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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 Aug 2023

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 May 2023

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 …


Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin Oct 2013

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, yet 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, this method has …


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 …


Singapore Inflation Expectations: Expecting The Unexpected, Aurobindo Ghosh, Jun Yu Dec 2012

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.


Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin Aug 2012

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 …


Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu Dec 2011

Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu

Research Collection School Of Economics

The aim of this report is to highlight a broad spectrum of issues that brings about the measurement of the disagreement and the uncertainity and the formation of inflation expectations among economic agents in Singapore.


A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do Jan 2009

A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do

Research Collection School Of Economics

We construct an axiomatic index of spatial concentration around a center or capital point of interest, a concept with wide applicability from urban economics, economic geography and trade, to political economy and industrial organization. We propose basic axioms (decomposability and monotonicity) and refinement axioms (order preservation, convexity, and local monotonicity) for how the index should respond to changes in the underlying distribution. We obtain a unique class of functions satisfying all these properties, defined over any n-dimensional Euclidian space: the sum of a decreasing, isoelastic function of individual distances to the capital point of interest, with specific boundaries for the …


Some Empirics On Economic Growth Under Heterogeneous Technology, Peter C. B. Phillips, Donggyu Sul Sep 2007

Some Empirics On Economic Growth Under Heterogeneous Technology, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

A new econometric approach to testing for economic growth convergence is overviewed. The method is applicable to panel data, involves a simple regression based one-sided t-test, and can be used to form a clustering algorithm to assess the existence of growth convergence clubs. The approach allows for heterogeneous technology, utilizes some new asymptotic theory for nonlinear dynamic factor models, and is easy to implement. Some background growth theory is given which shows the form of augmented Solow regression (ASR) equations in the presence of heterogeneous technology and explains sources of potential misspecification that can arise in conventional formulations of ASR …


Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay Jun 2006

Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay

Research Collection School Of Economics

It is theoretically possible that non-fundamental idiosyncratic shocks to agents’ rational expectations are a source of economic fluctuations. Studies using data on consumer and investor sentiment suggest that this is indeed an important source of fluctuations. We present the results of a study that uses forecasts from professional forecasters to extract non-fundamental shocks to expectations. In contrast to previous studies, we show that non-fundamental expectations are not a significant source of output fluctuations, although such shocks contributed to inflation.


Constructing A Coincident Index Of Business Cycles Without Assuming A One-Factor Model, Roberto S. Mariano, Yasutomo Murasawa Oct 2004

Constructing A Coincident Index Of Business Cycles Without Assuming A One-Factor Model, Roberto S. Mariano, Yasutomo Murasawa

Research Collection School Of Economics

The Stock-Watson coincident index and its subsequent extensions assume a static linear one-factor structure for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one defines a coincident index as an estimate of latent monthly real GDP. This paper considers VAR and factor models for latent monthly real GDP and other coincident indicators, and estimates the models using the observable mixed-frequency series. For US data, Schwartz’s Bayesian information criterion selects a two-factor model. The smoothed estimate of latent monthly real GDP is the proposed index.