Implementing the macroprudential approach to financial regulation and supervision.

There is now a widespread recognition in the policy community of the need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks. At the same time, the usage of the term “macroprudential” remains ambiguous. This essay summarises the specific definition and characterisation of the term that was developed in the early 2000s at the BIS and outlines the policies needed for implementing the approach. The policies are discussed with reference to two dimensions of the approach. The first is the cross-sectional dimension and is concerned with how aggregate risk is distributed in the financial system at a given point in time. The policy issue here is how to calibrate prudential instruments so as to address common exposures across financial institutions and the contribution of each institution to system-wide tail risk. The second is the time dimension and is concerned with how aggregate risk evolves over time. The policy issue is how to dampen the inherent procyclicality of the financial system, seen as a key source of financial instability. The essay also briefly considers the implications of the adoption of a macroprudential approach for the institutional set-up.

A new, very massive modular Liquid Argon Imaging Chamber to detect low energy off-axis neutrinos from the CNGS beam. (Project MODULAr)

The paper is considering an opportunity for the CERN/GranSasso (CNGS) neutrino complex, concurrent time-wise with T2K and NOvA, to search for theta_13 oscillations and CP violation. Compared with large water Cherenkov (T2K) and fine grained scintillators (NOvA), the LAr-TPC offers a higher detection efficiency and a lower backgrounds, since virtually all channels may be unambiguously recognized. The present proposal, called MODULAr, describes a 20 kt fiducial volume LAr-TPC, following very closely the technology developed for the ICARUS-T60o, and is focused on the following activities, for which we seek an extended international collaboration: (1) the neutrino beam from the CERN 400 GeV proton beam and an optimised horn focussing, eventually with an increased intensity in the framework of the LHC accelerator improvement program; (2) A new experimental area LNGS-B, of at least 50000 m3 at 10 km off-axis from the main Laboratory, eventually upgradable to larger sizes. A location is under consideration at about 1.2 km equivalent water depth; (3) A new LAr Imaging detector of at least 20 kt fiducial mass. Such an increase in the volume over the current ICARUS T600 needs to be carefully considered. It is concluded that a very large mass is best realised with a set of many identical, independent units, each of 5 kt, "cloning" the technology of the T600. Further phases may foresee extensions of MODULAr to meet future physics goals. The experiment might reasonably be operational in about 4/5 years, provided a new hall is excavated in the vicinity of the Gran Sasso Laboratory and adequate funding and participation are made available.Comment: Correspondig Author: C. Rubbia (E-mail: [email protected]), 33 pages, 11 figure

Performance Of A Liquid Argon Time Projection Chamber Exposed To The WANF Neutrino Beam

We present the results of the first exposure of a Liquid Argon TPC to a multi-GeV neutrino beam. The data have been collected with a 50 liters ICARUS-like chamber located between the CHORUS and NOMAD experiments at the CERN West Area Neutrino Facility (WANF). We discuss both the instrumental performance of the detector and its capability to identify and reconstruct low multiplicity neutrino interactions.Comment: 14 pages, 12 figures. Submitted for publication to Physical Review

Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom: A New-Keynesian Dynamic Stochastic General Equilibrium Framework

This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary policies stance is optimal for financial sector stability. Furthermore, fiscal indiscipline countered by contractionary monetary stance adversely affects financial sector stability. Financial markets, e.g. stocks and Gilts show a short-term asymmetric response to macroeconomic policy interaction and to each other. The asymmetry is a reflection of portfolio adjustment. However in the long-run, the responses to suggested optimal policy combination had homogenous effects and there was evidence of co-movement in the stock and Gilt markets

Gender Differences in Russian Colour Naming

In the present study we explored Russian colour naming in a web-based psycholinguistic experiment (http://www.colournaming.com). Colour singletons representing the Munsell Color Solid (N=600 in total) were presented on a computer monitor and named using an unconstrained colour-naming method. Respondents were Russian speakers (N=713). For gender-split equal-size samples (NF=333, NM=333) we estimated and compared (i) location of centroids of 12 Russian basic colour terms (BCTs); (ii) the number of words in colour descriptors; (iii) occurrences of BCTs most frequent non-BCTs. We found a close correspondence between females’ and males’ BCT centroids. Among individual BCTs, the highest inter-gender agreement was for seryj ‘grey’ and goluboj ‘light blue’, while the lowest was for sinij ‘dark blue’ and krasnyj ‘red’. Females revealed a significantly richer repertory of distinct colour descriptors, with great variety of monolexemic non-BCTs and “fancy” colour names; in comparison, males offered relatively more BCTs or their compounds. Along with these measures, we gauged denotata of most frequent CTs, reflected by linguistic segmentation of colour space, by employing a synthetic observer trained by gender-specific responses. This psycholinguistic representation revealed females’ more refined linguistic segmentation, compared to males, with higher linguistic density predominantly along the redgreen axis of colour space

