Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks.Sovereign Default; Asymmetric Shocks; Transition Function; Long-term Bonds

First-principles Study of High-Pressure Phase Stability and Superconductivity of Bi4I4

Bismuth iodide Bi4I4 exhibits intricate crystal structures and topological insulating states that are highly susceptible to influence by environments, making its physical properties highly tunable by external conditions. In this work, we study the evolution of structural and electronic properties of Bi4I4 at high pressure using an advanced structure search method in conjunction with first-principles calculations. Our results indicate that the most stable ambient-pressure monoclinic α−Bi4I4 phase in C2/m symmetry transforms to a trigonal P31c structure (ɛ−Bi4I4) at 8.4 GPa, then to a tetragonal P4/mmm structure (ζ−Bi4I4) above 16.6 GPa. In contrast to the semiconducting nature of ambient-pressure Bi4I4, the two high-pressure phases are metallic, in agreement with reported electrical measurements. The ɛ−Bi4I4 phase exhibits distinct ionic states of Iδ− and (Bi4I3)δ + (δ=0.4123 e), driven by a pressure-induced volume reduction. We show that both ɛ- and ζ−Bi4I4 are superconductors, and the emergence of pressure-induced superconductivity might be intimately linked to the underlying structural phase transitions

Experiments on Risk Attitude: The Case of Chinese Students

This paper examines Chinese students' risk attitude using buying and selling experiments with lotteries. We found that subjects were more risk averse in the buying experiment than in the selling experiment, suggesting the endowment effect. In the selling experiment, subjects were risk loving when there was a low win probability and risk averse with a high win probability, whereas they were risk averse in the buying experiment. Using the prize money won during the experiment as a measure of wealth, we found decreasing absolute risk aversion. Subjects' risk attitude as revealed in the experiments explains their risky asset holding behavior.

Time Discounting: The Delay Effect and Procrastinating Behavior

The delay effect, that people discount the near future more than the distant future, has not been verified rigorously. An experiment conducted by us in China confirms that, by separating the delay from the interval, the delay effect exists only within a short delay. The results are reliable, because the rewards paid were very large, in order to elicit the subjects' true preferences. The interval and magnitude effects are also confirmed. Finally, subjects' procrastinating behavior, as reported in the questionnaire conducted at the end of the experiment, is explained by the time discount rates and the degree of the delay effect revealed in the experiment.

Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks

3D Simple Monte Carlo statistical model for GaAs nanowire single photon avalanche diode

GaAs based nanowire single photon avalanche diode (SPAD) has been demonstrated with extremely small afterpulsing probability and low dark count rate, and hence it has attracted wide attention for the near infrared applications. However, there is a lack of model to accurately evaluate the avalanche breakdown performance in nanowire SPAD with a spatially non-uniform electric field. In this work, we have developed a three-dimensional (3D) Simple Monte Carlo statistical model for GaAs nanowire SPADs. Model validation includes ionisation coefficients of GaAs and avalanche gain in GaAs nanowire avalanche photodiode. We also apply our model to predict the device performances of breakdown probability, mean time to breakdown and timing jitter, which are essential parameters for SPAD design. Simulating a PN junction GaAs nanowire SPAD design using our model, we found that device performances have little dependence on the primary carrier injection type, but the nanowire doping concentration requires optimization for high performance SPAD design and operation

Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market

We construct one triple-threshold GARCH model to analyze the asymmetric response of mean and conditional volatility. In parameter estimation, we apply Griddy-Gibbs sampling method, which require less work in selection of starting values and pre-run. As we apply this model in Chinese stock market, we find that 12-days-average return plays an important role in defining different regimes. While the down regime is characterized by negative 12-days-average return, the up regime has positive 12-days-average return. The conditional mean responds differently between down and up regime. In down regime, the return at date t is affected negatively by lag 2 negative return, while in up regime the return responds significantly to both positive and negative lag 1 past return. Moreover, our model shows that volatility reacts asymmetrically to positive and negative innovations, and this asymmetric reaction varies between down and up regimes. In down regime, volatility becomes more volatile when negative innovation impacts the market than when positive one does, while in up regime positive innovation leads to more volatile market than negative one

Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks