Social and Behavioral Sciences Commons^™

The Livingston Survey 2022, S. Anderson, B. Bovino, M. Brown, Thomas Lam, Et Al

Sim Kee Boon Institute for Financial Economics

The 16 participants in the December Livingston Survey weakened their forecasts for real GDP growth, compared with their projections in the June 2022 survey. The forecasters, who are surveyed by the Federal Reserve Bank of Philadelphia twice a year, expect 2.0 percent annualized growth in real GDP during the second half of 2022. They project 0.4 percent annualized growth over the first half of 2023. The forecasters predict that real GDP will continue to decline and reach -1.0 percent annualized growth in the second half of 2023.

Learning From Manipulable Signals, Mehmet Ekmekci, Leandrro Gorno, Lucas Maestri, Jian Sun, Dong Wei

Research Collection Lee Kong Chian School Of Business

We study a dynamic stopping game between a principal and an agent. The agent is privately informed about his type. The principal learns about the agent’s type from a noisy performance measure, which can be manipulated by the agent via a costly and hidden action. We fully characterize the unique Markov equilibrium of this game. We find that terminations/ market crashes are often preceded by a spike in (expected) performance. Our model also predicts that, due to endogenous signal manipulation, too much transparency can inhibit learning. As the players get arbitrarily patient, the principal elicits no useful information from the …

What Is The Fallacy Of Approximation?, Matthew Hammerton, Sovan Patra

Research Collection School of Social Sciences

Many philosophers appeal to the “fallacy of approximation”, or “problem of second best”. However, despite the pervasiveness of such appeals, there has been only a single attempt to provide a systematic account of what the fallacy is. We identify the shortcomings of this account and propose a better one in its place. Our account not only captures all the contexts in which approximation-based reasoning occurs but also systematically explains the several different ways in which it can be in error.

Trade And Transfer Of Environmentally Sound Technology In Asean: Mapping Priorities To Economic Treaty Negotiations, Locknie Hsu

Research Collection Yong Pung How School Of Law

The 10 members of the Association of Southeast Asian Nations (“ASEAN”) share common objectives in economic, sociocultural and political-security integration. Addressing environmental concerns is animportant consideration which traverses different areas of integration policymaking. ASEAN has, in recent years, emphasised the importance of environmental considerations, including environmentally sound technologies (“ESTs”) which may contribute to its climate change mitigation and adaptation efforts, in its law and policymaking. This article discusses the nexus between ASEAN’s needs for the transfer of ESTs and the group’s economic treaty negotiations. Through a “mapping” of such needs to free trade agreementareas, it aims to provide a pathway …

Associations Of The Covid-19 Pandemic With Older Individuals' Healthcare Utilization And Self-Reported Health Status: A Longitudinal Analysis From Singapore, Sangnam Ahn, Seonghoon Kim, Kanghyock Koh

Research Collection School Of Economics

Background: The COVID–19 pandemic has challenged the capacity of healthcare systems around the world and can potentially compromise healthcare utilization and health outcomes among non-COVID–19 patients. Objectives: To examine the associations of the COVID-19 pandemic with healthcare utilization, out-of-pocket medical costs, and perceived health among middle-aged and older individuals in Singapore. Method: Utilizing data collected from a monthly panel survey, a difference-in-differences approach was used to characterize monthly changes of healthcare use and spending and estimate the probability of being diagnosed with a chronic condition and self-reported health status before and during the COVID-19 outbreak in 2020. Subjects: Data were …

A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.

