Market liquidity and banking liquidity: linkages, vulnerabilities and the role of disclosure.

During the course of 2007, global financial markets went through noticeable periods of turbulence. In particular, complex credit markets suffered a marked set-back. Oddly, turmoil in these fairly new markets contributed to severe liquidity shortages in short-term money and interbank markets, triggering repeated large-scale monetary interventions by central banks worldwide. Recent events have thus demonstrated that banks are considerably intertwined in fi nancial markets; dependent on and exposed to them as regards liquidity. The aim of this article is to better understand this complex relationship and to frame relevant aspects of the latest fi nancial market turmoil accordingly. In particular, we explore the mechanics of a market liquidity crisis and its impact on individual banks’ liquidity, as well as possible spillovers to other banks. These dynamics of course raise a number of policy issues. Here, we focus on the role that greater disclosure to markets on banks’ liquidity situation itself could play as a market-stabilising device. In summary, global banks have increasingly integrated into capital markets and in terms of both funding and asset liquidity rely considerably on functioning, liquid financial markets. This is particularly visible in the shift towards secured lending transactions; growth of the securitisation market; the broadening of collateral to encompass complex products with shifting levels of market liquidity; and the rise in committed credit or liquidity lines to sponsored special purpose vehicles (SPVs) and corporates. While some of the recent developments in fi nancial market liquidity can be attributed to technological progress, importantly, more temporary factors resulting from an environment of low interest rates have accelerated market liquidity beyond sustainable levels. While, per se, banks’ ability to “liquify” assets represents a positive development which should help mitigate the fundamental liquidity risk that banks face, increased sensitivity with respect to market liquidity risk has also created new vulnerabilities with respect to sudden reversals of market liquidity. Importantly, adverse circumstances could trigger a combined increase in demands on liquid assets via margin requirements and activation of credit lines and reduced liquidity of assets and related market funding sources. The severe loss of liquidity in asset-backed securities markets and its repercussions on global interbank markets during 2007 provide a vivid illustration of the channels that link market liquidity to banks’ funding and asset liquidity and of the wider externalities of idiosyncratic liquidity shocks. How can these risks be addressed? Together with active liquidity management, disclosure may represent one tool through which such vulnerability may be reduced. A large literature exists on the merits of transparency in banking. Greater transparency should alleviate refi nancing frictions related to asymmetric information. When information problems are however deeper and concern aggregate uncertainty, improved disclosure on credit fundamentals may be less effective to restore confidence. Instead, better information on liquidity itself may be necessary. We explore the current availability of information on banks’ liquidity and funding risks. Overall, information appears to be limited –failing to disclose in a comprehensive and comparable way the underlying dynamics of liquidity demands and funding sources. But liquidity is volatile and banks are subject to inherent liquidity mismatches. Can greater disclosure in this area ever be a useful tool to reinforce market discipline in a systemically stabilising fashion? While this question merits serious reflection, the 2007 market events have shown that current information gaps are large and need addressing.

Theoretical study of molecular electronic excitations and optical transitions of C60

We report results on ab initio calculations of excited states of the fullerene molecule by using configuration interaction (CI) approach with singly excited determinants (SCI). We have used both the experimental geometry and the one optimized by the density functional method and worked with basis sets at the cc-pVTZ and aug-cc-pVTZ level. Contrary to the early SCI semiempirical calculations, we find that two lowest $^1 T_{1u} \leftarrow {}^1 A_g$ electron optical lines are situated at relatively high energies of ~5.8 eV (214 nm) and ~6.3 eV (197 nm). These two lines originate from two $^1 T_{1u} \leftarrow {}^1 A_g$ transitions: from HOMO to (LUMO+1) ($6h_u \to 3t_{1g}$) and from (HOMO--1) to LUMO ($10h_g \to 7t_{1u}$). The lowest molecular excitation, which is the $1 ^3 T_{2g}$ level, is found at ~2.5 eV. Inclusion of doubly excited determinants (SDCI) leads only to minor corrections to this picture. We discuss possible assignment of absorption bands at energies smaller than 5.8 eV (or $\lambda$ larger than 214 nm).Comment: 6 pages, 1 figure, 9 Table

Relative and center-of-mass motion in the attractive Bose-Hubbard model

We present first-principle numerical calculations for few particle solutions of the attractive Bose-Hubbard model with periodic boundary conditions. We show that the low-energy many-body states found by numerical diagonalization can be written as translational superposition states of compact composite systems of particles. These compact states break the translational symmetry of the problem and their center-of-mass and internal excitations offer simple explanations of the energy spectrum of the full model.Comment: 12 pages, 9 figure

