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Singapore Management University

2013

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Articles 31 - 60 of 101

Full-Text Articles in Economics

Geographic Decomposition Of Inequality In Health And Wealth: Evidence From Cambodia, Tomoki Fujii Sep 2013

Geographic Decomposition Of Inequality In Health And Wealth: Evidence From Cambodia, Tomoki Fujii

Research Collection School Of Economics

Applying the small-area estimation methods to Cambodia data, we decompose the total inequality in wealth (consumption) and health (child undernutrition) indicators into within-location and between-location components. Because the knowledge of the pattern of spatial disparity in poverty and undernutrition is important for the geographic targeting of resources, we conduct a geographic decomposition of the variance of the Foster-Greere-Thorbecke index in addition to the standard decomposition exercise based on the generalized entropy measures. We find that a sizable proportion of wealth inequality is due to between-location inequality, whereas health inequality is mainly due to within-location inequality.

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Geographic Decomposition Of Inequality In Health And Wealth: Evidence From Cambodia, Tomoki Fujii Sep 2013

Geographic Decomposition Of Inequality In Health And Wealth: Evidence From Cambodia, Tomoki Fujii

Research Collection School Of Economics

The small-area estimation developed by Elbers, Lanjouw and Lanjouw (2002, 2003), in which a census and a survey are combined to produce the estimates of welfare measures for small geographic areas, has become a standard tool for poverty analysis in developing countries. The small-area estimates are typically plotted on a map, which are commonly called a poverty map. Poverty maps proved useful for policy analysis and formulation, and have become increasingly popular among policy-makers and researchers. In Cambodia, poverty maps have been used by various international organizations, ministries and non-governmental organizations for analyzing the poverty situations for their operation areas, …

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Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo Aug 2013

Growing The Asset Management Franchise: Evidence From Hedge Fund Firms, William Fung, David Hsieh, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. While first funds outperform follow-on funds, the superior performance of the former attenuates following the launch of the second fund. Multiple-product firms underperform single-product firms, but harvest greater fee revenues. Consequently, the multiple-product firm has become the dominant business model in the hedge fund industry.

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Improving Housing Status Quo, Sock Yong Phang, David K. C. Lee Aug 2013

Improving Housing Status Quo, Sock Yong Phang, David K. C. Lee

Research Collection Lee Kong Chian School Of Business

On home ownership and upgrading, PM Lee Hsien Loong has reaffirmed the Government's objective to make home ownership more affordable for all first-time buyers, especially low-income earners, through increasing the amounts of targeted housing grant subsidies. He spelt out the desired outcomes of housing affordability policy through his detailed matching of Housing Board flat type with household incomes.

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Evaluating The Effectiveness Of Cooling Measures On Property Prices: An Exploration Of Alternative Econometric Techniques, Kuo Chuen Lee, Sock Yong Phang, Kok Fai Phoon, Karol Wee Aug 2013

Evaluating The Effectiveness Of Cooling Measures On Property Prices: An Exploration Of Alternative Econometric Techniques, Kuo Chuen Lee, Sock Yong Phang, Kok Fai Phoon, Karol Wee

Research Collection Lee Kong Chian School Of Business

No abstract provided.

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Contract Enforcement: A Political Economy Model Of Legal Development, Fali Huang Aug 2013

Contract Enforcement: A Political Economy Model Of Legal Development, Fali Huang

Research Collection School Of Economics

In an effort to understand why the relative usage of relational and legal contracts differs across societies, this article builds a political economy model of legal development where legal quality of contract enforcement is a costly public good. It finds that legal investment tends to be too small under elite rule but too large under majority rule in comparison with the socially optimal level. Furthermore, elite rule, low legal quality, and high-income inequality may form a self-perpetuating circle that hinders economic development. In contrast to the conventional view, this article suggests that the often-observed association between heavy reliance on relational …

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Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu Aug 2013

Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu

Research Collection School Of Economics

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple bubble phenomena within the same sample period. To meet this challenge the present paper develops a new recursive flexible window method that is better suited for practical implementation with long …

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Testing For Multiple Bubbles 2: Limit Theory Of Real Time Detectors, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu Aug 2013

Testing For Multiple Bubbles 2: Limit Theory Of Real Time Detectors, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu

Research Collection School Of Economics

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolves as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right tailed unit root tests (each with a di§erent recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. …

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Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee Aug 2013

Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee

Research Collection School Of Economics

The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper …

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Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos Aug 2013

Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos

Research Collection School Of Economics

Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved.

