Challenges in macro-finance modeling

This article discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. The author classifies macro-finance models into pure latent-factor models ("internal basis models") and models that have observed macroeconomic variables as state variables ("external basis models") and examines the underlying assumptions behind these models. Particular attention is paid to the issue of unspanned short-run fluctuations in macroeconomic variables and their potentially adverse effect on the specification of external basis models. The author also discusses the challenge of addressing features such as structural breaks and time-varying inflation uncertainty. Empirical difficulties in the estimation and evaluation of macro-finance models are also discussed in detail.Econometric models ; Macroeconomics

TIPS: Taking Inflation Premium Seriously

This paper asks the question of whether the newly available TIPS yields data can help us achieve a better understanding of the real term structure and the inflation expectations. The yield differential between TIPS and comparable nominal coupon securities is not a direct measure of inflation expectations, because it contains inflation risk premium, and because the TIPS yield may depart from the true "real yield," due to low investor demand especially in the early years. Without using data from the (indexed) real bond market, we cannot fully identify the real interest rate from the inflation risk premium, unless we assume that all information affecting the real term structure is reflected in the nominal bond prices. Even with this assumption, empirical identification of the real term structure is hard to achieve because of the poor measurement and the frequent revisions of the price series. We develop a flexible multifactor term-structure model to allow for suitable specifications of liquidity premium on TIPS, as well as complications caused by lagged indexation. We estimate the model by the Kalman filter using TIPS yields, nominal bond yields, realized inflation and survey data on interest rates and inflationTIPS, Inflation risk premium, term structure of interest rates

Aspects of spin-charge separation in high Tc cuprates

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Physics, 1998.Includes bibliographical references (p. 100-109).High Tc, cuprates have a number of features that are anomalous from the point of view of the conventional theory of metals, i.e. the Fermi liquid theory. These include the high Tc itself, the linear resistivity in optimally doped cuprates, the "spin gap" phenomena, and antiferromagnetic fluctuations. Some of the basic features of the high Tc, phase diagram can be readily understood from slave boson mean field theories of the t-J model that yield a variety of phases like the uRVB phase (strange metal), d-wave RVB phase (spin gap), and the superconducting phase. This thesis is concerned with improving this picture by considering important fluctuations around the mean fields. This leads to certain gauge theories in which neutral spin 1/2 fermions ("spinons") and charged spinless bosons ("holons") are coupled to gauge fields. If the gauge field is not "confining", the spin and charge degrees of freedom are separated to some extent, and an unconventional picture for transport and magnetic properties is expected. Following an introduction and overview, the first half of the main body of this thesis analyzes a simple model of a degenerate two-dimensional Bose liquid interacting with a fluctuating gauge field, with the goal of studying the charge degree of freedom in the cuprates. It is shown that the fluctuating gauge field efficiently destroys superfluidity even in the Bose degenerate regime. The nature of the resulting normal state is discussed in terms of the geometric properties of the imaginary-time paths of the bosons. Charge response functions are studied numerically (by path integral Monte Carlo methods); it is found that the transport scattering rate behaves as ... , consistent with the experiments on the cuprates in the normal state, and that the density correlations of our model resemble the charge correlations of the t-J model. The second half considers the magnetic properties of cuprates from the point of view of a gauge theory of spinons, with emphasis on the underdoped regime. Despite the spin gap, there is a substantial antiferromagnetic correlation in the underdoped cuprates, as evidenced by the q-space scan of Neutron scattering cross section and different temperature dependences of the Copper and Oxygen site relaxation rates, features which are not captured well by mean field theories. As a concrete illustration of the gauge-fluctuation restoration of the antiferromangetic correlation and the feasibility of the 1/N perturbation theory, a U(1) gauge theory of id Heisenberg spin chain is worked out exactly, and then perturbatively. The difference between the behavior of uniform and staggerd spin correlation functions is discussed in terms of conserved and nonconserved currents. The 1/N-perturbative treatment of the gauge theory in 2+1D (which can be motivated from the mean field Flux phase of the Heisnberg model) leads to a dynamical mass generation corresponding to an antiferromagnetic ordering, but it is argued that in a similar gauge theory with an additional coupling to a Bose (holon) field, symmetry breaking does not occur, but antiferromagnetic correlations are improved, which is the situation in the underdoped cuprates.by Don H. Kim.Ph.D

The Impact Of Merit Pay On Research Outcomes For Accounting Professors

Merit pay for professors to encourage better teaching, research and service is controversial. Its effectiveness can be examined empirically. In this study, the existence of a merit plan and ACT scores of incoming freshmen were strongly associated with measurable research outcomes. Additional study is needed to test the association with the other dimensions of faculty performance

High-precision realization of robust quantum anomalous Hall state in a hard ferromagnetic topological insulator

The discovery of the quantum Hall (QH) effect led to the realization of a topological electronic state with dissipationless currents circulating in one direction along the edge of a two dimensional electron layer under a strong magnetic field. The quantum anomalous Hall (QAH) effect shares a similar physical phenomenon as the QH effect, whereas its physical origin relies on the intrinsic spin-orbit coupling and ferromagnetism.Here we report the experimental observation of the QAH state in V-doped (Bi,Sb)2Te3 films with the zero-field longitudinal resistance down to 0.00013+-0.00007h/e2 (~3.35+-1.76 ohm), Hall conductance reaching 0.9998+-0.0006e2/h and the Hall angle becoming as high as 89.993+-0.004degree at T=25mK. Further advantage of this system comes from the fact that it is a hard ferromagnet with a large coercive field (Hc>1.0T) and a relative high Curie temperature. This realization of robust QAH state in hard FMTIs is a major step towards dissipationless electronic applications without external fields.Comment: 16 pages, 4 figures, this is the final version, accepted by Nature Materials, forthcomin

Massless Dirac Fermions, Gauge Fields, and Underdoped Cuprates

We study 2+1 dimensional massless Dirac fermions and bosons coupled to a U(1) gauge field as a model for underdoped cuprates. We find that the uniform susceptibility and the specific heat coefficient are logarithmically enhanced (compared to linear-in-T behavior) due to the fluctuation of transverse gauge field which is the only massless mode at finite boson density. We analyze existing data, and find good agreement in the spin gap phase. Within our picture, the drop of the susceptibility below the superconducting T_c arises from the suppression of gauge fluctuations.Comment: 4 pages, REVTEX, 1 eps figur