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Title:

Endogenous Exposure to Systemic Liquidity Risk

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Traditionally, aggregate liquidity shocks are modeled as exogenous events. This paper analyzes the adequate policy response to endogenous exposure to systemic liquidity risk. We analyze the feedback between lender-of-last-resort policy and incentives of private banks, determining the aggregate amount of liquidity available. We show that imposing...

Traditionally, aggregate liquidity shocks are modeled as exogenous events. This paper analyzes the adequate policy response to endogenous exposure to systemic liquidity risk. We analyze the feedback between lender-of-last-resort policy and incentives of private banks, determining the aggregate amount of liquidity available. We show that imposing minimum liquidity standards for banks ex ante is a crucial requirement for sensible lender-of-last-resort policy. In addition, we analyze the impact of equity requirements and narrow banking, in the sense that banks are required to hold sufficient liquid funds so as to pay out in all contingencies. We show that both policies are strictly inferior to imposing minimum liquidity standards ex ante combined with lender-of-last-resort policy. Minimize

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article

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Title:

Liquidity Shortages and Monetary Policy

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The paper models the interaction between risk taking in the financial sector and central bank policy for the case of pure illiquidity risk. It is shown that, when bad states are highly unlikely, public provision of liquidity may improve the allocation, even though it encourages more risk taking (less liquid investment) by private banks. In gener...

The paper models the interaction between risk taking in the financial sector and central bank policy for the case of pure illiquidity risk. It is shown that, when bad states are highly unlikely, public provision of liquidity may improve the allocation, even though it encourages more risk taking (less liquid investment) by private banks. In general, however, there is an incentive of financial intermediaries to free ride on liquidity in good states, resulting in excessively low liquidity in bad states. In the prevailing mixed-strategy equilibrium, depositors are worse off than if banks would coordinate on more liquid investment. In that case, liquidity injection will make the free riding problem even worse. The results show that even in the case of pure illiquidity risk, there is a serious commitment problem for central banks. We show that unconditional free lending against good collateral, as suggested by the Bagehot Rule, fails to address the moral hazard problem: Even though we consider a model with pure illiquidity risk, it turns out that such a policy will encourage banks to behave naughty, providing insufficient level of liquidity. ; monetary policy, liquidity risk, financial stability Minimize

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preprint

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Title:

Endogenous Systemic Liquidity Risk

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Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback between lender of last resort policy and incentives of private banks, determining the aggregate amount of liq...

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available. We show that imposing minimum liquidity standards for banks ex ante are a crucial requirement for sensible lender of last resort policy. In addition, we analyse the impact of equity requirements and narrow banking, in the sense that banks are required to hold sufficient liquid funds so as to pay out in all contingencies. We show that both policies are strictly inferior to imposing minimum liquidity standards ex ante combined with lender of last resort policy. ; liquidity risk, free-riding, narrow banking, lender of last resort Minimize

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preprint

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Title:

Regulation of systemic liquidity risk

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Liquidity regulation, Systemic risk, Lender of last resort, Deposit insurance, Financial stability, E5, G21, G28

Liquidity regulation, Systemic risk, Lender of last resort, Deposit insurance, Financial stability, E5, G21, G28 Minimize

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Title:

LIQUIDITY SHORTAGES AND MONETARY POLICY

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• from the SSRN website:

• from the SSRN website: Minimize

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The Pennsylvania State University CiteSeerX Archives

Year of Publication:

2010-09-30

Source:

http://www.banque-france.fr/gb/publications/telechar/seminaires/2008/bdf-bce/Illing_Cao.pdf

http://www.banque-france.fr/gb/publications/telechar/seminaires/2008/bdf-bce/Illing_Cao.pdf Minimize

Document Type:

text

Language:

en

Subjects:

JEL Code ; E5 ; G21 ; G28. Keywords ; monetary policy ; liquidity risk ; financial stability

JEL Code ; E5 ; G21 ; G28. Keywords ; monetary policy ; liquidity risk ; financial stability Minimize

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Metadata may be used without restrictions as long as the oai identifier remains attached to it.

