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Social and Behavioral Sciences Commons™
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Articles 1 - 30 of 120
Full-Text Articles in Social and Behavioral Sciences
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Research Collection Lee Kong Chian School Of Business
Post-crisis policy interventions significantly increased the demand for mortgage refinancing, but could this surge in refinancing applications have crowded out the supply of credit to home buyers? In this paper, we examine two frictions that hamper financial intermediation and result in banks' substitution of home purchase loans for refinance loans: The risk capacity channel through which banks with limited risk appetites prefer safer loans over riskier loans, and the operating capacity channel through which banks with limited operating capacities prefer applications that require less screening time. We find that following the recent financial crisis, banks facing these capacity constraints indeed …
Identifying Latent Group Structures In Nonlinear Panels, Wuyi Wang, Liangjun Su
Identifying Latent Group Structures In Nonlinear Panels, Wuyi Wang, Liangjun Su
Research Collection School Of Economics
We propose a procedure to identify latent group structures in nonlinear panel data models where some regression coefficients are heterogeneous across groups but homogeneous within a group and the group number and membership are unknown. To identify the group structures, we consider the order statistics for the preliminary unconstrained consistent estimators of the regression coefficients and translate the problem of classification into the problem of break detection. Then we extend the sequential binary segmentation algorithm of Bai (1997) for break detection from the time series setup to the panel data framework. We demonstrate that our method is able to identify …
Cultural Preferences In International Trade: Evidence From The Globalization Of Korean Pop Culture, Pao-Li Chang, Iona Hyojung Lee
Cultural Preferences In International Trade: Evidence From The Globalization Of Korean Pop Culture, Pao-Li Chang, Iona Hyojung Lee
Research Collection School Of Economics
The Korean pop culture (TVdramas and K-pop music) has grown immensely popular across the globe over thepast two decades. This paper analyzes its impacts on international trade. We compilea cross-country panel dataset of South Korea's TV show exports to over 150countries for the period of 1998{2014. These variations in exposure to Koreanpop cultures are used to identify changes in consumer preferences for Koreanmerchandise across time, countries, and products (at the HS 4-digit level).First, we find that more Korean TV show exports significantly increase Koreanexports of goods for women, while the effects are much smaller on men'smerchandise. This strongly supports the …
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Clogged Intermediation: Were Home Buyers Crowded Out?, Hyunsoo Choi, Hyun-Soo Choi, Jung-Eun Kim
Research Collection Lee Kong Chian School Of Business
Post-crisis policy interventions significantly increased the demand for mortgage refinancing, but could this surge in refinancing applications have crowded out the supply of credit to home buyers? In this paper, we examine two frictions that hamper financial intermediation and result in banks' substitution of home purchase loans for refinance loans: The risk capacity channel through which banks with limited risk appetites prefer safer loans over riskier loans, and the operating capacity channel through which banks with limited operating capacities prefer applications that require less screening time. We find that following the recent financial crisis, banks facing these capacity constraints indeed …
Inference In Continuous Systems With Mildly Explosive Regressors, Ye Chen, Peter C. B. Phillips, Jun Yu
Inference In Continuous Systems With Mildly Explosive Regressors, Ye Chen, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double asymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The methods are implemented in the US real estate market …
Business Time Sampling Scheme With Applications To Testing Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse
Business Time Sampling Scheme With Applications To Testing Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse
Research Collection School Of Economics
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT function. Using our sampled BTS transactions, we test the semi-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality approximation of the standardized business-time return distribution. Our Monte Carlo results show that the integrated volatility estimates using our proposed sampling strategy provide smaller root mean-squared error.
Bayesian Analysis Of Bubbles In Asset Prices, Andras Fulop, Jun Yu
Bayesian Analysis Of Bubbles In Asset Prices, Andras Fulop, Jun Yu
Research Collection School Of Economics
We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a stochastic long run mean. This latter is allowed to account for possible smooth structural change. The second regime reflects the bubble period with explosive behavior. Stochastic switches between two regimes and non-constant probabilities of exit from the bubble regime are both allowed. A Bayesian learning approach is employed to jointly …
Inference In Continuous Systems With Mildly Explosive Regressors, Ye Chen, Peter C. B. Phillips, Jun Yu
Inference In Continuous Systems With Mildly Explosive Regressors, Ye Chen, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double asymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The methods are implemented in the US real estate market …
Dynamic Poverty Decomposition Analysis: An Application To The Philippines, Tomoki Fujii
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.
Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow
Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow
Research Collection School Of Economics
Diebold–Yilmaz spillover indexes are computed for weekly return volatilities based on daily benchmark stock indexes of the US, the UK, and 10 Asian countries. We found (i) the strengthening of overall volatility spillovers is not a temporary surge but persisted after the crisis; (ii) the susceptibility of individual Asian stock markets to inward volatility transfers is linked to its degree of openness; and (iii) the Asian bourses are becoming more important emitters of financial shocks since the crisis. Rolling regressions on volatility linkages reveal the relative dominance of the US over the Japanese and Chinese bourses, and the level of …
The Sustainability Edge: Driving Top-Line Growth With Triple-Bottom-Line Thinking, Jagdish Sheth, Suhas Apte
The Sustainability Edge: Driving Top-Line Growth With Triple-Bottom-Line Thinking, Jagdish Sheth, Suhas Apte
Asian Management Insights
How to drive top-line growth with triple-bottom-line thinking.
The Flow Of Funds In Asean, Philip C. Zerrillo
The Flow Of Funds In Asean, Philip C. Zerrillo
Research Collection Lee Kong Chian School Of Business
In his novel, Memoirs of a Geisha, Arthur Golden wrote, “Water can carve its way even through stone. And when trapped, water makes a new path.” Something similar seems to be happening with the flow of funds in ASEAN.
Permanent Price Impact Asymmetry Of Trades With Institutional Constraints, Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang, Vivek Sharma
Permanent Price Impact Asymmetry Of Trades With Institutional Constraints, Chiraphol N. Chiyachantana, Pankaj Jain, Christine Jiang, Vivek Sharma
Research Collection Lee Kong Chian School Of Business
Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up.
Determining The Number Of Groups In Latent Panel Structures With An Application To Income And Democracy, Xun Lu, Liangjun Su
Determining The Number Of Groups In Latent Panel Structures With An Application To Income And Democracy, Xun Lu, Liangjun Su
Research Collection School Of Economics
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2014), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of roups. Our test is a residualbased LM-type test. We show that after being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has power to detect deviations from the null. Monte Carlo simulations show that our test performs remarkably well in finite samples. We apply our method to study the effect …
Urban Rail Transit Ppps: Lessons From East Asian Cities, Zheng Chang, Sock Yong Phang
Urban Rail Transit Ppps: Lessons From East Asian Cities, Zheng Chang, Sock Yong Phang
Research Collection School Of Economics
Private sector participation in urban rail transit has proliferated in the past two decades. The large metropolises of East Asia have had decades of experience with private sector participation in the provision of heavy metro services. The design of these public–private partnerships (PPP) are varied. The diverse experiences of Tokyo, Hong Kong, Singapore and Beijing contain valuable lessons for other cities. Using a case study approach, this paper discusses three features of urban rail transitdevelopments in the context of East Asian cities, viz., farebox recovery, land value capture mechanisms, and vertical structure of the industry. Super vertical integration between rail …
Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow-Tan
Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow-Tan
Research Collection School Of Economics
Diebold-Yilmaz spilloverindexes are computed for weekly return volatilities based on daily benchmarkstock indexes of US, UK and ten Asian countries. We found (i) the strengthening ofoverall volatility spillovers is not a temporary surge but persisted after thecrisis; (ii) the susceptibility ofindividual Asian stock markets to inward volatility transfers is linked to itsdegree of openness; and (iii) the Asian bourses are becoming more importantemitters of financial shocks since the crisis. Rolling regressions on volatilitylinkages reveal the relative dominance of the US over the Japanese and Chinesebourses, and the level of influence on Asian stock markets from the Chinesebourse has risen to …
The Weekend Effect In Television Viewership And Prime-Time Scheduling, Jung Won Yeo
The Weekend Effect In Television Viewership And Prime-Time Scheduling, Jung Won Yeo
Research Collection School Of Economics
The observed drops in the ratings of television programs on Fridays and Saturdays are likely a result of two factors: intrinsic contraction in demand for television watching and endogenous scheduling. I decompose the observed weekend effect into the effects from these two factors. To this end, I estimate a viewer choice model that uses aggregate Nielsen ratings data for prime-time network television shows over 11 years. The long span of the data enables me to control for television series qualities. The estimation results reveal that the estimated weekend effect is dampened as the empirical model accounts for variation in the …
The Role Of Macroeconomic, Policy, And Forecaster Uncertainty In Forecast Dispersion, You Li, Anthony S. Tay
The Role Of Macroeconomic, Policy, And Forecaster Uncertainty In Forecast Dispersion, You Li, Anthony S. Tay
Research Collection School Of Economics
We explore the role of uncertainty in explaining dispersion in professional forecasters’ density forecasts of real output growth and inflation. We consider three separate notions of uncertainty: general macroeconomic uncertainty (the fact that macroeconomic variables are easier to forecast at some times than at others), policy uncertainty, and forecaster uncertainty. We find that dispersion in individual density forecasts is related to overall macroeconomic uncertainty and policy uncertainty, while forecaster uncertainty (which we define as the average in the uncertainty expressed by individual forecasters) appears to have little role in forecast dispersion.
