利率期限结构的马尔科夫区制转移模型与实证分析

本文在利率期限结构中通过纳入马尔科夫(Markov)区制转移,将传统CKLS模型推广到更为一般的状态相依的CKLS模型,并将之应用于对我国1996年1月至2006年3月银行间同业拆借市场六组不同到期日之月度加权平均利率的研究。通过模型估计和检验分析,我们发现在不同区制下不同到期日利率漂移函数和扩散函数均呈现非线性,其中漂移函数表现为强烈的随机游走过程或均值回归过程,而扩散函数表现为低波动状态或高波动状态。此外,结果表明不同到期日利率期限结构可由缩压的马尔科夫区制转移CKLS模型获得。     

Testing For and Dating Common Breaks in Multivariate Time Series

This paper develops methods for constructing asymptotically valid confidence intervals for the date of a single break in multivariate time series, including I(0) , I(1) , and deterministically trending regressors. Although the width of the asymptotic confidence interval does not decrease as the sample size increases, it is inversely related to the number of series which have a common break date, so there are substantial gains to multivariate inference about break dates. These methods are applied to two empirical examples: the mean growth rate of output in three European countries, and the mean growth rate of U.S. consumption, investment, and output.     

A Markov–switching vector equilibrium correction model of the UK labour market

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive Markov-switching model in which some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by one cointegrating vector relating unemployment to trend-adjusted real wages and output. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes (representing recession, normal growth, and high growth) provides a good characterization of the sample data, and performs well relative to alternative linear and non-linear models. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established, and demonstrate the advantages of generating regime dependent responses. First Version Received: December 2000/Final Version Received: August 2001     

Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach

We empirically investigate the effects of inflation uncertainty on output growth for the United States between 1960 and 2012. Modeling output dynamics within a Markov regime switching framework, we provide evidence that inflation uncertainty exerts a negative and regime‐dependent impact on output growth. A battery of sensitivity checks confirm our findings.     

中国真实利率的平稳性和区制性:基于马尔科夫区制转换模型

通过引入三种均值方差都可能不同的区制,并基于改进的马尔科夫区制转换模型对1989年2月至2010年4月中国真实利率演变的考察,结果表明不同阶段的真实利率的确存在不同的均值和方差;考虑到区制转换特征之后,真实利率大体平稳,有均值回复趋势。而以往的应用中,忽略了这种区制转换特征可能导致对真实利率预测值的系统性偏差。     

A Bayesian Approach To Testing for Markov-Switching in Univariate and Dynamic Factor Models

Though Hamilton's (1989) Markov-switching model has been widely estimated in various contexts, formal testing for Markov-switching is not straightforward. Univariate tests in the classical framework by Hansen (1992) and Garcia (1998) do not reject the linear model for GDP. We present Bayesian tests for Markov-switching in both univariate and multivariate settings based on sensitivity of the posterior probability to the prior. We find that evidence for Markov-switching, and thus the business cycle asymmetry, is stronger in a switching version of the dynamic factor model of Stock and Watson (1991) than it is for GDP by itself.     

Multivariate Mixed Models for Open-Ended Contingent Valuation Data: Willingness To Pay For Conservation of Monk Seals

Although dichotomous choice (DC) contingent valuation (CV) has been recommended by the US NOAA 'blue-ribbon' panel for large-scale contingent valuation studies, useful information can still be obtained from smaller, open-ended (OE) studies, often undertaken as a precursor to a DC survey. The CV study considered here was carried out in Greece and looked at willingness-to-pay (WTP) for protecting the Mediterranean monk seal (Monachus-monachus) in the Aegean area. This is the most endangered seal in the world, and the application of the CV methodology was the first such application in Greece. The OE data consist of two responses: first, a binary response detailing whether or not respondents were in principle prepared to pay for the protection of this seal; secondly, those respondents who answered 'yes' to the first question were then asked to state their maximum WTP for such protection. A multivariate binomial – log-normal mixture model is used to develop a bid function including explanatory variables such as income, sex, age and education. Such a modelling approach provides an alternative to more commonplace tobit estimation. However, the model is extended to include further information which was collected on:(a) an increased WTP amount given in response to information that the initial WTP amount may not be enough to prevent the extinction of the seal;(b) respondents were asked to divide their final WTP amount between use, option and existence values, the latter requiring a multivariate model with four binary and four continuous responses per individual in the same model.The discussion focuses on the methodological issues raised with some comment on the substantive interpretation of results.     

