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The Scarcity Value of Treasury Collateral: Repo-Market Effects of Security-Specific Supply and Demand Factors
- Stefania D’Amico, Roger Fan, Yuriy Kitsul
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 53 / Issue 5 / October 2018
- Published online by Cambridge University Press:
- 08 October 2018, pp. 2103-2129
- Print publication:
- October 2018
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We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the specific collateral repurchase agreement (repo) rates of all outstanding U.S. Treasury securities. We find a positive and significant scarcity premium for on- and off-the-run Treasuries that persists for approximately 3 months and is larger in magnitude for shorter-term securities. This scarcity effect seems to pass through to Treasury cash market prices, providing additional evidence for the scarcity channel of quantitative easing (QE). On the contrary, the Federal Reserve’s reverse repo operations could help reduce the scarcity premium by alleviating potential shortages of high-quality collateral.
Defect microstructures in garnet, omphacite and symplectite from UHP eclogites, eastern Dabieshan, China: a TEM and FTIR study
- Xiuling Wu, Dawei Meng, Xiaoyu Fan, Xin Meng, Jianping Zheng, Roger Mason
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- Journal:
- Mineralogical Magazine / Volume 72 / Issue 5 / October 2008
- Published online by Cambridge University Press:
- 05 July 2018, pp. 1057-1069
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Garnets, omphacite and the minerals of a clinopyroxene/amphibole/plagioclase symplectite in UHP eclogites from Yingshan, Dabieshan have been investigated by TEM and Micro-FTIR. TEM reveals that the predominant microstructures in eclogites and symplectite-forming minerals are chain multiplicity faults (CMFs), dislocation substructures, clusters of water molecules up to ∼50 nm in diameter and recrystallized grains ∼1.75 μm in diameter. This indicates dynamic recrystallization of omphacite, probably during an eclogite-facies metamorphic episode. The deformation structures in symplectite-forming minerals were produced by plastic deformation related to an amphibolite-facies retrograde metamorphic event. CMFs described in the present work demonstrate the existence of an infrequent ½<011> (010) slip system for P2/n omphacite from an UHP eclogite sample from Dabieshan. The frequent occurrence of CMFs in omphacite suggests that they indicate an important deformation mechanism in omphacite and shows that this slip system plays a significant role in the deformation and recovery of eclogite. The hydrous components of deformed minerals may cause plastic deformation of the rocks by dislocation movement and accelerate retrograde metamorphism. Micro-FTIR results show that all the garnets and omphacites contain structural water occurring as hydroxyl groups (OH) or water (H2O). The structural water contents in omphacite range from 110—710 ppm and in garnet from 0—180 ppm. Water released during decompression might supply an early-stage retrograde metamorphic fluid.
Contributors
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- By Tod C. Aeby, Melanie D. Altizer, Ronan A. Bakker, Meghann E. Batten, Anita K. Blanchard, Brian Bond, Megan A. Brady, Saweda A. Bright, Ellen L. Brock, Amy Brown, Ashley Carroll, Jori S. Carter, Frances Casey, Weldon Chafe, David Chelmow, Jessica M. Ciaburri, Stephen A. Cohen, Adrianne M. Colton, PonJola Coney, Jennifer A. Cross, Julie Zemaitis DeCesare, Layson L. Denney, Megan L. Evans, Nicole S. Fanning, Tanaz R. Ferzandi, Katie P. Friday, Nancy D. Gaba, Rajiv B. Gala, Andrew Galffy, Adrienne L. Gentry, Edward J. Gill, Philippe Girerd, Meredith Gray, Amy Hempel, Audra