Does "America First" Help America? The Impact Of Country Image On Exports And Welfare, Pao-Li Chang, Tomoki Fujii, Wei Jin
Does "America First" Help America? The Impact Of Country Image On Exports And Welfare, Pao-Li Chang, Tomoki Fujii, Wei Jin
Research Collection School Of Economics
This paper estimates the effects of bilateral and time-varying preference bias on trade flows and welfare. We use a unique dataset from the BBC World Opinion Poll that surveys (annually during 2005-2017 with some gaps) the populations from 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 bilateral 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, assuming that the exporting …
Estimating Finite-Horizon Life-Cycle Models: A Quasi-Bayesian Approach, Xiaobin Liu
Estimating Finite-Horizon Life-Cycle Models: A Quasi-Bayesian Approach, Xiaobin Liu
Research Collection School Of Economics
This paper proposes a quasi-Bayesian approach for structural parameters in finite-horizon life-cycle models. This approach circumvents the numerical evaluation of the gradient of the objective function and alleviates the local optimum problem. The asymptotic normality of the estimators with and without approximation errors is derived. The proposed estimators reach the semiparametric eciency bound in the general methods of moment (GMM) framework. Both the estimators and the corresponding asymptotic covariance are readily computable. The estimation procedure is easy to parallel so that the graphic processing unit (GPU) can be used to enhance the computational speed. The estimation procedure is illustrated using …
A New Toolkit For Thailand 4.0, Abhisit Vejjajiva, Philip Charles Zerrillo
A New Toolkit For Thailand 4.0, Abhisit Vejjajiva, Philip Charles Zerrillo
Asian Management Insights
The Prime Minister of Thailand from 2008 to 2011 and the current leader of the Democrat Party, Abhisit Vejjajiva, addresses the challenges facing the Thai economy today, in this interview with Philip Zerrillo.
Random Coefficient Continuous Systems: Testing For Extreme Sample Path Behaviour, Yubo Tao, Peter C. B. Phillips, Jun Yu
Random Coefficient Continuous Systems: Testing For Extreme Sample Path Behaviour, Yubo Tao, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive behaviour according to specific regions of the parameter space that open up the potential for testing these forms of extreme behaviour. A two-stage approach that employs realized volatility is proposed for the continuous system estimation, asymptotic theory is developed, and test statistics to identify the different forms of extreme sample path behaviour are proposed. Simulations show that the …
Do Security Analysts Learn From Their Colleagues?, Kenny Phua, T. Mandy Tham, Chi Shen Wei
Do Security Analysts Learn From Their Colleagues?, Kenny Phua, T. Mandy Tham, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We examine how learning from colleagues affects security analyst forecast outcomes. We represent the brokerage house as an information network of analysts connected through industry overlaps in their coverage portfolios. Analysts who are more centrally connected in their brokerage network produce more accurate forecast estimates and generate more influential forecast revisions. Consistent with learning, more central analysts tend to unwind their colleagues’ recent forecast errors in their forecast revisions. Learning appears to benefit all colleagues, as working at more interconnected brokerages (i.e., denser networks) improves forecast accuracy for all analysts.
