Nowcasting inflation using high frequency data

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper exploits data with weekly and daily frequency in order to produce more accurate estimates of inflation for the current and followings months. In particular, this paper uses the Weekly Oil Bulletin Price Statistics for the euro area, the Weekly Retail Gasoline and Diesel Prices for the US and daily World Market Prices of Raw Materials. The data are modeled as a trading day frequency factor model with missing observations in a state space representation. For the estimation we adopt the methodology exposed in Banbura and Modugno (2010). In contrast to other existing approaches, the methodology used in this paper has the advantage of modeling all data within a unified single framework that, nevertheless, allows one to produce forecasts of all variables involved. This offers the advantage of disentangling a model-based measure of ”news” from each data release and subsequently to assess its impact on the forecast revision. The paper provides an illustrative example of this procedure. Overall, the results show that these data improve forecast accuracy over models that exploit data available only at monthly frequency for both countries. JEL Classification: C53, E31, E37Factor models, forecasting, inflation, Mixed Frequencies

The forecasting power of internal yield curve linkages

This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology is based on dynamic factor models, the EM algorithm and the Kalman filter. The domestic model is compared vis-á-vis an international one, where information from foreign yield curves is allowed to enrich the information set of the domestic yield curve. The results have interesting and original implications. They reveal clear international dependency patterns, strong enough to improve forecasts of Germany and to a lesser extent UK. The US yield curve exhibits a more independent behaviour. In this way, the paper also generalizes anecdotal evidence on international interest rate linkages to the whole yield curve. JEL Classification: F31dynamic factor model, EM algorithm, international linkages, Yield curve forecast

Nowcasting inflation using high frequency data

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper exploits data with weekly and daily frequency in order to produce more accurate estimates of inflation for the current and followings months. In particular, this paper uses the Weekly Oil Bulletin Price Statistics for the euro area, the Weekly Retail Gasoline and Diesel Prices for the US and daily World Market Prices of Raw Materials. The data are modeled as a trading day frequency factor model with missing observations in a state space representation. For the estimation we adopt the methodology exposed in Banbura and Modugno (2010). In contrast to other existing approaches, the methodology used in this paper has the advantage of modeling all data within a unified single framework that, nevertheless, allows one to produce forecasts of all variables involved. This offers the advantage of disentangling a model-based measure of ”news” from each data release and subsequently to assess its impact on the forecast revision. The paper provides an illustrative example of this procedure. Overall, the results show that these data improve forecast accuracy over models that exploit data available only at monthly frequency for both countries

Bose-Einstein condensates with a bent vortex in rotating traps

We consider a 3D dilute Bose-Einstein condensate at thermal equilibrium in a rotating harmonic trap. The condensate wavefunction is a local minimum of the Gross-Pitaevskii energy functional and we determine it numerically with the very efficient conjugate gradient method. For single vortex configurations in a cigar-shaped harmonic trap we find that the vortex line is bent, in agreement with the numerical prediction of Garcia-Ripoll and Perez-Garcia, Phys.Rev.A 63, 041603 (2001). We derive a simple energy functional for the vortex line in a cigar-shaped condensate which allows to understand physically why the vortex line bends and to predict analytically the minimal rotation frequency required to stabilize the bent vortex line. This analytical prediction is in excellent agreement with the numerical results. It also allows to find in a simple way a saddle point of the energy, where the vortex line is in a stationary configuration in the rotating frame but not a local minimum of energy. Finally we investigate numerically the effect of thermal fluctuations on the vortex line for a condensate with a straight vortex: we can predict what happens in a single realization of the experiment by a Monte Carlo sampling of an atomic field quasi-distribution function of the density operator of the gas at thermal equilibrium in the Bogoliubov approximation.Comment: 25 pages, 20 figures, version including discussion of energy saddle poin

One-dimensional s-p superlattice

The physics of one dimensional optical superlattices with resonant $s$-$p$ orbitals is reexamined in the language of appropriate Wannier functions. It is shown that details of the tight binding model realized in different optical potentials crucially depend on the proper determination of Wannier functions. We discuss the properties of a superlattice model which quasi resonantly couples $s$ and $p$ orbitals and show its relation with different tight binding models used in other works.Comment: 9pp, 10 figures, updated references, comments to [email protected]