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Articles 1 - 30 of 82
Full-Text Articles in Social and Behavioral Sciences
Singapore Inflation Expectations: Expecting The Unexpected, Aurobindo Ghosh, Jun Yu
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.
Grandparents As Guards: A Game Theoretic Analysis Of Inheritance And Post Marital Residence In A World Of Uncertain Paternity, Brishti Guha
Grandparents As Guards: A Game Theoretic Analysis Of Inheritance And Post Marital Residence In A World Of Uncertain Paternity, Brishti Guha
Research Collection School Of Economics
I unify the following (1) men face paternal uncertainty while women do not face maternal uncertainty, (2) putative fathers and paternal kin care about true paternity, (3) paternity confidence is systematically lower in matrilocal cultures than in patrilocal ones, (4) inheritance tends to be patrilineal in high paternity confidence cultures and matrilineal in low confidence ones, and (5) most societies with patrilineal inheritance were patrilocal while most societies with matrilineal inheritance were matrilocal. I model the co-evolution of inheritance patterns and post-marital residence patterns - and their relationship with paternity uncertainty. Using a game theoretic model, I examine how a …
Money And Asset Prices With Uninsurable Risks, Nicolas L. Jacquet, Serene Tan
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 …
Optimal Design Of P-Value Consistent Step-Up Procedures For Multiple Comparisons With A Control In Direction-Mixed Families, Koon Shing Kwong, Siu Hung Cheung
Optimal Design Of P-Value Consistent Step-Up Procedures For Multiple Comparisons With A Control In Direction-Mixed Families, Koon Shing Kwong, Siu Hung Cheung
Research Collection School Of Economics
It is common in clinical studies for several treatments to be compared to a control. Most of the related statistical techniques have been developed to accommodate inferential families in which all hypotheses are either one- or two-sided such that the familywise error rate is controlled at a specified level. Several multiple testing procedures were recently proposed to perform multiple comparisons with a control in direction-mixed families that contain a mixture of one- and two-sided inferences. Of these procedures, the p-value consistent step-up procedure is found to be superior in terms of its power and p-value consistent property. In this paper, …
Honesty And Intermediation: Corporate Cheating, Auditor Involvement And The Implications For Takeoff, Brishti Guha
Honesty And Intermediation: Corporate Cheating, Auditor Involvement And The Implications For Takeoff, Brishti Guha
Research Collection School Of Economics
We examine honesty and credible auditing in firm-investor relations in a repeated game of imperfect information, embedded in a general equilibrium framework. Informed auditors enhance credibility over a range of audit fees – despite the auditor’s incentive to collude – provided the probability of detection is imperfectly correlated across clients. Auditing can enhance growth especially for a relatively egalitarian distribution of wealth. We show that audit fees must be neither too high nor too low to enhance client credibility, highlight the role of mandatory audit fee disclosure, interpret international differences in shareholding patterns and uncover a possible rationale for audit …
The Structure Of Strategy-Proof Random Social Choice Functions Over Product Domains And Lexicographically Separable Preferences, Shurojit Chatterji, Souvik Roy, Arunava Sen
The Structure Of Strategy-Proof Random Social Choice Functions Over Product Domains And Lexicographically Separable Preferences, Shurojit Chatterji, Souvik Roy, Arunava Sen
Research Collection School Of Economics
We characterize the class of dominant-strategy incentive-compatible (or strategy-proof) random social choice functions in the standard multi-dimensional voting model where voter preferences over the various dimensions (or components) are lexicographically separable. We show that these social choice functions (which we call generalized random dictatorships) are induced by probability distributions on voter sequences of length equal to the number of components. They induce a fixed probability distribution on the product set of voter peaks. The marginal probability distribution over every component is a random dictatorship. Our results generalize the classic random dictatorship result in Gibbard (1977) and the decomposability results for …
Contracting Over Prices, Shurojit Chatterji, Sayantan Ghosal
Contracting Over Prices, Shurojit Chatterji, Sayantan Ghosal
Research Collection School Of Economics
We define a solution concept, perfectly contracted equilibrium, for an intertemporal exchange economy where agents are simultaneously price takers in spot commodity markets while engaging inefficient, non-Walrasian contracting over future prices. Without requiring that agents have perfect foresight, we show that perfectly contracted equilibrium outcomes are a subset of Pareto optimal allocations. It is a robust possibility for perfectly contracted equilibrium outcomes to differ from Arrow-Debreu equilibrium outcomes. We show that both centralized banking and retrading with bilateral contracting can lead to perfectly contracted equilibria.
