Evidences of Interdependence and Contagion using a Frequency Domain Framework

The purpose of this paper is to propose a new measure of contagion. Our approach to testing contagion is based on the frequency analysis of causality developed recently by Breitung and Candelon (2004). This approach handles, in a unified framework, several of the statistical problems identified in the literature. It also permits clear differentiation between temporary and permanent shifts in cross-market linkages: the first case is contagion while the second one is simply a measure of interdependence among markets. In examining the ”Tequila” and Asian crises, we find evidence for contagion during both. It also turns out that during the Asian crisis both contagion and higher interdependence have contributed simultaneously to the diffusion of the crisis in Asia. The spillover effects of these crises have been geographically limited to the region where the shock originated.macroeconomics ;

Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation

In this paper, we develop a bivariate two factor-two country GARCH model of stock returns in order to investigate whether exchange rate fluctuations have a significant impact on the conditional mean, variance, and correlation of industry stock returns. Weekly data for seven industries in five European countries over the 1990-1998 period are used. We document that exchange rates have a significant effect on expected industry stock returns and on their volatility. The magnitude of this effect is, however, quite small. The contribution of the exchange rate factor to the time-varying correlation coefficients between two countries’industry returns is also very modest. The paper also shows that the importance of the exchange rate spillovers is influenced by the exchange rate regime, the magnitude and the direction of exchange rate shocks.Industry stock returns; Fx market; Volatility; International correlation

Large scale simulation of turbulence using a hybrid spectral/finite difference solver

Performing Direct Numerical Simulation (DNS) of turbulence on large-scale systems (offering more than 1024 cores) has become a challenge in high performance computing. The computer power increase allows now to solve flow problems on large grids (with close to 10^9 nodes). Moreover these large scale simulations can be performed on non-homogeneous turbulent flows. A reasonable amount of time is needed to converge statistics if the large grid size is combined with a large number of cores. To this end we developed a Navier-Stokes solver, dedicated to situations where only one direction is heterogeneous, and particularly suitable for massive parallel architecture. Based on an hybrid approach spectral/finite-difference, we use a volumetric decomposition of the domain to extend the FFTs computation to a large number of cores. Scalability tests using up to 32K cores as well as preliminary results of a full simulation are presented

Direct numerical simulation of unsheared turbulence diffusing toward a free-slip or no-slip surface

The physics involved in the interaction between statistically steady, shearless turbulence and a blocking surface is investigated with the aid of direct numerical simulation. The original conguration introduced by Campagne et al. [ECCOMAS CFD 2006] serves as the basis for comparing cases in which the blocking surface can be either a free-slip surface or a no-slip wall. It is shown that in both cases, the evolutions of the anisotropy state are the same throughout the surface-influenced layer (down to the surface), despite the essentially different natures of the inner layers. The extent of the blocking effect can thereby be measured through a local (surface) quantity identically defined in the two cases. Examination of the evolution and content of the pressure-strain correlation brings information on the mechanisms by which energy is exchanged between the normal and tangential directions: In agreement with an earlier analysis by Perot and Moin [J. Fluid Mech. 295 (1995)], it appears that the level of the pressure strain correlation is governed by a splat/antisplat disequilibrium which is larger in the case of the solid wall due to viscous effects. However, in contradiction with the latter, the pressure-strain correlation remains as a signicant contributor to both Reynolds-stress budgets; it is argued that the net level of the splat/antisplat disequilibrium is set, in the first place, by the normal-velocity skewness of the interacting turbulent field. The influence of viscous friction on the intercomponent energy transfer at the solid wall only comes in the second place and part of it can also be measured by the skewness. The remainder seems to originate from interactions between the strain field and ring-like vortices in the vicinity of the splats

XFEM based fictitious domain method for linear elasticity model with crack

Reduction of computational cost of solutions is a key issue to crack identification or crack propagation problems. One of the solution is to avoid re-meshing the domain when the crack position changes or when the crack extends. To avoid re-meshing, we propose a new finite element approach for the numerical simulation of discontinuities of displacements generated by cracks inside elastic media. The approach is based on a fictitious domain method originally developed for Dirichlet conditions for the Poisson problem and for the Stokes problem, which is adapted to the Neumann boundary conditions of crack problems. The crack is represented by level-set functions. Numerical tests are made with a mixed formulation to emphasize the accuracy of the method, as well as its robustness with respect to the geometry enforced by a stabilization technique. In particular an inf-sup condition is theoretically proven for the latter. A realistic simulation with a uniformly pressurized fracture inside a volcano is given for illustrating the applicability of the method.Comment: 27 pages, 15 figure

Real exchanges rates in commodity producing countries : A reappraisal

Commodity currency literature recently stressed the importance of commodity prices as a determinant of real exchange rates in developing countries (Cashin, Cespedes and Sahay 2004). We provide new empirical evidence on this issue by focusing on countries which are specialized in the ex-port of one leading commodity. For those countries, we investigate to which extent their real exchange rate is sensitive to price fluctuations of their dominant commodity. By using non-stationary panel techniques robust to cross-sectional-dependence, we find that the price of the dominant commodity has a significant long-run impact on the real exchange rate when the exports of the leading commodity have a share of at least 20 percent in the country’s total exports of merchandises. Our results also show that the larger the share, the larger the size of the impact.real exchange rates, commodity prices, non-stationary panel