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Singapore Management University

Research Collection School Of Economics

2013

Articles 61 - 85 of 85

Full-Text Articles in Social and Behavioral Sciences

Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii Mar 2013

Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii

Research Collection School Of Economics

We decompose the logarithmic change in the Divisia price index into the pure price, substitution, and preference effects, although the latter two effects are hard to distinguish in practice. This decomposition allows us to identify the incidence and contributing factors of inflation. In the Philippines, we find that the preference effect is much smaller than the pure price effect in all provinces. We also find that rich deciles have experienced a higher inflation than poor deciles between 1988 and 2006. However, the gap in the standards of living has actually widened because poor deciles lagged behind in consumption growth.

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Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan Mar 2013

Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan

Research Collection School Of Economics

Central place theory is a key building block of economic geography and an empirically plausible description of city systems. This paper provides a rationale for central place theory via a dynamic programming formulation of the social planner's problem of city hierarchy. We show that there must be one and only one immediate smaller city between two neighboring larger-sized cities in any optimal solution. If the fixed cost of setting up a city is a power function, then the immediate smaller city will be located in the middle, confirming the locational pattern suggested by Christaller [4] . We also show that …

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Schemes Work Hand In Hand To Boost Wages, Hian Teck Hoon Feb 2013

Schemes Work Hand In Hand To Boost Wages, Hian Teck Hoon

Research Collection School Of Economics

Professor Hoon Hian Teck discussed how this year's Budget helps both workers and companies push for higher productivity. The Workfare Income Supplement (WIS) scheme in 2007 provided one answer to boost the earnings of low-wage workers. The Wage Credit Scheme (WCS) introduced in Budget 2013 is another innovative policy instrument that works in tandem with the Productivity and Innovation Credit (PIC) scheme to help SMEs on their journey to becoming more productive. Under WCS, the Government covers 40 per cent of the wage increase from increased productivity (obtained through the PIC scheme), leaving the firm with a higher profit. Since …

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Host Country Financial Development And Mnc Activity, L. Kamran Bilir, Davin Chor, Manova Kalina Feb 2013

Host Country Financial Development And Mnc Activity, L. Kamran Bilir, Davin Chor, Manova Kalina

Research Collection School Of Economics

Multinational corporations (MNCs) manage complex operations, often blending features of three modes of FDI that are well understood in isolation but not in tandem, namely: horizontal, vertical and export-platform FDI. We develop a three-country model with heterogeneous firms, in order to analyze how financing constraints in the FDI host country affect the relative strength of these three motives for FDI. In our model, financial development in the host country fosters entry by domestic firms, making the local market more competitive for MNC products. This leads MNCs to orient their affiliate sales away from the local market toward other markets instead. …

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A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah Feb 2013

A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah

Research Collection School Of Economics

In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R2) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R2 is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap p-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in …

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Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang Feb 2013

Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang

Research Collection School Of Economics

The robustness of the Lagrange Multiplier (LM) tests for spatial error dependence of Burridge (1980) and Born and Breitung (2011) for the linear regression model, and Anselin (1988) and Debarsy and Etur (2010) for the panel regression model with random or fixed effects are examined. While all tests are asymptotically robust against distributional mis‐specification, their finite sample behaviour may be sensitive to the spatial layout. To overcome this shortcoming, standardized LM tests are suggested. Monte Carlo results show that the new tests possess good finite sample properties. An important observation made throughout this study is that the LM tests for …

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The Future Of Wages In Singapore, Hian Teck Hoon Feb 2013

The Future Of Wages In Singapore, Hian Teck Hoon

Research Collection School Of Economics

Prof Hoon discussed the future of wages in Singapore and identified major trends affecting Singapore's labour market over the past decade. He noted that in the future, SMEs that are unable to raise workers' productivity to match the higher labour costs will exit the industry, thus leading to job destruction. Also, for there to be a steady supply of jobs with good pay for Singaporeans, the country would need to continue to attract MNCs by harnessing its relative strength in institutional quality and the availability of a highly skilled workforce. Success in helping SMEs to raise their productivity levels and …

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Variable Selection In Nonparametric And Semiparametric Regression Models, Liangjun Su, Yonghui Zhang Jan 2013

Variable Selection In Nonparametric And Semiparametric Regression Models, Liangjun Su, Yonghui Zhang

Research Collection School Of Economics

This chapter reviews the literature on variable selection in nonparametric and semiparametric regression models via shrinkage. We highlight recent developments on simultaneous variable selection and estimation through the methods of least absolute shrinkage and selection operator (Lasso), smoothly clipped absolute deviation (SCAD) or their variants, but restrict our attention to nonparametric and semiparametric regression models. In particular, we consider variable selection in additive models, partially linear models, functional/varying coefficient models, single index models, general nonparametric regression models, and semiparametric/nonparametric quantile regression models.

