Stock Market Integration between three CEECs, Russia and the UK

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining the conditional correlations implied by the estimated model over different time periods. The empirical findings suggest that there is significant co-movement (interdependence) of these CEEC markets with both the Russian and the UK ones. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility spillovers between the three CEECs considered and the UK (contagion).Central and Eastern European countries (CEECs), volatility spillovers, interdependence, contagion, VAR-GARCH-in-mean model

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis, and this may be related to its greater direct access to a broader range of counterparties and its acceptance of a broader range of eligible collateral. The main implication is that, in crisis times, a sufficiently flexible operational framework for monetary policy implementation produces the most timely response to market tensions.Overnight Interest Rate Spread, Liquidity Risk, Credit Risk, Stochastic Volatility

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis, and this may be related to its greater direct access to a broader range of counterparties and its acceptance of a broader range of eligible collateral. The main implication is that, in crisis times, a sufficiently flexible operational framework for monetary policy implementation produces the most timely response to market tensions.overnight interest rate spread, liquidity risk, credit risk, stochastic volatility

Squeezing on momentum states for atom interferometry

We propose and analyse a method that allows for the production of squeezed states of the atomic center-of-mass motion that can be injected into an atom interferometer. Our scheme employs dispersive probing in a ring resonator on a narrow transition of strontium atoms in order to provide a collective measurement of the relative population of two momentum states. We show that this method is applicable to a Bragg diffraction-based atom interferometer with large diffraction orders. The applicability of this technique can be extended also to small diffraction orders and large atom numbers by inducing atomic transparency at the frequency of the probe field, reaching an interferometer phase resolution scaling $\Delta\phi\sim N^{-3/4}$, where $N$ is the atom number. We show that for realistic parameters it is possible to obtain a 20 dB gain in interferometer phase estimation compared to the Standard Quantum Limit.Comment: 5 pages, 4 figure

Explaining Engineered Computing Systems’ Behaviour: the Role of Abstraction and Idealization

This paper addresses the methodological problem of analysing what it is to explain observed behaviours of engineered computing systems (BECS), focusing on the crucial role that abstraction and idealization play in explanations of both correct and incorrect BECS. First, it is argued that an understanding of explanatory requests about observed miscomputations crucially involves reference to the rich background afforded by hierarchies of functional specifications. Second, many explanations concerning incorrect BECS are found to abstract away (and profitably so on account of both relevance and intelligibility of the explanans) from descriptions of physical components and processes of computing systems that one finds below the logic circuit and gate layer of functional specification hierarchies. Third, model-based explanations of both correct and incorrect BECS that are provided in the framework of formal verification methods often involve idealizations. Moreover, a distinction between restrictive and permissive idealizations is introduced and their roles in BECS explanations are analysed

Volatility spillovers and contagion from mature to emerging stock markets

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism - contagion - during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets

Coherent control of quantum transport: modulation-enhanced phase detection and band spectroscopy

Amplitude modulation of a tilted optical lattice can be used to steer the quantum transport of matter wave packets in a very flexible way. This allows the experimental study of the phase sensitivity in a multimode interferometer based on delocalization-enhanced Bloch oscillations and to probe the band structure modified by a constant force.Comment: 8 pages, 3 figures, Submitted to EPJ Special Topics for the special issue on "Novel Quantum Phases and Mesoscopic Physics in Quantum Gases

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of crossmarket linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East.volatility spillovers, contagion, stock markets, emerging markets

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of cross-market linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East.Volatility spillovers, contagion, stock markets, emerging markets