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Volatility Occupation Times, Jia Li, Viktor Todorov, George Tauchen Aug 2013

Volatility Occupation Times, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Itô semimartingale on a fixed interval when the mesh of the observation grid shrinks to zero asymptotically. In a first step we estimate the volatility locally over blocks of shrinking length, and then in a second step we use these estimates to construct a sample analogue of the volatility occupation time and a kernel-based estimator of its density. We prove the consistency of our estimators and further derive bounds for their rates of convergence. We use these results …

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Trial And Error In Influential Social Networks, Xiaohui Bei, Ning Chen, Liyu Dou, Xiangru Huang, Ruixin Qiang Aug 2013

Trial And Error In Influential Social Networks, Xiaohui Bei, Ning Chen, Liyu Dou, Xiangru Huang, Ruixin Qiang

Research Collection School Of Economics

In this paper, we introduce a trial-And-error model to study information diffusion in a social network. Specifically, in every discrete period, all individuals in the network concurrently try a new technology or product with certain respective probabilities. If it turns out that an individual observes a better utility, he will then adopt the trial; otherwise, the individual continues to choose his prior selection. We first demonstrate that the trial and error behavior of individuals characterizes certain global community structures of a social network, from which we are able to detect macro-communities through the observation of microbehavior of individuals. We run …

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Economic Indices: Managing By The Numbers, Singapore Management University Jul 2013

Economic Indices: Managing By The Numbers, Singapore Management University

Perspectives@SMU

Understanding indices is not just about crunching numbers, but appreciating how it is constructed

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The Consequences Of A Public Health Insurance Option: Evidence From Medicare Part D Prescription Drug Markets, Daniel P. Miller, Jungwon Yeo Jul 2013

The Consequences Of A Public Health Insurance Option: Evidence From Medicare Part D Prescription Drug Markets, Daniel P. Miller, Jungwon Yeo

Research Collection School Of Economics

This paper examines a public option competing alongside private insurers in Medicare Part D. We estimate a random coefficient demand system and oligopoly supply-side model with endogenous premium subsidies and risk adjustment payments. If the public option does not affect health risk sorting, counterfactual results show modest competitive benefits. However, increased subsidy payments eliminate welfare gains regardless of the public option's cost position. If the public option adversely selects -- facilitating insurers' ability to cream-skim favorable risk -- the risk adjustment mechanism creates a downward pricing distortion, amplifying competitive benefits. Despite greater selection, total surplus may increase, but the division …

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Forecasting Government Bond Risk Premia Using Technical Indicators, Jeremy Goh, Fuwei Jiang, Jun Tu, Guofu Zhou Jul 2013

Forecasting Government Bond Risk Premia Using Technical Indicators, Jeremy Goh, Fuwei Jiang, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables. We find that technical indicators have significant in both in- and out-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the forecasting performance substantially. We also find that the economic value of bond risk premia forecasts from our methodology is comparable to that of equity risk premium forecasts.

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On The Effect And Remedies Of Shrinkage On Classification Probability Estimation, Zhengxiao Wu, Yufeng Liu, Zhengxiao Wu Jul 2013

On The Effect And Remedies Of Shrinkage On Classification Probability Estimation, Zhengxiao Wu, Yufeng Liu, Zhengxiao Wu

Research Collection School of Economics

Shrinkage methods have been shown to be effective for classification problems. As a form of regularization, shrinkage through penalization helps to avoid overfitting and produces accurate classifiers for prediction, especially when the dimension is relatively high. Despite the benefit of shrinkage on classification accuracy of resulting classifiers, in this article, we demonstrate that shrinkage creates biases on classification probability estimation. In many cases, this bias can be large and consequently yield poor class probability estimation when the sample size is small or moderate. We offer some theoretical insights into the effect of shrinkage and provide remedies for better class probability …

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Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow Jul 2013

Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow

Research Collection School Of Economics

Recent empirical studies show that the Chinese currency renminbi is either becoming or has become a dominant reference currency in East Asia. This paper reviews the evidence with daily exchange rate data from seven East Asian economies namely, Indonesia, Korea, Malaysia, the Philippines, Singapore, Thailand and Taiwan. We consider the likely problems and pitfalls associated with the application of Frankel-Wei regressions to determine the weights of the US dollar and the renminbi in the implicit currency baskets. We show empirically the estimation of currency weights using non-orthogonalised renminbi movements could suffer from imprecision and/or inconsistency. To circumvent the simultaneity bias …

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Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee Jul 2013

Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee

Research Collection School Of Economics

This paper develops an index of allocative efficiency that depends upon the distribution of mark-ups across goods and is separable from an index of standard Ricardian gains from trade. It determines how changes in trade frictions affect allocative efficiency in an oligopoly model of international trade, decomposing the effect into the cost-change channel and the price-change channel. Formulas are derived shedding light on the signs and magnitudes of the two channels. In symmetric country models, trade tends to increase allocative efficiency through the cost-change channel, yielding a welfare benefit beyond productive efficiency gains. In contrast, the price-change channel has ambiguous …

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Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho Jul 2013

Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho

Research Collection School Of Economics

The Singapore government responded swiftly to the 2008 global recession, doling out a range of policies in aid of all levels of wage earners. This paper explores the impacts of economic trends and government policies on low-wage earners. Using a theoretical model and empirical data from a pilot study of recipients of a government Work Support Program, it demonstrates the effects of socioeconomic factors on multi-stressed low-earning families. It discusses the adequacy of current policies in addressing the multiple stressors experienced by low-wage earners.

