The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance

We study the daily response of T-Bond yields to the news in a large set of macroeconomic releases over the sample running from January 1997 to September 2010. The full-sample results show that the yields react systematically to a set of news consisting of the soft data, which have very short publication lags, and the most timely hard data, with the employment report being the most important release. Further looking at sub-samples over the pre-Great Recession period reveals that parameter instability in terms of absolute and relative size of yields response to news, as well as significance, is present. The often cited dominance to markets of the employment report has been evolving over time, as the size of the yields reaction to it was steadily increasing. Over the most recent crisis period, however, there has been an overall switch in the relative importance of soft and hard data compared to the pre-crisis period, with the later becoming more important even if less timely. Moreover, the scope of hard data to which markets react to has increased and is more balanced in terms of size of the response, hence less concentrated on the employment report.News, Real-Time Data, Term Structure

Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters

This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth using Giannone, Reichlin and Small (2008) factor model framework which enables one to handle unbalanced datasets as available in real-time. To this end, we have constructed a novel real-time database of vintages from October 2000 to June 2010 for a panel of US variables, and can hence reproduce, for any given day in that range, the exact information that was available to a real-time forecaster. We track the daily evolution throughout the current and next quarter of the model nowcasting performance. Similarly to Giannone et al. pseudo realtime results, we find that the precision of the nowcasts increases with information releases. Moreover, the Survey of Professional Forecasters (SPF) does not carry additional information with respect to the model best specification, suggesting that the often cited superiority of the SPF, attributable to judgment, is weak over our sample. Then, as one moves forward along the real-time data flow, the continuous updating of the model provides a more precise estimate of current quarter GDP growth and the SPF becomes stale compared to all the model specifications. These results are robust to the recent recession period.Real-time data, Nowcasting, Forecasting, Factor model.

Real-time nowcasting of GDP: Factor model versus professional forecasters

This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth using Giannone, Reichlin and Small (2008) factor model framework which enables one to handle unbalanced datasets as available in real-time. To this end, we have constructed a novel real-time database of vintages from October 2000 to June 2010 for a rich panel of US variables, and can hence reproduce, for any given day in that range, the exact information that was available to a real-time forecaster. We track the daily evolution throughout the current and next quarter of the model nowcasting performance. Analogously to Giannone et al. (2008) pseudo real-time results, we find that the precision of the nowcasts increases with information releases. Furthermore, the Survey of Professional Forecasters (SPF) does not carry additional information with respect to the model best specification, suggesting that the often cited superiority of the SPF, attributable to judgment, is weak over our sample. Then, as one moves forward along the real-time data flow, the continuous updating of the model provides a more precise estimate of current quarter GDP growth and the SPF becomes stale compared to all the model specifications. These results are robust to the recent recession period.Real-time data; Nowcasting; Forecasting; Factor model

Exceptional points in the elliptical three-disk scatterer using semiclassical periodic orbit quantization

The three-disk scatterer has served as a paradigm for semiclassical periodic orbit quantization of classical chaotic systems using Gutzwiller's trace formula. It represents an open quantum system, thus leading to spectra of complex eigenenergies. An interesting general feature of open quantum systems described by non-Hermitian operators is the possible existence of exceptional points where not only the complex eigenvalues but also their respective eigenvectors coincide. Using Gutzwiller's periodic orbit theory we show that exceptional points exist in a three-disk scatterer if the system's geometry is modified by extending the system from circular to elliptical disks. The extension is implemented in such a way that the system's characteristic $C_{3\mathrm{v}}$ symmetry is preserved. The two-dimensional parameter plane of the system is then spanned by the distance between and the excentricity of the elliptical disks. As typical signatures of exceptional points we observe the permutation of two resonances when an exceptional point is encircled in parameter space, and a non-Lorentzian resonance line shape in the weighted density of states.Comment: 7 pages, 7 figures, 1 tabl

Particle velocity experiments in anorthosite and gabbro

Shock wave experiments were conducted in San Gabriel anorthosite and San Marcos gabbra 10 11 GPa using a 40 mm-borne propellant gun. Particle velocities were measured directly at several points in each target by means of electromagnetic gauges. Hugoniot states were calculated by determining shock-transit time from the gauge records. Sound speeds indicate a loss of shear strength upon sock compression for both rocks, with the strength loss persisting upon release to zero stress om the anorthosite. Stress-density release paths in the anorthosite indicate possible transformation of albite to jadeite + (quartz or coesite), with the amount of material transformed increasing as a function of shock stress. Electrical interferene effects in the gabbro precluded the determination of accurate release paths for the rock

Radiant heating simulation final report

Radiant heating simulation - radiant heat inputs for manned missions, flight parameters, and radiation source evaluatio

A diffusion of innovation model modified for educational technology working with coaches and physical education teachers

Bibliography: p. 329-34