Jolyn Hill, Chris J. Hong, Kathryn A. Houston, Patricia S. Huguelet, Warner K. Huh, Jordan Hylton, Christine R. Isaacs, Alison F. Jacoby, Isaiah M. Johnson, Nicole W. Karjane, Emily E. Landers, Susan M. Lanni, Eduardo Lara-Torre, Lee A. Learman, Nikola Alexander Letham, Rachel K. Love, Richard Scott Lucidi, Elisabeth McGaw, Kimberly Woods McMorrow, Christopher A. Manipula, Kirk J. Matthews, Michelle Meglin, Megan Metcalf, Sarah H. Milton, Gaby Moawad, Christopher Morosky, Lindsay H. Morrell, Elizabeth L. Munter, Erin L. Murata, Amanda B. Murchison, Nguyet A. Nguyen, Nan G. O’Connell, Tony Ogburn, K. Nathan Parthasarathy, Thomas C. Peng, Ashley Peterson, Sarah Peterson, John G. Pierce, Amber Price, Heidi J. Purcell, Ronald M. Ramus, Nicole Calloway Rankins, Fidelma B. Rigby, Amanda H. Ritter, Barbara L. Robinson, Danielle Roncari, Lisa Rubinsak, Jennifer Salcedo, Mary T. Sale, Peter F. Schnatz, John W. Seeds, Kathryn Shaia, Karen Shelton, Megan M. Shine, Haller J. Smith, Roger P. Smith, Nancy A. Sokkary, Reni A. Soon, Aparna Sridhar, Lilja Stefansson, Laurie S. Swaim, Chemen M. Tate, Hong-Thao Thieu, Meredith S. Thomas, L. Chesney Thompson, Tiffany Tonismae, Angela M. Tran, Breanna Walker, Alan G. Waxman, C. Nathan Webb, Valerie L. Williams, Sarah B. Wilson, Elizabeth M. Yoselevsky, Amy E. Young
- Edited by David Chelmow, Virginia Commonwealth University, Christine R. Isaacs, Virginia Commonwealth University, Ashley Carroll, Virginia Commonwealth University
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- Book:
- Acute Care and Emergency Gynecology
- Published online:
- 05 November 2014
- Print publication:
- 30 October 2014, pp ix-xiv
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Contributors
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- By Ghazi Al-Rawas, Vazken Andréassian, Tianqi Ao, Stacey A. Archfield, Berit Arheimer, András Bárdossy, Trent Biggs, Günter Blöschl, Theresa Blume, Marco Borga, Helge Bormann, Gianluca Botter, Tom Brown, Donald H. Burn, Sean K. Carey, Attilio Castellarin, Francis Chiew, François Colin, Paulin Coulibaly, Armand Crabit, Barry Croke, Siegfried Demuth, Qingyun Duan, Giuliano Di Baldassarre, Thomas Dunne, Ying Fan, Xing Fang, Boris Gartsman, Alexander Gelfan, Mikhail Georgievski, Nick van de Giesen, David C. Goodrich, Hoshin V. Gupta, Khaled Haddad, David M. Hannah, H. A. P. Hapuarachchi, Hege Hisdal, Kamila Hlavčová, Markus Hrachowitz, Denis A. Hughes, Günter Humer, Ruud Hurkmans, Vito Iacobellis, Elena Ilyichyova, Hiroshi Ishidaira, Graham Jewitt, Shaofeng Jia, Jeffrey R. Kennedy, Anthony S. Kiem, Robert Kirnbauer, Thomas R. Kjeldsen, Jürgen Komma, Leonid M. Korytny, Charles N. Kroll, George Kuczera, Gregor Laaha, Henny A. J. van Lanen, Hjalmar Laudon, Jens Liebe, Shijun Lin, Göran Lindström, Suxia Liu, Jun Magome, Danny G. Marks, Dominic Mazvimavi, Jeffrey J. McDonnell, Brian L. McGlynn, Kevin J. McGuire, Neil McIntyre, Thomas A. McMahon, Ralf Merz, Robert A. Metcalfe, Alberto Montanari, David Morris, Roger Moussa, Lakshman Nandagiri, Thomas Nester, Taha B. M. J. Ouarda, Ludovic Oudin, Juraj Parajka, Charles S. Pearson, Murray C. Peel, Charles Perrin, John W. Pomeroy, David A. Post, Ataur Rahman, Liliang Ren, Magdalena Rogger, Dan Rosbjerg, José Luis Salinas, Jos Samuel, Eric Sauquet, Hubert H. G. Savenije, Takahiro Sayama, John C. Schaake, Kevin Shook, Murugesu Sivapalan, Jon Olav Skøien, Chris Soulsby, Christopher Spence, R. ‘Sri’ Srikanthan, Tammo S. Steenhuis, Jan Szolgay, Yasuto Tachikawa, Kuniyoshi Takeuchi, Lena M. Tallaksen, Dörthe Tetzlaff, Sally E. Thompson, Elena Toth, Peter A. Troch, Remko Uijlenhoet, Carl L. Unkrich, Alberto Viglione, Neil R. Viney, Richard M. Vogel, Thorsten Wagener, M. Todd Walter, Guoqiang Wang, Markus Weiler, Rolf Weingartner, Erwin Weinmann, Hessel Winsemius, Ross A. Woods, Dawen Yang, Chihiro Yoshimura, Andy Young, Gordon Young, Erwin Zehe, Yongqiang Zhang, Maichun C. Zhou