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Impact Of Sovereign Debt Restructuring On Financial Flows: The Case Of Indonesia, Hwee Kwan Chow, C. Adams Jan 2013

Impact Of Sovereign Debt Restructuring On Financial Flows: The Case Of Indonesia, Hwee Kwan Chow, C. Adams

Research Collection School Of Economics

No abstract provided.

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Nonparametric Dynamic Panel Data Models: Kernel Estimation And Specification Testing, Liangjun Su, Xun Lu Jan 2013

Nonparametric Dynamic Panel Data Models: Kernel Estimation And Specification Testing, Liangjun Su, Xun Lu

Research Collection School Of Economics

Motivated by the first differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogeous regressors. The estimators utilize the additive structure of the first-differenced model, the fact that the two additive components have the same functional form, and the unknown function of interest is implicitly defined as a solution of a Fredholm integral equation of the second kind. We establish the uniform consistency and asymptotic normality of the estimators. We also propose a consistent test for the correct specification of linearity in typical dynamic …

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Entropy-Based Analysis And Bioinformatics-Inspired Integration Of Global Economic Information Transfer, Jinkyu Kim, Gunn Kim, Sungbae An, Young-Kyun Kwon, Sungroh Yoon Jan 2013

Entropy-Based Analysis And Bioinformatics-Inspired Integration Of Global Economic Information Transfer, Jinkyu Kim, Gunn Kim, Sungbae An, Young-Kyun Kwon, Sungroh Yoon

Research Collection School Of Economics

The assessment of information transfer in the global economic network helps to understand the current environment and the outlook of an economy. Most approaches on global networks extract information transfer based mainly on a single variable. This paper establishes an entirely new bioinformatics-inspired approach to integrating information transfer derived from multiple variables and develops an international economic network accordingly. In the proposed methodology, we first construct the transfer entropies (TEs) between various intra- and inter-country pairs of economic time series variables, test their significances, and then use a weighted sum approach to aggregate information captured in each TE. Through a …

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Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White Jan 2013

Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White

Research Collection School Of Economics

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time …

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Ex Post Destruction In The Hold-Up Problem, Huan Wang, Juyuan Zhang, Yi Zhang Jan 2013

Ex Post Destruction In The Hold-Up Problem, Huan Wang, Juyuan Zhang, Yi Zhang

Research Collection School Of Economics

We investigate whether or not ex post destruction can solve the hold-up problem. After clarifying the difference between ex post destruction and nontrade when negotiation breaks down, we show that the option of ex post destruction is not sufficient to enhance ex ante efficiency. In particular, only if the information about the spitefulness of the supplier is coarse enough, will the option of ex post destruction alleviate the inefficiency of underinvestment caused by the hold-up problem.

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Non-Normality And Heteroscedasticity Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang Jan 2013

Non-Normality And Heteroscedasticity Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang

Research Collection School Of Economics

The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the standard LM tests so that they become robust against heteroskedasticity and non-normality. The idea behind the robustification is to decompose the concentrated score function into a sum of uncorrelated terms so that the outer product of gradient (OPG) can be used to estimate its variance. We also provide methods for improving …

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Financial Development, International Capital Flows, And Aggregate Output, Jürgen Von Hagen, Haiping Zhang Jan 2013

Financial Development, International Capital Flows, And Aggregate Output, Jürgen Von Hagen, Haiping Zhang

Research Collection School Of Economics

We develop a tractable two-country overlapping-generations model and show that cross-country differences in financial development can explain three recent empirical patterns of international capital flows: Financial capital flows from relatively poor to relatively rich countries, while foreign direct investment flows in the opposite direction; net capital flows go from poor to rich countries; despite its negative net international investment positions, the United States receives a positive net investment income. International capital mobility affects output in each country directly through the size of domestic investment and indirectly through the aggregate saving rate. Under certain conditions, the indirect effect may dominate the …

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Micro-Finance Competition: Motivated Micro-Lenders, Double-Dipping And Default, Brishti Guha, Prabal Roy Chowdhury Jan 2013

Micro-Finance Competition: Motivated Micro-Lenders, Double-Dipping And Default, Brishti Guha, Prabal Roy Chowdhury

Research Collection School Of Economics

We develop a tractable model of competition among motivated MFIs. We find that equilibria may or may not involve double-dipping (and consequently default), with there being double-dipping whenever the MFIs are very profit-oriented. Moreover, in an equilibrium with double-dipping, borrowers who double-dip are actually worse off compared to those who do not. Further, for intermediate levels of motivation, there can be multiple equilibria, with a doubledipping equilibrium co-existing with a no default equilibrium. Interestingly, an increase in MFI competition can lower efficiency, as well as increase the extent of double-dipping and default. Further, the interest rates may go either way, …

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Monetary Regime Choice In Singapore: Would A Tayor Rule Outperform Exchange-Rate Management?, Hwee Kwan Chow, G.C. Lim, P. Mcnelis Jan 2013

Monetary Regime Choice In Singapore: Would A Tayor Rule Outperform Exchange-Rate Management?, Hwee Kwan Chow, G.C. Lim, P. Mcnelis

Research Collection School Of Economics

This paper adopts a dynamic stochastic general equilibrium-vector autorgressive (DSGE-VAR) approach to examine the managed exchange-rate system at work in Singapore. We examine if the country has any reason to fear floating the exchange rate and adopting a Taylor rule. Our results show that, in terms of overall inflation volatility, the exchange rate rule has a comparative advantage over the Taylor rule when export price shocks are the major sources of real volatility, while a Taylor rule dominates when domestic productivity shocks drive real volatility. The exchange-rate rule also dominates the Taylor rule for reducing inflation persistence.

