Editorial

Abstract

In this editorial we summarize and comment on the papers published in issue 7.2. The papers reviewed are ‘Informal Sector and Manufacturing Location: In Search of the Missing Links’ by Michiel Gerritse &; Ana Moreno-Monroy; ‘Testing for Unit Roots and Cointegration in Spatial Cross-Section Data’ by Michael Beenstock, Dan Feldman &; Daniel Felsenstein; ‘Concentration of Economic Activity: Inequality-Based Measures' by Olga Alonso-Villar &; Coral Del Río; ‘The Influence of Geography on the Spatial Agglomeration of Production in the European Union’ by Coro Chasco, Ana Lopez &; Rachel Guillain; and ‘FDI Location across British Regions and Agglomerative Forces: A Markov Analysis’ by Colin Wren &; Jonathan Jones.

RÉSUMÉ Dans cet éditorial, nous résumons les communications publiées dans le numéro 7.2, et présentons des commentaires sur ces communications. Les communications examinées sont les suivantes?: «?Secteur informel et localisation de la fabrication: à la recherche des liens manquants?», par Michiel Gerritse &; Ana Moreno-Monroy; «?Essais pour les racines unitaires et co-intégration sur des informations d’échantillons spatiaux?», par Michael Beenstock, Dan Feldman &; Daniel Felsenstein; «?Concentration de l'activité économique?: mesures basées sur l'inégalité?», par Olga Alonso-Villar &; Coral Del Río?; «?Influence de la géographie sur l'agglomération spatiale de la production dans l'Union européenne?», par Coro Chasco, Ana Lopez &; Rachel Guillain?; et «?Situation des FDI dans les régions britanniques et forces d'agglomération?: une analyse de Markov?», par Colin Wren &; Jonathan Jones.

EXTRACTO En esta editorial resumimos y hacemos comentarios sobre estudios publicados en la edición 7.2. Los estudios revisados son: ‘Sector informal y emplazamiento de la fabricación: en busca de los eslabones perdidos’ de Michiel Gerritse &; Ana Moreno-Monroy; ‘Pruebas de raíces unitarias y cointegración en datos espaciales de sesgo transversal’ de Michael Beenstock, Dan Feldman &; Daniel Felsenstein; ‘Concentración de actividad económica: medidas basadas en la desigualdad’ de Olga Alonso-Villar &; Coral del Río; ‘La influencia de la geografía en la aglomeración espacial de la producción en la Unión Europea’ de Coro Chasco, Ana López &; Rachel Guillain; y, ‘Localización de IED a través de regiones británicas y fuerzas aglomerativas: un análisis Markov’ de Colin Wren &; Jonathan Jones.

     

马尔可夫性及其检验方法研究

马尔可夫链广泛应用于信息论、自动控制、通信技术、基因遗传、计算机科学、经济管理、教育管理、市场预测等领域,马尔可夫性是其最基本特征,因此,在运用马尔可夫链进行预测时,必须对预测对象以往的统计数据资料构成的随机变量序列的马尔可夫性进行检验,只有符合马尔可夫性,才能利用马尔可夫链进行预测,才能保证预测精度。本文探讨了马氏性的概念及性质,研究了马尔可夫性的检验方法,通过实例对该检验方法进行了分析。     

Transition matrix models of consumer credit ratings

Although the corporate credit risk literature includes many studies modelling the change in the credit risk of corporate bonds over time, there has been far less analysis of the credit risk for portfolios of consumer loans. However, behavioural scores, which are calculated on a monthly basis by most consumer lenders, are the analogues of ratings in corporate credit risk. Motivated by studies of corporate credit risk, we develop a Markov chain model based on behavioural scores for establishing the credit risk of portfolios of consumer loans. Although such models have been used by lenders to develop models for the Basel Accord, nothing has been published in the literature on them. The model which we suggest differs in many respects from the corporate credit ones based on Markov chains — such as the need for a second order Markov chain, the inclusion of economic variables and the age of the loan. The model is applied using data on a credit card portfolio from a major UK bank.     

