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

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

Reflections on Networking & Information Exchange: Dealing with Sensitive Data amongst Public and Private Actors

In this report we reflect upon possible issues that need to be considered before embarking on creating a partnership or network where a main objective is the exchange of sensitive information. To this end, we try to provide a brief overview of types of information exchange partnerships, and suggest various aspects that those embarking on a partnership should first review. The second part of this report is devoted to highlighting operational ("soft") issues that need to be kept in mind, such as national legal and regulatory frameworks and trust issues. In the third part we sketch some technical aspects that may have an impact.JRC.G.6 - Sensors, radar technologies and cybersecurit

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.

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

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

Structural and Magnetic Properties of Trigonal Iron

First principles calculations of the electronic structure of trigonal iron were performed using density function theory. The results are used to predict lattice spacings, magnetic moments and elastic properties; these are in good agreement with experiment for both the bcc and fcc structures. We find however, that in extracting these quantities great care must be taken in interpreting numerical fits to the calculated total energies. In addition, the results for bulk iron give insight into the properties of thin iron films. Thin films grown on substrates with mismatched lattice constants often have non-cubic symmetry. If they are thicker than a few monolayers their electronic structure is similar to a bulk material with an appropriately distorted geometry, as in our trigonal calculations. We recast our bulk results in terms of an iron film grown on the (111) surface of an fcc substrate, and find the predicted strain energies and moments accurately reflect the trends for iron growth on a variety of substrates.Comment: 11 pages, RevTeX,4 tar'd,compressed, uuencoded Postscript figure

Anharmonicity-induced isostructural phase transition of Zirconium under pressure

We have performed a detailed x-ray diffraction structural study of Zr under pressure and unambiguously identify the existence of a first-order isostructural bcc-to-bcc phase transition near 58 GPa. First-principles quantum molecular dynamics lattice dynamics calculations support the existence of this phase transition, in excellent agreement with experimental results, triggered by anharmonic effects. Our results highlight the potential ubiquity of anharmonically driven isostructural transitions within the periodic table under pressure and calls for follow-up experimental and theoretical studies