Wealth shocks, credit-supply shocks, and asset allocation:evidence from household and firm portfolios

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document het- erogeneous responses to these two types of shocks. While households with large holdings of secu- rities from stressed Eurozone countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Eurozone crisis, non-financial firms with similar levels of holdings from stressed Eurozone countries do not. Credit-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration, while shocks in retail credit are inconsequential. Our results are robust to falsification tests, propensity score matching techniques, and instrumental variables estimation.

Computation of rare transitions in the barotropic quasi-geostrophic equations

We investigate the theoretical and numerical computation of rare transitions in simple geophysical turbulent models. We consider the barotropic quasi-geostrophic and two-dimensional Navier–Stokes equations in regimes where bistability between two coexisting large-scale attractors exist. By means of large deviations and instanton theory with the use of an Onsager–Machlup path integral formalism for the transition probability, we show how one can directly compute the most probable transition path between two coexisting attractors analytically in an equilibrium (Langevin) framework and numerically otherWe adapt a class of numerical optimization algorithms known as minimum action methods to simple geophysical turbulent models. We show that by numerically minimizing an appropriate action functional in a large deviation limit, one can predict the most likely transition path for a rare transition between two states. By considering examples where theoretical predictions can be made, we show that the minimum action method successfully predicts the most likely transition path. Finally, we discuss the application and extension of such numerical optimization schemes to the computation of rare transitions observed in direct numerical simulations and experiments and to other, more complex, turbulent systems.

Langevin dynamics, large deviations and instantons for the quasi-geostrophic model and two-dimensional Euler equations

We investigate a class of simple models for Langevin dynamics of turbulent flows, including the one-layer quasi-geostrophic equation and the two-dimensional Euler equations. Starting from a path integral representation of the transition probability, we compute the most probable fluctuation paths from one attractor to any state within its basin of attraction. We prove that such fluctuation paths are the time reversed trajectories of the relaxation paths for a corresponding dual dynamics, which are also within the framework of quasi-geostrophic Langevin dynamics. Cases with or without detailed balance are studied. We discuss a specific example for which the stationary measure displays either a second order (continuous) or a first order (discontinuous) phase transition and a tricritical point. In situations where a first order phase transition is observed, the dynamics are bistable. Then, the transition paths between two coexisting attractors are instantons (fluctuation paths from an attractor to a saddle), which are related to the relaxation paths of the corresponding dual dynamics. For this example, we show how one can analytically determine the instantons and compute the transition probabilities for rare transitions between two attractors.

Resonance properties of domain boundaries in quasi-two dimensional antiferromagnets

The so-called "internal modes" localized near the domain boundaries in quasi-two dimensional antiferromagnets are investigated. The possible localized states are classified and their frequency dependences on the system discreteness parameter λ=J/β, which describes the ratio of the magnitudes of the exchange interplane interaction and the magnetic anisotropy, are found. A sudden change in the spectrum of the local internal modes is observed at a critical value of this parameter, λ=λb=3/4, where the domain wall shifts from a collinear to a canted shape. When λ<λb there are one symmetric and two antisymmetric local modes, and when λ>λb the modes are two symmetric, one antisymmetric, and one shear. For discreteness parameters close to the critical value, the frequencies of some of the local modes lie deep inside the gap for the linear AFM magnon spectrum and can be observed experimentally. © 2010 American Institute of Physics.