- Edited by Günter Blöschl, Technische Universität Wien, Austria, Murugesu Sivapalan, University of Illinois, Urbana-Champaign, Thorsten Wagener, University of Bristol, Alberto Viglione, Technische Universität Wien, Austria, Hubert Savenije, Technische Universiteit Delft, The Netherlands
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- Book:
- Runoff Prediction in Ungauged Basins
- Published online:
- 05 April 2013
- Print publication:
- 18 April 2013, pp ix-xiv
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Fully developed viscous and viscoelastic flows in curved pipes
- YURUN FAN, ROGER I. TANNER, NHAN PHAN-THIEN
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- Journal:
- Journal of Fluid Mechanics / Volume 440 / 10 August 2001
- Published online by Cambridge University Press:
- 13 August 2001, pp. 327-357
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Some h-p finite element computations have been carried out to obtain solutions for fully developed laminar flows in curved pipes with curvature ratios from 0.001 to 0.5. An Oldroyd-3-constant model is used to represent the viscoelastic fluid, which includes the upper-convected Maxwell (UCM) model and the Oldroyd-B model as special cases. With this model we can examine separately the effects of the fluid inertia, and the first and second normal-stress differences. From analysis of the global torque and force balances, three criteria are proposed for this problem to estimate the errors in the computations. Moreover, the finite element solutions are accurately confirmed by the perturbation solutions of Robertson & Muller (1996) in the cases of small Reynolds/Deborah numbers.
Our numerical solutions and an order-of-magnitude analysis of the governing equations elucidate the mechanism of the secondary flow in the absence of second normal-stress difference. For Newtonian flow, the pressure gradient near the wall region is the driving force for the secondary flow; for creeping viscoelastic flow, the combination of large axial normal stress with streamline curvature, the so-called hoop stress near the wall, promotes a secondary flow in the same direction as the inertial secondary flow, despite the adverse pressure gradient there; in the case of inertial viscoelastic flow, both the larger axial normal stress and the smaller inertia near the wall promote the secondary flow.
For both Newtonian and viscoelastic fluids the secondary volumetric fluxes per unit of work consumption and per unit of axial volumetric flux first increase then decrease as the Reynolds/Deborah number increases; this behaviour should be of interest in engineering applications.
Typical negative values of second normal-stress difference can drastically suppress the secondary flow and in the case of small curvature ratios, make the flow approximate the corresponding Poiseuille flow in a straight pipe. The viscoelasticity of Oldroyd-B fluid causes drag enhancement compared to Newtonian flow. Adding a typical negative second normal-stress difference produces large drag reductions for a small curvature ratio δ = 0.01; however, for a large curvature ratio δ = 0.2, although the secondary flows are also drastically attenuated by the second normal-stress difference, the flow resistance remains considerably higher than in Newtonian flow.
It was observed that for the UCM and Oldroyd-B models, the limiting Deborah numbers met in our steady solution calculations obey the same scaling criterion as proposed by McKinley et al. (1996) for elastic instabilities; we present an intriguing problem on the relation between the Newton iteration for steady solutions and the linear stability analyses.
