Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom

This paper conducts a systematic investigation of parameter instability in a small open economy DSGE model of the UK economy over the past thirty-five years. Using Bayesian analysis, we find a number of Markov-switching versions of the model provide a better fit for the UK data than a model with time-invariant parameters. The Markov-switching DSGE model that has two independent Markov-chains - one governing the shifts in UK monetary policy and nominal price rigidity and one governing the standard deviations of shocks - is selected as the best fitting model. The preferred model is then used to evaluate and design monetary policy. For the latter, we use the Markov-Jump-Linear-Quadratic (MJLQ) model, as it incorporates abrupt changes in structural parameters into derivations of the optimal and arbitrary policy rules. It also reveals the entire forecasting distribution of the targeted variables. To our knowledge, this is the first paper that attempts to evaluate and design UK monetary policy based on an estimated open economy Markov-switching DSGE model.DSGE models; Markov-switching; Bayesian analysis

Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models

We propose an alterative approach to obtaining a permanent equilibrium exchange rate (PEER), based on an unobserved components (UC) model. This approach offers a number of advantages over the conventional cointegration-based PEER. Firstly, we do not rely on the prerequisite that cointegration has to be found between the real exchange rate and macroeconomic fundamentals to obtain non-spurious long-run relationships and the PEER. Secondly, the impact that the permanent and transitory components of the macroeconomic fundamentals have on the real exchange rate can be modelled separately in the UC model. This is important for variables, where the long and short-run effects may drive the real exchange rate in opposite directions, such as the relative government expenditure ratio.Permanent Equilibrium Exchange Rate; Unobserved Components Model; Exchange rate forecasting.

Embedded Lensing Time Delays, the Fermat Potential, and the Integrated Sachs-Wolfe Effect

We derive the Fermat potential for a spherically symmetric lens embedded in an FLRW cosmology and use it to investigate the late-time integrated Sachs-Wolfe (ISW) effect, i.e., secondary temperature fluctuations in the cosmic microwave background (CMB) caused by individual large scale clusters and voids. We present a simple analytical expression for the temperature fluctuation in the CMB across such a lens as a derivative of the lens' Fermat potential. This formalism is applicable to both linear and nonlinear density evolution scenarios, to arbitrarily large density contrasts, and to all open and closed background cosmologies. It is much simpler to use and makes the same predictions as conventional approaches. In this approach the total temperature fluctuation can be split into a time-delay part and an evolutionary part. Both parts must be included for cosmic structures that evolve and both can be equally important. We present very simple ISW models for cosmic voids and galaxy clusters to illustrate the ease of use of our formalism. We use the Fermat potentials of simple cosmic void models to compare predicted ISW effects with those recently extracted from WMAP and \emph{Planck} data by stacking large cosmic voids using the aperture photometry method. If voids in the local universe with large density contrasts are no longer evolving we find that the time delay contribution alone predicts values consistent with the measurements. However, we find that for voids still evolving linearly, the evolutionary contribution cancels a significant part of the time delay contribution and results in predicted signals that are much smaller than recently observed.Comment: 25 pages, 4 figures, ApJ in pres

Red Clump Stars in the Sagittarius Tidal Streams

We have probed a section (l ~ 150, b ~ -60) of the trailing tidal arm of the Sagittarius dwarf spheroidal galaxy by identifying a sample of Red Clump stream stars. Red Clump stars are not generally found in the halo field, but are found in significant numbers in both the Sagittarius galaxy and its tidal streams, making them excellent probes of stream characteristics. Our target sample was selected using photometric data from the Sloan Digital Sky Survey, Data Release 6, which was constrained in color to match the Sagittarius Red Clump stars. Spectroscopic observations of the target stars were conducted at Kitt Peak National Observatory using the WIYN telescope. The resulting spectroscopic sample is magnitude limited and contains both main sequence disk stars and evolved Red Clump stars. We have developed a method to systematically separate these two stellar classes using kinematic information and a Bayesian approach for surface gravity determination. The resulting Red Clump sample allows us to determine an absolute stellar density of {\rho} = 2.7 +/- 0.5 RC stars kpc-3 at this location in the stream. Future measurements of stellar densities for a variety of populations and at various locations along the streams will lead to a much improved understanding of the original nature of the Sagittarius galaxy and the physical processes controlling its disruption and subsequent stream generation.Comment: 16 figures, 5 tables, accepted to A

