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The Transition From Relational To Legal Contract Enforcement, Fali Huang
The Transition From Relational To Legal Contract Enforcement, Fali Huang
Research Collection School Of Economics
This paper studies the transition of contract enforcement institutions. The prevalence of relational contracts, low legal quality, strong cultural preference for personalistic relationships, low social mobility, and highly unequal endowment form a cluster of mutually reinforcing institutions that hinder economic development. The cultural element per se does not necessarily reduce social welfare though it may slow down the legal development, while the real problem lies in endowment inequality and low social mobility. Thus a more equal distribution of resources may be the ultimate key to unravel the above interlocking institutions. These results are generally consistent with the empirical evidence.
Analysing Survey Data With Incomplete Responses By Using A Method Based On Empirical Likelihood, Denis H. Y. Leung, Jing Qin
Analysing Survey Data With Incomplete Responses By Using A Method Based On Empirical Likelihood, Denis H. Y. Leung, Jing Qin
Research Collection School Of Economics
In many surveys, missing response is a common problem. As an example, Zahner, Jacobs, Freeman and Trainor analysed data from a study of child psychopathology in the State of Connecticut, USA. In that study, the response variable, psychopathology, was inferred from questions that were addressed to teachers of the children and was subject to a high level of missingness. However, the missing responses were supplemented by surrogate information that was provided by the parents and/or the primary care providers of the children. In such a situation, it is conceivable that the supplemental information can be used to recover some of …
Profile Likelihood Estimation Of Partially Linear Panel Data Models With Fixed Effects, Liangjun Su, Aman Ullah
Profile Likelihood Estimation Of Partially Linear Panel Data Models With Fixed Effects, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We consider consistent estimation of partially linear panel data models with fixed effects. We propose profile-likelihood-based estimators for both the parametric and nonparametric components in the models and establish convergence rates and asymptotic normality for both estimators.
External Debt, Adjustment, And Growth, Roberto S. Mariano, Delano Villanueva
External Debt, Adjustment, And Growth, Roberto S. Mariano, Delano Villanueva
Research Collection School Of Economics
High ratios of external debt to GDP in selected Asian countries have contributed to the initiation, propagation, and severity of the financial and economic crises in recent years, reflecting runaway fiscal deficits and excessive foreign borrowing by the private sector. More importantly, the servicing of large debt stocks has diverted scarce resources from investment and long-term growth.
Forecasting The Global Electronics Cycle With Leading Indicators: A Bayesian Var Approach, Hwee Kwan Chow, Keen Meng Choy
Forecasting The Global Electronics Cycle With Leading Indicators: A Bayesian Var Approach, Hwee Kwan Chow, Keen Meng Choy
Research Collection School Of Economics
Developments in the global electronics industry are typically monitored by tracking indicators that span a whole spectrum of activities in the sector. However, these indicators invariably give mixed signals at each point in time, thereby hampering attempts at prediction. In this paper, we propose a unified framework for forecasting the global electronics cycle by constructing a VAR model that captures the economic interactions between putative leading indicators representing expectations, orders, inventories and prices. The ability of the indicators to presage world semiconductor sales is first examined by Granger causality tests. Subsequently, an impulse response analysis confirms the leading qualities of …
Functional Form And Spatial Dependence In Dynamic Panels, Zhenlin Yang, Chen Wei Li, Yiu Kuen Tse
Functional Form And Spatial Dependence In Dynamic Panels, Zhenlin Yang, Chen Wei Li, Yiu Kuen Tse
Research Collection School Of Economics
This paper proposes a generalized dynamic error component model that simultaneously accounts for the effects of functional form and spatial dependence. Maximum likelihood method is used for model estimation and inference. An empirical illustration using the demand for cigarettes data is given.
Expectations, Animal Spirits, And Evolutionary Dynamics, Angelo Antoci, Massimiliano Landi, Pier Luigi Sacco
Expectations, Animal Spirits, And Evolutionary Dynamics, Angelo Antoci, Massimiliano Landi, Pier Luigi Sacco
Research Collection School Of Economics
We consider a (deterministic) evolutionary model where players have dynamic expectations about the strategy distribution. We provide a global analysis of the co-evolution of play and expectations for a generic two-by-two game. Besides the the typical indeterminacy of the evolutionary dynamics, we find some other ones: for any initial strategy configuration the dynamics can converge to any asymptotically stable fixed point, for different initial values of the expectations. Moreover, starting from the same initial pair of strategy configuration and values of expectations, the dynamics may lead to different asymptotically stable fixed points for different parameters of the expectations.
