Money-flow Computations

The standard input–output relationships are complemented by monetary stock-flow data. The flow of money is described as a Markov chain. Its ergodic state is equivalent to the economic equilibrium. The definition of the latter requires thus neither labour-theoretic nor marginalist assumptions. The Fisher equation for the velocity of money circulation can be expressed in this input–output context. The average velocity and its dispersion are then determined. The theorems are illustrated on a 5×5 sector Hungarian matrix.     

New methods for analyzing structural models of labor force dynamics

The economic theory of decision-making under uncertainty is used to produce three econometric models of dynamic discrete choice: (1) for a single spell of unemployment; (2) for an equilibrium two-state model of employment and non-employment; (3) for a general three-state model with a non-market sector. The paper provides a structural economic motivation for the continuous time Markov (or more generally ‘competing risks’) model widely used in longitudinal analysis in biostatistics and sociology, and it extends previous work on dynamic discrete choice to a continuous time setting. An important feature of identification analysis is separation of economic parameters that can only be identified by assuming arbitrary functional forms from economic parameters that can be identified by non-parametric procedures. The paper demonstrates that most econometric models for the analysis of truncated data are non-parametrically under-identified. It also demonstrates that structural estimators frequently violate standard regularity conditions. The standard asymptotic theory is modified to account for this essential feature of many structural models of labor force dynamics. Empirical estimates of an equilibrium two-state model of employment and non-employment are presented.     

FORMASY FOrecasting and Recruitment in MAnpower Systems

In this paper the tools are developed for forecasting and recruitment planning in a graded manpower system. Basic features of the presented approach are:
- the system contains several grades or job categories in which the employees stay for a certain time before being promoted or leaving the system,
- promotability and leaving rate for any employee depend on time spent in the job category and personal qualifications (like education, experience, age),
- recruitment is not necessarily restricted to the lowest level in the system,
- several planning aims and restrictions are allowed.
The approach is based on a generalized Markov model for the dynamic behaviour of an individual employee. A forecasting procedure and a recruitment-scheduling procedure are based on this Markov model.     

Continuous and discrete models in finance,in particular for stochastic interest rates

The paper explains a general method for constructing interest rate models in discrete time. The relevant term structure can be computed recursively in the Markovian case with finite state space. Calculations become particularly easy for binary and ternary tree structures.It is instructive to look at the diffusion limits of such Markov Chains. This diffusion limit does not inherit all properties of the Markov Chain which it approximates.     

RANDOM WALKS ON REGULAR POLYHEDRA AND OTHER DISTANCE–REGULAR GRAPHS

In this paper we consider Markov chains of the following type: the state space is the set of vertices of a connected, regular graph, and for each vertex transitions are to the adjacent vertices, with equal probabilities. When the mean first–passage matrix F of such a Markov chain is symmetric, the expectation and variance of first–entrance times, recurrence times, number of visits to a vertex and the expectation of the number of different vertices visited, can easily be computed from the entries of F. The method is most effective, when the underlying graph is distance–regular; then F is symmetric and the entries of F can easily be obtained from the graph.     

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

We consider a general jump-diffusion market with regime-switching where the jump risk is modeled as a Markov-modulated Poisson random measure. In this incomplete market, we price the variance-swaps using a combination of the Esscher transform and change of measure on time-inhomogeneous Markov chains. We study the dynamic optimal investment problem of the variance-swaps and characterize the optimal feedback strategy. Moreover, a closed-form solution to the HJB PDE associated with the stochastic control problem is established and the verification theorem is proved. The numerical analysis based on a two-state Markov chain uncovers some robust features of the optimal investment strategy.     

Optimale hoeveelheid machinegereedschap

In this article the following problem is discussed: a machine is working continuously, while the shops repairing its tools, work only for a certain time of the week.
The chance of stopping, owing to shortage of tools ready for use, is determined as a function of the total number of tools present. Concluding, the stopping costs of the machine are balanced against the carrying costs of the tools.     

