Forecast quality and simple instrument rules: a real-time data approach

We start from the assertion that a useful monetary policy design should be founded on more realistic assumptions about what policymakers can know at the time when policy decisions have to be made. Since the Taylor rule – if used as an operational device - implies a forward looking behaviour, we analyze the reliability of the input information. We investigate the forecasting performance of OECD projections for GDP growth rates and inflation. We diagnose a much better forecasting record for inflation rates compared to GDP growth rates, which for most countries are almost uninformative at the time a Taylor rule should sensibly be applied. Using this data set, we find significant differences between Taylor rules estimated over revised data compared to real-time data. There is evidence that monetary policy seems to react more actively in real time than rules estimated over revised data suggest. Given the evidence of systematic errors in OECD forecasts, in a next step we attempt to correct for these forecast biases and check to which extent this can lower the errors in interest rate policy setting. An ex-ante simulation for the years 1991 to 2001 supports the proposal that correcting for forecast errors and biases based on an error model can lower the resulting policy error in interest rate setting for most countries under consideration. In addition we investigate to what extent structural changes in the policy reaction behaviour can be handled with moving instead of expanding samples. Our results point out that the information set available needs a careful examination when applied to instrument rules like those of the Taylor type. Limited forecast quality and significant data revisions recommend a more sophisticated handling of the dated information, for which we present an operational procedure that has the potential of reducing the risk of severe policy errors. --Monetary policy rules,economic forecasting,OECD,real-time data

Model Averaging in Risk Management with an Application to Futures Markets

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average ’ models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures

Stringency and Distribution in the EU Emissions Trading Scheme –The 2005 Evidence

With the release of the verified emissions for installations covered by the EU Emissions Trading Scheme for the first trading year 2005 we are able to compare actual emissions and allowances for each installation. Based on data available for 24 Member States as of January 2007, this paper uses a thorough data analysis for about 9,900 installations to investigate evidence on three issues: first, the stringency of the total allocation cap and allocation differences both among the Member States and a selection of emission intensive sectors; second, the distribution of the size of installations; and third, the spread of allocation discrepancies and possible allocation biases regarding the size of installations.Emission Trading, EU Emissions Trading Scheme, Climate Policy

15 years of comet photometry: A comparative analysis of 80 comets

In 1976 we began a program of narrowband photometry of comets that has encompassed well over 400 nights of observations. To date, the program has provided detailed information on 80 comets, 11 of which have been observed on multiple apparitions. In this paper we present the observed range of compositions (molecular production rate ratios) and dustiness (gas production compared with AF-rho) for a well sampled group of comets. Based on these results we present preliminary analysis of taxonomic groupings as well as the abundance ratios we associate with a 'typical' comet

Water in the Near IR spectrum of Comet 8P/Tuttle

High resolution spectra of Comet 8P/Tuttle were obtained in the frequency range 3440.6-3462.6 cm-1 on 3 January 2008 UT using CGS4 with echelle grating on UKIRT. In addition to recording strong solar pumped fluorescent (SPF) lines of H2O, the long integration time (152 miutes on target) enabled eight weaker H2O features to be assigned, most of which had not previously been identified in cometary spectra. These transitions, which are from higher energy upper states, are similar in character to the so-called 'SH' lines recorded in the post Deep Impact spectrum of comet Tempel 1 (Barber et al., 2007). We have identified certain characteristics that these lines have in common, and which in addition to helping to define this new class of cometary line, give some clues to the physical processes involved in their production. Finally, we derive an H2O rotational temperature of 62+/- K and a water production rate of (1.4+/-0.3)E28 molecules/s.Comment: Paper has been accepted for publication by MNRAS (11/06/09

A nonlinear structural subgrid-scale closure for compressible MHD. I. Derivation and energy dissipation properties

This is the final version. Available from AIP Publishing via the DOI in this recordCompressible magnetohydrodynamic (MHD) turbulence is ubiquitous in astrophysical phenomena ranging from the intergalactic to the stellar scales. In studying them, numerical simulations are nearly inescapable, due to the large degree of nonlinearity involved. However, the dynamical ranges of these phenomena are much larger than what is computationally accessible. In large eddy simulations (LESs), the resulting limited resolution effects are addressed explicitly by introducing to the equations of motion additional terms associated with the unresolved, subgrid-scale dynamics. This renders the system unclosed. We derive a set of nonlinear structural closures for the ideal MHD LES equations with particular emphasis on the effects of compressibility. The closures are based on a gradient expansion of the finite-resolution operator [W. K. Yeo (CUP, 1993)] and require no assumptions about the nature of the flow or magnetic field. Thus, the scope of their applicability ranges from the sub- to the hyper-sonic and -Alfvénic regimes. The closures support spectral energy cascades both up and down-scale, as well as direct transfer between kinetic and magnetic resolved and unresolved energy budgets. They implicitly take into account the local geometry, and in particular, the anisotropy of the flow. Their properties are a priori validated in Paper II [P. Grete et al., Phys. Plasmas 23, 062317 (2016)] against alternative closures available in the literature with respect to a wide range of simulation data of homogeneous and isotropic turbulence.University of GöttingenDeutsche Forschungsgemeinschaft (DFG)Max Planck Institute for Dynamics and Self-OrganizationConicyt Fondecyt: Fondo Nacional de Desarrollo Científico y TecnológicoNorth-German Supercomputing Allianc

A timeline for massive star-forming regions via combined observation of o-H2_2D+^+ and N2_2D+^+

Context: In cold and dense gas prior to the formation of young stellar objects, heavy molecular species (including CO) are accreted onto dust grains. Under these conditions H$_3^+$ and its deuterated isotopologues become more abundant, enhancing the deuterium fraction of molecules such as N$_2$H$^+$ that are formed via ion-neutral reactions. Because this process is extremely temperature sensitive, the abundance of these species is likely linked to the evolutionary stage of the source. Aims: We investigate how the abundances of o-H$_2$D$^+$ and N$_2$D$^+$ vary with evolution in high-mass clumps. Methods: We observed with APEX the ground-state transitions of o-H$_2$D$^+$ near 372 GHz, and N$_2$D$^+$(3-2) near 231 GHz for three massive clumps in different evolutionary stages. The sources were selected within the G351.77-0.51 complex to minimise the variation of initial chemical conditions, and to remove distance effects. We modelled their dust continuum emission to estimate their physical properties, and also modelled their spectra under the assumption of local thermodynamic equilibrium to calculate beam-averaged abundances. Results: We find an anticorrelation between the abundance of o-H$_2$D$^+$ and that of N$_2$D$^+$, with the former decreasing and the latter increasing with evolution. With the new observations we are also able to provide a qualitative upper limit to the age of the youngest clump of about 10$^5$ yr, comparable to its current free-fall time. Conclusions: We can explain the evolution of the two tracers with simple considerations on the chemical formation paths, depletion of heavy elements, and evaporation from the grains. We therefore propose that the joint observation and the relative abundance of o-H$_2$D$^+$ and N$_2$D$^+$ can act as an efficient tracer of the evolutionary stages of the star-formation process