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Articles 1 - 30 of 125
Full-Text Articles in Social and Behavioral Sciences
Institutional Complementarity Across Countries In Bilateral Fdi Flows: Theory And Evidence, Pao-Li Chang
Institutional Complementarity Across Countries In Bilateral Fdi Flows: Theory And Evidence, Pao-Li Chang
Research Collection School Of Economics
This paper builds a theory to characterize the comparative advantage of MNEs based in countries of different institutional qualities. It is shown that MNEs headquartered in countries of poorer state institutions will invest more in `informal institutions; and choose to undertake FDI in countries of weaker institutions. At the aggregate, MNEs on average generate more net profits in countries of weaker institutions, the poorer the institutional environment at home. I conduct an extensive test of the theory using bilateral FDI volume for 219 economies in year 2001-2010. The results indicate a statistically significant and robust institutional complementarity effect in bilateral …
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Research Collection School Of Economics
We propose to compute the Intraday Value-at-Risk (IVaR) for stocks using real-time transaction data. Tick-by-tick data filtered by price duration are modeled using a two-state asymmetric autoregressive conditional duration (AACD) model, and the IVaR is calculated using Monte Carlo simulation based on the estimated AACD model. Backtesting results for the New York Stock Exchange (NYSE) show that the IVaR calculated using the AACD method outperforms those using the Dionne et al. (2009) and Giot (2005) methods.
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. …
Competition And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu
Competition And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu
Research Collection School Of Economics
This paper provides a quantitative analysis of gains from trade for China over the period of 1995-2004, which was when China's openness drastically improved. We decompose gains from trade in two ways. First, we disentangle pro-competitive effects from a traditional Ricardian effect. Second, we separate the effect due to tariff reductions from that due to reductions in non-tariff trade costs. Our quantitative analysis shows that the pro-competitive effects account for 25.4% of the total welfare gains from trade, whereas the allocative efficiency alone accounts for 22.3%. We also find that tariff reductions account for about 31.6% of reductions of overall …
Csi Agent On A Mission Game App, Ju Mae Rosie Ching
Csi Agent On A Mission Game App, Ju Mae Rosie Ching
Research Collection School Of Economics
CSI is a one-of-a-kind and first-ever iPad gaming app released early August, with the flash game at http://www.rosieching.com/csi. My primary objective was to realize my dreamed-up “MISSION STATISTICS” theme for students to apply their skills in hypothesis tests and linear regression. Another is the incorporation of their CSI results into an “enrichment 5%” of their grades. The harder an agent works, the higher his score, the sweeter the fruit of the labour which students always show massive enthusiasm for. It is also critical that students review their real-time progress, and I have ensured that in every step of each country’s …
Trade Integration, Income Divergence, And Global Imbalances, Haiping Zhang
Trade Integration, Income Divergence, And Global Imbalances, Haiping Zhang
Research Collection School Of Economics
We embed financial frictions and sector-specific minimum investment requirements (MIR) in a two-factor, two-sector, overlapping-generation model and showthat whether trade integration leads to convergence of the income levels among member states depends on their level of financial development. It helps reconcilethe mixed empirical evidence on trade integration and income dynamics in differentgroups of countries from the institutional perspective. In the recent decades, trade globalization has allowed developed countries to specialize towards the high-MIR, high-return production stages and tasks through international fragmentation of production and global sourcing. In our model, the “sectors” can be interpreted broadly as production stages and tasks. …
Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve
Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve
Research Collection School Of Economics
This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model misspecification. Consequently, the LPE can be used to seek sources of misspecification and to isolate certain trend, seasonal or cyclical components. Simple and quite general conditions under which the LPE is strongly consistent in the presence of heavy-tailed, serially correlated, heteroskedastic disturbances are given, and a brief review of the literature on LP-based estimators in nonnegative autoregression is presented. Finite-sample properties of …
The Impact Of Agglomeration Economies On Hospital Input Prices, Andrew Friedson, Jing Li
The Impact Of Agglomeration Economies On Hospital Input Prices, Andrew Friedson, Jing Li
Research Collection School Of Economics
