Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model

We study the effects of euro area common monetary policy by means of a structural dynamic factor model estimated on a large panel of euro area quarterly series. While we estimate a flat response of prices to a monetary policy shock, which we explain as aggregation of heterogeneous country-specific responses, we find no relevant asymmetries between countries in terms of output reaction. However, for both Spain and Italy, we find asymmetries in consumption, investment and unemployment. The introduction of the single currency in 1999 has helped reducing asymmetries in price responses but not in consumption and investment.

Integrated Modeling and Verification of Real-Time Systems through Multiple Paradigms

Complex systems typically have many different parts and facets, with different characteristics. In a multi-paradigm approach to modeling, formalisms with different natures are used in combination to describe complementary parts and aspects of the system. This can have a beneficial impact on the modeling activity, as different paradigms an be better suited to describe different aspects of the system. While each paradigm provides a different view on the many facets of the system, it is of paramount importance that a coherent comprehensive model emerges from the combination of the various partial descriptions. In this paper we present a technique to model different aspects of the same system with different formalisms, while keeping the various models tightly integrated with one another. In addition, our approach leverages the flexibility provided by a bounded satisfiability checker to encode the verification problem of the integrated model in the propositional satisfiability (SAT) problem; this allows users to carry out formal verification activities both on the whole model and on parts thereof. The effectiveness of the approach is illustrated through the example of a monitoring system.Comment: 27 page

Business cycle and sector cycles

A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.Business cycle, Butterworth filter, Unobserved components, Kalman Filter

State Space Methods in Ox/SsfPack

The use of state space models and their inference is illustrated using the package SsfPack for Ox. After a rather long introduction that explains the use of SsfPack and many of its functions, four case-studies illustrate the practical implementation of the software to real world problems through short sample programs. The first case consists in the analysis of the well-known (at least to time series analysis experts) Nile data with a local level model. The other case-studies deal with ARIMA and RegARIMA models applied to the (also well-known) Airline time series, structural time series models applied to the Italian industrial production index and stochastic volatility models applied to the FTSE100 index. In all applications inference on the model (hyper-) parameters is carried out by maximum likelihood, but in one case (stochastic volatility) also an MCMC-based approach is illustrated. Cubic splines are covered in a very short example as well.

SMT-based Verification of LTL Specifications with Integer Constraints and its Application to Runtime Checking of Service Substitutability

An important problem that arises during the execution of service-based applications concerns the ability to determine whether a running service can be substituted with one with a different interface, for example if the former is no longer available. Standard Bounded Model Checking techniques can be used to perform this check, but they must be able to provide answers very quickly, lest the check hampers the operativeness of the application, instead of aiding it. The problem becomes even more complex when conversational services are considered, i.e., services that expose operations that have Input/Output data dependencies among them. In this paper we introduce a formal verification technique for an extension of Linear Temporal Logic that allows users to include in formulae constraints on integer variables. This technique applied to the substitutability problem for conversational services is shown to be considerably faster and with smaller memory footprint than existing ones

Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. In the present paper I propose a MCMC-based methodology to carry out inference on the model's parameters and introduce DDMSVAR for Ox, a software written by the author for the analysis of time series by means of DDMS-VAR models. An application of the methodology to the U.S. business cycle concludes the article.Markov-switching, Business cycle, Gibbs sampling, Duration dependence, Vector autoregression

Orbital currents, anapoles, and magnetic quadrupoles in CuO

We show that orbital currents in a CuO2 plane, if present, should be described by two independent parity and time-reversal odd order parameters, a toroidal dipole (anapole) and a magnetic quadrupole. Based on this, we derive the resonant X-ray diffraction cross-section for monoclinic CuO at the antiferromagnetic wavevector and show that the two order parameters can be disentangled. From our analysis, we examine a recent claim of detecting anapoles in CuO.Comment: 7 pages, 5 figure

The magnetic ground state of Sr2IrO4 and implications for second-harmonic generation

The currently accepted magnetic ground state of Sr2IrO4 (the -++- state) preserves inversion symmetry. This is at odds, though, with recent experiments that indicate a magnetoelectric ground state, leading to the speculation that orbital currents or more exotic magnetic multipoles might exist in this material. Here, we analyze various magnetic configurations and demonstrate that two of them, the magnetoelectric -+-+ state and the non-magnetoelectric ++++ state, can explain these recent second-harmonic generation (SHG) experiments, obviating the need to invoke orbital currents. The SHG-probed magnetic order parameter has the symmetry of a parity-breaking multipole in the -+-+ state and of a parity-preserving multipole in the ++++ state. We speculate that either might have been created by the laser pump used in the experiments. An alternative is that the observed magnetic SHG signal is a surface effect. We suggest experiments that could be performed to test these various possibilities, and also address the important issue of the suppression of the RXS intensity at the L2 edge.Comment: 28 pages, 8 figures, v3 - an expanded discussion of the origin of the SHG signa