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Journal of Systems Science and Information 2023年第5期11卷 604-621页

作者： Xiao CUI Mo YIN Kun GUO Yijing WANG School of Economics and Management University of Chinese Academy of SciencesBeijing 100190China Research Center on Fictitious Economy&Data Science Chinese Academy of ScienceBeijing 100190China

The bond market is an important market for investment and financing in China’s economic sectors,and also an important part of the monetary policy framework.The internal transmission of bond market is an important part of market interest rate transmission,which iscritical to the effectiveness of monetary policy.However,few scholars have studied the characteristics of interest rate transmission in China.An in-depth study of the interest rate transmission mechanism and its dynamic evolution between different bond markets is conducive to clarify the pulse of transmission within Chinese bond market and to further unblock the transmission mechanism of monetary policy.From the perspective of system theory and based on the analysis method of granger causality complex network,this paper finds that the interest rate transmission among various varieties in China’s bond market is relatively significant.Treasury bonds and CDB bonds are the two core bond varieties of interest rate transmission in the bond market.Simultaneously,this study concludes that the medium and long-term interest rate played a dominant role in the transmission of market interest rate during the easing phase of monetary policy,while the short-term interest rate played a dominant role in the transmission of market interest rate during the tightening phase of monetary policy.This paper also gives enlightenment and suggestions.

关键词： bond market interest rate transmission mechanism granger causality complex network

Theta Oscillations Support Prefrontal-hippocampal Interactions in Sequential Working Memory

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Neuroscience Bulletin 2024年第2期40卷 147-156页

作者： Minghong Su Kejia Hu Wei Liu Yunhao Wu Tao Wang Chunyan Cao Bomin Sun Shikun Zhan Zheng Ye Institute of Psychology Chinese Academy of SciencesBeijing 100101China Department of Psychology University of Chinese Academy of SciencesBeijing 100049China Department of Neurosurgery Center for Functional NeurosurgeryRuijin HospitalShanghai Jiao Tong University School of MedicineShanghai 200025China Institute of Neuroscience Center for Excellence in Brain Science and Intelligence TechnologyChinese Academy of SciencesShanghai 200031China

The prefrontal cortex and hippocampus may support sequential working memory beyond episodic memory and spatial navigation.This stereoelectroencephalography(SEEG)study investigated how the dorsolateral prefrontal cortex(DLPFC)interacts with the hippocampus in the online processing of sequential information.Twenty patients with epilepsy(eight women,age 27.6±8.2 years)completed a line ordering task with SEEG recordings over the DLPFC and the hippocampus.Participants showed longer thinking times and more recall errors when asked to arrange random lines clockwise(random trials)than to maintain ordered lines(ordered trials)before recalling the orientation of a particular line.First,the ordering-related increase in thinking time and recall error was associated with a transient theta power increase in the hippocampus and a sustained theta power increase in the DLPFC(3–10 Hz).In particular,the hippocampal theta power increase correlated with the memory precision of line orientation.Second,theta phase coherences between the DLPFC and hippocampus were enhanced for ordering,especially for more precisely memorized lines.Third,the theta band DLPFC→hippocampus influence was selectively enhanced for ordering,especially for more precisely memorized lines.This study suggests that theta oscillations may support DLPFC-hippocampal interactions in the online processing of sequential information.

关键词： Sequential working memory Hippocampus Dorsolateral prefrontal cortex Theta oscillations Stereoelectroencephalography(SEEG) Phase coherence granger causality

Insurance market density and economic growth in Eurozone countries:the granger causality approach

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Financial Innovation 2017年第1期3卷 214-237页

作者： Rudra P.Pradhan Saurav Dash Rana Pratap Maradana Manju Jayakumar Kunal Gaurav Vinod Gupta School of Management Indian Institute of TechnologyKharagpur 721302India KL University Andhra Pradesh 522502India