我国货币政策对股票价格的影响——基于Markov区制转换VAR模型的实证分析

本文利用1996年1月～2010年4月的数据,运用MSIH(2)-VAR(4)模型和脉冲响应分析不同区制下货币政策对股票价格的影响。发现利用非线性模型是合理的,并在不同区制下货币政策工具对股票价格的影响效果在时间、方向和程度上表现不同,同时,对于上证A股和深证A股影响也是不同的。对于货币供应量,在股市低迷期,它的变化会立即正向影响到股票价格,但在股市膨胀期,则滞后1个月后才会正向影响股票价格;对于银行信贷,在股市低迷期,它的提高并不能提高股价,而在股市膨胀期,它的提高才会使股价上扬;对于利率,在两个区制下,它的提高都会使股价下跌,并且在滞后1个月才会表现出来。但是,相比较而言,利率对股票市场的影响在股市膨胀期效果更明显。并且总体上货币政策对股市的影响较大,尤其是在股票低迷期。     

Health and economic impact of PHiD-CV in Canada and the UK: a Markov modelling exercise

Abstract

Objective:

The spectrum of diseases caused by Streptococcus pneumoniae and non-typeable Haemophilus influenzae (NTHi) represents a large burden on healthcare systems around the world. Meningitis, bacteraemia, community-acquired pneumonia (CAP), and acute otitis media (AOM) are vaccine-preventable infectious diseases that can have severe consequences. The health economic model presented here is intended to estimate the clinical and economic impact of vaccinating birth cohorts in Canada and the UK with the 10-valent, pneumococcal non-typeable Haemophilus influenzae protein D conjugate vaccine (PHiD-CV) compared with the newly licensed 13-valent pneumococcal conjugate vaccine (PCV-13).

Methods:

The model described herein is a Markov cohort model built to simulate the epidemiological burden of pneumococcal- and NTHi-related diseases within birth cohorts in the UK and Canada. Base-case assumptions include estimates of vaccine efficacy and NTHi infection rates that are based on published literature.

Results:

The model predicts that the two vaccines will provide a broadly similar impact on all-cause invasive disease and CAP under base-case assumptions. However, PHiD-CV is expected to provide a substantially greater reduction in AOM compared with PCV-13, offering additional savings of Canadian $9.0 million and £4.9 million in discounted direct medical costs in Canada and the UK, respectively.

Limitations:

The main limitations of the study are the difficulties in modelling indirect vaccine effects (herd effect and serotype replacement), the absence of PHiD-CV- and PCV-13-specific efficacy data and a lack of comprehensive NTHi surveillance data. Additional limitations relate to the fact that the transmission dynamics of pneumococcal serotypes have not been modelled, nor has antibiotic resistance been accounted for in this paper.

Conclusion:

This cost-effectiveness analysis suggests that, in Canada and the UK, PHiD-CV’s potential to protect against NTHi infections could provide a greater impact on overall disease burden than the additional serotypes contained in PCV-13.     

中间投入品进口、产品转换与企业要素禀赋结构升级

本文构建了一个引入多要素投入和中间投入品要素密度差异的一般均衡贸易模型,分析企业进口中间投入品及其产品转换行为对企业要素禀赋结构的影响。结论表明:高生产率企业更倾向于进口中间投入品;企业会根据中间投入品要素密度调整进口种类的数量与规模,发生产品转换行为;通过进口产品转换,中间投入品生产要素流动引起企业要素密度的变动,最终提升企业的要素禀赋结构。经验研究显示,进口中间投入品提升了企业资本密度大约40个百分点,进口产品转换则提升了企业资本密度大约26个百分点。企业通过进口的二元边际提升资本密度,但扩展边际的作用要大于集约边际。因此,通过进一步的贸易自由化、便利化,减少企业中间投入品进口及其进行产品转换的外部政策约束,将有助于提升企业的要素禀赋结构,并进而改善整个经济体的生产与贸易结构,最终推动中国贸易发展的转型与升级。     

A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models

This article extends the work of Hansen and Jagannathan by showing how to decompose approximation errors in stochastic discount factor models by frequency. This decomposition is applied to a number of consumption-based discount factor models in order to investigate how well they fit at low frequencies. There is some evidence of improved fit at low frequencies, but only in models with high degrees of risk aversion. In models with low degrees of risk aversion, approximation errors at low frequencies are just as severe as those at high frequencies.     

