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Full-Text Articles in Macroeconomics
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Common Bubble Detection In Large Dimensional Financial Systems, Ye Chen, Peter C. B. Phillips, Shuping Shi
Research Collection School Of Economics
Price bubbles in multiple assets are sometimes nearly coincident in occurrence. Such near-coincidence is strongly suggestive of co-movement in the associated asset prices and is likely driven by certain factors that are latent in the financial or economic system with common effects across several markets. Can we detect the presence of such common factors at the early stages of their emergence? To answer this question, we build a factor model that includes I(1), mildly explosive, and stationary factors to capture normal, exuberant, and collapsing phases in such phenomena. The I(1) factor models the primary driving force of market fundamentals. The …
Inflation Dynamics And Expectations In Singapore, Hwee Kwan Chow-Tan
Inflation Dynamics And Expectations In Singapore, Hwee Kwan Chow-Tan
Research Collection School Of Economics
Inflation dynamics in Singapore have primarily been shaped by foreign factors, including global inflationary pressures and external macroeconomic shocks. More recently, the normalisation phase of the Covid-19 pandemic crisis has led to domestic price pressures from pent-up demand and supply-chain disruptions. Meanwhile, the war in Ukraine has resulted in a hike in the global prices of food, energy, and industrial commodities. Using inflation forecasts from the MAS Survey of Professional Forecasters as our measure of inflation expectations, we show that short-term inflation expectations have shifted up recently. Moreover, greater disagreement amongst survey respondents in the more recent surveys suggests individual …
Economic Forecasting In Singapore: The Covid-19 Experience, Hwee Kwan Chow-Tan, Keen Meng Choy
Economic Forecasting In Singapore: The Covid-19 Experience, Hwee Kwan Chow-Tan, Keen Meng Choy
Research Collection School Of Economics
This Special Feature considers how accurately professional forecasters have predicted GDP growth and inflation in Singapore, especially during rare events such as the Global Financial Crisis (GFC) and COVID-19. It also illustrates the value of forecast probability distributions in inferring forecasters’ uncertainty when making predictions, and the degree of consensus between projections from different forecasters. The authors find that one-year ahead forecast errors for GDP growth and inflation increased during the GFC and the COVID-19 pandemic. While professional forecasters did not appear to have followed the Government’s forecasts when predicting growth during the GFC, they may have exhibited ”leader-following” behaviour …