Real-Time Effects of Central Bank Interventions in the Euro Market

This paper investigates the real-time effects of foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Denmark is currently pursuing an active intervention policy under the provisions of the Exchange Rate Mechanism (ERM II) and intervenes on a discretionary basis when considered necessary. Prior participation in ERM II is a requirement for adoption of the Euro. Therefore, our study is of particular relevance for the new European Union member states that are either currently participating in ERM II or expected to do so at a later date as well as for Denmark. Our analysis employs the two-step weighted least squares estimation procedure of Andersen, Bollerslev, Diebold and Vega (2003) and an array of robustness tests. We find that intervention exerts a statistically and economically significant influence on exchange rate returns when the direction of intervention is consistent with fundamentals and intervention is carried out during a period of high exchange rate volatility. We also show that the exchange rate does not adjust instantaneously to the unannounced and discretionary interventions under study. We conclude that intervention can be an important short-term policy instrument for exchange rate management.foreign exchange intervention; intraday data; ERM II

Exact polarizability and plasmon resonances of partly buried nanowires

The electrostatic polarizability for both vertical and horizontal polarization of two conjoined half-cylinders partly buried in a substrate is derived in an analytical closed-form expression. Using the derived analytical polarizabilities we analyze the localized surface plasmon resonances of three important metal nanowire configurations: (1) a half-cylinder, (2) a half-cylinder on a substrate, and (3) a cylinder partly buried in a substrate. Among other results we show that the substrate plays an important role for spectral location of the plasmon resonances. Our analytical results enable an easy, fast, and exact analysis of many complicated plasmonic nanowire configurations including nanowires on substrates. This is important both for comparison with experimental data, for applications, and as benchmarks for numerical methods

Transport in graphene antidot barriers and tunneling devices

Periodic arrays of antidots, i.e. nanoscale perforations, in graphene enable tight confinement of carriers and efficient transport barriers. Such barriers evade the Klein tunneling mechanism by being of the mass rather than electrostatic type. While all graphene antidot lattices (GALs) may support directional barriers, we show, however, that a full transport gap exists only for certain orientations of the GAL. Moreover, we assess the applicability of gapped graphene and the Dirac continuum approach as simplified models of various antidot structures showing that, in particular, the former is an excellent approximation for transport in GALs supporting a bulk band gap. Finally, the transport properties of a GAL based resonant tunneling diode is analyzed indicating that such advanced graphene based devices may, indeed, be realized using GAL structures.Comment: 12 pages, 9 figures, accepted for publication on Journal of Applied Physic

Tight-binding study of the magneto-optical properties of gapped graphene

We study the optical properties of gapped graphene in presence of a magnetic field. We consider a model based on the Dirac equation, with a gap introduced via a mass term, for which analytical expressions for the diagonal and Hall optical conductivities can be derived. We discuss the effect of the mass term on electron-hole symmetry and $\pi$-$\pi^*$ symmetry and its implications for the optical Hall conductivity. We compare these results with those obtained using a tight-binding model, in which the mass is modeled via a staggered potential and a magnetic field is included via a Peierls substitution. Considering antidot lattices as the source of the mass term, we focus on the limit where the mass term dominates the cyclotron energy. We find that a large gap quenches the effect of the magnetic field. The role of overlap between neighboring $\pi$ orbitals is investigated, and we find that the overlap has pronounced consequences for the optical Hall conductivity that are missed in the Dirac model.Comment: 10 pages, 9 figures, submitted for Physical Review

Large-eddy simulation of the atmospheric boundary layer: Influence of unsteady forcing, baroclinicity, inversion strength and stability on the wind profile