基于马尔可夫区制转移模型的流动性协动效应研究

历次金融危机都伴随着流动性水平的共同下降,流动性协动效应为金融危机提供潜在的动力.文章旨在研究个股与市场、行业与市场间的流动性协动效应的状态依赖特征;研究方法采用了 Markov 区制转移的向量自回归模型,随机选取了30只样本股与市场流动性水平作为研究对象;研究结果发现个股与市场流动性水平的协动性存在非对称效应,市场下跌时其协动效应更加显著,并对这一结果进行了稳健性检验.此外,基于Markov区制转移模型对行业间与市场间流动性协动效应进行研究,结果表明,在市场持续下跌时,行业与市场间以及行业之间均存在显著的流动性协动效应;然而,在非持续下跌过程中,行业间却存在流动性互补关系,并结合中国证券市场的实际情况分析了流动性协动效应产生的原因.     

基于MSVAR模型的房地产通货膨胀效应研究

笔者运用Markov区制转移模型对我国房地产波动的通货膨胀效应进行研究,发现我国房地产波动的通胀效应具有区制依赖性特点:通货膨胀率预期成分在低速增长区制和中速增长区制阶段,均显著影响房地产收益率,并且方向相反;在三个区制中通货膨胀率的周期成分均显著影响房地产波动,在高速发展阶段房地产波动的通胀效应表现为"代理假说",其余阶段均表现为"费雪假说"。     

基于马尔可夫过程的组织知识转移效果评测

在对知识转移过程进行分析的基础上,知识转移整个过程可以划分为转移准备阶段、转移阶段和转移结束阶段;本研究将该过程看作一个具有吸收态的马尔可夫过程,运用马尔可夫原理对两个知识源的知识发送过程进行跟踪,并对整个过程进行评价,最终得出知识转移成功的概率。     

信用风险建模中的随机过程

信用风险建模中广泛使用跳跃过程描述违约和等级转移事件,从信用风险的角度研究跳跃过程的基本概念和性质十分必要。泊松过程用来描述一般动态变化,而复合的及广义双重随机泊松过程用来描述非时齐动态变化。相关实例和模拟研究有助于更好的理解信用风险随机过程的特征并正确建模。     

Equilibria in systems of social interactions

In this paper, we establish existence and uniqueness results for equilibria in systems with an infinite number of agents and with local and global social interactions. We also examine the structure of the equilibrium distribution and derive a “Markov”property for the equilibrium distribution of a class of spatially homogeneous systems.     

Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data.

The present paper assesses whether monetary policy effects are asymmetric over the business cycle by estimating a univariate model for GDP including additionally the first difference of the 3-month Austrian interest rate as a measure for monetary policy. The asymmetry of the effects is captured by allowing for state-dependent parameters where the latent state variable follows a Markov switching process. The model is estimated within a Bayesian framework using Markov Chain Monte Carlo simulation methods. Model selection and specification tests are performed by means of marginal likelihood. The results document significant negative effects of monetary policy during periods of below-average growth, while the effect seems insignificant during periods of normal or above-average growth. These results corroborate those derived in theoretical models assuming price rigidities and implying a convex supply curve. Additionally, the concern of using appropriate state-identifying restrictions is raised to obtain an unbiased posterior inference. Finally, the analysis concludes by assessing the robustness of the results with respect to alternative measures of monetary policy. First Version Received: December 2000/Final Version Received: May 2001     

Perfect foresight models and the dynamic instability problem from a higher viewpoint

Dynamic macroeconomic models incorporating perfect foresight expectations can display a dynamic instability of the saddle point type. So that unless the initial values happen to place the system on the stable arm of the saddle point, the economic variables will diverge ever more from the equilibrium. We consider the dynamic instability problem in a simple model of monetary dynamics which is non-linear and assumes adaptive expectations which are characterized by an expectations time lag. This model is shown to have a stable limit cycle. By considering perfect foresight as the limit as the expectations time lag tends to zero we are able to view the perfect foresight model from a dimension higher than that from which is it is normally viewed. We are thus able to see that the stable limit cycle continues to exist for the perfect foresight model as well. In this framework there is no longer a dynamic instability problem since whatever the intial values time paths are tending to the stable limit cycle.