Cross-country evidence on the relation between equity prices and the current account

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980-2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have a limited impact, shocks to equity prices have sizeable effects. The results suggest that equity prices impact on the current account through their effects on real activity and exchange rates. Furthermore, shocks to exchange rates play a key role as well. Keywords: current account fluctuations, equity prices, panel vector autoregressio

Cross-country evidence on the relation between stock prices and the current account

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have little effects, shocks to stock prices and exchange rates have sizeable effects. A 10% contraction in stock prices improves the current account by 0.3% after two years. Hence I find a channel, in addition to the traditional exchange rate channel, through which external balance for an OECD country with a current account imbalance can be restored

Precision matrix expansion - efficient use of numerical simulations in estimating errors on cosmological parameters

Computing the inverse covariance matrix (or precision matrix) of large data vectors is crucial in weak lensing (and multi-probe) analyses of the large scale structure of the universe. Analytically computed covariances are noise-free and hence straightforward to invert, however the model approximations might be insufficient for the statistical precision of future cosmological data. Estimating covariances from numerical simulations improves on these approximations, but the sample covariance estimator is inherently noisy, which introduces uncertainties in the error bars on cosmological parameters and also additional scatter in their best fit values. For future surveys, reducing both effects to an acceptable level requires an unfeasibly large number of simulations. In this paper we describe a way to expand the true precision matrix around a covariance model and show how to estimate the leading order terms of this expansion from simulations. This is especially powerful if the covariance matrix is the sum of two contributions, $\smash{\mathbf{C} = \mathbf{A}+\mathbf{B}}$, where $\smash{\mathbf{A}}$ is well understood analytically and can be turned off in simulations (e.g. shape-noise for cosmic shear) to yield a direct estimate of $\smash{\mathbf{B}}$. We test our method in mock experiments resembling tomographic weak lensing data vectors from the Dark Energy Survey (DES) and the Large Synoptic Survey Telecope (LSST). For DES we find that $400$ N-body simulations are sufficient to achive negligible statistical uncertainties on parameter constraints. For LSST this is achieved with $2400$ simulations. The standard covariance estimator would require >$10^5$ simulations to reach a similar precision. We extend our analysis to a DES multi-probe case finding a similar performance.Comment: 14 pages, submitted to mnra

Cross-country evidence on the relation between stock prices and the current account

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have little effects, shocks to stock prices and exchange rates have sizeable effects. A 10% contraction in stock prices improves the current account by 0.3% after two years. Hence I find a channel, in addition to the traditional exchange rate channel, through which external balance for an OECD country with a current account imbalance can be restored.current account fluctuations, stock prices, panel VAR

Do monetary and technology shocks move euro area stock prices?

I use a Bayesian vector autoregressive (VAR) model to investigate the impact of monetary and technology shocks on the euro area stock market in 1987-2005. I find an important role for technology shocks, but not monetary shocks, in explaining variations in real stock prices. The identification method is flexible enough to study the effects of technology news shocks. The responses are consistent with the idea that news on technology improvements have an immediate impact on stock prices. These findings are robust to several modelling choices, including the productivity measure, omitted variables, and the identifying restrictions.monetary policy, technology shocks, news, stock prices, Bayesian VAR

Technology news and the U.S. economy: Time variation and structural changes

This paper examines the time varying impact of technology news shocks on the U.S. economy during the Post-World War II era using a structural time varying parameter vector autoregressive (TVP-VAR) model. The identification restrictions are derived froma standard new Keynesian dynamic stochastic general equilibrium (DSGE) model and hold for a wide range of parameter constellations. In addition, the set of restrictions is sufficient to discriminate technology news shocks from other supply and demand side disturbances - technology surprise shocks among them. Overall, there is little evidence that the variance of technology news shocks or their transmission to real activity and inflation has changed over time. However, I detect significant time variation in the endogenous monetary policy reaction to technology news shocks; responding strongly to inflation most of the time, but less during the Great Inflation period. The evidence of this paper thus supports the hypothesis that the high inflation rates of the mid and late 1970s were the result of bad policy rather than bad luck.technology news shocks, business cycles, monetary policy, DSGE models, structural time varying parameter VARs

Guide to Spectral Proper Orthogonal Decomposition

This paper discusses the spectral proper orthogonal decomposition and its use in identifying modes, or structures, in flow data. A specific algorithm based on estimating the cross-spectral density tensor with Welch’s method is presented, and guidance is provided on selecting data sampling parameters and understanding tradeoffs among them in terms of bias, variability, aliasing, and leakage. Practical implementation issues, including dealing with large datasets, are discussed and illustrated with examples involving experimental and computational turbulent flow data

On Constructing Persistent Identifiers with Persistent Resolution Targets

Persistent Identifiers (PID) are the foundation referencing digital assets in scientific publications, books, and digital repositories. In its realization, PIDs contain metadata and resolving targets in form of URLs that point to data sets located on the network. In contrast to PIDs, the target URLs are typically changing over time; thus, PIDs need continuous maintenance -- an effort that is increasing tremendously with the advancement of e-Science and the advent of the Internet-of-Things (IoT). Nowadays, billions of sensors and data sets are subject of PID assignment. This paper presents a new approach of embedding location independent targets into PIDs that allows the creation of maintenance-free PIDs using content-centric network technology and overlay networks. For proving the validity of the presented approach, the Handle PID System is used in conjunction with Magnet Link access information encoding, state-of-the-art decentralized data distribution with BitTorrent, and Named Data Networking (NDN) as location-independent data access technology for networks. Contrasting existing approaches, no green-field implementation of PID or major modifications of the Handle System is required to enable location-independent data dissemination with maintenance-free PIDs.Comment: Published IEEE paper of the FedCSIS 2016 (SoFAST-WS'16) conference, 11.-14. September 2016, Gdansk, Poland. Also available online: http://ieeexplore.ieee.org/document/7733372

Using a model for telluric absorption in full-spectrum fits

The typical approach for removing telluric absorption lines from a science spectrum is to divide it by the spectrum of a standard star of spectral type A or B observed close in time and airmass. We present a new method, where we use a model for the transmission of the Earth's atmosphere in a full-spectrum fit, which determines the parameters for the stellar and Earth's atmosphere simultaneously. This eliminates the need of a standard star completely.Comment: 4 pages, 3 figures, International Workshop on Stellar Spectral Libraries 201

A Bridge Too Far: The United Kingdom and the Transatlantic Relationship

For the past fifty years, British foreign policy has attempted to act as a 'bridge' between the continental European governments and US administrators. The end of the Cold War did not change this stance. First by John Major and more significantly by Tony Blair, British Prime Ministers continued to declare Britain's intent to remain 'at the heart of Europe' while also maintaining its 'special relationship' with the US. The period from September 11th 2001 to the invasion of Iraq, however, has severely shaken this concept as the British government has given its strong support to American policy. The argument of this chapter is that Prime Minister Blair's firm support came more from his personal conviction that Saddam Hussein's regime was a threat to global security than from his commitment to transatlantic cooperation under all circumstances. His support also resulted from the British preference for seeking influence within Washington through offering public support while moderating the direction of American policy through private criticism. Blair's double commitment to Europe and America, however, has created a diplomatic dilemma by deepening the level of distrust among its European partners about Britain's real intentions in the EU while also leaving its foreign policy success dependent on Washington's willingness to work with its NATO partners.U.K.; international relations