Background:This study examines the relationship between insurance market density(IMD)and economic growth.Methods:We employed granger causality technique in 19 Eurozone countries for the period 1980-2014.We use three different indicators of IMD,namely life insurance density,non-life insurance density,and total insurance density.We particularly emphasize on whether granger causality runs between IMD and economic growth both ways,one way,or not at all.Results:Our empirical result recognizes the presence of both unidirectional and bidirectional causality between insurance market density and economic growth.However,these results are mostly non-uniform across Eurozone countries.Conclusions:This study holds important policy implications-economic policies should recognize the differences in the insurance market density and economic growth in order to maintain sustainable economic growth in the Eurozone.

关键词： Insurance market density Economic growth granger causality Eurozone countries

Japan’s Relative GDP and Positions in Services Trade:Co-integration and granger causality tests based on linear VEC models

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Japan’s Relative GDP and Positions in Services Trade:Co-int...

Investigating the impact of the COVID-19 pandemic on crime incidents number in different cities

2019年第四届经济与企业管理国际学术会议

作者： Yu Hong Yu-meng Yang Kexuan Yu Ai-jing Hu College of International Trade and Economics Jilin University of Finance and Economics College of Humanities and Sciences Northeast Normal University

This study explores the nexus among the Japanese trade in services to world trade and the economic development.Assuming that the relationship is linear,short-run granger causality indicates that the export position negatively granger causes the Japanese GDP relative to the world;the relative GDP exerts positive effects on the import position,and the export granger causes the import position with negative effects while granger causality runs from the later to the former with positive effects,and;the relative GDP positively granger causes the Japanese import position.In the long-run,Wald tests show that the co-integration relationship granger causes both the relative GDP and the import position in services,and;both export and import positions granger cause the relative GDP,and both the relative GDP and the export position granger cause the Japanese import position,all with positive effects.The export position in services seems to be exogenous to the model system,probably because of the policy interference of export facilitation.

关键词： Japan granger causality trade in services relative GDP time series analysis

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Journal of Safety Science and Resilience 2022年第4期3卷 340-352页

作者： Miaomiao Hou Zhaolong Zeng Xiaofeng Hu Jinming Hu School of Information Technology and Cyber Security People’s Public Security University of ChinaBeijing 102628China

The COVID-19 pandemic is strongly affecting many aspects of human life and society around the world.To investigate whether this pandemic also influences crime,the differences in crime incidents numbers before and during the pandemic in four large cities(namely Washington DC,Chicago,New York City and Los Angeles)are investigated.Moreover,the granger causal relationships between crime incident numbers and new cases of COVID-19 are also examined.Based on that,new cases of COVID-19 with significant granger causal correlations are used to improve the crime prediction performance.The results show that crime is generally impacted by the COVID-19 pandemic,but it varies in different cities and with different crime types.Most types of crimes have seen fewer incidents numbers during the pandemic than before.Several granger causal correlations are found between the COVID-19 cases and crime incidents in these cities.More specifically,crime incidents numbers of theft in Washington DC,Chicago and New York City,fraud in Washington DC and Los Angeles,assault in Chicago and New York City,and robbery in Los Angeles and New York City,are significantly granger caused by the new case of COVID-19.These results may be partially explained by the Routine Activity theory and Opportunity theory that people may prefer to stay at home to avoid being infected with COVID-19 during the pandemic,giving fewer chances for crimes.In addition,involving new cases of COVID-19 as a variable can slightly improve the performance of crime prediction in terms of some specific types of crime.This study is expected to obtain deeper insights into the relationships between the pandemic and crime in different cities,and to provide new attempts for crime prediction during the pandemic.

