Social and Behavioral Sciences Commons^™

Survey Of Professional Forecasters 2023, Singapore Management University

Sim Kee Boon Institute for Financial Economics

Forecasters Maintain Their Expectations for Growth in 2023 The forecasters see the U.S. economy in 2023 expanding at the same pace as they predicted three months ago, according to 38 panelists surveyed by the Federal Reserve Bank of Philadelphia. The forecasters predict annual-average over annualaverage growth in real GDP of 1.3 percent in 2023, unrevised from their estimate of three months ago. The panelists are also maintaining their forecast for growth in the second quarter at an annual rate of 1.0 percent, unchanged compared with their previous projection. However, while their predictions for the second quarter and for 2023 remain …

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.

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.

Inflation Expectations Can Be A Self-Fulfilling Prophecy, Aurobindo Ghosh, Khyati Chauhan, Muskan Bagrodia

Research Collection Lee Kong Chian School Of Business

In a commentary, SMU Assistant Professor of Finance (Education) Aurobindo Ghosh, SMU postgraduate student and Research Assistant for the SInDEx Project Muskan Bagrodia and International Monetary Fund Economic Research Assistant Khyati Chauhan weighed in on why inflation expectations matter as much as economic data. They discussed how inflation expectations can be a self-fulfilling prophecy, and shared the key takeaways of the quarterly DBS-Sim Kee Boon Institute’s Singapore Index of Inflation Expectations (DBS-SKBI SInDEx) survey. They concluded that effective communication on inflation control measures, in addition to credible policy decisions, will help consumers feel assured and refrain from basing purchasing decisions …

Inflation And Ukraine War Make It Challenging For Our Beloved Value Stores To Survive, Aurobindo Ghosh, Taimur Baig

Research Collection Lee Kong Chian School Of Business

In a joint commentary, SMU Assistant Professor of Finance (Education) and Principal Investigator of DBS-SKBI Singapore Index of Inflation Expectations Project Aurobindo Ghosh and Chief Economist and Managing Director at DBS Bank Dr Taimur Baig discussed how global inflationary pressures and rising commodity prices due to war in Ukraine and sanctions against Russia are culminating into a perfect storm and making it challenging for value stores to survive. They also gave advice on what value stores can do to survive this perfect storm.

Geopolitics And Ballpark Estimates, Thomas Lam, David Fernandez

Sim Kee Boon Institute for Financial Economics

Most economist commenced 2022 with 3 key assumptions on the global economy:

1) Some policy normalisation and reversal, though cautious and uneven, are likely to occur in economies with above-average growth and inflation;

2) The Covid-19 infection wave, while presumably asymmetric and recurrent across countries, appears to have less of an imprint on cyclical activity on balance;

3) The lingering supply disruptions resulting from the pandemic, albeit still intense and widespread, should be easing gradually.

Conditional Superior Predictive Ability, Jia Li, Zhipeng Liao, Rogier Quaedvlieg

Research Collection School Of Economics

This article proposes a test for the conditional superior predictive ability (CSPA) of a family of forecasting methods with respect to a benchmark. The test is functional in nature: under the null hypothesis, the benchmark’s conditional expected loss is no more than those of the competitors, uniformly across all conditioning states. By inverting the CSPA tests for a set of benchmarks, we obtain confidence sets for the uniformly most superior method. The econometric inference pertains to testing conditional moment inequalities for time series data with general serial dependence, and we justify its asymptotic validity using a uniform non-parametric inference method …

Skbi Big 5 Survey 2022 February, Singapore Management University

Sim Kee Boon Institute for Financial Economics

The latest survey results on the largest five economies (Big5), based on submissions prior to the ongoing Russia-Ukraine conflict, imply a more intricate growth, inflation and policy dynamic.

Skbi Big 5 Survey 2021 August, Singapore Management University

Sim Kee Boon Institute for Financial Economics

The latest survey results convey an upshift in growth projections of the five largest economies in aggregate accompanied by higher inflation, especially this year and to a lesser extent next year. The aggregate “Big5” median real GDP growth projections for 2021 and 2022 were raised to 6.7% (up in US, CN and EA but down in IN and JP) and 4.9% (all except US), respectively. The overall “Big5” median CPI inflation forecasts were nudged up to 2.6% (higher in US, IN and EA but lower in CN) and 2.4% (in US, IN and EA some), respectively, for this year and …

Squawking About Persistently Higher Inflation?, Thomas Lam

Sim Kee Boon Institute for Financial Economics

All signs point to an uncertain path for inflation in the future. While inflation is set to stay prospectively higher in the US in the near-term, it's unlikely to remain so.

Skbi Big 5 Survey 2021 February, Singapore Management University

Sim Kee Boon Institute for Financial Economics

The latest survey results suggest that the five largest economies collectively is projected to snapback to almost 6% in 2021, a modest upgrade from the August median, following an unprecedented preliminary contraction of roughly 4% last year (in real GDP terms). The 2022 median growth forecast of slightly above 4.5%, while slower, is still respectable, outstripping its pre-COVID 10-year average pace by more than half a percentage point. The aggregate upgrade in 2021, however, obscures the lopsided nature and highly uneven contour of the ongoing recovery. The bulk of the upward revision to growth was mainly due to IN (to …

