Migration matrices are considered a major determinant for credit risk management. They are widely used for credit value-at-risk determination, portfolio management or derivative pricing. It is well known that migration matrices show strong variations and cyclical behavior through time. We...

This paper is about the distributional dynamics of net household income in Germany, the US and the UK. We reject the common wisdom that Germany is a country in statsis: stable cross-sectional distributions are deceptive, concealing substantial movements beneath the surface. The US and the UK...

When measuring poverty with counting measures, are there conditions ensuring that poverty reduction not only reduces the average poverty score further but also decreases deprivation inequality among the poor more, thereby emphasizing improvements among the poorest of the poor? In the case of a...

This Study examines the earnings mobility of Canadian immigrants using the large IMDB microdata file. We examine earnings transition matrices of immigrants over ten years after landing in Canada for three landing cohorts – 1982, 1988, and 1994. Immigrants also arrive under four separate...

The mobility of immigrants’ earnings and their experience in getting ahead in the Canadian labour market are reflection of the general state of economic opportunity in Canada. High or increasing degrees of upward mobility of earnings may indicate increasing opportunities for economic...

Despite the manifold utilities of monitoring credit default rates, little attention is usually devoted to the underlying default definition. This paper proposes working simultaneously with different default severities, related to several past-due ranges, by means of transition matrices (to be...

This paper reconsiders the evolution of the growth of American cities since 1790 in light of new theories of urban growth. Our null hypothesis for long-term growth is random growth. We obtain evidence supporting random growth against the alternative of mean reversion (convergence) in city sizes...

Between the 1870s and World War II, falls in world shipping costs and Western industrialisation gave rise to export-led Southeast Asian growth and specialization in a narrow range of primary commodity exports.  A linked development was the emergence of a few dominant Southeast Asian urban...

In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Markov chain model for credit rating. A transition matrix is estimated by a linear combination of the prior estimate of the transition matrix and the empirical transition matrix. These estimates can...