Financial conditions and monetary policy in the US

We examine the FED’s monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability concerns enter monetary policy formulations in the US. We model nonlinearity in monetary policy by a Markov regime-switching model. The results show that the monetary policy implemented by the FED can be characterized as a two-state Markov process and financial instability significantly increases the likelihood of regime-switching from a “tranquil” to a “distressed” regime. Moreover, the likelihood of a switch in the FED’s monetary policy regime between tranquil and distressed seems to increase when a certain threshold level of the financial conditions index is reached. Finally, our results seem to be robust to alternative specifications of the reaction function and different forms of non-linearity.     

Efficiency aggregation with enhanced Russell measures in data envelopment analysis

In aggregation for data envelopment analysis (DEA), a jointly determined aggregate measure of output and input efficiency is desired that is consistent with the individual decision making unit measures. An impasse has been reached in the current state of the literature, however, where only separate measures of input and output efficiency have resulted from attempts to aggregate technical efficiency with the radial measure models commonly employed in DEA. The latter measures are “incomplete” in that they omit the non-zero input and output slacks, and thus fail to account for all inefficiencies that the model can identify. The Russell measure eliminates the latter deficiency but is difficult to solve in standard formulations. A new approach has become available, however, which utilizes a ratio measure in place of the standard formulations. Referred to as an enhanced Russell graph measure (ERM), the resulting model is in the form of a fractional program. Hence, it can be transformed into an ordinary linear programming structure that can generate an optimal solution for the corresponding ERM model. As shown in this paper, an aggregate ERM can then be formed with all the properties considered to be desirable in an aggregate measure—including jointly determined input and output efficiency measures that represent separate estimates of input and output efficiency. Much of this paper is concerned with technical efficiency in both individual and system-wide efficiency measures. Weighting systems are introduced that extend to efficiency-based measures of cost, revenue, and profit, as well as derivatives such as rates of return over cost. The penultimate section shows how the solution to one model also generates optimal solutions to models with other objectives that include rates of return over cost and total profit. This is accomplished in the form of efficiency-adjusted versions of these commonly used measures of performance.     

Proposal for the Use of the Input–Output Approach in the Analysis of the Structure of Interdisciplinary Relationships

There exists a close similarity between the input–output structure of a national economy and the structure of the system of scientific knowledge. The flow of commodities between the different disciplines is analogous to the flow of goods and services between industries. The so-called citation indexes listing the subjects of articles published in different scientific journals and references made in them to articles published in other journals can be used to construct input–output tables describing the interrelationship between the creation and use of different scientific ideas.     

The Evolution of Production Structures,Analyzed by a Multi-layer Procedure

In this paper, a new method of so-called qualitative input–output analysis is outlined, which is called minimal flow analysis (MFA). It extracts the characteristic production structure given in an input–output table, on the basis of anendogenized threshold value. Formally, this is achieved by the binarization of the entries of different table layers which are reformulated according to the Eulerian sequence. The condensed characteristic structure of the economy is then obtained by means of graph theoretical methods. The new method is able to uncover production structures, even in highly aggregated tables. If applied to a chronological sequence of tables, as shown for German tables 1978–88 in detail, the MFA method can disclose the evoluton of sectoral structures.     

An Overview of Input-Output Analysis Applied to Production-Inventory Systems

Input-Output Analysis, together with the Laplace transform, have been applied to multi-level, multi-period production-inventory systems in a number of papers. This article gives a historical overview of the areas involved in these studies. It is shown that the input and output matrices as well as the Leontief inverse can be generalised to include timing properties for the inputs by means of the Laplace transform. The consequent advantages are exemplified in different production models, treating, for instance, capacity requirements and safety stock problems. The main literature in this field concerns assembly systems, but the approach is easily applicable to process industries with a divergent material flow or when feedback is essential.     