Schooling, Political Participation, And The Economy, Filipe R. Campante, Davin Chor
Schooling, Political Participation, And The Economy, Filipe R. Campante, Davin Chor
Research Collection School Of Economics
We investigate how the link between individual schooling and political participation is a ected by country characteristics. Using individual survey data, we nd that political participation is more responsive to schooling in land-abundant countries, and less responsive in human capital-abundant countries, even while controlling for country political institutions and cultural attitudes. We propose an explanation that centers on how individuals allocate the use of their human capital. A relative abundance of land (used primarily in the least skill-intensive sector) or a scarcity of aggregate hu- man capital increases both the level of political participation and its responsiveness to schooling, by …
The Coevolution Of Economic And Political Development From Monarchy To Democracy, Fali Huang
The Coevolution Of Economic And Political Development From Monarchy To Democracy, Fali Huang
Research Collection School Of Economics
This paper establishes a simple model of long run economic and political development, which is driven by the inherent technical features of different factors in production, and political conflicts among factor owners on how to divide the outputs. The main capital form in economy evolves from land to physical capital and then to human capital, which enables the respective factor owners (landlords, capitalists, and workers) to gain political powers in the same sequence, shaping the political development path from monarchy to elite ruling and finally to full suffrage. When it is too costly for any group of factor owners to …
Subgame Perfect Implementation Under Information Perturbations, Takashi Kunimoto, Drew Fudenberg, Takashi Kunimoto, Oliver Tercieux
Subgame Perfect Implementation Under Information Perturbations, Takashi Kunimoto, Drew Fudenberg, Takashi Kunimoto, Oliver Tercieux
Research Collection School Of Economics
We consider the robustness of extensive form mechanisms to deviations from common knowledge about the state of nature, which we refer to as information perturbations. First, we show that even under arbitrarily small information perturbations the Moore-Repullo mechanism does not yield (even approximately) truthful revelation and that in addition the mechanism has sequential equilibria with undesirable outcomes. More generally, we prove that any extensive form mechanism is fragile in the sense that if a non-Maskin monotonic social objective can be implemented with this mechanism, then there are arbitrarily small information perturbations under which an undesirable sequential equilibrium also exists. Finally, …
Estimating Dynamic Discrete Choice Models Of Product Differentiation: An Application To Medicare Part D With Switching Costs, Daniel P. Miller, Jungwon Yeo
Estimating Dynamic Discrete Choice Models Of Product Differentiation: An Application To Medicare Part D With Switching Costs, Daniel P. Miller, Jungwon Yeo
Research Collection School Of Economics
This paper proposes an algorithm to estimate dynamic discrete choice models using aggregate market share data. The algorithm achieves a computational advantage by decomposing the complicated mapping between market shares and utility flows into two simpler ones. The first maps observed market shares to mean choice specific values, and the second then maps to mean utility flows. In the application, we estimate switching costs in the Medicare Part D market. Our results indicate a large switching cost of around $1,700, which implies an average welfare loss of $480 as enrollees choose to remain in sub-optimal plans to avoid switching costs.
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-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.