关键词： COVID-19 pandemic Crime incidents numbers Crime prediction granger causality Long short-term memory network

Industry return lead‑lag relationships between the US and other major countries

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Financial Innovation 2023年第1期9卷 1055-1102页

作者： Ana Monteiro Nuno Silva Helder Sebastiao CeBER Faculty of EconomicsUniv CoimbraAv Dias da Silva 1653004‑512 CoimbraPortugal

In this study,we analyze the lead-lag relationships between the US industry index and those of six other major countries from January 1973 to May 2021.We identify the leading role played by the US internationally by showing that the weekly returns of US industries,especially the US basic materials and energy industries,significantly granger cause the returns of most other countries’industries,suggesting that non-US industries react with some delay to new information.This delayed reaction is even more notice-able during periods of recession in the US when cross-country correlations are higher.This implies that the ability of the lagged returns of US industries to predict industries’returns from other countries is even more pronounced when the US experienced an economic recession.A similar asymmetric relationship is found between the volatil-ity of US industries and that of industries in other markets.The analysis of causality in the distribution of returns and volatility shows that causality runs mainly from the US to other countries,particularly in the presence of extreme negative shocks.Finally,we demonstrate that our predictions are valuable to real-world investors.Long-short strategies generate sizable and statistically significant alphas,and a constant relative risk-averse investor obtains certainty equivalent returns well above the risk-free rate.

关键词： International diversification Industry equity indexes granger causality causality in distribution

Lane changing and congestion are mutually reinforcing?

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Communications in Transportation Research 2023年第1期3卷 140-149页

作者： Yang Gao David Levinson School of Civil Engineering The University of SydneySydney2006Australia

This study presents a comprehensive analysis of the relationship between congestion and lane changing,using vehicle trajectory data from the M1 motorway in Sydney.We establish a connection between the distribution of travel time and lane changing frequency and employ a Poisson process to describe the intensity of lane changing occurrences in different travel time ranges.From an individual perspective,lane changing does not bring significant speed benefits in most cases,except when the speed range is between 45 and 50 km/h.From a system perspective,the relationship between lane change rate and speed depends on the purpose of the lane changes.In merging,diverging,and lane restriction areas,for instance,mandatory lane changes dominate.In most sections of the motorway,discretionary lane changes are motivated by the expectation of improving speed and/or safety.Additionally,we demonstrate a mutual causality relationship between lane changing and congestion through the granger causality test.This relationship is more pronounced in general areas during peak periods and contributes to the deterioration of the driving environment.

关键词： Lane changing Congestion Poisson process granger causality

Changes of Effective Connectivity in the Alpha Band Characterize Differential Processing of Audiovisual Information in Cross-Modal Selective Attention

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Neuroscience Bulletin 2020年第9期36卷 1009-1022页

作者： Weikun Niu Yuying Jiang Xin Zhang Tianzi Jiang Yujin Zhang Shan Yu Brainnetome Center Institute of AutomationChinese Academy of SciencesBeijing 100190China National Laboratory of Pattern Recognition Institute of AutomationChinese Academy of SciencesBeijing 100190China Center for Excellence in Brain Science and Intelligence Technology Chinese Academy of SciencesBeijing 100190China University of Chinese Academy of Sciences Beijing 100049China

Cross-modal selective attention enhances the processing of sensory inputs that are most relevant to the task at hand.Such differential processing could be mediated by a swift network reconfiguration on the macroscopic level,but this remains a poorly understood process.To tackle this issue,we used a behavioral paradigm to introduce a shift of selective attention between the visual and auditory domains,and recorded scalp electroencephalographic signals from eight healthy participants.The changes in effective connectivity caused by the cross-modal attentional shift were delineated by analyzing spectral granger causality(GC),a metric of frequency-specific effective connectivity.Using data-driven methods of pattern-classification and feature-analysis,we found that a change in the a band(12 Hz-15 Hz) of GC is a stable feature across different individuals that can be used to decode the attentional shift.Specifically,auditory attention induces more pronounced information flow in the α band,especially from the parietal-occipital areas to the temporal-parietal areas,compared to the case of visual attention,reflecting a reconfiguration of interaction in the macroscopic brain network accompanying different processing.Our results support the role of α oscillation in organizing the information flow across spatially-separated brain areas and,thereby,mediating cross-modal selective attention.