The Long-Term Health Effects Of Fetal Malnutrition: Evidence From The 1959-1961 China Great Leap Forward Famine, Seonghoon Kim, Belton Fleisher, Jessica Ya Sun
The Long-Term Health Effects Of Fetal Malnutrition: Evidence From The 1959-1961 China Great Leap Forward Famine, Seonghoon Kim, Belton Fleisher, Jessica Ya Sun
Research Collection School Of Economics
We report evidence of long-term adverse health impacts of fetal malnutrition exposure of middle-aged survivors of the 1959-1961 China Famine using data from the China Health and Retirement Longitudinal Study. We find that fetal exposure to malnutrition has large and long-lasting impacts on both physical health and cognitive abilities, including the risks of suffering a stroke, physical disabilities in speech, walking and vision, and measures of mental acuity even half a century after the tragic event. Our findings imply that policies and programs that improve the nutritional status of pregnant women yield benefits on the health of a fetus that …
Strong Consistency Of Spectral Clustering For Stochastic Block Models, Liangjun Su, Wuyi Wang, Yichong Zhang
Strong Consistency Of Spectral Clustering For Stochastic Block Models, Liangjun Su, Wuyi Wang, Yichong Zhang
Research Collection School Of Economics
In this paper we prove the strong consistency of several methods based on thespectral clustering techniques that are widely used to study the communitydetection problem in stochastic block models (SBMs). We show that under someweak conditions on the minimal degree, the number of communities, and theeigenvalues of the probability block matrix, the K-means algorithm applied tothe Eigenvectors of the graph Laplacian associated with its first few largesteigenvalues can classify all individuals into the true community uniformlycorrectly almost surely. Extensions to both regularized spectral clustering anddegree-corrected SBMs are also considered. We illustrate the performance ofdifferent methods on simulated networks.
Random Mechanism Design On Multidimensional Domains, Shurojit Chatterji, Huaxia Zeng
Random Mechanism Design On Multidimensional Domains, Shurojit Chatterji, Huaxia Zeng
Research Collection School Of Economics
We study random mechanism design in an environment where the set of alternatives has a Cartesian product structure. We first show that all generalized random dictatorships are strategy-proof on a minimally rich domain if and only if the domain is a top-separable domain. We next generalize the notion of connectedness (Monjardet, 2009) to establish a particular class of top-separable domains: connected domains, and show that in the class of minimally rich and connected domains, the multidimensional single-peakedness restriction is necessary and sufficient for the design of a flexible random social choice function that is unanimous and strategy-proof. Such a flexible …
Specification Test For Spatial Autoregressive Models, Liangjun Su, Xi Qu
Specification Test For Spatial Autoregressive Models, Liangjun Su, Xi Qu
Research Collection School Of Economics
This article considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix Wn is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove the consistency of our test. To improve the finite sample performance of our test, we also propose a residual-based wild bootstrap and justify its asymptotic validity. We conduct a small set of Monte Carlo simulations to investigate …
The Business Of Business…Is Creating Shared Value, Singapore Management University
The Business Of Business…Is Creating Shared Value, Singapore Management University
Perspectives@SMU
Corporations, governments and NGOs need to work together for mankind to exist sustainably, says the former Prime Minister of the Netherlands
China’S Growth Story: Plenty To Come, Singapore Management University
China’S Growth Story: Plenty To Come, Singapore Management University
Perspectives@SMU
The Middle Kingdom has lots of room to grow if it could sort out economic distortions and optimise capital allocation. The tweaking of the one-child policy might also help
Fair Division With Uncertain Needs, Jingyi Xue
Fair Division With Uncertain Needs, Jingyi Xue
Research Collection School Of Economics
Imagine that agents have uncertain needs and a resource must be divided before uncertainty resolves. In this situation, waste typically occurs when the assignment to an agent turns out to exceed his realized need. How should the resource be divided in the face of possible waste? This is a question out of the scope of the existing rationing literature. Our main axiom to address the issue is no domination. It requires that no agent receive more of the resource than another while producing a larger expected waste, unless the other agent has been fully compensated. Together with conditional strict endowment …