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Articles 31 - 60 of 2174
Full-Text Articles in Social and Behavioral Sciences
Obfuscation And Rational Inattention, Aljoscha Janssen, Johannes Kasinger
Obfuscation And Rational Inattention, Aljoscha Janssen, Johannes Kasinger
Research Collection School Of Economics
We study the behavior of duopolistic firms that can obfuscate their prices before competing on price. Obfuscation affects the rational inattentive consumers' optimal information strategy, which determines the probabilistic demand. Our model advances related models by allowing consumers to update their unrestricted prior beliefs with an informative signal of any form. We show that the game may result in an obfuscation equilibrium with high prices or a transparency equilibrium with low prices and no obfuscation, providing an argument for market regulation. Obfuscation equilibria cease to exist for low information costs and if one firm seems a priori considerably more attractive.
Regulatory Protection And The Role Of International Cooperation, Yuan Mei
Regulatory Protection And The Role Of International Cooperation, Yuan Mei
Research Collection School Of Economics
I develop a general equilibrium framework to analyze the welfare consequences of product regulations and their international harmonization. In my model, raising product standards reduces a negative consumption externality, but also increases the marginal and fixed costs of production. When product standards are set noncooperatively, the effects of standards on other countries' wages and number of firms are not internalized, giving rise to an international inefficiency. The World Trade Organization's nondiscrimination principle of national treatment only partly addresses this inefficiency. Welfare losses from abandoning national treatment average 2.8%, whereas the maximum welfare gains from efficient cooperation average 11.8%.
Decomposability And Strategy-Proofness In Multidimensional Models, Shurojit Chatterji, Huaxia Zeng
Decomposability And Strategy-Proofness In Multidimensional Models, Shurojit Chatterji, Huaxia Zeng
Research Collection School Of Economics
We introduce the notion of a multidimensional hybrid preference domain on a (finite) set of alternatives that is a Cartesian product of finitely many components. We demonstrate that in a model of public goods provision, multidimensional hybrid preferences arise naturally through assembling marginal preferences under the condition of semi-separability - a weakening of separability. The main result shows that under a suitable “richness” condition, every strategy-proof rule on this domain can be decomposed into component-wise strategy-proof rules, and more importantly every domain of preferences that reconciles decomposability of rules with strategy-proofness must be a multidimensional hybrid domain.
Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu
Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. The approach is related to sticky price modeling and the Calvo pricing mechanism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of integrated volatility is developed. The results show that RV is still consistent but has an inflated asymptotic variance that depends on the probability of flat trading. Estimated quarticity is …
Estimating And Applying Autoregression Models Via Their Eigensystem Representation, Leo Krippner
Estimating And Applying Autoregression Models Via Their Eigensystem Representation, Leo Krippner
Sim Kee Boon Institute for Financial Economics
This article introduces the eigensystem autoregression (EAR) framework, which allows an AR model to be speciÖed, estimated, and applied directly in terms of its eigenvalues and eigenvectors. An EAR estimation can therefore impose various constraints on AR dynamics that would not be possible within standard linear estimation. Examples are restricting eigenvalue magnitudes to control the rate of mean reversion, additionally imposing that eigenvalues be real and positive to avoid pronounced oscillatory behavior, and eliminating the possibility of explosive episodes in a time-varying AR. The EAR framework also produces closed-form AR forecasts and associated variances, and forecasts and data may be …
Do Government Subsidies Promote Green R&D Efficiency? Empirical Evidence From China, Huimin Wu
Do Government Subsidies Promote Green R&D Efficiency? Empirical Evidence From China, Huimin Wu
Dissertations and Theses Collection (Open Access)
How to evaluate the effects of government policy on encouraging innovations? Existing studies strongly argue to reduce subsidies compared to indirect policy tools, such as tax rebate. However, direct government grants are popular and keep gaining momentum in China. Such a discrepancy between academic research and common practice is interesting and calls for further investigations. In the meantime, is there any difference for this issue if considering green attributes? In this article, we use data from Chinese A-share listed companies to study the effect of government subsidies on R&D activities, with a special focus on comparing green and non-green inventions. …
Cross-Border Technology Investments In Recession, Juliana Yu Sun, Huanhuan Zheng