Trade, Firm Selection, And Industrial Agglomeration, Wen-Tai Hsu, Ping Wang
Trade, Firm Selection, And Industrial Agglomeration, Wen-Tai Hsu, Ping Wang
Research Collection School Of Economics
We develop a model of trade and agglomeration that incorporates trade in both intermediate goods and final goods and allows all firms to choose their locations. There are two types of labor: skilled labor, which is mobile, and unskilled labor, which is immobile. Upon choosing its factory site, a final goods firm that is managed by skilled labor can produce these goods using local unskilled labor and a variety of intermediate goods produced by productivity-heterogeneous producers. We characterize world equilibrium and establish the conditions under which industrial agglomeration arises as a stable equilibrium outcome. We show that when the unskilled …
The Labor Supply And Welfare Effects Of Early Access To Medicare Through Social Security Disability Insurance, Kim
Research Collection School Of Economics
Social Security Disability Insurance (SSDI) beneficiaries receive a cash benefit and become eligible for health insurance from Medicare two years after their enrollment. Disabled workers who leave the labor force typically lose health insurance from their employers, and they face significant medical expenditure risk as a result of their disability. Therefore, access to Medicare makes SSDI an especially attractive alternative to remaining employed for workers with disabilities. My research is the first to analyze the importance of medical expenditure risk and Medicare in analysis of SSDI, and it addresses the following questions: (1) How does access to Medicare via SSDI …
A Generalized Representation Theorem For Harsanyi's ('Impartial') Observer, Simon Grant, Atsushi Kajii, Ben Polak, Zvi Safra
A Generalized Representation Theorem For Harsanyi's ('Impartial') Observer, Simon Grant, Atsushi Kajii, Ben Polak, Zvi Safra
Research Collection School Of Economics
We provide an axiomatization of an additively separable social welfare function in the context of Harsanyi's impartial observer theorem. To do this, we reformulate Harsanyi's setting to make the lotteries over the identities the observer may assume independent of the social alternative.
An Evolutionary Analysis Of Turnout With Conformist Citizens, Massimiliano Landi, Mauro Sodini
An Evolutionary Analysis Of Turnout With Conformist Citizens, Massimiliano Landi, Mauro Sodini
Research Collection School Of Economics
We propose an evolutionary analysis of a voting game where citizens have a preference for conformism that adds to the instrumental preference for the electoral outcome. Multiple equilibria arise, and some generate high turnout. Simulations of best response dynamics show that high turnout is asymptotically stable if conformism matters but its likelihood depends on the reference group for conformism: high turnout is more likely when voters care about their own group's choice, as this better overrides the free rider problem of voting games. Comparative statics on the voting cost distribution, the population's size or the groups' composition are also done.
Foreign Direct Investment: Clearing The Infrastructure Bottlenecks, Kim Song Tan, Sim Yee Lau
Foreign Direct Investment: Clearing The Infrastructure Bottlenecks, Kim Song Tan, Sim Yee Lau
Research Collection School Of Economics
No abstract provided.
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Approach, Yiu Kuen Tse, Thomas Tao Yang
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Approach, Yiu Kuen Tse, Thomas Tao Yang
Research Collection School Of Economics
We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) model, called the ACD-ICV method. We compare the daily volatility estimated using the ACD-ICV method against several versions of the realized volatility (RV) method, including the bipower variation RV with subsampling, the realized kernel estimate, and the duration-based RV. Our Monte Carlo results show that the ACD-ICV method has lower root mean-squared error than the RV methods in almost all cases considered. This article has online supplementary material.
Unilateral Measures And Emissions Mitigation, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Unilateral Measures And Emissions Mitigation, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Research Collection School Of Economics
We discuss global climate mitigation that builds on existing unilateral measures to cut emissions. We document and discuss the rationale for such unilateral measures argue that such measures have the potential to generate positive spillover effects both within and across countries. In a simple dynamic model of learning we show that while single countries on their own may never get to the point of switching completely to low emission activities, a learning process with positive spillovers across nations is more likely to deliver a global switch to low emissions. We discuss the key features of a new global Intellectual Property …
Gambling On Genes: Ambiguity Aversion Explains Investment In Sisters' Children, Brishti Guha
Gambling On Genes: Ambiguity Aversion Explains Investment In Sisters' Children, Brishti Guha
Research Collection School Of Economics
Many men invest in their sisters’ children instead of their wives’. Existing theories addressing such behavior depend on the level of paternity probability in such men’s societies being implausibly low. I link this anthropologically observed investment behavior with the experimentally observed phenomenon that some individuals are ambiguity averse. Arguing that men’s decisions are made under ambiguity, I show that an increase in ambiguity aversion results in investment in sisters’, rather than wives’, children. I show that this can happen even under risk neutrality. I also consider the special cases of a SEU maximizer and of extreme ambiguity aversion in the …
The Educated Middle Class, Their Economics Prospects, And The Arab Spring, Davin Chor, Filipe R. Campante
The Educated Middle Class, Their Economics Prospects, And The Arab Spring, Davin Chor, Filipe R. Campante
Research Collection School Of Economics
The recent uprisings in the Arab World carry a broader lesson, highlighting the importance of sustaining an economy that provides sufficient job opportunities for an increasingly educated and skilled middle class.
