Reaction of Swiss Term Premia to Monetary Policy Surprises

An affine yield curve model is estimated on daily Swiss data 2002--2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.affine price of risk, interest rate caps, survey data

Inflation Forecast Uncertainty

We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty.survey data; Survey of Professional Forecasters; GDP growth; VAR; T-GARCH

The Time-Varying Systematic Risk of Carry Trade Strategies

This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and also more mean reversion in volatile periods - and that FX market volatility is a priced risk factor. The findings are robust to various extensions, including using more currencies and other proxies for volatility and liquidity (VIX, TED and a bid-ask spread).carry trade, factor model, smooth transition regression, time-varying betas

The Implementation of SNB Monetary Policy

We use a regime switching approach to model the implementation of the SNB monetary policy. The regime switching technique is crucial to assess the flexibility inherent in the SNB's monetary policy concept. The empirical findings support the idea that repo operations are instrumental in smoothing the implementation of monetary policy in normal times while changes in the official operational target accompanied by the accommodating use of repo operations produce the aimed effects in distressed periods. A significant contribution also came from some new measures designed to improve liquidity in the Swiss franc money market during the financial crisis in 2007- 8.implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

Prediction of stock returns (in Russian)

This essay describes the basics of the stock market analysis, gives a survey of simple methods of searching for predictive patterns in returns, as well as lists empirical evidence of such predictability.

Final Recommendations towards a Methodology for Technology Watch at EU Level: STACCATO Deliverable 2.2.1

As part of the PASR 2006 supporting activity STACCATO an investigation into a European ¿Technology Watch¿ for security was conducted using amongst other means an expert workshop. This activity was run in parallel to the competence mapping of the security industry and academia of Europe which resulted in a database and separate report (STACCATO Deliverable 2.1.1). Primary tasks for the technology watch could be 1: policy support: i.e. identifying security areas/topics in need of greater European focus and feedback on outcome of enacted policy; 2: ¿technology warning¿, monitoring emerging technologies for possible side effects detrimental to societal security; 3. technology transfer support, particularly for SME¿s since they are generally not capable of fielding their own technology watch efforts. A Technology watch effort should be based on one or more already existing stakeholder networks of established European actors in the security arena ¿ a ¿club of the willing¿, containing at least 10 actors from both industry and academia. Such an organisation would need to be relied upon to be neutral and impartial, thus the work process must be fully transparent and open to scrutiny, i.e. with all conclusions traceable to their individual sources. The organisation and supporting processes need to promote speed and flexibility, in particular in order to help accelerate the standardisation process of emerging technologies and solutions.JRC.G.6-Security technology assessmen

Cancellation of spin and orbital magnetic moments in (delta)-Pu: theory

Density functional theory (DFT), in conjunction with the fixed-spin-moment (FSM) method, spin-orbit coupling (SO), and orbital polarization (OP), is shown to retain key features of the conventional DFT treatment of {delta}-Pu while at the same time not producing the substantial net magnetic moments commonly predicted by this theory. It is shown that when a small adjustment of the spin moment (less than 20%) is allowed, a complete spin- and orbital-moment cancellation occurs which results in a zero net magnetic moment in {delta}-Pu. This minor modification, accomplished by the FSM method, is shown to have a very small effect on the calculated total energy as well as the electron density-of-states (DOS). The photoemission spectra (PES), obtained from the DOS of the present model, compares equal or better to measured spectra, than that of two other recent non-magnetic models for {delta}-Pu

Phase stability in heavy f-electron metals from first-principles theory

The structural phase stability of heavy f-electron metals is studied by means of density-functional theory (DFT). These include temperature-induced transitions in plutonium metal as well as pressure-induced transitions in the trans-plutonium metals Am, Cm, Bk, and Cf. The early actinides (Th-Np) display phases that could be rather well understood from the competition of a crystal-symmetry breaking mechanism (Peierls distortion) of the 5f states and electrostatic forces, while for the trans-plutonium metals (Am-Cf) the ground-state structures are governed by 6d bonding. We show in this paper that new physics is needed to understand the phases of the actinides in the volume range of about 15-30 {angstrom}{sup 3}. At these volumes one would expect, from theoretical arguments made in the past, to encounter highly complex crystal phases due to a Peierls distortion. Here we argue that the symmetry reduction associated with spin polarization can make higher symmetry phases competitive. Taking this into account, DFT is shown to describe the well-known phase diagram of plutonium and also the recently discovered complex and intriguing high-pressure phase diagrams of Am and Cm. The theory is further applied to investigate the behaviors of Bk and Cf under compression