Cross-Border Technology Investments In Recession, Juliana Yu Sun, Huanhuan Zheng
Research Collection School Of Economics
Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we evaluate how cross-border technology investments respond to economic recessions. We find that FDI embedded with intensive research and development (R&D) drops when the destination market is in a recession and the source market is in a normal state and recovers to the pre-recession levels when both destination and source markets are in recession. However, there is little evidence that recessions affect cross-border investments in other aspects of technology measured by the penetration of robots, intellectual property products and information and communications …
Tackling Misperceptions About Immigrants With Fact-Checking Interventions: A Randomized Survey Experiment, Syngjoo Choi, Chung-Yoon Choi, Kim
Tackling Misperceptions About Immigrants With Fact-Checking Interventions: A Randomized Survey Experiment, Syngjoo Choi, Chung-Yoon Choi, Kim
Research Collection School Of Economics
We conduct a randomized online survey experiment to study the impact of fact-checking offers and financial incentives on misperceptions about immigrants. We find that natives overestimate the number of immigrants and the social and economic costs of immigration. Offering a free check of the factual information about immigrants reduces these misperceptions; it becomes more effective when combined with financial incentives. However, more than half of the participants never took up offers to check factual information. Using a model of information search with limited attention, we identify the presence of non-negligible costs of information search and processing, which limits the effectiveness …
Customer Capital And Trade Intermediaries: Evidence From China, Jungho Lee, Jianhuan Xu
Customer Capital And Trade Intermediaries: Evidence From China, Jungho Lee, Jianhuan Xu
Research Collection School Of Economics
Using a unique dataset that links the production and sales of Chinese exporting firms, we document that the value of export goods a firm produces often differs from the value of export goods that the firm sells in foreign markets. We show that this empirical pattern reflects that some exporters act as trade intermediaries, which we refer to as producer intermediaries. We further show that firms with higher accumulated marketing expenditures are more likely to become producer intermediaries. To understand the implications of our empirical findings, we develop a theoretical framework in which firms can lend and borrow customer capital …
Connecting The (Dirty) Dots: Current Account Surplus And Polluting Production, Jungho Lee, Shang-Jin Wei, Jianhuan Xu
Connecting The (Dirty) Dots: Current Account Surplus And Polluting Production, Jungho Lee, Shang-Jin Wei, Jianhuan Xu
Research Collection School Of Economics
According to the existing open-economy macroeconomics literature, a current account surplus is associated with a welfare loss only when distortions exist in either savings or investment. We propose a new welfare effect even in the absence of such distortions. In our theory, a trade imbalance − the largest component of a current account imbalance − interacts with a country’s pollution control (“cleanness”) regime to generate welfare effects outside the standard channels. In particular, a trade surplus alters the shipping costs and composition of a country’s imports, producing a welfare loss associated with greater pollution.
The Cost Of Cheap Talk: How Campaign Promises And Default Contributions Affect Donation-Based Crowd Funding Success., Tianci Leon Qiu
The Cost Of Cheap Talk: How Campaign Promises And Default Contributions Affect Donation-Based Crowd Funding Success., Tianci Leon Qiu
Dissertations and Theses Collection (Open Access)
Non-profit organisations (NPOs) find it increasingly harder to engage donors and raise funds from the public. Post-pandemic: the emphasis on tactics to raise funds online through donation-based crowdfunding (DCF) platforms has surged in importance for both NPO survival and continued beneficiary aid. However, unlike equity-based crowdfunding platforms where campaign organisers are obligated to provide investors with tangible returns based on funding milestones, NPOs on DCF platforms do not have to adhere to any funding milestones or are beholden to any tangible obligations towards donors. Consequently, NPOs are greatly incentivised to deploy cheap talk – non-binding, unverifiable messages and claims to …
How To Understand China's Approach To Central Bank Digital Currency?, Heng Wang
How To Understand China's Approach To Central Bank Digital Currency?, Heng Wang
Research Collection Yong Pung How School Of Law
China's central bank digital currency (CBDC), digital yuan or e-CNY, is likely to profoundly affect the international financial system. China's CBDC is fast evolving. Understanding the influencing factors of China's CBDC will likely be crucial to explore its future direction. Major influencing factors include (i) China's perception and conception of regulation and technology, (ii) complementarity between China's preferences and CBDC development, (iii) domestic and international legitimacy, and (iv) institutional development. This paper argues that these influencing factors contribute to China's likely approach of selectively reshaping the international financial system. Given the potential wide-ranging implications of the introduction of CBDC globally, …