Employee Screening: Theory And Evidence, Fali Huang, Peter Cappelli
Employee Screening: Theory And Evidence, Fali Huang, Peter Cappelli
Research Collection School Of Economics
Arguably the fundamental problem faced by employers is how to elicit effort from employees. Most models suggest that employers meet this challenge by monitoring employees carefully to prevent shirking. But there is another option that relies on heterogeneity across employees, and that is to screen job candidates to find workers with a stronger work ethic who require less monitoring. This should be especially useful in work systems where monitoring by supervisors is more difficult, such as teamwork systems. We analyze the relationship between screening and monitoring in the context of a principal-agent model and test the theoretical results using a …
Underpriced Default Spread Exacerbates Market Crashes, Winston T. H. Koh, Roberto S. S. Mariano, Andrey Pavlov, Sock Yong Phang, Augustine H. H. Tan, Susan M. Wachter
Underpriced Default Spread Exacerbates Market Crashes, Winston T. H. Koh, Roberto S. S. Mariano, Andrey Pavlov, Sock Yong Phang, Augustine H. H. Tan, Susan M. Wachter
Research Collection School Of Economics
In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the “underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced. Furthermore, only one of the countries in our sample continues to exhibit the underpricing symptom following a market crash. This indicates that market crashes have a cleansing effect and eliminate underpricing at least for a period of time. This makes …
Multivariate Stochastic Volatility: A Review, Manabu Asai, Michael Mcaleer, Jun Yu
Multivariate Stochastic Volatility: A Review, Manabu Asai, Michael Mcaleer, Jun Yu
Research Collection School Of Economics
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely, (i) asymmetric models, (ii) factor models, (iii) time-varying correlation models, and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and …
Singapore's Transition To Innovation-Based Economic Growth: Infrastructure, Institutions And Government's Role, Winston T. H. Koh
Singapore's Transition To Innovation-Based Economic Growth: Infrastructure, Institutions And Government's Role, Winston T. H. Koh
Research Collection School Of Economics
Technological progress and innovation plays a central role in a country's economic progress. As an economy advances to the global technological frontier and narrows the technological gap, an innovation-based growth strategy that focuses on investments in R&D and technology creation offers the greatest potential for economic growth. In this paper, we discuss the requirements for a successful transition, in terms of changes to the technology infrastructure, economic institutions and the incentives' structure. This paper outlines the efforts made by Singapore to re-make itself as an innovation-based economy, and the challenges faced by the government in transforming the nation's infrastructure and …
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Research Collection School Of Economics
This article studies a set of yield curve trading strategies that are based on the view that the yield curve mean reverts to an unconditional curve. These mean-reverting trading strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-reverting strategies were found to have significant positive profits. Furthermore, the profitability of one of these strategies significantly outperforms, on a risk-adjusted basis, alternative strategies of an investment bond or equity index.
The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
Research Collection School Of Economics
The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we decompose house prices in China into fundamental and non−fundamental components. We also consider potential nonlinear feedback from the historical growth rate of house prices on the current house prices and propose a semiparametric approach to estimate the speculative components in the model. We demonstrate that the non−fundamental part contributes a relatively …
Effects Of Technological Improvement In The Ict Producing Sector On Business Activity, Hian Teck Hoon, Edmund S. Phelps
Effects Of Technological Improvement In The Ict Producing Sector On Business Activity, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
It seems to be taken for granted by many commentators that the sharp decline in prices of computers, telecommunications equipment and software resulting from the technological improvements in the information and communications technology (ICT)-producing sector is good for jobs and is a major driving force behind the non-inflationary employment miracle and booming stock market in the latter half of the nineties in the U.S. and their recurrence since 2004. We show that, in our model, a technical improvement in the ICT-producing sector by itself cannot explain a simultaneous increase in employment and a rise in firms’ valuation (or Tobin’s Q …
How Well Can We Target Resources With Quick-And-Dirty Data?: Empirical Results From Cambodia, Tomoki Fujii
How Well Can We Target Resources With Quick-And-Dirty Data?: Empirical Results From Cambodia, Tomoki Fujii
Research Collection School Of Economics
Proverty reduction is a top priority for international organizations, governments and non-gorvernmental organizations. The aid resources available for poverty reduction are, however, severely constrained in many countries. Minimizing the leakage of aid resources to the non-poor is a key to maximize poverty reduction with the limited amount of resources available. One Way to minimize such leakage to to target resources geographically. That is, policmakers can move resources to the poorest parts of the country. Geographic taregting can quite effective when poverty is unevenly distributed across the country, and this proves to be the case in many countries.