Identifying Knowledge Spillovers From Universities: Quasi-Experimental Evidence From Urban China, Li Jing, Shimeng Liu, Yifan Wu

Research Collection School Of Economics

This paper studies the impact of universities on local innovation activity by exploiting a unique university expansion policy in China as a quasi-experiment. We take a geographic approach, empowered by geocoded data on patents and new products at the address level, to identify knowledge spillovers as an important channel. We obtain three main findings. First, university expansion significantly increases universities’ own innovation capacity, which results in a dramatic boom of local industry patents. Second, the impact of university expansion on local innovation activities attenuates sharply within 2 kilometers of the universities. Third, university expansion boosts nearby firms’ new products and …

Global Value Chains And The Cptpp, Pao-Li Chang, Tran Bao Phuong Nguyen

Research Collection School Of Economics

The CPTPP, or the Comprehensive and Progressive Agreement for Trans-Pacific Partnership, is an example of a ‘mega-regional’ free trade agreement, whose provisions on the rules of origin and trade facilitation can potentially have large impacts on CPTPP-wide supply chains. In this paper, we analyse how intensively the CPTPP members participate in the global value chain (GVC), whether they have stronger linkages with members than with non-members, the position of the members in the global and regional network, and whether the CPTPP members are key upstream and downstream trade partners to each other. We develop formulas of GVC position, and importance …

Life Satisfaction Changes And Adaptation In The Covid-19 Pandemic: Evidence From Singapore, Terence C. Cheng, Kim, Kanghyock Koh

Research Collection School Of Economics

We provide novel evidence on how COVID-19 affected overall life satisfaction using a monthly longitudinal survey of middle-aged and older Singaporeans. We study how the subjective well-being of individuals evolves over the course of 18 months including the outbreak of the pandemic, the implementation of the lockdown and the spike of cases due to the delta variant in a country where COVID-19 is controlled in a sustained manner. Using an event-study design framework, we find large declines in overall life satisfaction in the lead-up to and following the lockdown. Fifteen months after the outbreak of the pandemic, and 13 months …

The Search For Spices And Souls: Catholic Missions As Colonial State In The Philippines, Dean C. Dulay

Research Collection School of Social Sciences

A growing literature posits that colonial Christian missions brought schooling to the colonies, improving human capital in ways that persist to this day. But in some places they did much more. This paper argues that colonial Catholic missions in the Philippines functioned as state-builders, establishing law and order and building fiscal and infrastructural capacities in territories they controlled. The mission-as-state was the result of a bargain between the Catholic missions and the Spanish colonial government: missionaries converted the population and engaged in state-building, whereas the colonial government reaped the benefits of state expansion while staying in the capital. Exposure to …

Maskin Meets Abreu And Matsushima, Yi-Chun Chen, Takashi Kunimoto, Yifei Sun, Siyang Xiong

Research Collection School Of Economics

The theory of full implementation has been criticized for using integer/modulo games, which admit no equilibrium (Jackson (1992)). To address the critique, we revisit the classical Nash implementation problem due to Maskin (1977, 1999) but allow for the use of lotteries and monetary transfers as in Abreu and Matsushima (1992, 1994). We unify the two well-established but somewhat orthogonal approaches in full implementation theory. We show that Maskin monotonicity is a necessary and sufficient condition for (exact) mixed-strategy Nash implementation by a finite mechanism. In contrast to previous papers, our approach possesses the following features: finite mechanisms (with no integer …

Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang

Research Collection School Of Economics

The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a fractional parameter H ∈ (0, 1). This paper first derives an analytical expression for the spectral density of fGn and investigates the accuracy of various approximation methods for the spectral density. Next, we conduct an extensive Monte Carlo study comparing the finite sample performance and computational cost of alternative estimation methods for H under the …

Using Satellite-Observed Geospatial Inundation Data To Identify The Impacts Of Flood On Firm-Level Performances: The Case Of China During 2000–2009, Pao-Li Chang, Fan Zheng

Research Collection School Of Economics

Among the first in the literature, this paper combines high-resolution satelliteobserved inundation maps with geocoded firm-level data to identify the flood exposure at the firm level. We apply the methodology to study the impact of floods on microlevel firm performances in China for the period 2000–2009. Being hit by a flood is associated with an annual loss of output and productivity of around 6% and 5%, respectively, which persists in the long run. The effects are heterogeneous across types of firms and locations of the floods. Firms that are tangible-asset intensive are more negatively affected by the flood events. Meanwhile, …