This paper examines the extent to which agglomeration of the hospital service industry enhances the productivity of producing health care. Specifically, we use a large set of private insurance claims from the FAIR Health database to show that an increasing spatial concentration of hospital services results in a decreased cost of obtaining intermediate medical services. We explicitly test whether the reduced cost at concentrated locations arises from the ability to share intermediate service providers. The identification relies on state variation in medical lab technician licensure requirements, which influence the cost of intermediate services only through the cost of running a …
Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang
Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang
Research Collection School Of Economics
It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified Mestimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality …
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Research Collection School Of Economics
In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile likelihood principle. Both the one-step Newton-Raphson estimator and the local profile likelihood estimator are investigated. We show that the proposed estimators are asymptotically equivalent to the infeasible local likelihood estimators [e.g., Aerts and Claeskens (1997) Journal of the American Statistical Association 92, 1536-1545], which require knowledge of the error distribution. Simulation evidence suggests that when the distribution of …
The Next Wave Of Globalisation, Singapore Management University
The Next Wave Of Globalisation, Singapore Management University
Perspectives@SMU
As consumption patterns shift away from OECD countries to the developing world, businesses need to leverage on technology to overcome last-mile delivery obstacles
Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang
Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
The quasi-maximum likelihood (QML) method is popular in the estimation and inference for spatial regression models. However, the QML estimators (QMLEs) of the spatial parameters can be quite biased and hence the standard inferences for the regression coefficients (based on t-ratios) can be seriously affected. This issue, however, has not been addressed. The QMLEs of the spatial parameters can be bias-corrected based on the general method of Yang (2015b, J. of Econometrics 186, 178-200). In this paper, we demonstrate that by simply replacing the QMLEs of the spatial parameters by their bias-corrected versions, the usual t-ratios for the regression coefficients …
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right-tailed unit root tests (each with a different recursive …
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu
Research Collection School Of Economics
A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of the Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advantages that make it appealing in practical applications. First, it is well-defined under improper prior distributions. Second, it avoids Jeffrey-Lindley's paradox. Third, it always takes a non-negative value and is relatively easy to compute, even for models …
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Research Collection Lee Kong Chian School Of Business
We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for "opportunistic" (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of insider sales only occurs in stocks with high short-selling potential, suggesting that short sellers indirectly enhance the speed of information dissemination by accelerating trading by insiders. …
Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu
Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This paper provides a supplement to two companion papers by the authors: “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500” (PSY1 hereafter); and “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors” (PSY2 hereafter). Section 1 supplements the empirical application of PSY1 by examining the robustness of the bubble identification and dating results to the choice of the minimum window size parameter used in the rolling regression framework of PSY. Section 2 provides proofs of supplementary lemmas that facilitate analysis of the multiple bubble case, derives the limit behaviour of the recursive unit …
Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su
Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su
Research Collection School Of Economics
In this paper we consider estimation of common structural breaks in panel data models with unobservable interactive fixed effects. We introduce a penalized principal component (PPC) estimation procedure with an adaptive group fused LASSO to detect the multiple structural breaks in the models. Under some mild conditions, we show that with probability approaching one the proposed method can correctly determine the unknown number of breaks and consistently estimate the common break dates. Furthermore, we estimate the regression coefficients through the post-LASSO method and establish the asymptotic distribution theory for the resulting estimators. The developed methodology and theory are applicable to …
Real Estate Investments In Asia: More Than A Place To Call Home, John Lim
Real Estate Investments In Asia: More Than A Place To Call Home, John Lim
Asian Management Insights
Real estate investment in Asia is currently trending. But what does the future hold?
Borderless Markets: A Boon Or Bane For Marketers?, Philip Charles Zerrillo
Borderless Markets: A Boon Or Bane For Marketers?, Philip Charles Zerrillo
Asian Management Insights
Economic integration and free trade isnot always a panacea for businesses.