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Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse Jan 2013

Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse

Research Collection School Of Economics

We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method.

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Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang Jan 2013

Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang

Research Collection School Of Economics

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may perform poorly when …

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Intertemporal Substitution In Maternal Labor Supply: Evidence Using State School Entrance Age Laws, Rashmi Rekha Barua Jan 2013

Intertemporal Substitution In Maternal Labor Supply: Evidence Using State School Entrance Age Laws, Rashmi Rekha Barua

Research Collection School Of Economics

I propose a new framework to study the intertemporal labor supply hypothesis. I use an exogenous source of variation in maternal net earning opportunities, generated through school entrance age of children, to study intertemporal labor supply behavior. Employing data from the 1980 US Census and the NLSY, I estimate the effect of a one year delay in school attendance on long run maternal labor supply. IV estimates imply that having a 5 year old enrolled in school increases labor supply measures for married women, with no younger children, by between 7 to 34 percent. Further, using a sample of 7 …

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No Pass No Drive: Education And Allocation Of Time, Rashmi Rekha Barua, Marian Vidal-Fernandez Jan 2013

No Pass No Drive: Education And Allocation Of Time, Rashmi Rekha Barua, Marian Vidal-Fernandez

Research Collection School Of Economics

Since the late 1980s, several states in the US have introduced No Pass No Drive (NPND) laws that set minimum academic requirements for teenagers under 18 to obtain a driving license. Using data from the U.S. Census and Monitoring the Future (MTF) survey, we exploit cross-state, cross-cohort and cross-time variation in NPND laws to study their effect on educational outcomes and allocation of time among teenagers. Estimates using the Census show that NPND laws have a positive and significant effect on both years of completed schooling and the probability of high school completion among boys and blacks, but not girls. …

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Does Competition Within The Military Reduce Expropriation?, Madhav S. Aney, Giovanni Ko Jan 2013

Does Competition Within The Military Reduce Expropriation?, Madhav S. Aney, Giovanni Ko

Research Collection School Of Economics

How can agents in the military, which control the means of coercion, commit not to expropriate from producers? In this paper we propose competition within the military as one of the mechanisms that can deter predation and consequently create commitment. In our model, even if agents within the military could expropriate all output costlessly, it is attractive to protect producers from predating military units. This is because there is a marginal defensive advantage and consequently defense is an e ective way to potentially eliminate other military units, reducing competition and leading to higher future payo s. The model predicts that …

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Can A Financial Conditions Index Guide Monetary Policy? The Case Of Singapore, Hwee Kwan Chow Jan 2013

Can A Financial Conditions Index Guide Monetary Policy? The Case Of Singapore, Hwee Kwan Chow

Research Collection School Of Economics

In this study, we explore the issue of whether a financial conditions index can serve as a useful guide to monetary policy in the context of Singapore. To this end, we construct an index that comprises not only the usual monetary variables like interest rates, exchange rates and credit expansions but also asset prices such as stock prices and house prices. The choice of these constituent series is motivated by the role they play in the monetary transmission mechanism with consideration given to the key role leverage plays in modern business cycles and the risk-taking channel magnified by the prolonged …

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Demography, Development And The Origin Of Democracy: A Model With Case Studies Of Arachic Athens And Maritime England, Brishti Guha Jan 2013

Demography, Development And The Origin Of Democracy: A Model With Case Studies Of Arachic Athens And Maritime England, Brishti Guha

Research Collection School Of Economics

No abstract provided.

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Arrow-Fisher-Hanemann-Henry And Dixit-Pindyck Option Values Under Strategic Interactions, Tomoki Fujii, Ryuichiro Ishikawa Jan 2013

Arrow-Fisher-Hanemann-Henry And Dixit-Pindyck Option Values Under Strategic Interactions, Tomoki Fujii, Ryuichiro Ishikawa

Research Collection School Of Economics

We extend the Arrow–Fisher–Hanemann–Henry (AFHH) and Dixit–Pindyck (DP) option values to a game situation. By reinterpreting the AFHH option value as a change in the surplus from conservation because of the prospect of future information, we deal with a conceptual difficulty associated with the AFHH option value in the presence of strategic interactions. We then introduce the DP option value into a game situation. We show that the equivalence between the expected value of information and the DP option value in the standard model does not hold under strategic interactions.

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