Consumption Responses To Income Shocks Through Lottery Winning (With) R&R At Oxford Bulletin Of Economics And Statistics, Kanghyock Koh, Kim

Research Collection School Of Economics

We study the effects of lottery winning on consumption spending using newly available household survey data in Singapore. We find strong consumption responses to a transitory income shock via lottery wins. Lottery winners spend about half of their prizes within 12 months of winning. We show that consumption responses are stronger among households with more binding liquidity constraints and less risk aversion, which is consistent with the standard life-cycle model. The strong consumption response suggests that fiscal stimulus policies or other public transfer programs could be an effective means of boosting consumption spending of the economy in the short run.

Encouraging Social Entrepreneurship, Kanyaporn Skutalakul

Asian Management Insights

It’s about taking the first steps.

The Alphabet Soup In Reporting And Measuring Esg, Hao Liang, Kam Chee Chan

Research Collection Lee Kong Chian School Of Business

Harmonising frameworks with the Impact-Weighted Accounts Framework.

Made In Singapore, Pao-Li Chang, Tran Bao Phuong Nguyen

Research Collection School Of Economics

In this paper, we characterize the position of Singapore in global value chains and identify Singapore’s key upstream and downstream trade partners. We trace how the position of Singapore in global value chains has changed in the past two decades: whether it has moved upstream or downstream, how involved it is in global value chains, how its trend compares with the other major Asian exporters (China, Japan, Korea, Taiwan and Hong Kong), and which key sectors of Singapore play a major role in these global trade networks.

Good Names Beget Favors: The Impact Of Country Image On Trade Flows And Welfare, Pao-Li Chang, Tomoki Fujii, Wei Jin

Research Collection School Of Economics

This paper estimates the effects of time-varying consumer preference bias on trade flows and welfare. We use a unique data set from the BBC World Service Poll, which surveys (annually during 2005–2017 with some gaps) the populations of a wide array of countries on their views of whether an evaluated country is having a mainly positive or negative influence in the world. We identify the effects on consumer preference parameters due to shifts in these country image perceptions and quantify their general equilibrium effects on bilateral exports and welfare (each time for an evaluated exporting country, holding the exporting country’s …

Disentangling The Effects Of Gatt/Wto On Variable And Fixed Trade Costs: Trade Status, Trade Margins, And Export Sales Distribution, Pao-Li Chang, Renjing Chen, Wei Jin

Research Collection School Of Economics

In this paper, we develop an estimation procedure to identify the partial (direct) effects of the GATT/WTO membership on the variable and the fixed trade cost, re-spectively. This extends the techniques of Anderson and Van Wincoop (2003) on the structural relationship of multilateral resistance terms and of Helpman, Melitz and Rubinstein (2008) on the structural modelling of trade incidence. We then develop a general equilibrium framework (that allows the presence of zero trade) to simulate the impact of variable, fixed, and total trade cost changes on the firm-level trade structure (including bilateral export productivity cutoff, weighted/unweighted extensive margin of export, …

Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yiu Lim Lui, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite …

On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Chen Zhang, Jun Yu

Research Collection School Of Economics

This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a continuous record over the finite past is available. Alternative discretiza-tion schemes are proposed to approximate these formulae. These alternative discretization schemes are then compared with the conditional expectation of the target variable on the vector of the discrete and finite sample. It is shown that the conditional expectation delivers more accurate forecasts than the discretization-based …

Low-Rank Panel Quantile Regression: Estimation And Inference, Yiren Wang, Yichong Zhang, Yichong Zhang

Research Collection School Of Economics

In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise quantile regressions and debiasing. We show that the estimators of the factors and factor loadings associated with the intercept and slope matrices are asymptotically normally distributed. In addition, we develop two specification tests: one for the null hypothesis that the slope coefficient is a constant over time and/or individuals under the case that true rank of slope …

In A Gig Economy, Do People Work More When Wages Rise?, Singapore Management University

Perspectives@SMU

Study finds that when wages go up, how the supply of labour changes can depend on how the change in pay is communicated

Is Fed Policy In The Eye Of The Beholder?, Leo Krippner, Thomas Lam

Sim Kee Boon Institute for Financial Economics

While the US Federal Reserve remains vigilant on inflation, it will likely continue its tightening cycle with caution, with an eye on market expectations about future policy actions and financial conditions.

