Where Are We Now? Real-Time Estimates of the Macro Economy

This paper describes a method for calculating daily real-time estimates of the current state of the U.S. economy. The estimates are computed from data on scheduled U.S. macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data. The model can be applied to find real-time estimates of GDP, inflation, unemployment or any other macroeconomic variable of interest. In this paper I focus on the problem of estimating the current level of and growth rate in GDP. I construct daily real-time estimates of GDP that incorporate public information known on the day in question. The real-time estimates produced by the model are uniquely-suited to studying how perceived developments the macro economy are linked to asset prices over a wide range of frequencies. The estimates also provide, for the first time, daily time series that can be used in practical policy decisions.

A New Micro Model of Exchange Rate Dynamics

We address the exchange rate determination puzzle by examining how information is aggregated in a dynamic general equilibrium (DGE) setting. Unlike other DGE macro models, which enrich either preference structures or production structures, our model enriches the information structure. The model departs from microstructure-style modeling by identifying the real activities where dispersed information originates, as well as the technology by which information is subsequently aggregated and impounded. Results relevant to the determination puzzle include: (1) persistent gaps between exchange rates and macro fundamentals, (2) excess volatility relative to macro fundamentals, (3) exchange rate movements without macro news, (4) little or no exchange rate movement when macro news occurs, and (5) a structural-economic rationale for why transaction flows perform well in accounting for monthly exchange rate changes, whereas macro variables perform poorly. Though past micro analysis has made progress on results (1) through (3), results (4) and (5) are new. Excess volatility arises in our model for a new reason: rational exchange rate errors feed back into the fundamentals that the exchange rate is trying to track.

Do Currency Markets Absorb News Quickly?

This paper addresses whether macro news arrivals affect currency markets over time. The null from macro exchange-rate theory is that they do not: macro news is impounded in ex-change rates instantaneously. We test this by examining the effects of news on subsequent trades by end-user participants (such as hedge funds, mutual funds, and non-financial corporations). News arrivals induce subsequent changes in trading in all of the major end-user segments. These induced changes remain significant for days. Induced trades also have persistent effects on prices. Currency markets are not responding to news instantaneously.

Order Flow and Exchange Rate Dynamics

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure-order flow. Order flow is the proximate determinant of price in all microstructure models. This is a radically different approach to exchange rate determination. It is also strikingly successful in accounting for realized rates. Our model of daily exchange-rate changes produces R2 statistics above 50 percent. Out of sample, our model produces significantly better short-horizon forecasts than a random walk. For the DM/$spot market as a whole, we find that$1 billion of net dollar purchases increases the DM price of a dollar by about 1 pfennig.

Inventory Information

In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of asymmetric information - inventory information - that is unrelated to fundamentals, but still forecasts future price (by forecasting future discount factors). Empirical work based on the analysis shows that inventory information in FX does indeed forecast discount factors, and does so over both short and long horizons. The immediate price impact of shocks to inventory information is large, roughly 50 percent of that from public information shocks (the latter being the whole story under symmetric information). Within about 30 minutes the transitory effect dies out, and prices reflect a permanent effect from inventory information that ranges between 15 and 30 percent of that from public information.

Inventory Information

When information about fundamentals is symmetric, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of asymmetric information-inventory-information-that is unrelated to fundamentals, but still forecasts future price (by forecasting future discount factors). We find that inventory information in FX does indeed forecast discount factors, and does so over both short and long horizons. The permanent effect from inventory information ranges between 15 and 30 percent of that from public information.

Broadband Quantum Enhancement of the LIGO Detectors with Frequency-Dependent Squeezing

Quantum noise imposes a fundamental limitation on the sensitivity of interferometric gravitational-wave detectors like LIGO, manifesting as shot noise and quantum radiation pressure noise. Here, we present the first realization of frequency-dependent squeezing in full-scale gravitational-wave detectors, resulting in the reduction of both shot noise and quantum radiation pressure noise, with broadband detector enhancement from tens of hertz to several kilohertz. In the LIGO Hanford detector, squeezing reduced the detector noise amplitude by a factor of 1.6 (4.0 dB) near 1 kHz; in the Livingston detector, the noise reduction was a factor of 1.9 (5.8 dB). These improvements directly impact LIGO's scientific output for high-frequency sources (e.g., binary neutron star postmerger physics). The improved low-frequency sensitivity, which boosted the detector range by 15%-18% with respect to no squeezing, corresponds to an increase in the astrophysical detection rate of up to 65%. Frequency-dependent squeezing was enabled by the addition of a 300-meter-long filter cavity to each detector as part of the LIGO A+ upgrade

Characteristics of Early-Onset vs Late-Onset Colorectal Cancer: A Review.

The incidence of early-onset colorectal cancer (younger than 50 years) is rising globally, the reasons for which are unclear. It appears to represent a unique disease process with different clinical, pathological, and molecular characteristics compared with late-onset colorectal cancer. Data on oncological outcomes are limited, and sensitivity to conventional neoadjuvant and adjuvant therapy regimens appear to be unknown. The purpose of this review is to summarize the available literature on early-onset colorectal cancer. Within the next decade, it is estimated that 1 in 10 colon cancers and 1 in 4 rectal cancers will be diagnosed in adults younger than 50 years. Potential risk factors include a Westernized diet, obesity, antibiotic usage, and alterations in the gut microbiome. Although genetic predisposition plays a role, most cases are sporadic. The full spectrum of germline and somatic sequence variations implicated remains unknown. Younger patients typically present with descending colonic or rectal cancer, advanced disease stage, and unfavorable histopathological features. Despite being more likely to receive neoadjuvant and adjuvant therapy, patients with early-onset disease demonstrate comparable oncological outcomes with their older counterparts. The clinicopathological features, underlying molecular profiles, and drivers of early-onset colorectal cancer differ from those of late-onset disease. Standardized, age-specific preventive, screening, diagnostic, and therapeutic strategies are required to optimize outcomes