Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions

Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible non-linearities, we include several nonlinear specifications. The resulting models will be huge dimensional and we thus rely on a set of shrinkage priors. Since Markov Chain Monte Carlo estimation becomes slow in these dimensions, we rely on fast variational Bayes approximations to the posterior distribution of the coefficients and the latent states. We find that our proposed set of models produces precise forecasts. These gains are especially pronounced in the tails. Using Gaussian processes to approximate the nonlinear component of the model further improves the good performance, in particular in the right tail

Mapping Itinerant Electrons around Kondo Impurities

We investigate single Fe and Co atoms buried below a Cu(100) surface using low temperature scanning tunneling spectroscopy. By mapping the local density of states of the itinerant electrons at the surface, the Kondo resonance near the Fermi energy is analyzed. Probing bulk impurities in this well-defined scattering geometry allows separating the physics of the Kondo system and the measuring process. The line shape of the Kondo signature shows an oscillatory behavior as a function of depth of the impurity as well as a function of lateral distance. The oscillation period along the different directions reveals that the spectral function of the itinerant electrons is anisotropic.Comment: 5 pages, 4 figures, accepted by Physical Review Letter

Aspects of a phase transition in high-dimensional random geometry

A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures, among them the current regulatory market risk measure Expected Shortfall. Others include portfolio optimization with a ban on short selling, the storage capacity of the perceptron, the solvability of a set of linear equations with random coefficients, and competition for resources in an ecological system. These examples shed light on various aspects of the underlying geometric phase transition, create links between problems belonging to seemingly distant fields and offer the possibility for further ramifications

Interplay between Kondo effect and Ruderman-Kittel-Kasuya-Yosida interaction

The interplay between the Ruderman-Kittel-Kasuya-Yosida (RKKY) interaction and the Kondo effect is expected to provide the driving force for the emergence of many phenomena in strongly correlated electron materials. Two magnetic impurities in a metal are the smallest possible system containing all these ingredients and define a bottom up approach towards a long term understanding of concentrated / dense systems. Here we report on the experimental and theoretical investigation of iron dimers buried below a Cu(100) surface by means of low temperature scanning tunnelling spectroscopy (STS) combined with density functional theory (DFT) and numerical renormalization group (NRG) calculations. The Kondo effect, in particular the width of the Abrikosov-Suhl resonance, is strongly altered or even suppressed due to magnetic coupling between the impurities. It oscillates as function of dimer separation revealing that it is related to the RKKY interaction mediated by the conduction electrons. Simulations based on density functional theory support this concept showing the same oscillation period and trends in the coupling strength as found in the experiment

Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies

Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions regarding the size of fiscal multipliers. In this paper, we show that the conflicting results are due to violations of the exogeneity assumptions, i.e. the commonly used proxies are endogenously related to the structural shocks. We propose a novel approach to include proxy variables into a Bayesian non-Gaussian SVAR, tailored to accommodate potentially endogenous proxy variables. Using our model, we show that increasing government spending is a more effective tool to stimulate the economy than reducing taxes. We construct new exogenous proxies that can be used in the traditional proxy VAR approach resulting in similar estimates compared to our proposed hybrid SVAR model.Comment: 10 figure

Nature of the volcano transition in the fully disordered Kuramoto model

Randomly coupled phase oscillators may synchronize into disordered patterns of collective motion. We analyze this transition in a large, fully connected Kuramoto model with symmetric but otherwise independent random interactions. Using the dynamical cavity method we reduce the dynamics to a stochastic single oscillator problem with self-consistent correlation and response functions that we study analytically and numerically. We clarify the nature of the volcano transition and elucidate its relation to the existence of an oscillator glass phase

Long-range Kondo signature of a single magnetic impurity

The Kondo effect, one of the oldest correlation phenomena known in condensed matter physics, has regained attention due to scanning tunneling spectroscopy (STS) experiments performed on single magnetic impurities. Despite the sub-nanometer resolution capability of local probe techniques one of the fundamental aspects of Kondo physics, its spatial extension, is still subject to discussion. Up to now all STS studies on single adsorbed atoms have shown that observable Kondo features rapidly vanish with increasing distance from the impurity. Here we report on a hitherto unobserved long range Kondo signature for single magnetic atoms of Fe and Co buried under a Cu(100) surface. We present a theoretical interpretation of the measured signatures using a combined approach of band structure and many-body numerical renormalization group (NRG) calculations. These are in excellent agreement with the rich spatially and spectroscopically resolved experimental data.Comment: 7 pages, 3 figures + 8 pages supplementary material; Nature Physics (Jan 2011 - advanced online publication

From the strange death to the odd afterlife of Lutheran England

Research on the relationship between England and Protestant Germany during the sixteenth century has recently experienced a revival. A significant area of concentration for confessional interests among Lutherans a century ago, Anglo-German relations took a backseat in Reformation historiography during the twentieth century, but during the last decade or so a host of scholars in the UK, Germany, and USA have once again turned their attention to the topic. This review article surveys trends in scholarship on Reformation studies in both England and Germany before turning specifically to works considering instances of interaction, co-operation, and adaptation across the confessional and geographic divides. Gathering a considerable array of secondary materials, the article offers an overview of the merits and criticisms of previous analyses and concludes by pointing out a few areas for future inquiry

Forty years of carabid beetle research in Europe - from taxonomy, biology, ecology and population studies to bioindication, habitat assessment and conservation

Volume: 100Start Page: 55End Page: 14