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Robust Estimation And Inference For Jumps In Noisy High Frequency Data: A Local-To-Continuity Theory For The Pre-Averaging Method, Jia Li Jul 2013

Robust Estimation And Inference For Jumps In Noisy High Frequency Data: A Local-To-Continuity Theory For The Pre-Averaging Method, Jia Li

Research Collection School Of Economics

We develop an asymptotic theory for the pre-averaging estimator when asset price jumps are weakly identified, here modeled as local to zero. The theory unifies the conventional asymptotic theory for continuous and discontinuous semimartingales as two polar cases with a continuum of local asymptotics, and explains the breakdown of the conventional procedures under weak identification. We propose simple bias-corrected estimators for jump power variations, and construct robust confidence sets with valid asymptotic size in a uniform sense. The method is also robust to certain forms of microstructure noise.

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Political Risk And Institutional Quality Difference Across Countries: Impacts On Fdi By Multinational Firms, Pao Li Chang, Chia-Hui Lu Jun 2013

Political Risk And Institutional Quality Difference Across Countries: Impacts On Fdi By Multinational Firms, Pao Li Chang, Chia-Hui Lu

Research Collection School Of Economics

No abstract provided.

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How Does Childbirth Alter Intrahousehold Resource Allocation?: Evidence From Japan, Tomoki Fujii, Ryuichiro Ishikawa Jun 2013

How Does Childbirth Alter Intrahousehold Resource Allocation?: Evidence From Japan, Tomoki Fujii, Ryuichiro Ishikawa

Research Collection School Of Economics

Exploiting unique panel data that include direct measurements of resource allocation within households, we investigated the impact of childbirth on intrahousehold allocation for married Japanese couples. Based on a collective model of the household, we developed reduced-form and structural-form estimation equations that allow us to focus on private goods to track the changes in intrahousehold resource allocation. We found one additional child is associated with a reduction in the wife's private expenditure share by at least two percentage points. This may be because she substitutes more say in decisions on the children for her own private expenditure share.

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Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide Jun 2013

Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide

Research Collection School Of Economics

This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a certain moment condition must hold in general for the prediction estimator based on a Generalized-Method-of-Moment estimator to be at least as efficient as the sample mean. In an application to cost-effective double sampling, the authors show how prediction estimators may be adopted to maximize statistical precision (minimize financial costs) under a budget constraint (statistical …

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Welfare Reform And At-Risk Mothers' Labour Supply, Christine Ho Jun 2013

Welfare Reform And At-Risk Mothers' Labour Supply, Christine Ho

Research Collection School Of Economics

We analyse the impact of the early 1990s welfare waivers and the 1996 TANF reform in the United States on at-risk mothers' labour supply behaviour using the PSID. We find that whereas the welfare waivers had limited impacts on at-risk mothers, the TANF reform played an important role in encouraging those mothers to increase their labour supply at the intensive margin.

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Solving Myanmar’S Catch-22, Sim Yee Lau, Kim Song Tan Jun 2013

Solving Myanmar’S Catch-22, Sim Yee Lau, Kim Song Tan

Research Collection School Of Economics

No abstract provided.

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Parallels Between The U.S. And Asian Property Markets, Singapore Management University May 2013

Parallels Between The U.S. And Asian Property Markets, Singapore Management University

Perspectives@SMU

U.S. home prices are on an upswing. What does this mean for the Asian property market?

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Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas May 2013

Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas

Research Collection School Of Economics

A highly acclaimed result is that tournaments are superior to piece rates when the agents are risk averse and their production activities are subject to a relatively large common shock. The reason is that tournaments allow the principal to trade insurance for lower income to the agents. Our analysis shows that this celebrated result does not carry over to the case when a limited liability (bankruptcy) constraint limits the payments the principal can make, provided that the liquidation value of the firm is sufficiently small. This finding has important implications for the vast number of limited liability firms. Even though …

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Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang May 2013

Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang

Research Collection School Of Economics

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in details under several popular spatial LM …

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Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang May 2013

Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang

Research Collection School Of Economics

According to a 2011 IMF study, Singapore's level of government intervention in housing finance is the highest in the developed world (Slide 3). This level of intervention in housing finance has correspondingly produced the highest level of homeownership amongst advanced countries. This housing outcome is the result of our very unique HDB-CPF housing framework – an institutional framework that was established in the 1960s during the formative period of our country?s history (Slides 4 and 5). Singapore was, at that particular point in time, faced with a situation of chronic housing shortage, low homeownership rates and an underdeveloped housing mortgage …

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A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su May 2013

A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su

Research Collection School Of Economics

In this article we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values. A small set of Monte Carlo simulations indicate the test performs reasonably well in finite …

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