Dynamic equilibrium correction modelling of yen Eurobond credit spreads

Understanding the long term relationship between the yields of risky and riskless bonds is a critical task for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads between Japanese Government bonds (JGBs) and Japanese yen Eurobonds with high quality credit ratings. The empirical results indicate that the corporate bond yields are cointegrated with the otherwise equivalent JGB yields, with the spread defining the cointegration relation. In addition the results indicate that the equilibrium correction term is highly statistically significant in modelling credit spread changes. Another important factor is the risk-free interest rate with the negative sign, while there is little evidence of the contribution of the asset return to the behaviour of spreads.

Foreign Bond Markets and Financial Market Development: International Perspectives

The domestic bond markets of the Asia and Pacific region have grown considerably since the Asian financial crisis of 1997, although they remain undeveloped relative to the region's weight in the world economy. This paper proposes that in order to encourage further development of these markets, regulators should make them more accessible to foreign borrowers. To that end we offer insights into the nature and mechanics of foreign bond issuance by investigating the key characteristics of 3,132 foreign bonds issued in 14 countries (other than the United States) between July 1928 and June 2009. We found that the foreign borrowers that tap domestic markets are overwhelmingly of high credit quality and comprise sovereigns, supranationals, and major financial institutions. There is a preference for simple fixed-rate payment structures, which can then be swapped into the currency and coupon type of choice using currency and interest rate derivatives. On the whole, the long-term viability of foreign bond markets appears linked to the presence of highly liquid foreign exchange and derivatives markets that facilitate risk management and transformation, enabling regulation that facilitates cooperation with market participants, the presence of benchmark issues, and competitive pricing between alternate market segments.bond markets; financial market development; foreign bonds

Nested Dynamics of Metropolitan Processes and Policies - MELBOURNE

BACKGROUND PAPERS FOR THE METROPOLITAN STUDY: 1 -- The Project "Nested Dynamics of Metropolitan Processes and Policies" was initiated by the Regional and Urban Development Group in 1983 and work on this collaborative study started in 1983. This series of contributions represent "entry tickets" to the Project, i.e., initial statements by authors from individual metropolitan regions that are participating in the Project's network. The aim of these papers is threefold. First, to provide some background information describing the processes of change within four principal subsystems: population, housing, economy, and transportation. Second, to identify major trends and crucial policy issues which are to constitute a focus for the subsequent analytical and modeling work. Third, to facilitate comparative studies of development paths among these regions and the dynamic interdependencies between the above subsystems. The background material contained in this paper pertains to the Melbourne metropolitan region

Inherent Structures for Soft Long-Range Interactions in Two-Dimensional Many-Particle Systems

We generate inherent structures, local potential-energy minima, of the "$k$-space overlap potential" in two-dimensional many-particle systems using a cooling and quenching simulation technique. The ground states associated with the $k$-space overlap potential are stealthy ({\it i.e.,} completely suppress single scattering of radiation for a range of wavelengths) and hyperuniform ({\it i.e.,} infinite wavelength density fluctuations vanish). However, we show via quantitative metrics that the inherent structures exhibit a range of stealthiness and hyperuniformity depending on the fraction of degrees of freedom that are constrained. Inherent structures in two dimensions typically contain five-particle rings, wavy grain boundaries, and vacancy-interstitial defects. The structural and thermodynamic properties of inherent structures are relatively insensitive to the temperature from which they are sampled, signifying that the energy landscape is relatively flat and devoid of deep wells. Using the nudged-elastic-band algorithm, we construct paths from ground-state configurations to inherent structures and identify the transition points between them. In addition, we use point patterns generated from a random sequential addition (RSA) of hard disks, which are nearly stealthy, and examine the particle rearrangements necessary to make the configurations absolutely stealthy. We introduce a configurational proximity metric to show that only small local, but collective, particle rearrangements are needed to drive initial RSA configurations to stealthy disordered ground states. These results lead to a more complete understanding of the unusual behaviors exhibited by the family of "collective-coordinate" potentials to which the $k$-space overlap potential belongs.Comment: 36 pages, 16 figure