A Study On The Impact Of Technological Innovation Attributes On Listing Success Rate And Post-Listing Performance, Yijun Xu

Dissertations and Theses Collection (Open Access)

"Key and core technology" enterprises form the backbone of great powers. China’s STAR Market (technological innovation board) is committed to implementing strategies that will lead to technological innovation-driven sustainable development and strengthen the country by building a secure and independent industrial chain that can support the development of cutting-edge technology. From the outset, the STAR Market put forward clear requirements for "key and core technology" enterprises. The technological innovation attributes of the enterprises listed on the STAR Market are the most essential core characteristics, but a question arises as to how best to evaluate their technological innovation attributes. Are these …

Posterior-Based Wald-Type Statistic For Hypothesis Testing, Xiaobin Liu, Yong Li, Jun Yu, Tao Zeng

Research Collection School Of Economics

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys–Lindley–Bartlett’s paradox. Third, under the null hypothesis and repeated sampling, it follows a distribution asymptotically, offering an asymptotically pivotal test. Fourth, it only requires inverting the posterior covariance for parameters of interest. Fifth and perhaps most importantly, when a random sample from the posterior distribution (such as MCMC output) is available, …

Political Connections, Informational Asymmetry, And The Efficient Resolution Of Financial Distress, Madhav S. Aney, Sanjay Banerji

Research Collection School Of Economics

We show that securities issued by a distressed firm, often through exchange offers, providethe most efficient resolution of financial restructuring. Information asymmetry between thefirm-bank coalition and small bondholders gives rise to other forms of distress resolutionsuch as refinancing, public workout, and the inefficiency of liquidation. We find that politicallobbying by the firm-bank amplifies these inefficiencies and inhibits the development of privatemarket for distressed securities. Cross-country evidence is consistent with this and indicatesthat improved creditor rights, and information facilitating credit bureaus interact in reducingthe likelihood of inefficient distress resolution.

A Study On The Mechanisms Of Shareholders’ Equity Adjustment In Bankruptcy Reorganization Of Listed Companies, Yongliang Zhang

Dissertations and Theses Collection (Open Access)

In recent years, amid cyclical macroeconomic fluctuations, national economic slowdown, economic restructuring, and over-expansion of some enterprises, a number of listed companies have faced serious debt and operational challenges, many of which are worthy of keeping afloat. From June 1, 2007 when the Enterprise Bankruptcy Law of the People’s Republic of China came into effect, up to the end of 2021, a total of 93 listed companies in China have gone through bankruptcy reorganization, one of the major means to save the listed companies in distress.

The bankruptcy reorganization of listed companies, by its nature, is a process of game …

Bayesian Methods In Economics And Finance: Editor's Introduction, Jun Yu

Research Collection School Of Economics

Modern days, Bayesian methods have gained prominence in theoretical work and applications in economics and finance due to the rapid development of computational technologies and their ability to learn. The special issue intends to examine central aspects in Bayesian analysis and applications, including prior choices, model selection with massive data and latent variables, hypothesis testing, Bayesian learning. In total, this special issue contains ten papers, all subject to the Journal of Econometrics (JOE)’s normal refereeing process. Most of these papers came from a conference held at the ESSEC Singapore campus on 10 December 2018.

Skbi Big 5 Survey 2022 August, Singapore Management University

Sim Kee Boon Institute for Financial Economics

The latest survey results on the largest five economies (Big5) were revised markedly relative to the prior release (pre-Russia-Ukraine conflict), generally indicating weaker growth and higher inflation coupled with incremental ambiguity on the policy front.