Central Asia's Transition After Fifteen Years: Growth And Policy Choices, Malcolm Dowling, Ganeshan Vignaraja
Central Asia's Transition After Fifteen Years: Growth And Policy Choices, Malcolm Dowling, Ganeshan Vignaraja
Research Collection School Of Economics
This paper presents a coherent and systematic analysis of the collapse and subsequent revival of the Central Asian Republics (CARs) since 1990. The focus is on the pattern of growth and structural change during the cycle of decline and subsequent revival in the CARs which have been inadequately analyzed in the literature on transition. The paper relates economic performance to initial conditions, country characteristics and policies. Within this framework, it proposes a simple typology of policies (including a new Type III set of policies on regional cooperation and industrial competitiveness) and relates them to the cycle of decline and revival …
Central Asia: Mapping Future Prospects, Malcolm Dowling, Ganeshan Wignaraja
Central Asia: Mapping Future Prospects, Malcolm Dowling, Ganeshan Wignaraja
Research Collection School Of Economics
Central Asia has emerged as one of the world’s fastest growing regions since the late 1990s and has shown notable development potential. This is significant for a region comprising largely of small landlocked economies with no access to the sea for trade. Among the advantages, of the region are its high- priced commodities (oil, gas, cotton and gold), reasonable infrastructure and human capital as legacies of Soviet rule; and a strategic location between Asia and Europe. Furthermore, many Central Asian Republics (CARs) have embarked on market-oriented economic reforms to boost economic performance and private sector competitiveness. Central Asia: Mapping Future …
Strategy Meets Evolution: Games Suppliers And Producers Play, Brishti Guha
Strategy Meets Evolution: Games Suppliers And Producers Play, Brishti Guha
Research Collection School Of Economics
Final goods producers, who may be intrinsically honest (a behavioral type) or opportunistic (strategic), play a repeated game of imperfect information with suppliers of an input of variable (and non-verifiable) quality. Returns to cheating are increasing in the proportion of intrinsically honest producers. If producers compete for another scarce input, adverse selection reduces this proportion enough to enforce universal honesty, whether at a high or a low quality equilibrium. This mechanism limits the proportion of behavioral types in the population of producers over a wide range of parameters: despite their inability to compete with opportunists, they are not wholly wiped …
Homeostasis And Well Being, Malcolm Dowling, Chin Fang Yap
Homeostasis And Well Being, Malcolm Dowling, Chin Fang Yap
Research Collection School Of Economics
The paper suggests that maintenance of a homeostatic equilibrium provides a rationale for many actions of economic agents. Homeostatic equilibrium has physical, economic, emotional, psychological and environmental dimensions. The characteristics of this equilibrium include feelings of safety, trust, connectedness with friends, family and community, and a predictable and welcoming social and work environment. Individuals generally make decisions that help them move toward and achieve this state of equilibrium. Departure from homeostasis reduces well being and stimulates agents to take actions that will return them to a state of homeostasis. This hypothesis is tested with probit analysis using sample responses from …
Functional Sunspot Equilibria, Shurojit Chatterji, Subir Chattopadhyay
Functional Sunspot Equilibria, Shurojit Chatterji, Subir Chattopadhyay
Research Collection School Of Economics
Consider a one step forward looking model where agents believe that the equilibrium values of the state variable are determined by a function whose domain is the current value of the state variable and whose range is the value for the subsequent period. An agent's forecast for the subsequent period uses the belief, where the function that is chosen is allowed to depend on the current realization of an extrinsic random process, and is made with knowledge of the past values of the state variable but not the current value. The paper provides (and characterizes) the conditions for the existence …
More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors, Liangjun Su, Aman Ullah
More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We define a three-step procedure for more efficient estimation of the nonparametric regression mean with nonparametric autocorrelated errors. The procedure is based upon a nonparametric prewhitening transformation of the dependent variable that has to be estimated from the data by a local polynomial technique. We establish the asymptotic distribution of our estimator under weak dependence conditions and show that it is more efficient than the conventional local polynomial estimator. Furthermore, we consider criterion functions based on the linear exponential family, which include the local polynomial least squares criterion as a special case. Simulation evidence suggests that significant gains can be …
A Simple Test For Multivariate Conditional Symmetry, Liangjun Su
A Simple Test For Multivariate Conditional Symmetry, Liangjun Su
Research Collection School Of Economics
This paper proposes a simple consistent nonparametric test of multivariate conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null and consistent against any conditional asymmetric distributions.