Metadata may be used without restrictions as long as the oai identifier remains attached to it. Minimize

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Title:

The Geometry Of Correlation Fields With An Application To Functional Connectivity Of The Brain

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this paper. Two sets of = 20 i.i.d. smooth time series X i (s); Y i (t), i = 1; : : : ; are shown parallel to the axes of the figure. The interior two-dimensional image is the usual sample cross correlation coefficient between the two sets of time series evaluated for data at all pairs of times (s; t) on the axes: R(s; t) =

this paper. Two sets of = 20 i.i.d. smooth time series X i (s); Y i (t), i = 1; : : : ; are shown parallel to the axes of the figure. The interior two-dimensional image is the usual sample cross correlation coefficient between the two sets of time series evaluated for data at all pairs of times (s; t) on the axes: R(s; t) = Minimize

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The Pennsylvania State University CiteSeerX Archives

Year of Publication:

2009-04-13

Source:

http://euclid.math.mcgill.ca/~keith/correl/correl.ps.gz

http://euclid.math.mcgill.ca/~keith/correl/correl.ps.gz Minimize

Document Type:

text

Language:

en

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Metadata may be used without restrictions as long as the oai identifier remains attached to it.

Metadata may be used without restrictions as long as the oai identifier remains attached to it. Minimize

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Title:

Network tomography based on 1-D projections

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Abstract: Network tomography has been regarded as one of the most promising methodologies for performance evaluation and diagnosis of the massive and decentralized Internet. This paper proposes a new estimation approach for solving a class of inverse problems in network tomography, based on marginal distributions of a sequence of one-dimensional...

Abstract: Network tomography has been regarded as one of the most promising methodologies for performance evaluation and diagnosis of the massive and decentralized Internet. This paper proposes a new estimation approach for solving a class of inverse problems in network tomography, based on marginal distributions of a sequence of one-dimensional linear projections of the observed data. We give a general identifiability result for the proposed method and study the design issue of these one dimensional projections in terms of statistical efficiency. We show that for a simple Gaussian tomography model, there is an optimal set of one-dimensional projections such that the estimator obtained from these projections is asymptotically as efficient as the maximum likelihood estimator based on the joint distribution of the observed data. For practical applications, we carry out simulation studies of the proposed method for two instances of network tomography. The first is for traffic demand tomography using a Gaussian Origin-Destination traffic model with a power relation between its mean and variance, and the second is for network delay tomography where the link delays are to be estimated from the end-to-end path delays. We compare estimators obtained from our method and that obtained from using the joint distribution and other lower dimensional projections, and show that in both cases, the proposed method yields satisfactory results. 1. Minimize

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The Pennsylvania State University CiteSeerX Archives

Year of Publication:

2012-11-21

Source:

http://arxiv.org/pdf/0705.4476v2.pdf

http://arxiv.org/pdf/0705.4476v2.pdf Minimize

Document Type:

text

Language:

en

DDC:

519 Probabilities & applied mathematics *(computed)*

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Metadata may be used without restrictions as long as the oai identifier remains attached to it.

Metadata may be used without restrictions as long as the oai identifier remains attached to it. Minimize

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Title:

A Poisson limit for the unfinished work of superposed point processes

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The Pennsylvania State University CiteSeerX Archives

Year of Publication:

2008-07-17

Source:

http://netlib.lucent.com/cm/ms/departments/sia/cao/ps/qlen_superpose.ps

http://netlib.lucent.com/cm/ms/departments/sia/cao/ps/qlen_superpose.ps Minimize

Document Type:

text

Language:

en

Subjects:

buffer overflow probability ; Poisson limit theorem ; insensitivity ; high-speed data networks ; multiplexing gains ; smoothing ; superposition of sources ; exponential decay rate ; point process ; Weibull ; Pareto ; on-off sources ; network design. 1

buffer overflow probability ; Poisson limit theorem ; insensitivity ; high-speed data networks ; multiplexing gains ; smoothing ; superposition of sources ; exponential decay rate ; point process ; Weibull ; Pareto ; on-off sources ; network design. 1 Minimize