中国电力周期与经济周期的协同性——基于Markov区制转移模型

采用1978—2015年中国电力消费和国内生产总值的年度数据,基于"三区制"马尔科夫区制转移模型,研究了电力消费和经济增长的动态转变过程,识别和划分了改革开放后中国电力周期和经济周期的阶段,并分析了两者在不同阶段的协同性。结果表明:电力周期和经济周期均具有低速增长期、稳定增长期和高速增长期三个区制转移特征;电力消费在低速增长期和高速增长期的波动性明显高于GDP,而在稳定增长期的波动性则显著小于GDP;20世纪80年代中期以前,是电力周期和经济周期的静态协同期;20世纪80年代中后期,两者处于非协同期;之后,两者处于显著的跨区制动态协同期,且处于协同期的电力周期与经济周期在时间上表现出较高的一致性。     

Stationary Markov equilibria for overlapping generations

Summary.  At a stationary Markov equilibrium of a Markovian economy of overlapping generations, prices at a date-event are determined by the realization of the shock, the distribution of wealth and, with production, the stock of capital. Stationary Markov equilibria may not exist; this is the case with intra-generational heterogeneity and multiple commodities or long life spans. Generalized Markov equilibria exist if prices are allowed to vary also with the realization of the shock, prices and the allocation of consumption and production at the predecessor date-event. (Stationary) Markov -equilibria always exist; as allocations and prices converge to equilibrium prices and allocations that, however, need not be stationary.Received: 2 March 2004, Revised: 2 April 2004, JEL Classification Numbers:   D50, D52, D60, D80, D90.Correspondence to: Felix KublerWe thank participants in seminars in Athens and Lund, at Penn, at IMPA and at Stanford, the 2002 CEME (NBER) General Equilibrium Conference and the 2002 SED meetings, and especially Martin Hellwig, George Mailath and an anonymous referee for very helpful comments.     

Multivariate multiple regression modelling for technology analysis

Technology analysis is important for technology management areas such as research and development strategy and new product development. So many studies on technology analysis have been used across a diverse array of fields. Most of these were based on patent analysis, which analyses patent documents using text mining and statistics. The studies on conventional patent analyses constructed models consisting of various independent variables (technologies) and one dependent variable. But in reality, we have to consider a model that includes several dependent variables at the same time, because most technologies influence each other. In this paper, we propose a methodology for patent analysis that reflects the various response technologies simultaneously. We perform multivariate multiple regression modelling in order to efficiently conduct our technology analysis. To show how our modelling can be applied to realistic context, we carry out a case study using the patent documents related to three-dimensional printing technology.     

Disability and self-employment: evidence for the UK

This article examines the self-employment decision for disabled and nondisabled workers in the UK. Using Labour Force Survey (LFS) data, it is found that self-employment may provide an important means by which those with work-limiting disabilities can accommodate their impairment.     

Nonlinear interest rate reaction functions for the UK

We empirically analyze Taylor-type equations for short-term interest rates in the United Kingdom using quarterly data from 1970Q1 to 2006Q2. Starting from strong evidence against a simple linear Taylor rule, we model nonlinearities using logistic smooth transition regression (LSTR) models. The LSTR models with time-varying parameters consistently track actual interest rate movements better than a linear model with constant parameters. Our preferred LSTR model uses lagged interest rates as a transition variable and suggests that in times of recessions the Bank of England puts more weight on the output gap and less so on inflation. A reverse pattern is observed in non-recession periods. Parameters of the model change less frequently after 1992, when an inflation target range was announced. We conclude that for the analysis of historical monetary policy, the LSTR approach is a viable alternative to linear reaction functions.     

Problems and Prospects for the UK Economy*

Spokesmen for Ms Thatcher's government have repeatedly stated that the British economy was 'the sick man of Europe' in the years before 1979; a policy of demand management in pursuit of full employment had brought only temporary relief, whereas her government's firm policy aimed at a long-term cure. This article considers how far this diagnosis was correct, what the new policies were, how the economy has fared in the light of these policies and the development of North Sea oil and why things turned out that way. It concludes with a brief assessment of future prospects.     

The UK demand for steel

The paper suggests a short-run model of the demand for steel that may be used for forecasting future trends. The paper commences with consideration of a long-run model which is estimated using cointegration analysis. An error correction model is then developed to depict the short-run movements to equilibrium. This can be used for the purpose of ex-post forecasting.