A method of predicting variable speed rail corrugation growth using standard statistical moments

Wear-type rail corrugation is a significant problem in the railway transport industry. Some recent work has suggested that speed control can be used as an effective tool to minimize the rate of corrugation growth. This has brought about the need to model corrugation growth under variable passing speed. Variable speed rail corrugation growth modelling normally consists of either numerical simulation of a sequence of varied speed wheel passes or direct integration of a probabilistic passing speed distribution function; both of which are computationally expensive. This paper investigates the use of the statistical moments of the speed probability density function to greatly improve the computational speed of variable speed corrugation growth models and compares results of changing standard deviation and skewness to numerical integration models. It also identifies the effects of individual statistical moments on corrugation growth to provide better insight into control methods. The new modelling method correlated well with the numerical integration models for small standard deviations in speed (less than 10%) and highlighted a need to consider kurtosis in predicting the performance of speed control based corrugation mitigation schemes. For larger standard deviations in speed, higher than 4th order effects need to be considered

Advances in Spatial Theory and Dynamics

This book originates from two meetings, set apart in time but closely connected by continuing collaborative efforts between researchers in an international network. The first of these meetings took place at IIASA in October 1984, organized by IIASA's Regional Issues Project under the title "Dynamic Analysis of Spatial Development". About half of the papers in this volume were presented at that meeting. These contributions have been elaborated and revised considerably during the preparation of this volume, and can now be regarded as mature papers embracing the frontiers of spatial and economic dynamics. Another set of contributions was presented during the European Summer Institute in Regional Science held at the University of Umea in June 1986. The Summer Institute was organized by CERUM in collaboration with the Departments of Economics and Geography at the same university. The contributions have been drawn from the sessions on technological change, nonlinear dynamics in spatial networks and infrastructure development. This is reflected in the three parts of the volume (1) Competition, specialization and technological change, (2) Spatial interaction, (3) Urban and regional infrastructure

Classical Disordered Ground States: Super-Ideal Gases, and Stealth and Equi-Luminous Materials

Using a collective coordinate numerical optimization procedure, we construct ground-state configurations of interacting particle systems in various space dimensions so that the scattering of radiation exactly matches a prescribed pattern for a set of wave vectors. We show that the constructed ground states are, counterintuitively, disordered (i.e., possess no long-range order) in the infinite-volume limit. We focus on three classes of configurations with unique radiation scattering characteristics: (i)``stealth'' materials, which are transparent to incident radiation at certain wavelengths; (ii)``super-ideal'' gases, which scatter radiation identically to that of an ensemble of ideal gas configurations for a selected set of wave vectors; and (iii)``equi-luminous'' materials, which scatter radiation equally intensely for a selected set of wave vectors. We find that ground-state configurations have an increased tendency to contain clusters of particles as one increases the prescribed luminosity. Limitations and consequences of this procedure are detailed.Comment: 44 pages, 16 figures, revtek

Potentiation of melphalan activity against a murine tumour by nitroimidazole compounds.

The activity against murine anaplastic MT tumours of the chemotherapeutic agent melphalan, either alone or in combination with one of 6 nitroimidazole compounds, was assayed using an in vivo-in vitro tumour excision assay. The melphalan alone proved cytotoxic to the tumour, whereas relatively little cytotoxicity was produced by any of the nitroimidazoles alone. When the nitroimidazole were given in combination with melphalan, dose-modifying potentiation of its cytotoxicity was observed. Maximum potentiation occurred when the nitroimidazoles were given 0--30 min before the melphalan, although some potentiation was still evident when they were given up to 2 h before or after. There was no threshold in nitroimidazole dose required to produce this potentiation, the degree of potentiation increasing with dose, albeit at a diminishing rate, to give maximum dose-modification factors of about 3. The 6 nitroimidazole compounds in order of increasing effectiveness as potentiators of melphalan activity were: METRO, Ro 05-9963, MISO, RSU 1047, Ro 03-8800 and Ro 03-8799. This order corresponds to the increasing electron affinity of these compounds. The most effective compound here, Ro 03-8799, was about twice as effective as the most widely used nitroimidazole in such studies, MISO