Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

Financial Integration, Trade Openness and International Transmission

[cat] Com afecten l’obertura comercial i financera a la volatilitat macroeconòmica? La literatura existent, tant empírica com teòrica, no ha assolit encara un consens. Aquest article usa un model microfonamentat de dos països simètrics amb entrada endògena d’empreses per estudiar-ho. L’anàlisis es du a terme per tres règims econòmics diferents amb diferents nivells d’integració internacional: una economia tancada, una autarquia financera i una integració plena. Es consideren diversos nivells d’obertura comercial, en forma de biaix domèstic de la demanda i l’economia pot patir pertorbacions en la productivitat del treball i en innovació. El model conclou que la incertesa macroeconòmica, representada principalment per la volatilitat del consum, la producció i la relació real d’intercanvi internacional, depèn del grau d’obertura i del tipus de pertorbació.

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

Ground-state self-consistent calculation of quantum dots under magnetic fields: Addition spectrum

A density-functional self-consistent calculation of the ground-state electronic density of quantum dots under an arbitrary magnetic field is performed. We consider a parabolic lateral confining potential. The addition energy, E(N+1)-E(N), where N is the number of electrons, is compared with experimental data and the different contributions to the energy are analyzed. The Hamiltonian is modeled by a density functional, which includes the exchange and correlation interactions and the local formation of Landau levels for different equilibrium spin populations. We obtain an analytical expression for the critical density under which spontaneous polarization, induced by the exchange interaction, takes place.

Distorted-wave calculation of cross sections for inner-shell ionization by electron and positron impact

The relativistic distorted-wave Born approximation is used to calculate differential and total cross sections for inner shell ionization of neutral atoms by electron and positron impact. The target atom is described within the independent-electron approximation using the self-consistent Dirac-Fock-Slater potential. The distorting potential for the projectile is also set equal to the Dirac-Fock-Slater potential. For electrons, this guarantees orthogonality of all the orbitals involved and simplifies the calculation of exchange T-matrix elements. The interaction between the projectile and the target electrons is assumed to reduce to the instantaneous Coulomb interaction. The adopted numerical algorithm allows the calculation of differential and total cross sections for projectiles with kinetic energies ranging from the ionization threshold up to about ten times this value. Algorithm accuracy and stability are demonstrated by comparing differential cross sections calculated by our code with the distorting potential set to zero with equivalent results generated by a more robust code that uses the conventional plane-wave Born approximation. Sample calculation results are presented for ionization of K- and L-shells of various elements and compared with the available experimental data.

Scaling calculation of isoscalar giant resonances in relativistic Thomas-Fermi theory

We derive analytical expressions for the excitation energy of the isoscalar giant monopole and quadrupole resonances in finite nuclei, by using the scaling method and the extended ThomasFermi approach to relativistic mean-field theory. We study the ability of several nonlinear σω parameter sets of common use in reproducing the experimental data. For monopole oscillations the calculations agree better with experiment when the nuclear matter incompressibility of the relativistic interaction lies in the range 220260 MeV. The breathing-mode energies of the scaling method compare satisfactorily with those obtained in relativistic RPA and time-dependent mean-field calculations. For quadrupole oscillations, all the analyzed nonlinear parameter sets reproduce the empirical trends reasonably well.

Continuous-time random-walk model for financial distributions

We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollardeutsche mark future exchange, finding good agreement between theory and the observed data.

Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Financial crisis: theory and practice

In the last 50 years, we have had approximately 40 events with characteristics related to financial crisis. The most severe crisis was in 1929, when the financial markets plummet and the US gross domestic product decline in more than 30 percent. Recently some years ago, a new crisis developed in the United States, but instantly caused consequences and effects in the rest of the world.This new economic and financial crisis has increased the interest and motivation for the academic community, professors and researchers, to understand the causes and effects of the crisis, to learn from it. This is the one of the main reasons for the compilation of this book, which begins with a meeting of a group of IAFI researchers from the University of Barcelona, where researchers form Mexico and Spain, explain causes and consequences of the crisis of 2007.For that reason, we believed this set of chapters related to methodologies, applications and theories, would conveniently explained the characteristics and events of the past and future financial crisisThis book consists in 3 main sections, the first one called "State of the Art and current situation", the second named "Econometric applications to estimate crisis time periods" , and the third one "Solutions to diminish the effects of the crisis". The first section explains the current point of view of many research papers related to financial crisis, it has 2 chapters. In the first one, it describe and analyzes the models that historically have been used to explain financial crisis, furthermore, it proposes to used alternative methodologies such as Fuzzy Cognitive Maps. On the other hand , Chapter 2 , explains the characteristics and details of the 2007 crisis from the US perspective and its comparison to 1929 crisis, presenting some effects in Mexico and Latin America.The second section presents two econometric applications to estimate possible crisis periods. For this matter, Chapter 3, studies 3 Latin-American countries: Argentina, Brazil and Peru in the 1994 crisis and estimates the multifractal characteristics to identify financial and economic distress.Chapter 4 explains the crisis situations in Argentina (2001), Mexico (1994) and the recent one in the United States (2007) and its effects in other countries through a financial series methodology related to the stock market.The last section shows an alternative to prevent the effects of the crisis. The first chapter explains the financial stability effects through the financial system regulation and some globalization standards. Chapter 6, study the benefits of the Investor activism and a way to protect personal and national wealth to face the financial crisis risks.

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

First-principles periodic calculation of four-body spin terms in high-Tc cuprate superconductors

A general mapping between the energy of pertinent magnetic solutions and the diagonal terms of the spin Hamiltonian in a local representation provides the first general framework to extract accurate values for the many body terms of extended spin Hamiltonians from periodic first-principle calculations. Estimates of these terms for La2CuO4, the paradigm of high-Tc superconductor parent compounds, and for the SrCu2O3 ladder compound are reported. For La2CuO4, present results support experimental evidence by Toader et al. [Phys. Rev. Lett. 94, 197202 (2005)]. For SrCu2O3 even larger four-body spin amplitudes are found together with Jl/Jr=1 and non-negligible ferromagnetic interladder exchange.

First-principles periodic calculation of four-body spin terms in high-Tc Cuprate superconductors

A general mapping between the energy of pertinent magnetic solutions and the diagonal terms of the spin Hamiltonian in a local representation provides the first general framework to extract accurate values for the many body terms of extended spin Hamiltonians from periodic first-principle calculations. Estimates of these terms for La2CuO4, the paradigm of high-Tc superconductor parent compounds, and for the SrCu2O3 ladder compound are reported. For La2CuO4, present results support experimental evidence by Toader et al. [Phys. Rev. Lett. 94, 197202 (2005)]. For SrCu2O3 even larger four-body spin amplitudes are found together with Jl/Jr=1 and non-negligible ferromagnetic interladder exchange.