimal to stay unemployed without searching for large groups of unemployed workers. This moral hazard problem can he substantially alleviated through institutional reform. Setting the early retirement penalties according to the age when the individual withdraws from the labor force (rather than when he/she claims the pension for the first time) seems particularly beneficial. It increases the labor supply, reduces the financial cost for the social security system and generate enough extra resources to compensate for the welfare loss of those unemployed directly hit by the reform.Unemployment search, job benefit, retirement
A geometrical view of scalar modulation instability in optical fibers
Full models of scalar modulation instability (MI) in optical fibers available in the literature usually involve complex formulations. In this paper, we present a novel approach to the analysis of MI in optical fibers by means of a simple geometrical description in the power vs. frequency plane. This formulation allows to relate the shape of the MI gain to any arbitrary dispersion profile of the medium, thus providing a simple insight. As a result, we derive a straightforward explanation of the non-trivial dependence of the cutoff power on high-order dispersion and derive explicitly the power that maximizes the gain. Our approach puts forth a tool to synthesize a desired MI gain with the potential application to a number of parametric-amplification and supercontinuum-generation devices whose initial-stage dynamics rely upon modulation instability.Fil: Hernandez, Santiago Martin. Comisión Nacional de Energía Atómica. Gerencia del Área de Energía Nuclear. Instituto Balseiro; ArgentinaFil: Fierens, Pablo Ignacio. Instituto Tecnológico de Buenos Aires; ArgentinaFil: Bonetti, Juan Ignacio. Comisión Nacional de Energía Atómica. Gerencia del Área de Energía Nuclear. Instituto Balseiro; ArgentinaFil: Sánchez, Alfredo Daniel. Comisión Nacional de Energía Atómica. Gerencia del Área de Energía Nuclear. Instituto Balseiro; ArgentinaFil: Grosz, Diego Fernando. Comisión Nacional de Energía Atómica. Gerencia del Área de Energía Nuclear. Instituto Balseiro; Argentina. Instituto Tecnológico de Buenos Aires; Argentin
Determination of Solidification of Rigidity Point Temperature Using a New Method
This work aims to calculate the rigidity point temperature of aluminum alloys by three new methods and compare them with currently employed methods. The influence of major and minor alloying elements over the rigidity point temperature is also discussed. Until now it has been difficult to determine the exact temperature of the rigidity point, since small variations in the data obtained give variable results, making it difficult to automate the process with high accuracy. In this work we suggested three new mathematic methods based on the calculation of higher order derivatives of (dT/dt) with respect to time or temperature compared to those currently employed. A design of experiments based on the Taguchi method was employed to compare the effect of the major and minor alloying elements for the AlSi10Mg alloy, and to evaluate the accuracy of each developed method. Therefore, these systems will allow better automation of rigidity point temperature (RPT) determination, which is one of the most important solidification parameters for solidification simulators. The importance of the correct determination of this parameter lies in its relation to quality problems related to solidification, such as hot tearing. If the RPT presents very low-temperature values, the aluminum casting will be more sensitive to hot tearing, promoting the presence of cracks during the solidification process. This is why it is so important to correctly determine the temperature of the RPT. An adequate design of chemical composition by applying the methodology and the novel methods proposed in this work, and also the optimization of process parameters of the whole casting process with the help of the integrated computational modeling, will certainly help to decrease any internal defective by predicting one of the most important defects present in the aluminum industry.This research was partially funded by the Basque Government through the Etorgai Programme 2016, under the Filing Identification Number ZE-2016/00018 and the Elkartek Programme 2020, KK-2020-00047 for research, technological development and demonstration
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