Predicting and verifying transition strengths from weakly bound molecules

We investigated transition strengths from ultracold weakly bound 41K87Rb molecules produced via the photoassociation of laser-cooled atoms. An accurate potential energy curve of the excited state (3)1Sigma+ was constructed by carrying out direct potential fit analysis of rotational spectra obtained via depletion spectroscopy. Vibrational energies and rotational constants extracted from the depletion spectra of v'=41-50 levels were combined with the results of the previous spectroscopic study, and they were used for modifying an ab initio potential. An accuracy of 0.14% in vibrational level spacing and 0.3% in rotational constants was sufficient to predict the large observed variation in transition strengths among the vibrational levels. Our results show that transition strengths from weakly bound molecules are a good measure of the accuracy of an excited state potential.Comment: 7 pages, 7 figure

A joint time-dependent density-functional theory for excited states of electronic systems in solution

We present a novel joint time-dependent density-functional theory for the description of solute-solvent systems in time-dependent external potentials. Starting with the exact quantum-mechanical action functional for both electrons and nuclei, we systematically eliminate solvent degrees of freedom and thus arrive at coarse-grained action functionals which retain the highly accurate \emph{ab initio} description for the solute and are, in principle, exact. This procedure allows us to examine approximations underlying popular embedding theories for excited states. Finally, we introduce a novel approximate action functional for the solute-water system and compute the solvato-chromic shift of the lowest singlet excited state of formaldehyde in aqueous solution, which is in good agreement with experimental findings.Comment: 11 page

Strong fragmentation of low-energy electromagnetic excitation strength in 117^{117}Sn

Results of nuclear resonance fluorescence experiments on $^{117}$Sn are reported. More than 50 $\gamma$ transitions with $E_{\gamma} < 4$ MeV were detected indicating a strong fragmentation of the electromagnetic excitation strength. For the first time microscopic calculations making use of a complete configuration space for low-lying states are performed in heavy odd-mass spherical nuclei. The theoretical predictions are in good agreement with the data. It is concluded that although the E1 transitions are the strongest ones also M1 and E2 decays contribute substantially to the observed spectra. In contrast to the neighboring even $^{116-124}$Sn, in $^{117}$Sn the $1^-$ component of the two-phonon $[2^+_1 \otimes 3^-_1]$ quintuplet built on top of the 1/2$^+$ ground state is proved to be strongly fragmented.Comment: 4 pages, 3 figure

Charged Hydrogenic, Helium and Helium-Hydrogenic Molecular Chains in a Strong Magnetic Field

A non-relativistic classification of charged molecular hydrogenic, helium and mixed helium-hydrogenic chains with one or two electrons which can exist in a strong magnetic field $B \lesssim 10^{16}$G is given. It is shown that for both $1e-2e$ cases at the strongest studied magnetic fields the longest hydrogenic chain contains at most five protons indicating to the existence of the $\rm{H}_5^{4+}$ and $\rm{H}_5^{3+}$ ions, respectively. In the case of the helium chains the longest chains can exist at the strongest studied magnetic fields with three and four \al-particles for $1e-2e$ cases, respectively. For mixed helium-hydrogenic chains the number of heavy centers can reach five for highest magnetic fields studied. In general, for a fixed magnetic field two-electron chains are more bound than one-electron ones.Comment: 32 pages, 2 figures, 9 table

On the mutual polarization of two He-4 atoms

We propose a simple method based on the standard quantum-mechanical perturbation theory to calculate the mutual polarization of two atoms He^4.Comment: 9 pages, 1 table; the article is revised and the calculation is essentially refined; v4: final version, the Introduction is delete

Using Molecules to Measure Nuclear Spin-Dependent Parity Violation

Nuclear spin-dependent parity violation arises from weak interactions between electrons and nucleons, and from nuclear anapole moments. We outline a method to measure such effects, using a Stark-interference technique to determine the mixing between opposite-parity rotational/hyperfine levels of ground-state molecules. The technique is applicable to nuclei over a wide range of atomic number, in diatomic species that are theoretically tractable for interpretation. This should provide data on anapole moments of many nuclei, and on previously unmeasured neutral weak couplings

The HeH+HeH^+ molecular ion in a magnetic field

A detailed study of the low-lying electronic states {}^1\Si,{}^3\Si,{}^3\Pi,{}^3\De of the $\rm{HeH}^+$ molecular ion in parallel to a magnetic field configuration (when \al-particle and proton are situated on the same magnetic line) is carried out for $B=0-4.414\times 10^{13}$ G in the Born-Oppenheimer approximation. The variational method is employed using a physically adequate trial function. It is shown that the parallel configuration is stable with respect to small deviations for \Si-states. The quantum numbers of the ground state depend on the magnetic field strength. The ground state evolves from the spin-singlet {}^1\Si state for small magnetic fields $B\lesssim 0.5$ a.u. to the spin-triplet {}^3\Si unbound state for intermediate fields and to the spin-triplet strongly bound $^3\Pi$ state for $B \gtrsim 15$ a.u. When the $\rm{HeH}^+$ molecular ion exists, it is stable with respect to a dissociation.Comment: 13 pages, 5 figures, 4 table