Macro-financial linkages and bank behaviour: evidence from the second-round effects of the global financial crisis on East Asia

This paper studies the link between macro-financial variability and bank behaviour, which justifies the second-round effects of the global financial crisis on East Asia. Following Gallego et al. (The impact of the global economic and financial crisis on Central Eastern and South Eastern Europe (CESEE) and Latin America, 2010), the second round effects are defined as the adverse feedback loop from the slumps in economic activities and sharp financial market deterioration, which may influence the financial performance of bank, inter alia via deteriorating credit quality, declining profitability and increasing problems in retaining necessary capitalization. Differentiating itself from other research, this study stresses adjustments in four dimensions of bank performance and behaviour: asset quality, profitability, capital adequacy, and lending behaviour, assuming that any change in a bank-specific characteristic is induced by endogenous adjustments of the others. The empirical results based on partial adjustment models and two-step system GMM estimation show that bank’s adjustment behaviour is subject to the variation in the macro-financial environment and the stress condition in the global financial market. There is no convincing evidence to support the effectiveness of policy rate cut to boots bank lending and to avoid a financial accelerator effect

Measurement of Through-Going Particle Momentum By Means Of Multiple Scattering With The ICARUS T600 TPC

The ICARUS collaboration has demonstrated, following the operation of a 600 ton (T600) detector at shallow depth, that the technique based on liquid Argon TPCs is now mature. The study of rare events, not contemplated in the Standard Model, can greatly benefit from the use of this kind of detectors. In particular, a deeper understanding of atmospheric neutrino properties will be obtained thanks to the unprecedented quality of the data ICARUS provides. However if we concentrate on the T600 performance, most of the $\nu_\mu$ charged current sample will be partially contained, due to the reduced dimensions of the detector. In this article, we address the problem of how well we can determine the kinematics of events having partially contained tracks. The analysis of a large sample of atmospheric muons collected during the T600 test run demonstrate that, in case the recorded track is at least one meter long, the muon momentum can be reconstructed by an algorithm that measures the Multiple Coulomb Scattering along the particle's path. Moreover, we show that momentum resolution can be improved by a factor two using an algorithm based on the Kalman Filtering technique

Measurement of the muon decay spectrum with the ICARUS liquid Argon TPC

Examples are given which prove the ICARUS detector quality through relevant physics measurements. We study the muon decay energy spectrum from a sample of stopping muon events acquired during the test run of the ICARUS T600 detector. This detector allows the spatial reconstruction of the events with fine granularity, hence, the precise measurement of the range and dE/dx of the muon with high sampling rate. This information is used to compute the calibration factors needed for the full calorimetric reconstruction of the events. The Michel rho parameter is then measured by comparison of the experimental and Monte Carlo simulated muon decay spectra, obtaining rho = 0.72 +/- 0.06(stat.) +/- 0.08(syst.). The energy resolution for electrons below ~50 MeV is finally extracted from the simulated sample, obtaining (Emeas-Emc)/Emc = 11%/sqrt(E[MeV]) + 2%.Comment: 16 pages, 8 figures, LaTex, A4. Some text and 1 figure added. Final version as accepted for publication in The European Physical Journal

Macroeconomic policy interaction: State dependency and implications for financial stability in UK: A systemic review

The association between economic and financial stabilities and influence of macroeconomic policies on the financial sector creates scope of active policy role in financial stability. As a contribution to the existing body of knowledge, this study has analysed the implications of macroeconomic policy interaction/coordination for financial stability, proxied by financial assets, i.e. equity and bonds price oscillation. The critical review and analysis of the existing literature on the subject suggests that there is also ample evidence of interdependence between monetary and fiscal policies and this interrelation necessitates coordination between them for the sake of financial stability. There is also a case for analysing the symmetry of financial markets responses to macroeconomic policy interaction. On methodological and empirical grounds, it is vital to test the robustness of policy recommendations to overcome the limitation of a single empirical approach (Jeffrey–Lindley’s paradox). Hence, the Frequentist and Bayesian approaches should be used in commentary manner. The policy interaction and optimal policy combination should also be analysed in the context of institutional design and major financial events to gain insight into the implications of policy interaction in the periods of stable economic and financial environments as well as period of financial and economic distress