Interim Rationalizable Implementation Of Functions, Takashi Kunimoto, Rene Saran, Roberto Serrano
Interim Rationalizable Implementation Of Functions, Takashi Kunimoto, Rene Saran, Roberto Serrano
Research Collection School Of Economics
This paper investigates rationalizable implementation of social choice functions (SCFs) in incomplete information environments. We identify weak interim rationalizable monotonicity (weak IRM) as a novel condition and show it to be a necessary and almost sufficient condition for rationalizable implementation. We show by means of robust examples that interim rationalizable monotonicity (IRM), found in the literature, is strictly stronger than weak IRM and that IRM is not necessary for rationalizable implementation, as had been previously claimed. These examples also demonstrate that Bayesian monotonicity, the key condition for full Bayesian implementation, is not necessary for rationalizable implementation. That is, rationalizable implementation …
Housing Fever In Australia 2020-23: Insights From An Econometric Thermometer, Shuping Shi, Peter C. B. Phillips
Housing Fever In Australia 2020-23: Insights From An Econometric Thermometer, Shuping Shi, Peter C. B. Phillips
Research Collection School Of Economics
Australian housing markets experienced widespread and, in some cases, extraordinary growth in prices between 2020 and 2023. Using recently developed methodology that accounts for fundamental economic drivers, we assess the existence and degree of speculative behaviour, as well as the timing of exuberance and downturns in these markets. Our findings indicate that speculative behaviour was indeed present in six of the eight capital cities at some time over the period studied. The sequence of events in this nation-wide housing bubble began in the Brisbane market and concluded in Melbourne, Canberra, and Hobart following the interest rate rise implemented by the …
Does Abstract Thinking Facilitate Information Processing? Evidence From Financial Analysts, Frank Weikai Li, Rong Wang, Yang Yu, Gloria Yang Yu
Does Abstract Thinking Facilitate Information Processing? Evidence From Financial Analysts, Frank Weikai Li, Rong Wang, Yang Yu, Gloria Yang Yu
Research Collection Lee Kong Chian School Of Business
We study whether abstract thinking – an essential cognitive trait established by psychological and neuroscientific studies – facilitates analysts’ information processing. Exploiting analysts’ questions during earnings calls, we construct an Abstract Thinking Index (ATI) that measures their tendency to involve abstract words, logical reasoning, broader topics, and future outlooks. We find that abstract thinking improves analysts’ forecast accuracy and recommendation informativeness. Consistent with abstract thinking featuring identifying central characteristics and comprehending intangible things, ATI has stronger effects for firms with fundamentals co-moving more with peers and less tangible information. Additional analyses suggest that ATI captures analysts’ cognitive traits rather than …
What Drives The Value Of Financial Analysts’ Advice? The Role Of Earnings And Growth Forecasts, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
What Drives The Value Of Financial Analysts’ Advice? The Role Of Earnings And Growth Forecasts, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
We offer a parsimonious index at the individual analyst level to measure the extent to which an analyst relies on earnings and long-term growth forecasts in producing her advice. Using this index, we evaluate the contribution of earnings and growth forecasts to the investment value of analysts’ stock recommendations. We find that the fraction of analysts’ advice attributed to forecasts varies considerably across analysts and sectors. The investment value of recommendations is higher for analysts who rely less on their forecasts and more on other sources of information when forming investment advice. Investors recognize the superiority of recommendations from analysts …
Self-Financing, Parental Transfer, And College Education, Jungho Lee, Sunha Myong
Self-Financing, Parental Transfer, And College Education, Jungho Lee, Sunha Myong
Research Collection School Of Economics
We show that financial constraints can affect the human capital accumulation of college students by influencing students’ labor supply. We document that many college students work a substantial number of hours at low-skill jobs, and students who have fewer financial resources (in particular, parental transfer) tend to work more. We develop a model that incorporates college students’ labor supply and its interaction with parental transfer in the presence of financial constraints. By estimating the model, we quantify the trade-off between self-financing and human capital accumulation and discuss the implications of a wage subsidy policy.
Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang
Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang
Research Collection School of Economics
We study the design of contracts when the principal has limited statistical information about the output distributions induced by the agent’s actions. In the baseline model, we consider a principal who only knows the mean of the output distribution for each action, and show that it is optimal for the principal to adopt a monotone affine contract. We further show that the optimality of monotone affine contracts persists even if the principal has access to other information about the output distributions, such as the information that the output distribution induced by each action has full support.
Does Fertility Matter For Middle Aged And Older Adults’ Risk Attitudes?, Christine Ho, Bussarawan Teerawichitchainan, Joanne Tan, Eugene Rui Le Tan
Does Fertility Matter For Middle Aged And Older Adults’ Risk Attitudes?, Christine Ho, Bussarawan Teerawichitchainan, Joanne Tan, Eugene Rui Le Tan
Research Collection School Of Economics
Given that risk attitudes influence many decisions, it is important to understand the factors that shape such attitudes in late adulthood, when individuals face important risky decisions. While research finds that parenthood tends to correlate with lower risk tolerance in western countries, there is a lacuna on whether such associations persist in late adulthood, and are applicable to the Asian context, where children are conventionally considered a linchpin of old age support. Data for middle aged and older individuals come from the nationwide Singapore Life Panel (N = 6,740). Multivariate statistical analyses are employed to estimate the associations between willingness …
Spatial Disaggregation Of Poverty And Disability: Application To Tanzania, Tomoki Fujii
Spatial Disaggregation Of Poverty And Disability: Application To Tanzania, Tomoki Fujii
Research Collection School Of Economics
Estimating poverty measures for disabled people in developing countries is often difficult, partly because relevant data are not readily available. We extend the small-area estimation developed by Elbers, Lanjouw and Lanjouw (2002, 2003) to estimate poverty by the disability status of the household head, when the disability status is unavailable in the survey. We propose two alternative approaches to this extension: Aggregation and Instrumental Variables Approaches. We apply these approaches to data from Tanzania and show that both approaches work. Our estimation results show that disability is indeed positively associated with poverty in every region of mainland Tanzania.
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Research Collection School Of Economics
Price bubbles in multiple assets are sometimes nearly coincident in occurrence. Such near-coincidence is strongly suggestive of co-movement in the associated asset prices and is likely driven by certain factors that are latent in the financial or economic system with common effects across several markets. Can we detect the presence of such common factors at the early stages of their emergence? To answer this question, we build a factor model that includes I(1), mildly explosive, and stationary factors to capture normal, exuberant, and collapsing phases in such phenomena. The I(1) factor models the primary driving force of market fundamentals. The …
Search Models Of Money: Alternative Means-Of Payment And Consumer Behaviour With Credit, Kheng Tat Marcus Tan
Search Models Of Money: Alternative Means-Of Payment And Consumer Behaviour With Credit, Kheng Tat Marcus Tan
Dissertations and Theses Collection (Open Access)
This dissertation consists of three chapters on Search Models of Money.
The first chapter is a review of recent advances in Search Models of Money. It reviews the Lagos and Wright (2005) framework which is the workhorse of many modern search models with applications to models with Competing Media of Exchange to Fiat Currency, and models with Money and Credit. We trace the history of the development of search models of money from the first generation to present day. We highlight recent developments that address puzzles such as the coexistence of money in an environment where an asset serves as …
Multivariate Stochastic Volatility Models Based On Generalized Fisher Transformation, Han Chen, Yijie Fei, Jun Yu
Multivariate Stochastic Volatility Models Based On Generalized Fisher Transformation, Han Chen, Yijie Fei, Jun Yu
Research Collection School Of Economics
Modeling multivariate stochastic volatility (MSV) can be challenging, particularly when both variances and covariances are time-varying. In this paper, we address these challenges by introducing a new MSV model based on the generalized Fisher transformation of Archakov and Hansen (2021). Our model is highly exible and ensures that the variance-covariance matrix is always positive-definite. Moreover, our approach separates the driving factors of volatilities and correlations. To conduct Bayesian analysis of the model, we use a Particle Gibbs Ancestor Sampling (PGAS) method, which facilitates Bayesian model comparison. We also extend our MSV model to cover the leverage effect in volatilities and …
Where The World Is Heading In 2023 And Beyond, Simon Baptist
Where The World Is Heading In 2023 And Beyond, Simon Baptist
Asian Management Insights
The global economy is showing resilience, despite strong headwinds. Geopolitical uncertainty remains high, while the mounting threats from climate change call for more urgent global action.
