Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis

This study establishes time–frequency networks of sovereign and bank contagion in the eurozone over the period 2009–2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and systemically important banks are decomposed into multi-horizon components to specify directed and dependence-weighted networks. Dynamic analysis shows that the network connectivity and the strength of the dependencies are significantly lower after the introduction of the European Banking Union in 2014. While the strength effect is pronounced across all time horizons, the network connectivity only reduces in the short and medium run. This provides evidence that the new regulatory framework promotes financial stability but is more effective in the short and medium horizons. The consideration of the COVID-19 pandemic as a real-life stress test confirms these findings as the strength of the dependencies keeps at significantly lower levels.     

Monetary policy and financial (in)stability: An integrated micro–macro approach

Evidence on central banks’ twin objective, monetary and financial stability, is scarce. We suggest an integrated micro–macro approach with two core virtues. First, we measure financial stability directly at the bank level as the probability of distress. Second, we integrate a microeconomic hazard model for bank distress and a standard macroeconomic model. The advantage of this approach is to incorporate micro information, to allow for non-linearities and to permit general feedback effects between financial distress and the real economy. We base the analysis on German bank and macro data between 1995 and 2004. Our results confirm the existence of a trade-off between monetary and financial stability. An unexpected tightening of monetary policy increases the probability of distress. This effect disappears when neglecting microeffects and non-linearities, underlining their importance. Distress responses are largest for small cooperative banks, weak distress events, and at times when capitalization is low. An important policy implication is that the separation of financial supervision and monetary policy requires close collaboration among members in the European System of Central Banks and national bank supervisors.     

基于时域分割的DS/FH信号参数估计

针对时频分析方法在直扩/跳频(DS/FH)混 合扩频信号参数估计中存在时频分辨率受限、交叉项干扰、实时性差等缺点,通过分 析DS/FH信号的时频特性,提出了一种新的DS/FH信号参数估计方法。该方法从待测信号的时 域分析出发,利用不同跳频点对应的周期数不相等的性质,完成了对DS/FH信号的时域分割 ,最后结合DS/FH信号性质完成了对待测信号跳频周期、驻留时间、跳频频率的估计。仿真 结果表明,该方法针对DS/FH信号的参数估计精度高,运算速度较快,且没有干扰频率。     

论货币政策与金融稳定的内生性冲突——基于资产价格和流动性分析的视角

本文首先综述了国际上关于货币政策对金融稳定影响的主要学术观点,然后应用Shin(2006)基础性的研究成果.提出了一个用于分析货币政策对金融稳定影响的理论框架.文章分析了在一个信贷约束市场上货币政策对金融稳定影响机制.研究表明,由于具有自强化反馈机制和不对称性特征,货币政策在追求自身目标实现过程中,有可能导致金融失衡.     

洞穴顶板稳定性评价及其应用

采空区及岩溶洞穴地基稳定性的分析评价经历了一个定性→半定量→定量的过程,文章从这3个方面出发,系统地研究了采空区及岩溶洞穴地基顶板稳定性的分析评价方法,并将半定量评价法应用于某一具体的工程实例。     

生猪生产稳定性的蛛网模型分析

近来,国内猪肉因供应量不足而导致价格大幅上涨,这在一定程度上对我国经济健康运行及人民的日常生活造成了影响。国家已经采取一些措施来促进生猪的生产,加大猪肉的供应。然而,如无限地扩大生猪的生产,也会因供大于求而造成下一次的生猪的供给不足。生猪生产应保持在稳定状态,从猪肉市场长期供求关系的蛛网模型角度,对生猪生产的稳定性进行了分析。     

Strongly stable networks

We analyze the formation of networks among individuals. In particular, we examine the existence of networks that are stable against changes in links by any coalition of individuals. We show that to investigate the existence of such strongly stable networks one can restrict focus on a component-wise egalitarian allocation of value. We show that when such strongly stable networks exist they coincide with the set of efficient networks (those maximizing the total productive value). We show that the existence of strongly stable networks is equivalent to core existence in a derived cooperative game and use that result to characterize the class of value functions for which there exist strongly stable networks via a “top convexity” condition on the value function on networks. We also consider a variation on strong stability where players can make side payments, and examine situations where value functions may be non-anonymous—depending on player labels.     

Central bank disclosure as a macroprudential tool for financial stability

The Basel Capital Accord (pillar 3) states that disclosure of information (transparency) is essential to financial stability. This study analyzes, through inflation reports, the disclosure of information from the Central Bank of Brazil concerning the credit market. We consider credit risk and capital buffers as measures of financial stability in this analysis. Furthermore, in order to measure the perception of the monetary authority on the credit market, we built two indices based on the central bank’s communication on credit development. We performed a panel data analysis based on a sample of 125 banks for the period from June 1999 to September 2014 (7000 observations). The findings suggest that central bank communication regarding expectations concerning the credit market contributes to financial stability. Therefore, this kind of communication of central banks (about credit development) may constitute an important macroprudential tool to improve financial stability.     

企业价值网低碳共生演化的序参量控制机理研究——“后危机时代”工业发展模式转型研究

每一次经济危机都会带来产业结构的大调整,并诱发工业发展模式的大转型。本文基于协同学的研究视角,选取了企业价值网作为研究对象,研究在后危机时代企业价值网实现低碳共生演化的序参量控制机理,进一步揭示企业价值网微观运行机理,为企业及政府在后危机时代实现企业价值网的低碳共生演化和低碳发展模式转型提供决策理论依据。     

对航空发动机燃烧室工作稳定性的思考

航空发动机燃烧室工作稳定性与飞机飞行安全息息相关。因此,在规定的飞行速度之中必须要充分的保证好燃烧室工作的稳定性。影响航空发动机燃烧室不稳定性因素包括火焰稳定基本性能、声耦合效应与反应物供应情况几种。利用CFD技术与反应动力学理论进行定量分析,本文主要从燃烧室火焰稳定性、燃烧室内声耦合效应稳定性、燃烧声稳定性与发动机系统反应物供应限制导致的燃烧室不稳定性分析航空发动机燃烧室的工作稳定性。