某市卷烟物流配送中心收货入库环节可靠性研究

本文利用可修复系统的可用度分析方法对该物流系统的收货入库环节进行可靠性分析,提出了一种基于Markov过程的离散系统可靠性模型,对Markov状态转移方程进行求解,从而得出了求解该系统稳态有效度和故障率的计算公式。通过计算对该系统的可靠性进行了评价。     

Queues with batch poisson arrivals and hyper-exponential service time distribution

Summary We consider in this paper the transient behaviour of the queuing system in which (i) the input, following a Poisson distribution, is in batches of variable numbers; (ii) queue discipline is ‘first come first served’, it being assumed that the batches are pre-ordered for service purposes; and (iii) service time distribution is hyper-exponential withn branches. The Laplace transform of the system size distribution is determined by applying the method of generating functions, introduced in queuing theory byBailey [1]. However, assuming steady state conditions to obtain, the problem is completely solved and it is shown that by suitably defining the traffic intensity factor,ϱ, the value,p ₀, of the probability of no delay, remains the same in this case of batch arrivals also as in the case of single arrivals. The Laplace transform of the waiting time distribution is also calculated in steady state case from which the mean waiting time may be calculated. Some of the known results are derived as particular cases.     

会计:一个从微观上计量投入与产出确定经济效益的工具

会计是一个通过从微观上计量投入与产出、进而确定微观主体经济效益的工具,确定微观主体的经济效益是会计本质的规定性,也是会计的最终目的。会计是以分类计价的方法通过对微观主体的投入与产出进行计量,间接确定经济效益的。会计核算方法其实就是一个微观主体确定经济效益的特定方法体系。从会计的本质来看,会计是永不会消亡的;会计的边界是对投入与产出进行管理以微观主体的提高经济效益。     

The Credibility of Hong Kong's Currency Board System: Looking Through the Prism of MS‐VAR Models with Time‐Varying Transition Probabilities

This paper employs a Markov regime‐switching VAR model to describe and analyse the time‐varying credibility of Hong Kong's currency board system. The endogenously estimated discrete regime shifts are made dependent on macroeconomic fundamentals. This enables us to determine which changes in macroeconomic variables can trigger switches between the low and high credibility regimes. We carry out extensive testing to search for the most appropriate specification of the Markov regime‐switching model. We find strong evidence of regime switching behaviour that portrays the time‐varying nature of credibility in the historical data.     

稳增长和调结构双重目标下的我国产业投资战略导向研究

本文基于投入产出理论,从稳增长和调结构的视角,将产业投资决策表现为产业投资依赖度、产业投资效率两个状态指标,从而使产业投资决策成为一个具备完全时间内容和空间意义的系统决策。通过变结构控制动态投入产出模型识别各产业对投资的依赖度,通过DEA(数据包络分析)模型识别各产业当前的投资效率,并通过BCG(波士顿矩阵)模型综合分析产业的外部投资环境依赖度和内部投资效率,进一步判断在投资环境发生变化时如何采取合适的产业投资战略。     

On the Functional Form of an Efficiency Index

An input efficiency index gives a numeric assessment of the degree to which a given input combination falls short of being efficient in producing a fixed amount of output. This paper presents a system of axioms which characterise a certain family of efficiency indices containing the well-known Farrell and Färe-Lovell indices. The family of indices satisfying the axioms can be obtained by minimizing a suitable function, called a performance evaluation, and different choices of performance evaluation will result in different indices.     

Labor market entry and earnings dynamics: Bayesian inference using mixtures‐of‐experts Markov chain clustering

This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns between discrete earnings states in a large administrative dataset. Further, we investigate the effects of labor market conditions at the time of entry on the probability of belonging to each transition type. To estimate our statistical model we use a model‐based clustering approach. The statistical challenge in our application comes from the difficulty in extending distance‐based clustering approaches to the problem of identifying groups of similar time series in a panel of discrete‐valued time series. We use Markov chain clustering, which is an approach for clustering discrete‐valued time series obtained by observing a categorical variable with several states. This method is based on finite mixtures of first‐order time‐homogeneous Markov chain models. In order to analyze group membership we present an extension to this approach by formulating a probabilistic model for the latent group indicators within the Bayesian classification rule using a multinomial logit model. Copyright © 2011 John Wiley & Sons, Ltd.