Tangential flow and advective mixing of viscoplastic fluids between eccentric cylinders
- YURUN FAN, NHAN PHAN-THIEN, ROGER I. TANNER
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- Journal:
- Journal of Fluid Mechanics / Volume 431 / 25 March 2001
- Published online by Cambridge University Press:
- 22 June 2001, pp. 65-89
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This is a study on the tangential flow and advective mixing of viscoplastic fluids (Bingham plastics) between two eccentric, alternately rotating cylinders. Two geometrical configurations and various rotation modes are considered for a relatively large range of the yield stress. The hp-type finite element method with the mixed formulation is used to solve for the steady velocity and pressure fields. The bi-viscosity and the Papanastasiou models agree quantitatively with each other in predicting the velocity fields and the practically unyielded zones. However, the Papanastasiou model is more robust and economic than the bi-viscosity model in the computation using Newton iteration. In the steady flows, in addition to the motionless zones, we have discovered some plugs with rigid rotation, including rotating plugs stuck onto the outer cylinder and rotating, even counter-rotating, plugs disconnected from both cylinders. The unsteady, periodic flow is composed of a sequence of the steady flows, which is valid in the creeping flow regime. The characteristics of advective mixing in these flows have been studied by analysing the asymptotic coverages of a passive tracer, the distributions of the lineal stretching in the flow and the variations of the mean stretching of the flow with time. The tracer coverage is intuitive but qualitative and, occasionally, it depends on the initial location of the tracer. On the other hand, the distribution of stretching is quantitative and more reliable in reflecting the mixing characteristics. Interestingly, the zones of the lowest stretching in the distribution graphs are remarkably well matched with the regular zones in the tracer-coverage graphs. Furthermore, the mixing efficiency proposed by Ottino (1989) is used to characterize the advective mixing in the two geometrical configurations with various rotation modes. It is important to realize that, for plastic fluids, a major barrier to effective mixing is the unyielded fluid plugs which are controlled by the yield stress and geometrical configurations. Therefore, when designing an eccentric helical annular mixer it is important to pay attention first to the geometric issues then to the operating issues.
A numerical study of viscoelastic effects in chaotic mixing between eccentric cylinders
- YURUN FAN, ROGER I. TANNER, NHAN PHAN-THIEN
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- Journal:
- Journal of Fluid Mechanics / Volume 412 / 10 June 2000
- Published online by Cambridge University Press:
- 10 June 2000, pp. 197-225
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In this paper, we are concerned with the effect of fluid elasticity and shear-thinning viscosity on the chaotic mixing of the flow between two eccentric, alternately rotating cylinders. We employ the well-developed h-p finite element method to achieve a high accuracy and efficiency in calculating steady solutions, and a full unsteady algorithm for creeping viscoelastic flows to study the transient process in this periodic viscoelastic flow. Since the distribution of periodic points of the viscoelastic flow is not symmetric, we have developed a domain-search algorithm based on Newton iteration for locating the periodic points. With the piecewise-steady approximation, our computation for the upper-convected Maxwell fluid predicts no noticeable changes of the advected coverage of a passive tracer from Newtonian flow, with elasticity levels up to a Deborah number of 1.0. The stretching of the fluid elements, quantified by the geometrical mean of the spatial distribution, remains exponential up to a Deborah number of 6.0, with only slight changes from Newtonian flow. On the other hand, the shear-thinning viscosity, modelled by the Carreau equation, has a large impact on both the advection of a passive tracer and the mean stretching of the fluid elements. The creeping, unsteady computations show that the transient period of the velocity is much shorter than the transient period of the stress, and from a pragmatic point of view, this transient process caused by stress relaxation due to sudden switches of the cylinder rotation can be neglected for predicting the advective mixing in this time- periodic flow. The periodic points found up to second order and their eigenvalues are indeed very informative in understanding the chaotic mixing patterns and the qualitative changes of the mean stretching of the fluid elements. The comparison between our computations and those of Niederkorn & Ottino (1993) reveals the importance of reducing the discretization error in the computation of chaotic mixing. The causes of the discrepancy between our prediction of the tracer advection and Niederkorn & Ottino's (1993) experiment are discussed, in which the influence of the shear-thinning first normal stress difference is carefully examined. The discussion leads to questions on whether small elasticity of the fluid has a large effect on the chaotic mixing in this periodic flow.
Surfactant Templated Mesoporous Hybrid Thin Films
- Hongyou Fan, Yunfeng Lu, Roger A. Assink, Gabriel P. Lopez, C. Jeffrey Brinker
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- Journal:
- MRS Online Proceedings Library Archive / Volume 628 / 2000
- Published online by Cambridge University Press:
- 01 February 2011, CC6.4
- Print publication:
- 2000
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Organic/inorganic hybrid mesoporous films exhibiting ordered mesophases were prepared by a simple dip-coating procedure. Beginning with a homogeneous solution of tetraethoxysilane, organoalkoxysilane ((R'Si(OR)3, R' is a non-hydrolyzable functional ligand) surfactant, we relied on solvent evaporation to induce micellization and continuous self-assembly into hybrid silica-surfactant thin film mesophases. Surface acoustic wave (SAW)-based nitrogen sorption measurements indicate that the films have high surface areas and unimodal pore diameters after removal of surfactants.