Economy Can Be Game Changer For The Region, Kim Song Tan, Sim Yee Lau
Economy Can Be Game Changer For The Region, Kim Song Tan, Sim Yee Lau
Research Collection School Of Economics
this article they explore reform of the banking sector in Myanmar.
Central Place Theory And City Size Distribution, Wen-Tai Hsu
Central Place Theory And City Size Distribution, Wen-Tai Hsu
Research Collection School Of Economics
This paper proposes a theory of city size distribution via a hierarchy approach rather than the popular random growth process. It does so by formalizing central place theory using an equilibrium entry model and specifying the conditions under which city size distribution follows a power law. Central place theory describes the way in which a hierarchical city system with different layers of cities serving differently sized market areas is formed from a uniformly populated space. The force driving the city size differences in this model is the heterogeneity in economies of scale across goods. The city size distribution under a …
Robust Deviance Information Criterion For Latent Variable Models, Yong Li, Tao Zeng, Jun Yu
Robust Deviance Information Criterion For Latent Variable Models, Yong Li, Tao Zeng, Jun Yu
Research Collection School Of Economics
It is shown in this paper that the data augmentation technique undermines the theoretical underpinnings of the deviance information criterion (DIC), a widely used information criterion for Bayesian model comparison, although it facilitates parameter estimation for latent variable models via Markov chain Monte Carlo (MCMC) simulation. Data augmentation makes the likelihood function non-regular and hence invalidates the standard asymptotic arguments. A new information criterion, robust DIC (RDIC), is proposed for Bayesian comparison of latent variable models. RDIC is shown to be a good approximation to DIC without data augmentation. While the later quantity is difficult to compute, the expectation { …
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Research Collection School Of Economics
This study uses a newly developed bubble detection method (Phillips, Shi and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, the method finds a …
Recent Advances In Nonstationary Time Series: A Festschrift In Honor Of Peter C. B. Phillips, Robert S. Mariano, Zhijie Xiao, Jun Yu
Recent Advances In Nonstationary Time Series: A Festschrift In Honor Of Peter C. B. Phillips, Robert S. Mariano, Zhijie Xiao, Jun Yu
Research Collection School Of Economics
On July 14–15, 2008, the School of Economics and the Sim Kee Boon Institute for Financial Economics at Singapore Management University (SMU) co-hosted a conference honoring the contribution of Peter Phillips to econometrics and statistics, in celebration of his 60th birthday. In total, 51 papers were presented by his colleagues and former students, who deeply appreciate and respect Peter as a true scholar and a good friend. These papers mainly cover two areas of Peter’s current research interests—nonstationary time series analysis, and panel, nonlinear and nonparametric models. On the basis of this conference, we have taken the opportunity to edit …
Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C. B. Phillips
Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C. B. Phillips
Research Collection School Of Economics
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical Hajek-Le Cam optimality theory is adapted to cover this situation. We show that the expectation of certain monotone "bowl-shaped" functions of the squared estimation error are minimized by the ML estimator in locally asymptotically quadratic situations, which often occur in nonstationary time series analysis when the LAN property fails. Moreover, we demonstrate a direct connection between …
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C. B. Phillips
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C. B. Phillips
Research Collection School Of Economics
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size. The rate of consistency and the validity of the normal asymptotic approximation for the corresponding estimators is determined both by the sample size n and a parameter measuring the proximity of the model to the unit root boundary. (C) 2012 Elsevier B.V. All rights reserved.
Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu
Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu
Research Collection School Of Economics
It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process with a known long run mean when discretely sampled data are available. The first expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression does not work satisfactorily when the …
Inefficiency In The Shadow Of Unobservable Outside Options, Madhav S. Aney
Inefficiency In The Shadow Of Unobservable Outside Options, Madhav S. Aney
Research Collection School Of Economics
This paper considers the problem of allocating an object between two players in an environment with one sided asymmetric information when their outside options depend on each other's type, causing the outside option of the uninformed player to be unobservable to her. Consequently efficient mechanisms under budget balance are not always available even when there is no uncertainty about which of the two players values the object more. A simple condition on the outside options turns out to be both necessary and sufficient to guarantee the first best. I also characterise the second best allocation under some conditions and show …