A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models

We estimate real U.S. GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. Specifically, standard- t , bootstrap- t , and bootstrap-percentile confidence intervals are simulated for the slope coefficients and the estimated threshold. However, the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods.Bootstrap GDP; Threshold Autoregression; Bootstrap Confidence Intervals

Policy Words and Policy Deeds: The ECB and the Euro

This paper examines the role of the ECB communication activities on daily Eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognizes the joint determination of both the levels and volatilities of these variables. We also consider more traditional estimation strategies as a test of the robustness of our main results. We introduce a new indicator of ECB communications policies that focuses on what the ECB says about the future economic outlook for the euro area along five different economic dimensions. The impact of ECB communications policies is more apparent in the time series framework than in the heteroskedasticity estimator approach. Previous studies that conclude that news effects are significant at the daily frequency may have reached such a conclusion because the measurement of news was too highly aggregated. The endogeneity of the exchange rate – interest rate relationship is more apparent when the proxy for monetary policy is the euro area – US differential than when any other proxy for monetary policy is employed. Finally, interest rate changes generally have a much larger impact on exchange rate movements, and their volatility, than do ECB verbal pronouncements.Central bank communication; Eurodollar exchange rate

Relativistic gyratons in asymptotically AdS spacetime

We study the gravitational field of a spinning radiation beam-pulse (a gyraton) in a D-dimensional asymptotically AdS spacetime. It is shown that the Einstein equations for such a system reduce to a set of two linear equations in a (D-2)-dimensional space. By solving these equations we obtain a metric which is an exact solution of gravitational equations with the (negative) cosmological constant. The explicit metrics for 4D and 5D gyratons in asymptotically AdS spacetime are given and their properties are discussed.Comment: 10 page

Local freedom in the gravitational field

In a cosmological context, the electric and magnetic parts of the Weyl tensor, E_{ab} and H_{ab}, represent the locally free curvature - i.e. they are not pointwise determined by the matter fields. By performing a complete covariant decomposition of the derivatives of E_{ab} and H_{ab}, we show that the parts of the derivative of the curvature which are locally free (i.e. not pointwise determined by the matter via the Bianchi identities) are exactly the symmetrised trace-free spatial derivatives of E_{ab} and H_{ab} together with their spatial curls. These parts of the derivatives are shown to be crucial for the existence of gravitational waves.Comment: New results on gravitational waves included; new references added; revised version (IOP style) to appear Class. Quantum Gra

Inhomogeneous High Frequency Expansion-Free Gravitational Waves

We describe a natural inhomogeneous generalization of high frequency plane gravitational waves. The waves are high frequency waves of the Kundt type whose null propagation direction in space-time has vanishing expansion, twist and shear but is not covariantly constant. The introduction of a cosmological constant is discussed in some detail and a comparison is made with high frequency gravity waves having wave fronts homeomorphic to 2-spheres.Comment: 18 pages, Latex file, accepted for publication in Physical Review

PP-waves in AdS Gauged Supergravities and Supernumerary Supersymmetry

Purely gravitational pp-waves in AdS backgrounds are described by the generalised Kaigorodov metrics, and they generically preserve 1/4 of the maximum supersymmetry allowed by the AdS spacetimes. We obtain 1/2 supersymmetric purely gravitational pp-wave solutions, in which the Kaigorodov component is set to zero. We construct pp-waves in AdS gauged supergravities supported by a vector field. We find that the solutions in D=4 and D=5 can then preserve 1/2 of the supersymmetry. Like those in ungauged supergravities, the supernumerary supersymmetry imposes additional constraints on the harmonic function associated with the pp-waves. These new backgrounds provide interesting novel features of the supersymmetry enhancement for the dual conformal field theory in the infinite-momentum frame.Comment: Latex, 27 pages, minor typos corrected and reference added, to appear in Phys. Rev.

The Finiteness Requirement for Six-Dimensional Euclidean Einstein Gravity

The finiteness requirement for Euclidean Einstein gravity is shown to be so stringent that only the flat metric is allowed. We examine counterterms in 4D and 6D Ricci-flat manifolds from general invariance arguments.Comment: 15 pages, Introduction is improved, many figures(eps