Navigating Investor Expectations, Yong Hsin Ning, Yvette Lim
Navigating Investor Expectations, Yong Hsin Ning, Yvette Lim
Asian Management Insights
Why start-ups need to speak the language of numbers.
Seeking Better Sharpe Ratio Via Bayesian Optimization, Peng Liu
Seeking Better Sharpe Ratio Via Bayesian Optimization, Peng Liu
Research Collection Lee Kong Chian School Of Business
Developing an excellent quantitative trading strategy to obtain a high Sharpe ratio requires optimizing several parameters at the same time. Example parameters include the window length of a moving average sequence, the choice of trading instruments, and the thresholds used to generate trading signals. Simultaneously optimizing all these parameters to seek a high Sharpe ratio is a daunting and time-consuming task, partly because of the unknown mechanism determining the Sharpe ratio. This article proposes using Bayesian optimization to systematically search for the optimal parameter configuration that leads to a high Sharpe ratio. The author shows that the proposed intelligent search …
Uniform Nonparametric Inference For Spatially Dependent Panel Data, Jia Li, Zhipeng Liao, Wenyu Zhou
Uniform Nonparametric Inference For Spatially Dependent Panel Data, Jia Li, Zhipeng Liao, Wenyu Zhou
Research Collection School Of Economics
This article proposes a uniform functional inference method for nonparametric regressions in a panel-data setting that features general unknown forms of spatio-temporal dependence. The method requires a long time span, but does not impose any restriction on the size of the cross section or the strength of spatial correlation. The uniform inference is justified via a new growing-dimensional Gaussian coupling theory for spatio-temporally dependent panels. We apply the method in two empirical settings. One concerns the nonparametric relationship between asset price volatility and trading volume as depicted by the mixture of distribution hypothesis. The other pertains to testing the rationality …
Volatility Puzzle: Long Memory Or Anti-Persistency, Shuping Shi, Jun Yu
Volatility Puzzle: Long Memory Or Anti-Persistency, Shuping Shi, Jun Yu
Research Collection School Of Economics
The log realized volatility (RV) is often modeled as an autoregressive fractionally integrated moving average model ARFIMA(1,d,01,d,0). Two conflicting empirical results have been found in the literature. One stream shows that log RV has a long memory (i.e., the fractional parameter d > 0). The other stream suggests that the autoregressive coefficient α is near unity with antipersistent errors (i.e., d α close to 0 and d close to 0.5) from Model 2Model 2 (ARFIMA(1,d,01,d,0) with α close to unity and d close to –0.5). An intuitive explanation is given. For the 10 financial assets considered, despite that no definitive conclusions …
Young Women In Cities, Yumi Koh, Li Jing, Yifan Wu, Junjian Yi, Hanzhe Zhang
Young Women In Cities, Yumi Koh, Li Jing, Yifan Wu, Junjian Yi, Hanzhe Zhang
Research Collection School Of Economics
Young women outnumber young men in cities in many countries during periods of economic growth and urbanization. This gender imbalance among young urbanites is more pronounced in larger cities. We use the gradual rollout of special economic zones across China as a quasi-experiment to establish the causes of this gender imbalance. Our analysis suggests that a key contributor is gender-differential incentives to migrate due to rural women’s higher likelihood of marrying and marrying up in cities when urbanization creates more economic opportunities and an abundance of high-income marriage-age men.
The Importance Of The First Generic Substitution: Evidence From Sweden, Aljoscha Janssen, David Granlund
The Importance Of The First Generic Substitution: Evidence From Sweden, Aljoscha Janssen, David Granlund
Research Collection School Of Economics
We analyze changes in the willingness to substitute from prescribed pharmaceuticals to more affordable generic equivalents in response to the first experience with a substitution. Using Swedish individual-level data of prescribed and dispensed pharmaceuticals, we em-ploy a dynamic event study and an instrumental variable approach to show that an initial substitution reduces the probability of opposing subsequent substitutions by 39 percent-age points. We recommend that policy-makers target patients with a history of opposed substitution and offer additional discounts to promote substitution as long-term savings outweigh one-time costs.