Skbi Big 5 Survey 2020 August, Singapore Management University

Sim Kee Boon Institute for Financial Economics

The COVID-19 pandemic led to whopping downward revisions to 2020 real GDP growth among the Big5 economies, on average greater than 7%-points (ranging from roughly 3.5%-points for China to more than 10%-points for India). The forecast revisions to headline inflation were less sizable and more uneven, perhaps because of the confluence of supply and demand influences. The 2021 median GDP forecast is expected to turn positive overall, with a balanced risk assessment for most of the Big5 (but a coin toss in IN and US), but the growth reversal is likely to be highly uneven. While China regains its prior …

Skbi Big 5 Survey 2020 February, Singapore Management University

Sim Kee Boon Institute for Financial Economics

On balance, our overall read of the latest multiyear Big5 survey results implies the following economy-at-risk scale (least to most): India, US, Euro Area, Japan and China (i.e., India’s economy might be least at-risk, while China is deemed to be most at-risk). Broadly, survey participants expect the risk assessment to GDP growth to be skewed to the downside in 2020 followed by a more balanced backdrop in 2021. But participants seem to be more divided, with most responses favoring “downside” or/and “balanced” risks, on the 2022 growth environment. The risks to headline inflation in 2020, however, appear to be more …

Skbi Big 5 Survey 2019 August, Singapore Management University

Sim Kee Boon Institute for Financial Economics

On balance, our overall interpretation of the multiyear Big5 survey results implies the following economy-at-risk scale (least to most): India, China, US, Japan and Euro Area (i.e., India’s economy appears to be the least at-risk, while the Euro Area might be the most at-risk). Broadly, survey participants expect the risks to GDP growth to be tilted to the downside in 2019 and 2020 followed by a more balanced growth environment in 2021. But participants seem to lean toward a more balanced risk assessment on headline inflation from 2019 through 2021, with the exception of the Euro Area, where a modest …

Inflation Expectations In Singapore: A Behavioural Approach, Alexander Clark, Aurobindo Ghosh, Samuel Hanes

Research Collection Lee Kong Chian School Of Business

The expectations of economic agents have significant impact on their decisions and are key determinants of macroeconomic outcomes such as inflation, economic growth and unemployment. For example, if a worker believes that consumer prices will rise sharply next year, she would demand a wage increase. Similarly, a homeowner with a fixed interest mortgage might make an early repayment if she expects price levels to fall, knowing that the real value of her mortgage debt will increase. In these cases, expectations about inflation could lead to changes in behaviour and in the aggregate, influence prices and become self-fulfilling.

Dynamic Poverty Decomposition Analysis: An Application To The Philippines, Tomoki Fujii

Research Collection School Of Economics

In this paper, we propose a new method of poverty decomposition. Our method remedies the shortcomings of existing methods and has some desirable properties such as time-revision consistency and subperiod additivity. It integrates the existing methods of growth-redistribution decomposition and sector based decomposition, because it allows us to decompose poverty change into growth and redistribution components for each group (e.g., regions or sectors) in the economy. We extend out method to have six components and provide empirical application to the Philippines for the period of 1985 to 2009.

Singapore Inflation Expectations: Expecting The Unexpected, Aurobindo Ghosh, Jun Yu

Research Collection School Of Economics

The study of inflation expectations of Singapore house-holds is a multi-disciplinary industry-relevant research that comes out of a partnership between Singapore Management University (SMU) and MasterCard. The research team for this MasterCard-SKBI Singapore Index of Inflation Expectations (SInDEx) project applied rigorous methods using current internet-based marketing survey tools for data-collection and advanced econometric techniques to analyse the data. The updates from the quarterly waves are keenly followed by policymakers, market watchers and the media because of the enormous importance of cost of living to individuals and businesses alike.

Money And Asset Prices With Uninsurable Risks, Nicolas L. Jacquet, Serene Tan

Research Collection School Of Economics

We develop a model where the coexistence of money and a higher yielding asset is endogenously obtained when no restriction is placed on the use of either object as a medium of exchange. Due to the presence of uninsurable risks, agents have, in equilibrium, di⁄erent relative valuations of the asset to money, and hence, the use of money as a means of payment is strictly preferred. This endogenous di⁄erence in the willingness of agents to use money over the asset implies that money carries a greater liquidity premium than the asset. We obtain that the asset strictly dominates money in …

Dynamic Poverty Decomposition Analysis: An Application To The Philippines, Tomoki Fujii

Research Collection School Of Economics

In this paper, we propose a new method of poverty decomposition. Our method remedies the shortcomings of existing methods and has some desirable properties such as time-reversion consistency and subperiod additivity. It integrates the existing methods of growth-redistribution decomposition and sector-based decomposition, because it allows us to decompose poverty change into growth and redistribution components for each group (e.g. regions or sectors) in the economy. We extend our method to have six components and provide an empirical application to the Philippines for the period 1985-2009.

Forecasting Inflation In Asian Economies, Freddy Chian Fatt Liew

Dissertations and Theses Collection (Open Access)

This paper surveys the recent literature on inflation forecasting and conducts an extensive empirical analysis on forecasting inflation in Singapore, Japan, South Korea and Hong Kong paying particular attention to whether the inflation-markup theory can help to forecast inflation. We first review the relative performance of different predictors in forecasting h-quarter ahead inflation using single equations. These models include the autoregressive model and bivariate Philips curve models. The predictors are selected from business activity, financial activity, trade activity, labour market, interest rate market, money market, exchange rate market and global commodity market variables. We then evaluate a vector autoregressive inflation-markup …

Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu

Research Collection School Of Economics

The aim of this report is to highlight a broad spectrum of issues that brings about the measurement of the disagreement and the uncertainity and the formation of inflation expectations among economic agents in Singapore.