A Semi-Parametric Estimator For Censored Selection Models With Endogeneity, Myoung-Jae Lee, Francis Vella
A Semi-Parametric Estimator For Censored Selection Models With Endogeneity, Myoung-Jae Lee, Francis Vella
Research Collection School Of Economics
We propose a semi-parametric least-squares estimator for a censored-selection (type 3 tobit) model under the mean independence of the outcome equation error u from the regressors given the selection indicator and its error term ɛ. This assumption is relatively weak in comparison to alternative estimators for this model and allows certain unknown forms of heteroskedasticity, an asymmetric error distribution, and an arbitrary relationship between the u and ɛ. The estimator requires only one-dimensional smoothing on the estimate of ɛ. We generalize the estimator to allow for an endogenous regressor whose equation contains an error w related to u and discuss …
Competition Policy In Indonesia, Malcolm Dowling
Competition Policy In Indonesia, Malcolm Dowling
Research Collection School Of Economics
The Indonesian economy was dominated by the government in the decades of the 1970s and 1980s through its control of major mining, manufacturing and agricultural activities. Hill (2000) estimates that as much as 40% of non-agricultural GDP was accounted for by government entities in the late 1980s There were still a lot of government corporations up until the late 1980s and early 1990s and governmental control over the banking system was still substantial.
The Micro-Foundations Of Intertemporal Price Discrimination, Winston T. H. Koh
The Micro-Foundations Of Intertemporal Price Discrimination, Winston T. H. Koh
Research Collection School Of Economics
This paper investigates the optimality of intertemporal price discrimination for a durable-good monopoly in a model where infinitely-lived households face an intertemporal budget constraint, and consume both durable goods and non-durable goods. We prove that the optimal price of the durable good is not constant, and may decrease or increase over time. Some households may choose to purchase the durable good at a later date, and pay lower or higher prices, since the gain in discounted utility of consuming more of the non-durable good more than compensates for the loss in utility from delaying the consumption of the durable good. …
Measuring Global Poverty Right: Mission Impossible?, M. G. Quibria
Measuring Global Poverty Right: Mission Impossible?, M. G. Quibria
Research Collection School Of Economics
The international community is committed to millennium development goals which postulate a vision of global development that makes eliminating poverty and sustaining development the overriding objective of global development efforts. In the hierarchy of the MDGs, the first and foremost goal is to reduce by half, between 1990–2015, the proportion of people whose income is less than a dollar a day (a widely used yardstick to measure extreme poverty). However, estimating such poverty across developing countries and globally is by no means a simple exercise nor has it yielded unambiguous results. This article provides a brief summary of the state …
Does Governance Matter? Yes, No Or Maybe Some Evidence From Developing Asia, M. G. Quibria
Does Governance Matter? Yes, No Or Maybe Some Evidence From Developing Asia, M. G. Quibria
Research Collection School Of Economics
This paper seeks to explore the relationship between economic growth and governance performance in Asian developing economies. This exploration yields some interesting conclusions. First, notwithstanding its tremendous economic achievements, the state of governance in Asia is not stellar by international comparison. Indeed, a majority of these countries seem to suffer from a governance deficit. Second, contrary to our expectation, data do not suggest any strong positive link between governance and growth: paradoxically, countries that exhibit surpluses in governance on average grew much slower than those with deficits. The paper ends with some conjecture about this apparent paradox.
L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover
L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover
Research Collection School Of Economics
L S Penrose's Limit Theorem-which is implicit in Penrose (1952, p. 72) [Penrose, 1952. On the Objective Study of Crowd Behavior. H. K. Lewis and Co, London, p. 72] and for which he gave no rigorous proof-says that, in simple weighted voting games, if the number of voters increases indefinitely and the relative quota is pegged, then-under certain conditions-the ratio between the voting powers of any two voters converges to the ratio between their weights. Lindner and Machover (2004) [Lindner I., Machover M. 2004. L.S. Penrose's limit theorem: proof of some special cases. Mathematical Social Sciences 47, 37-49] prove some …
Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu
Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
No abstract provided.
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Research Collection School Of Economics
Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata () using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, estimation of the BCHR model is straightforward and the confidence intervals of the BCHR regression quantiles are easy to compute.