A Simple Gravitational Lens Model For Cosmic Voids

We present a simple gravitational lens model to illustrate the ease of using the embedded lensing theory when studying cosmic voids. It confirms the previously used repulsive lensing models for deep voids. We start by estimating magnitude fluctuations and weak lensing shears of background sources lensed by large voids. We find that sources behind large ($\sim$$90\,\rm Mpc$) and deep voids (density contrast about $-0.9$) can be magnified or demagnified with magnitude fluctuations of up to $\sim$$0.05\,\rm mag$ and that the weak-lensing shear can be up to the $\sim$$10^{-2}$ level in the outer regions of large voids. Smaller or shallower voids produce proportionally smaller effects. We investigate the "wiggling" of the primary cosmic microwave background (CMB) temperature anisotropies caused by intervening cosmic voids. The void-wiggling of primary CMB temperature gradients is of the opposite sign to that caused by galaxy clusters. Only extremely large and deep voids can produce wiggling amplitudes similar to galaxy clusters, $\sim$$\rm 15\,\mu K$ by a large void of radius $\sim$$4^\circ$ and central density contrast $-0.9$ at redshift 0.5 assuming a CMB background gradient of $\sim$$\rm10\,\mu K\, arcmin^{-1}$. The dipole signal is spread over the entire void area, and not concentrated at the lens' center as it is for clusters. Finally we use our model to simulate CMB sky maps lensed by large cosmic voids. Our embedded theory can easily be applied to more complicated void models and used to study gravitational lensing of the CMB, to probe dark-matter profiles, to reduce the lensing-induced systematics in supernova Hubble diagrams, as well as study the integrated Sachs-Wolfe effect.Comment: 25 pages, 4 figures, ApJ accepte

Efficient Multi-Point Local Decoding of Reed-Muller Codes via Interleaved Codex

Reed-Muller codes are among the most important classes of locally correctable codes. Currently local decoding of Reed-Muller codes is based on decoding on lines or quadratic curves to recover one single coordinate. To recover multiple coordinates simultaneously, the naive way is to repeat the local decoding for recovery of a single coordinate. This decoding algorithm might be more expensive, i.e., require higher query complexity. In this paper, we focus on Reed-Muller codes with usual parameter regime, namely, the total degree of evaluation polynomials is $d=\Theta({q})$, where $q$ is the code alphabet size (in fact, $d$ can be as big as $q/4$ in our setting). By introducing a novel variation of codex, i.e., interleaved codex (the concept of codex has been used for arithmetic secret sharing \cite{C11,CCX12}), we are able to locally recover arbitrarily large number $k$ of coordinates of a Reed-Muller code simultaneously at the cost of querying $O(q^2k)$ coordinates. It turns out that our local decoding of Reed-Muller codes shows ({\it perhaps surprisingly}) that accessing $k$ locations is in fact cheaper than repeating the procedure for accessing a single location for $k$ times. Our estimation of success error probability is based on error probability bound for $t$-wise linearly independent variables given in \cite{BR94}

Efficient and Error-Correcting Data Structures for Membership and Polynomial Evaluation

We construct efficient data structures that are resilient against a constant fraction of adversarial noise. Our model requires that the decoder answers most queries correctly with high probability and for the remaining queries, the decoder with high probability either answers correctly or declares "don't know." Furthermore, if there is no noise on the data structure, it answers all queries correctly with high probability. Our model is the common generalization of a model proposed recently by de Wolf and the notion of "relaxed locally decodable codes" developed in the PCP literature. We measure the efficiency of a data structure in terms of its length, measured by the number of bits in its representation, and query-answering time, measured by the number of bit-probes to the (possibly corrupted) representation. In this work, we study two data structure problems: membership and polynomial evaluation. We show that these two problems have constructions that are simultaneously efficient and error-correcting.Comment: An abridged version of this paper appears in STACS 201