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Title:

A Poisson Limit for Buffer Overflow Probabilities

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A key criterion in the design of high-speed networks is the probability that the buffer content exceeds a given threshold. We consider n independent identical traffic sources modelled as point processes, which are fed into a link with speed proportional to n. Under fairly general assumptions on the input processes we show that the steady state p...

A key criterion in the design of high-speed networks is the probability that the buffer content exceeds a given threshold. We consider n independent identical traffic sources modelled as point processes, which are fed into a link with speed proportional to n. Under fairly general assumptions on the input processes we show that the steady state probability of the buffer content exceeding a threshold b>0 tends to the corresponding probability assuming Poisson input processes. We verify the assumptions for a large class of long-range dependent sources commonly used to model data traffic. Our results show that with superposition, significant multiplexing gains can be achieved for even smaller buffers than suggested by previous results, which consider O(n) buffer size. Moreover, simulations show that for realistic values of the exceedance probability and moderate utilisations, convergence to the Poisson limit takes place at reasonable values of the number of sources superposed. This is particularly relevant for high-speed networks in which the cost of high-speed memory is significant. Keywords---Long-range dependence, overflow probability, Poisson limit, heavy tails, point processes, multiplexing. Minimize

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The Pennsylvania State University CiteSeerX Archives

Year of Publication:

2009-04-16

Source:

http://www.ieee-infocom.org/2002/papers/655.pdf

http://www.ieee-infocom.org/2002/papers/655.pdf Minimize

Document Type:

text

Language:

en

DDC:

519 Probabilities & applied mathematics *(computed)*

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Title:

Analysis of Thermograph and Experimental Research Based on the Air Tightness Detection of Infrared Thermography

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The airtight detection of sealed devices have been focused by many enterprises, which has been seen as an important technical index of quality. Thus, the airtight detection of sealed devices is very important. In recent years, the infrared thermography detection technology has been widely valued because of its advantages of the fast response spe...

The airtight detection of sealed devices have been focused by many enterprises, which has been seen as an important technical index of quality. Thus, the airtight detection of sealed devices is very important. In recent years, the infrared thermography detection technology has been widely valued because of its advantages of the fast response speed, the wide measuring range and the non-contact measurement. But there is no study about its application and research in gas tightness detection technology. Through theoretical analysis and experimental research, a kind of gas tightness detection method based on infrared thermography is put forward, which is on the basis of the existing air tightness detection method and the analysis of its application. Fluent software is used to simulate the temperature field of the leak. In test, through the heat analysis of the measured container with a defect, the temperature field distribution of leak is obtained. The results of the test provide the basis for leakage of judgment based on infrared thermography. Minimize

Publisher:

Asian Network for Scientific Information

Year of Publication:

2013-01-01T00:00:00Z

Source:

Journal of Applied Sciences, Vol 13, Iss 10, Pp 1710-1715 (2013)

Journal of Applied Sciences, Vol 13, Iss 10, Pp 1710-1715 (2013) Minimize

Document Type:

article

Language:

English

Subjects:

analysis of thermograph ; infrared thermography ; Air tightness detection ; test ; LCC:General Works ; LCC:A ; LCC:General Works ; LCC:A

analysis of thermograph ; infrared thermography ; Air tightness detection ; test ; LCC:General Works ; LCC:A ; LCC:General Works ; LCC:A Minimize

DDC:

620 Engineering & allied operations *(computed)*

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http://docsdrive.com/pdfs/ansinet/jas/2013/1710-1715.pdf

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