关键词： Human EEG Audiovisual selective attention granger causality Pattern classification

Impact of the COVID‑19 outbreak on the US equity sectors:Evidence from quantile return spillovers

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Financial Innovation 2021年第1期7卷 300-322页

作者： Syed Jawad Hussain Shahzad Elie Bouri Ladislav Kristoufek Tareq Saeed Montpellier Business School University of MontpellierMontpellier Research in ManagementMontpellierFrance South Ural State University ChelyabinsRussian Federation Adnan Kassar School of Business Lebanese American UniversityBeirutLebanon Institute of Information Theory and Automation The Czech Academy of SciencesPragueCzech Republic Institute of Economic Studies Faculty of Social SciencesCharles UniversityPragueCzech Republic Nonlinear Analysis and Applied Mathematics(NAAM)‑Research Group Department of MathematicsFaculty of ScienceKing Abdulaziz UniversityJeddahSaudi Arabia

The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak.To this end,we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns.Notably,we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the network.The results show that the network structure and spillovers differ considerably with respect to the market state.During stable times,the network shows a nice sectoral clustering structure which,however,changes dramatically for both adverse and beneficial market conditions constituting a highly connected network structure.The pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well separated.The sectoral topology thus has not collapsed into a unified market during the pandemic.

关键词： Quantile return spillovers US equity sector indices COVID-19 outbreak granger causality Global risk aversion

Neural mechanisms of top-down divided and selective spatial attention in visual and auditory perception

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Brain Science Advances 2023年第2期9卷 95-113页

作者： Zhongtian Guan Meng Lin Qiong Wu Jinglong Wu Kewei Chen Hongbin Han Dehua Chui Xu Zhang Chunlin Li School of Biomedical Engineering Capital Medical UniversityBeijing 100069China Beijing Advanced Innovation Center for Big Data-based Precision Medicine Capital Medical UniversityBeijing 100069China Beijing Key Laboratory of Fundamental Research on Biomechanics in Clinical Application Capital Medical UniversityBeijing 100069China Peking University First Hospital Beijing 100034China Biomedical Engineering Laboratory Graduate School of Natural Science and TechnologyOkayama University3-1-1 Tsushima-nakaOkayamaJapan Key Laboratory of Biomimetic Robots and Systems Ministry of EducationBeijing Institute of TechnologyBeijing 100081China Computational Image Analysis Banner Alzheimer’s Institute and Banner Good Samaritan Medical CentrePET CentrePhoenixAZ 85006USA Radiology Peking University Third HospitalBeijing 100191China Neuroscience Research Institute/Peking University Third Hospital Beijing 100191China

Top-down attention mechanisms require the selection of specificobjects or locations;however,the brain mechanism involved when attention is allocated across different modalities is not well understood.The aim of this study was to use functional magnetic resonance imaging to define the neural mechanisms underlyingdivided and selective spatial attention.A concurrent audiovisual stimulus was used,and subjects were prompted to focus on a visual,auditory and audiovisual stimulus in a Posner paradigm.Ourbehavioral results confirmed the better performance of selectiveattention compared to devided attention.We found differences in the activation level of the frontoparietal network,visual/auditorycortex,the putamen and the salience network under differentattention conditions.We further used granger causality(GC)toexplore effective connectivity differences between tasks.Differences in GC connectivity between visual and auditory selective tasksreflected the visual dominance effect under spatial attention.In addition,our results supported the role of the putamen inredistributing attention and the functional separation of the saliencenetwork.In summary,we explored the audiovisual top-down allocation of attention and observed the differences in neuralmechanisms under endogenous attention modes,which revealedthe differences in cross-modal expression in visual and auditory attention under attentional modulation.

关键词： top-down mechanism divided spatial attention selective spatial attention fMRI granger causality