De største vindmøller i dag når ofte højder, hvor traditionelle modeller for vindhastigheden og dens højdeafhængighed ikke længere kan forventes at gælde. Nøjagtig vurdering af vindenergi-ressourcer og belastninger på vindmøller kræver bedre forståelse af vinden over luftlaget nærmest jordoverfladen (overfladelaget). Kontinuerlige og detaljerede målinger af middelvind og turbulens i sådanne højder er bekostelige og vanskelige at udføre. Computer-simulering af atmosfæriske luftstrømme kan være et attraktivt alternativ eller supplement til virkelige fuldskala eksperimenter.Metoden ”large eddy simulation” (LES) bruges her til at opnå en bedre forståelse af luftstrømmen i det atmosfæriske grænselag. Den primære motivation er at muliggøre forbedring af eksisterende modeller for vindhastigheden over overfladelaget. Den potentielle brug af LES direkte i forbindelse med eksempelvis forudsigelse på kort sigt af vind og turbulens i og omkring vindmølleparker bliver imidlertid også taget i betragtning. To simuleringseksempler baseret på målinger fra et fladt landbrugsområde ved Høvsøre i Danmark og et bebygget område uden for den centrale del af Hamborg i Tyskland viser nødvendigheden af nøjagtig specifikation af den trykgradient, der driver vinden, når LES bruges til forudsigelse af vindprofiler i den virkelige verden. Høvsøre-eksemplet viser god overensstemmelse mellem simulerede og målte vindhastigheder gennem hele det atmosfæriske grænselag, men kun når den påførte kraft følger en højde- og tidsafhængig trykgradient bestemt på grundlag af kontinuerlige LIDAR målinger af vindhastigheden over det atmosfæriske grænselag. Inkludering af trykgradientens tidsafhængighed og baroklinitet (udtryk for en horisontal temperaturgradient) forbedrer også overensstemmelsen mellem målinger og simulering i Hamborg-eksemplet, men ikke ligeså entydigt som i Høvsøre-eksemplet. Det konkluderes at de tilgængelige målinger ikke er tilstrækkelige til nøjagtig bestemmelse af trykgradienten, og at fænomener så som synkende luftmasser og stor-skala advektion også bør inkluderes i simuleringer, hvor målet er at opnå overensstemmelse med målte vindprofiler.En række simuleringer af i højere grad idealiserede forhold er blevet udført med henblik på at undersøge indflydelsen af Brunt Vaisala frekvensen (udtryk for en vertikal temperaturgradient) i den fri atmosfære og baroklinitet på udviklingen og ligevægtstilstanden af neutrale og nær-neutrale atmosfæriske grænselag. En justeringstid på mindst 16 timer findes nødvendig for at opnå en tilnærmelsesvis ligevægtstilstand. De meget idealiserede forhold tillader udviklingen af et lag nær toppen af det atmosfæriske grænselag, hvori vindhastigheden overstiger hastigheden af geostrofvinden. Dette antages at være et sjældent fænomen i den virkelige verden, og der bliver ikke taget højde for det i de modeller af vindhastighedens vertikale gradient, som er inkluderet i denne undersøgelse. Det vises at den vindprofil-model, som indgår i undersøgelsen, kan forbedres ved på passende vis at inkludere den højdeafhængighed af vinden som stammer fra Brunt Vaisala frekvensen i den fri atmosfære og baroklinitet.The largest wind turbines today often reach heights where traditional models of the wind speed and how it varies with height no longer can be expected to apply. For accurate assessment of wind energy resources and loads on wind turbines, there is a need for better understanding of the flow of air above the atmospheric surface layer. Continuous and detailed measurements of mean winds and turbulence above the surface layer are expensive and difficult to obtain. Computational fluid dynamics modelling of the atmospheric flow can be an attractive alternative or supplement to field experiments.In this study, the method of large-eddy simulation (LES) is applied to gain improved insight on the flow in the atmospheric boundary layer (ABL). The primary motivation behind the study has been to facilitate improvement of analytical wind profile models valid above the surface layer, however, the prospect of using LES more directly in applications such as short-term forecasting of the turbulent flow at e.g. wind farm sites is also considered. Two case studies based on measurements from the rural site of Høvsøre, Denmark and a suburban site in Hamburg, Germany demonstrate the need for accurate specification of the large-scale pressure forcing, when using LES for prediction of real-world wind profiles. In the Høvsøre case study, simulated wind speeds agree well with measurements throughout the ABL, but only when the applied forcing follows a height- and time-dependent pressure gradient estimated from continuous LIDAR measurements of the wind speed above the ABL. Including unsteadiness and baroclinic effects in the forcing also improves agreement with measurements in the Hamburg case study, but not as unambiguously as in the Høvsøre case study. It is concluded that the measurements available at and around the site in Hamburg are insufficient for accurate estimation of the driving pressure gradient, and that phenomena such as large-scale subsidence and advection also should be included in the LES for accurate wind profile prediction. A range of simulations of more idealized conditions are performed to study the influence of the free atmosphere Brunt Vaisala frequency and baroclinicity on the development and steady-state structure of neutral and near-neutral ABLs. It is found that an adjustment time of at least 16 hours is needed for the simulated flow to reach a quasi-steady state. The highly idealized conditions facilitate the formation of a super-geostrophic jet near the top of the ABL. It is considered to be a rare phenomena in the real-world ABL, and is not accounted for by the analytical models of the wind shear included in this study. It is furthermore shown that the considered wind profile model can be improved by appropriately accounting for the wind shear due to the free atmosphere Brunt Vaisala frequency and baroclinicity

Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to formulate testable hypotheses regarding how unannounced intervention purchases and intervention sales influence the market asymmetrically. To test these hypotheses we estimate weighted least squares (WLS) time-series models of the intraday bid-ask spread. Our main result is that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions: intervention purchases of the smaller currency, on average, reduce the spread while intervention sales, on average, increase the spread. We also show that intervention only affects the exchange rate spread when the state of the market is not abnormally volatile. Our results are consistent with the notion that illiquidity arises when traders fear speculative pressure against the smaller currency and confirms the asymmetry hypothesis of our theoretical model.Foreign Exchange Intervention; Exchange Rate Spreads; Intraday Data

Hofstadter butterflies and magnetically induced band-gap quenching in graphene antidot lattices

We study graphene antidot lattices (GALs) in magnetic fields. Using a tight-binding model and a recursive Green's function technique that we extend to deal with periodic structures, we calculate Hofstadter butterflies of GALs. We compare the results to those obtained in a simpler gapped graphene model. A crucial difference emerges in the behaviour of the lowest Landau level, which in a gapped graphene model is independent of magnetic field. In stark contrast to this picture, we find that in GALs the band gap can be completely closed by applying a magnetic field. While our numerical simulations can only be performed on structures much smaller than can be experimentally realized, we find that the critical magnetic field for which the gap closes can be directly related to the ratio between the cyclotron radius and the neck width of the GAL. In this way, we obtain a simple scaling law for extrapolation of our results to more realistically sized structures and find resulting quenching magnetic fields that should be well within reach of experiments.Comment: 8 pages, 8 figure

Discovery of a very extended X-ray halo around a quiescent spiral galaxy - the "missing link" of galaxy formation

Hot gaseous haloes surrounding galaxies and extending well beyond the distribution of stars are a ubiquitous prediction of galaxy formation scenarios. The haloes are believed to consist of gravitationally trapped gas with a temperature of millions of Kelvin. The existence of such hot haloes around massive elliptical galaxies has been established through their X-ray emission. While gas out-flowing from starburst spiral galaxies has been detected, searches for hot haloes around normal, quiescent spiral galaxies have so far failed, casting doubts on the fundamental physics in galaxy formation models. Here we present the first detection of a hot, large-scale gaseous halo surrounding a normal, quiescent spiral galaxy, NGC 5746, alleviating a long-standing problem for galaxy formation models. In contrast to starburst galaxies, where the X-ray halo can be powered by the supernova energy, there is no such power source in NGC 5746. The only compelling explanation is that we are here witnessing a galaxy forming from gradually in-flowing hot and dilute halo gas.Comment: New Astronomy, in pres

The Danish natural real rate of interest and secular stagnation

This paper discusses the natural real rate, why and how it reflects the stance of monetary policy, and what can happen if it turns negative; make monetary policy ineffective, which in a situation with a negative output gap can lead to a long period of low growth - secular stagnation. Denmark as a fixed exchange rate regime vís-a-vís the euro and consequently has tied its policy rate to the policy rate in the euro zone. But it can still be interesting to analyse the stance of monetary policy and use it as input in policy recommendations for fiscal policy and other economic policies. Using this as motivation, the natural real rate is estimated using Danish data applying a model for the small-open economy. I find evidence for very low and perhaps negative levels of the natural real rate for Denmark and stronger evidence for a negative trend. It is argued that the negative levels can be expected to be temporary and that imported monetary policy from the ECB already is or will be stimulative in the future as the natural real rate increases. Low levels of the natural rate can remain in the near future leaving an elevated probability of cyclical factors pushing the natural real rate down and hence ending up in the lower bound for monetary policy rate again