Logarithmic Relaxation in a Kinetically Constrained Model

We present Monte Carlo simulations in a modification of the north-or-east-or-front model recently investigated by Berthier and Garrahan [J. Phys. Chem. B 109, 3578 (2005)]. In this coarse-grained model for relaxation in supercooled liquids, the liquid structure is substituted by a three-dimensional array of cells. A spin variable is assigned to each cell, with values 0 or 1 denoting respectively unexcited and excited local states in a mobility field. Change in local mobility (spin flip) for a given cell is permitted according to kinetic constraints determined by the mobilities of neighboring cells. In this work we keep the same kinetic constraints of the original model, but we introduce two types of cells (denoted as "fast'' and "slow'') with very different rates for spin flip. As a consequence, fast and slow cells exhibit very different relaxation times for spin correlators. While slow cells exhibit standard relaxation, fast cells display anomalous relaxation, characterized by a concave-to-convex crossover in spin correlators by changing temperature or composition. At intermediate state points logarithmic relaxation is observed over three time decades. These results display striking analogies with dynamic correlators reported in recent simulations on a bead-spring model for polymer blends.Comment: Major changes. To be published in Journal of Chemical Physic

Inflation risks and inflation risk premia

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit data well, but are often critisized for lacking economic interpretation. Using survey inflation risks, we show that perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling for a large number of macro and financial factors. JEL Classification: G12, E31, E43Affine term structure models, inflation compensation, inflation risk, inflation risk premia, inflation risks, state-space modelling

What drives euro area break-even inflation rates?

The yield spread between nominal and inflation-linked bonds (or break-even inflation rates, BEIR) is a fundamental indicator of inflation expectations (and associated premia). This paper investigates which macroeconomic and financial variables explain BEIRs. We evaluate a large number of potential explanatory variables through Bayesian model selection techniques and document their explanatory power at different horizons. At short horizons, actual inflation dynamics is the main determinant of BEIRs. At long horizons, financial variables (i.e. term spread, bond market volatility) become increasingly relevant, but confidence and cyclical indicators remain important. JEL Classification: C11, C52, E31Bayesian model selection, break-even inflation rates, business cycle indicators, inflation risk premia

Reporting biases and survey results: evidence from European professional forecasters

Using data from the ECB's Survey of Professional Forecasters, we investigate the reporting practices of survey participants by comparing their point predictions and the mean/median/mode of their probability forecasts. We find that the individual point predictions, on average, tend to be biased towards favourable outcomes: they suggest too high growth and too low inflation rates. Most importantly, for each survey round, the aggregate survey results based on the average of the individual point predictions are also biased. These findings cast doubt on combined survey measures that average individual point predictions. Survey results based on probability forecasts are more reliable. JEL Classification: C42, E27, E47point estimates, subjective probability distributions, survey methods, Survey of Professional Forecasters (SPF)