Living Arrangements And Psychological Well-Being Of The Elderly After The Economic Transition In Vietnam, Ken Yamada, Bussarawan Teerawichitchainan
Living Arrangements And Psychological Well-Being Of The Elderly After The Economic Transition In Vietnam, Ken Yamada, Bussarawan Teerawichitchainan
Research Collection School of Social Sciences
Objectives: We examine the relationship between living arrangements and psychological well-being of the older adults in Vietnam, where there is an influence of Confucian values and a lack of close substitutes for family care of the older adults, by exploiting a great deal of regional variation in economic development. We also examine the role of living arrangements in well-being differentials across regions. Method: We estimate a triangular simultaneous-equation discrete-response model, which accounts for the simultaneity between living arrangements and psychological well-being (happiness, depression, loneliness, poor appetite, and sleep disorder), using a nationally representative sample of 2,225 adults aged 60 and …
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …
Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Research Collection School Of Economics
We consider an economy where individuals face uninsurable risks to their human capital accumulation and analyze the optimal level of linear taxes on capital and labor income together with the optimal path of government debt. We show that in the presence of such risks, it is beneficial to tax both labor and capital and to issue public debt. We also assess the quantitative importance of these findings, and show that the benefits of government debt and capital taxes both increase with the magnitude of idiosyncratic risks and the degree of relative risk aversion.
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates …
Remittances Without Borders, Tan Swee Liang, S. N. Venkataramanan, Anil Kishora
Remittances Without Borders, Tan Swee Liang, S. N. Venkataramanan, Anil Kishora
Research Collection School Of Economics
A Pan-Asian Mobile Remittance Platform might just be the next big disruption in global remittances. One out of every 28 people lives in a country that they were not born in. As migrants, they are estimated by The World Bank to send home US$636 billion in 2017, with three-quarters remitted to developing countries. These remittances form a significant percentage of the Gross Domestic Product (GDP) of many of these developing countries. Given their magnitude and contribution to national economies, even a small reduction in remittance cost adds billions to these local economies. Mobile-to-mobile cross border remittances have recently shown that …
Peru: Open For Business, Singapore Management University
Peru: Open For Business, Singapore Management University
Perspectives@SMU
South America’s third-largest economy seeks to capitalise on growing global trade
Europe: Ready To Rebound, Singapore Management University
Europe: Ready To Rebound, Singapore Management University
Perspectives@SMU
Increasing trade, investment, and immigrant integration are keys to Europe’s economic vitality
Poverty Decomposition By Regression: An Application To Tanzania, Tomoki Fujii
Poverty Decomposition By Regression: An Application To Tanzania, Tomoki Fujii
Research Collection School Of Economics
We develop a poverty decomposition method that is based on a consumption regression model. Because this method uses an integral of the partial derivatives of a poverty measure with respect to time, the resulting poverty decomposition satisfies time-reversion consistency and sub-period additivity. Unlike the existing poverty decomposition methods, it allows us to ascribe the observed change in poverty to various covariates of interest collected at a disaggregate level. This method is applied to two datasets from Tanzania to assess, among others, the short- and long-term impacts of infrastructure and market access on poverty.
Monetizing Housing For Retirement In Singapore, Sock Yong Phang
Monetizing Housing For Retirement In Singapore, Sock Yong Phang
Research Collection School Of Economics
In 2015, the value of housing assets owned by households in Singapore at the aggregate level was 55% of their net worth.1 Ninety percent of Singapore households owned their homes, meaning that almost all households had wealth saved in housing, and households’ housing wealth was 2.1 times that of the country’s gross domestic product. In addition, Singapore is facing an aging population. The resident old age support ratio, defined as the number of persons aged 20–64 per person aged 65 years and over, decreased from 9.0 in 2000 to 5.7 in 2015.2 Against this backdrop of asset-rich and aging households, …
Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang
Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang
Research Collection School Of Economics
A general method for correcting the bias of the maximum likelihood estimator (MLE) of the common shape parameter of Weibull populations, allowing a general right censorship, is proposed in this paper. Extensive simulation results show that the new method is very effective in correcting the bias of the MLE, regardless of censoring mechanism, sample size, censoring proportion and number of populations involved. The method can be extended to more complicated Weibull models.
Sense And Sensibility Of Ownership: Type Of Ownership Experience And Valuation Of Goods, Xiao-Tian Wang, Lay See Ong, Jolene Tan
Sense And Sensibility Of Ownership: Type Of Ownership Experience And Valuation Of Goods, Xiao-Tian Wang, Lay See Ong, Jolene Tan
Research Collection School of Social Sciences
This study examined how the type of ownership experience affects the valuation of a good. We hypothesized that the sense of ownership is a psychological derivative of resource acquisition and allocation. We predicted a valuation order of stable ownership or no-ownership